Loomis Sayles Funds I

N-CSRS 1 dncsrs.htm LOOMIS SAYLES FUNDS I Loomis Sayles Funds I

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

Loomis Sayles Funds I

(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.

Natixis Distributors, 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: March 31, 2011

Item 1. Reports to Stockholders.

The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			10
Statements of Assets and Liabilities			24
Statements of Operations			25
Statements of Changes in Net Assets			26
Financial Highlights			27
Notes to Financial Statements			29

SEMI-ANNUAL REPORT

MARCH 31, 2011

LOOMIS SAYLES SMALL CAP GROWTH FUND

Fund and manager review

FUND FACTS

Managers:

Mark F. Burns, CFA

John Slavik, CFA

Symbols:


Institutional Class		LSSIX
Retail Class		LCGRX

Objective:

Long-term capital growth from investments in common stocks or other equity securities

Strategy:

Invests at least 80% of its net assets (plus any borrowings made for investment purposes) in equity securities of companies with market capitalizations that fall within the capitalization range of the Russell 2000 Index or is $3 billion or less at the time of investment. Unlike the Index, the Fund may invest in companies of any size.

The fund may invest any portion of its assets in Canadian securities and up to 20% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

December 31, 1996

Net Assets:

$249.5 million

Market Conditions

Stocks rallied sharply during the six-month period, fueled by a modest improvement in U.S. business conditions and renewed investor optimism stemming from continued accommodation from the Federal Reserve Board (the Fed). These factors, combined with better-than-expected corporate profits, drove share prices higher despite political turmoil in North Africa and the Middle East and the earthquake, tsunami and nuclear crisis in Japan. Risk appetites stayed fairly high, and equities remained the vehicle of choice for investors. Overall, small-cap stocks led the market higher, and growth stocks outperformed value stocks.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 32.43%. The fund outperformed its benchmark, the Russell 2000 Growth Index, which returned 27.93% for the period.

Explanation of Fund Performance

Strong stock selection primarily drove the fund’s relative outperformance. Our choices were particularly strong in the consumer discretionary sector, where IMAX and Tempur-Pedic International drove results. Shares of IMAX, the operator of large screen movie theaters, rose sharply after beating earnings and raising estimates for new theater installations. Tempur-Pedic shares rose sharply after reporting better-than-expected earnings due to market share gains for the company’s Cloud Collection mattresses, which appeal to the higher end of the market. Stock selection and an overweight position led to favorable relative results in the energy sector with Rosetta Resources Inc. and T-3 Energy Services as the top performers. Rosetta Resources, an oil and gas exploration and production company, rose sharply in the fourth quarter after reporting strong earnings. T-3 Energy Services, an oilfield products and service company, saw shares spike after the company announced it was being acquired by Robbins and Myers in the fourth quarter. Stock selection also contributed favorably in the producer durables sector. Shares of Ladish, a metal processing and fabrication company,

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spiked after Allegheny Technologies agreed to acquire the company at a nearly 60% premium. MasTec, a building and construction company focusing on utilities and communications infrastructure, advanced on solid earnings and revenue growth.

Stock selection was weakest in the financial services sector, the only sector to materially detract from relative performance. Shares of NetSpend Holding Inc., a provider of pre-paid debit cards, declined due to poor business fundamentals, while investment-banking firm Greenhill tumbled on a weak fourth quarter and uneven mergers and acquisitions activity.

The largest change in sector weights during the period was a reduction in the healthcare sector. We sold specific companies within the medical device, healthcare services and pharmaceutical/biotechnology industries. We also reduced the fund’s weight in the consumer discretionary sector, albeit to a lesser extent, primarily by selling holdings in the retail industry. The biggest beneficiaries of the sales proceeds were the producer durables, technology and materials and processing sectors.

Outlook

Core inflation statistics have remained well within the Fed’s informal target range, but many commentators believe that the Fed may need to snug things up somewhat in the next few months. The Fed’s second round of large-scale Treasury purchases, which is referred to as “QE2”, is scheduled to end on June 30, 2011. At this point we do not expect an extension of asset purchases in the form of a “QE3” unless the economy takes an unexpected turn to the downside. Employment conditions have improved substantially over the past several months, and the employment reports for the months of February and March, 2011, made for some of the best reading we have seen in several years. Our working assumption is that investors and corporate executives need to plan for somewhat higher energy and other commodity input costs in the months ahead. This may be a factor in an eventual plateauing of corporate margins. However, this is built into our outlook in that we are anticipating about 15% earnings growth for the S&P 500 this year, decelerating to 10% or so next year.

What You Should Know:

Investments in the fund are subject to a number of risks. Please see the “Principal Risks” section of the fund’s prospectus. The purchase of fund shares should be seen as a long-term investment.

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LOOMIS SAYLES SMALL CAP GROWTH FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 12/31/96)		32.43	%		39.07	%		7.29	%		4.00	%
Retail Class (Inception 12/31/96)		32.32			38.67			7.04			3.75

Comparative Performance
Russell 2000 Growth Index^(c)^(d)		27.93			31.04			4.34			6.44
Russell 2000 Index^(c)		25.48			25.79			3.35			7.87
Lipper Small-Cap Growth Funds Index^(c)		25.75			28.19			3.28			5.63

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.09% Retail: 1.42%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 1.03% Retail: 1.28%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2001 to March 31, 2011^(a)(b)

LOGO

Data quoted reflects past performance and cannot guarantee future results. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. For performance current to the most recent month end, please visit www.loomissayles.com. Current performance may be higher or lower than quoted.

Returns do not reflect the taxes that a shareholder would pay on fund distributions or the redemption of shares. Periods of less than one year are not annualized. Performance data reflects certain fee waivers and/or expense reimbursements, if any, without which performance would be lower.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees and expenses.

^(b)

The mountain chart is based on the initial investment minimum of $100,000 for the Institutional Class.

^(c)

See page 7 for a description of the indices.

^(d)

Effective August 20, 2010, the Russell 2000 Growth Index replaced the Russell 2000 Index as the fund’s primary benchmark.

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LOOMIS SAYLES SMALL CAP VALUE FUND

Fund and manager review

FUND FACTS

Managers:

Joseph Gatz, CFA

Daniel Thelen, CFA*

Symbols:


Institutional Class		LSSCX
Retail Class		LSCRX
Admin Class		LSVAX

Objective:

Long-term capital growth from investments in common stocks or other equity securities

Strategy:

The fund may invest up to 20% of its assets in securities of foreign issuers including emerging market securities.

Fund Inception Date:

May 13, 1991

Class Inception Date:

Institutional Class: May 13, 1991

Retail Class: December 31, 1996

Admin Class: January 2, 1998

Net Assets:

$1,146.4 million

Effective June 1, 2011, Daniel Thelen will no longer serve as a portfolio manager of the fund.

Market Conditions

Stocks rallied sharply during the six-month period, fueled by a modest improvement in U.S. business conditions and renewed investor optimism stemming from continued accommodation from the Federal Reserve Board. These factors, combined with better-than-expected corporate profits, drove share prices higher despite a host of challenges: political turmoil in North Africa and the Middle East and an earthquake, tsunami and nuclear crisis in Japan. Risk appetites stayed fairly high, and equities remained the vehicle of choice for investors. Overall, small-cap stocks led the market higher, and growth stocks outperformed value stocks.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned 26.11%. The fund outperformed its benchmark, the Russell 2000 Value Index, which returned 22.97% for the period.

Explanation of Fund Performance

All sectors of the portfolio delivered double-digit returns for the period. Stock selection, particularly in the producer durables and financial services sectors, drove the fund’s outperformance relative to the benchmark. Within producer durables, the fund’s position in Baldor Electric, a manufacturer of industrial electric motors, was its top contributor. The company agreed to be acquired by Switzerland-based power and automation engineering company ABB Ltd. for a 41% premium to prior trading levels. In the financial services sector, our stock selections in the brokerage, transaction processing and consumer lending industries contributed positively to performance. In addition, an underweight in the financial services sector helped, as the group trailed the small cap value index. Overall, the fund’s sector weights contributed positively to relative performance, with overweight positions in outperforming sectors, including producer durables and materials and processing, offsetting a slight underweight in energy stocks.

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What You Should Know:

On a relative basis, an underweight in the energy sector, which was the market’s top-performing sector, and weak stock selection in the real estate investment trust (REIT) segment of the financials sector detracted from results. REIT stocks lagged during the six-month period. While the fund benefited from having a relatively small weight in the sector, stock selection lagged due to weaker performance in certain data center and health-care facility REITs.

Changes to the portfolio during the six months were largely driven by company-specific factors, with the net result showing an increase in technology holdings and a reduction in consumer durables. The technology weight increased with the addition of several communications-related stocks positioned to benefit from increasing demands on enterprise and carrier-based networks.

Outlook

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LOOMIS SAYLES SMALL CAP VALUE FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/13/91)		26.11	%		28.01	%		5.18	%		9.98	%
Retail Class (Inception 12/31/96)		25.96			27.76			4.92			9.71
Admin Class (Inception 1/2/98)		25.78			27.43			4.65			9.43

Comparative Performance
Russell 2000 Value Index^(c)		22.97			20.63			2.23			9.01
Russell 2000 Index^(c)		25.48			25.79			3.35			7.87
Lipper Small-Cap Core Funds Index^(c)		24.22			25.72			4.01			8.60

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.00% Retail: 1.30% Admin: 1.62%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.96% Retail: 1.21% Admin: 1.46%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2001 to March 31, 2011^(a)(b)

LOGO

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail and Admin Classes would be lower due to higher fees and expenses.

^(b)

The mountain chart is based on the initial investment minimum of $100,000 for the Institutional Class.

^(c)

See page 7 for a description of the indices.

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Index Definitions

Indices are unmanaged and do not have expenses that affect results, unlike mutual funds. Index returns are adjusted for the reinvestment of capital gain distributions and income dividends. It is not possible to invest directly in an index.

Lipper Small-Cap Core Funds Index is an unmanaged index that tracks the average performance of the 30 largest small-cap core funds according to Lipper Inc.

Lipper Small-Cap Growth Funds Index is an unmanaged index that tracks the average performance of the 30 largest small-cap growth funds according to Lipper Inc.

Source: Lipper, Inc.

Russell 2000 Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

Russell 2000 Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 2000 Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Proxy Voting Information

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330; (ii) on the funds’ website, www.loomissayles.com, and (iii) on the SEC’s website, www.sec.gov. Information about how the funds voted proxies relating to portfolio securities during the 12 months ended June 30, 2010 is available on (i) the funds’ website and (ii) the SEC’s website.

Quarterly Portfolio Schedules

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

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The first line in the table of each fund shows the actual amount of fund expenses you would have paid on a $1,000 investment in the fund from October 1, 2010 through March 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During the Period column as shown below for your class.

The second line in the table of each fund provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,324.30		$5.79
Hypothetical (5% return before expenses)		$1,000.00		$1,019.95		$5.04

Retail Class
Actual		$1,000.00		$1,323.20		$7.24
Hypothetical (5% return before expenses)		$1,000.00		$1,018.70		$6.29

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00% and 1.25% for Institutional and Retail Class, respectively, multiplied by the average account value over the period multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,261.10		$5.07
Hypothetical (5% return before expenses)		$1,000.00		$1,020.44		$4.53

Retail Class
Actual		$1,000.00		$1,259.60		$6.48
Hypothetical (5% return before expenses)		$1,000.00		$1,019.20		$5.79

Admin Class
Actual		$1,000.00		$1,257.80		$7.88
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.04

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15% and 1.40% for Institutional, Retail and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)


	Common Stocks – 95.5% of Net Assets

		Aerospace & Defense – 2.1%
	39,011	HEICO Corp.	$	2,438,968
	142,718	Hexcel Corp.(b)		2,810,117

				5,249,085

		Air Freight & Logistics – 2.3%
	43,812	Atlas Air Worldwide Holdings, Inc.(b)		3,054,573
	71,258	HUB Group, Inc., Class A(b)		2,578,827

				5,633,400

		Auto Components – 2.1%
	197,069	Amerigon, Inc.(b)		3,009,244
	55,214	Tenneco, Inc.(b)		2,343,834

				5,353,078

		Biotechnology – 3.3%
	103,488	Cepheid, Inc.(b)		2,899,734
	65,349	Genomic Health, Inc.(b)		1,607,585
	89,404	Incyte Corp. Ltd.(b)		1,417,053
	28,201	Pharmasset, Inc.(b)		2,219,701

				8,144,073

		Building Products – 1.7%
	122,454	NCI Building Systems, Inc.(b)		1,551,492
	83,370	Trex Company, Inc.(b)		2,719,530

				4,271,022

		Capital Markets – 2.7%
	70,922	Evercore Partners, Inc., Class A		2,431,915
	24,794	Greenhill & Co., Inc.		1,631,197
	37,402	Stifel Financial Corp.(b)		2,685,090

				6,748,202

		Commercial Banks – 2.1%
	45,759	Signature Bank(b)		2,580,807
	45,105	SVB Financial Group(b)		2,567,828

				5,148,635

		Commercial Services & Supplies – 1.1%
	93,651	Waste Connections, Inc.		2,696,212

		Communications Equipment – 1.8%
	66,552	Aruba Networks, Inc.(b)		2,252,119
	89,655	Ciena Corp.(b)		2,327,444

				4,579,563

		Construction & Engineering – 0.9%
	101,658	MasTec, Inc.(b)		2,114,486

See accompanying notes to financial statements.

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Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Diversified Consumer Services – 1.1%
	77,636	K12, Inc.(b)	$	2,616,333

		Diversified Financial Services – 0.9%
	64,040	MSCI, Inc., Class A(b)		2,357,953

		Electrical Equipment – 1.7%
	115,709	GrafTech International Ltd.(b)		2,387,077
	32,649	Polypore International, Inc.(b)		1,879,929

				4,267,006

		Electronic Equipment, Instruments & Components – 1.8%
	44,820	IPG Photonics Corp.(b)		2,585,218
	113,207	Maxwell Technologies, Inc.(b)		1,955,085

				4,540,303

		Energy Equipment & Services – 1.9%
	23,120	Lufkin Industries, Inc.		2,161,026
	29,528	Oceaneering International, Inc.(b)		2,641,280

				4,802,306

		Food & Staples Retailing – 0.6%
	38,072	Fresh Market, Inc. (The)(b)		1,436,837

		Food Products – 1.1%
	50,006	Diamond Foods, Inc.		2,790,335

		Health Care Equipment & Supplies – 5.8%
	173,477	Accuray, Inc.(b)		1,566,497
	13,022	HeartWare International, Inc.(b)		1,113,772
	144,144	Insulet Corp.(b)		2,972,249
	139,502	Natus Medical, Inc.(b)		2,343,633
	77,016	NxStage Medical, Inc.(b)		1,692,812
	85,725	Volcano Corp.(b)		2,194,560
	57,023	Zoll Medical Corp.(b)		2,555,201

				14,438,724

		Health Care Providers & Services – 5.6%
	103,354	ExamWorks Group, Inc.(b)		2,297,559
	85,609	Hanger Orthopedic Group, Inc.(b)		2,228,402
	29,949	HMS Holdings Corp.(b)		2,451,326
	29,175	MWI Veterinary Supply, Inc.(b)		2,353,839
	96,724	PSS World Medical, Inc.(b)		2,626,057
	118,477	Team Health Holdings, Inc.(b)		2,070,978

				14,028,161

		Health Care Technology – 1.3%
	56,972	SXC Health Solutions Corp.(b)		3,122,066

See accompanying notes to financial statements.

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Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Hotels, Restaurants & Leisure – 3.6%
	60,195	Life Time Fitness, Inc.(b)	$	2,245,875
	18,969	Panera Bread Co., Class A(b)		2,409,063
	169,970	Shuffle Master, Inc.(b)		1,815,280
	141,553	Texas Roadhouse, Inc.		2,404,986

				8,875,204

		Household Durables – 1.4%
	67,666	Tempur-Pedic International, Inc.(b)		3,427,960

		Internet Software & Services – 7.2%
	49,906	Ancestry.com, Inc.(b)		1,769,168
	53,580	comScore, Inc.(b)		1,581,146
	69,646	Constant Contact, Inc.(b)		2,430,645
	84,430	DealerTrack Holdings, Inc.(b)		1,938,513
	126,118	Dice Holdings, Inc.(b)		1,905,643
	55,307	IntraLinks Holdings, Inc.(b)		1,478,909
	47,605	SAVVIS, Inc.(b)		1,765,670
	91,654	Vocus, Inc.(b)		2,370,172
	52,508	WebMD Health Corp.(b)		2,804,977

				18,044,843

		IT Services – 0.7%
	125,241	InterXion Holding NV(b)		1,628,133

		Machinery – 2.5%
	33,338	Chart Industries, Inc.(b)		1,834,923
	45,306	Robbins & Myers, Inc.		2,083,623
	108,171	Westport Innovations, Inc.(b)		2,377,599

				6,296,145

		Media – 1.1%
	84,301	Imax Corp.(b)		2,695,946

		Metals & Mining – 0.7%
	28,436	Schnitzer Steel Industries, Inc., Class A		1,848,624

		Oil, Gas & Consumable Fuels – 5.6%
	50,695	Approach Resources, Inc.(b)		1,703,352
	63,418	Brigham Exploration Co.(b)		2,357,881
	83,134	Comstock Resources, Inc.(b)		2,572,166
	56,990	Oasis Petroleum, Inc.(b)		1,802,024
	56,520	Rosetta Resources, Inc.(b)		2,686,961
	67,313	World Fuel Services Corp.		2,733,581

				13,855,965

		Pharmaceuticals – 2.0%
	70,821	Auxilium Pharmaceuticals, Inc.(b)		1,520,527
	160,727	Nektar Therapeutics(b)		1,522,084

See accompanying notes to financial statements.

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Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Pharmaceuticals – continued
	137,624	Questcor Pharmaceuticals, Inc.(b)	$	1,983,162

				5,025,773


		Professional Services – 3.2%
	59,612	Advisory Board Co. (The)(b)		3,070,018
	55,070	Corporate Executive Board Co. (The)		2,223,176
	31,661	IHS, Inc., Class A(b)		2,809,914

				8,103,108

		Road & Rail – 1.0%
	43,493	Genesee & Wyoming, Inc., Class A(b)		2,531,293

		Semiconductors & Semiconductor Equipment – 8.9%
	130,665	Advanced Energy Industries, Inc.(b)		2,136,373
	53,632	Cavium Network, Inc.(b)		2,409,686
	52,742	Cymer, Inc.(b)		2,984,142
	171,155	GT Solar International, Inc.(b)		1,824,512
	37,467	Hittite Microwave Corp.(b)		2,389,271
	97,199	Inphi Corp.(b)		2,042,151
	57,929	Netlogic Microsystems, Inc.(b)		2,434,176
	41,378	Power Integrations, Inc.		1,586,019
	36,880	Silicon Laboratories, Inc.(b)		1,593,585
	57,627	Varian Semiconductor Equipment Associates, Inc.(b)		2,804,706

				22,204,621

		Software – 7.9%
	112,619	Ariba, Inc.(b)		3,844,813
	45,021	Concur Technologies, Inc.(b)		2,496,414
	76,024	Informatica Corp.(b)		3,970,734
	70,201	QLIK Technologies, Inc.(b)		1,825,226
	72,365	SuccessFactors, Inc.(b)		2,828,748
	48,462	Ultimate Software Group, Inc.(The)(b)		2,847,142
	62,864	VanceInfo Technologies, Inc., ADR(b)		1,974,558

				19,787,635

		Specialty Retail – 4.6%
	93,711	Asbury Automotive Group, Inc.(b)		1,732,716
	62,075	DSW, Inc., Class A(b)		2,480,517
	68,824	Hibbett Sports, Inc.(b)		2,464,587
	49,959	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		2,404,527
	72,365	Vitamin Shoppe, Inc.(b)		2,448,108

				11,530,455

		Textiles, Apparel & Luxury Goods – 2.7%
	24,343	Deckers Outdoor Corp.(b)		2,097,149
	62,241	G-III Apparel Group Ltd.(b)		2,339,017

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Textiles, Apparel & Luxury Goods – continued
	35,520	Phillips-Van Heusen Corp.	$	2,309,866

				6,746,032

		Trading Companies & Distributors – 0.5%
	53,717	Titan Machinery, Inc.(b)		1,356,354


		Total Common Stocks (Identified Cost $174,761,736)		238,295,871


	Principal Amount

	Short-Term Investments – 6.4%
$	16,104,356	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $16,104,356 on 4/01/2011 collateralized by $17,270,000 Federal Home Loan Mortgage Corp., 3.310% due 11/10/2020 valued at $16,428,088 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,104,356)		16,104,356


		Total Investments – 101.9% (Identified Cost $190,866,092)(a)		254,400,227
		Other assets less liabilities—(1.9)%		(4,863,744	)

		Net Assets – 100.0%	$	249,536,483


	(†)	See Note 2 of Notes to Financial Statements.
	(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $190,865,183 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	$	64,102,669
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(567,625	)

		Net unrealized appreciation	$	63,535,044

	(b)	Non-income producing security.

	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.

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

Industry Summary at March 31, 2011 (Unaudited)


Semiconductors & Semiconductor Equipment	8.9	%
Software	7.9
Internet Software & Services	7.2
Health Care Equipment & Supplies	5.8
Health Care Providers & Services	5.6
Oil, Gas & Consumable Fuels	5.6
Specialty Retail	4.6
Hotels, Restaurants & Leisure	3.6
Biotechnology	3.3
Professional Services	3.2
Capital Markets	2.7
Textiles, Apparel & Luxury Goods	2.7
Machinery	2.5
Air Freight & Logistics	2.3
Auto Components	2.1
Aerospace & Defense	2.1
Commercial Banks	2.1
Pharmaceuticals	2.0
Other Investments, less than 2% each	21.3
Short-Term Investments	6.4

Total Investments	101.9
Other assets less liabilities	(1.9	)

Net Assets	100.0	%

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)


	Common Stocks – 96.8% of Net Assets

		Air Freight & Logistics – 1.1%
	187,245	Atlas Air Worldwide Holdings, Inc.(b)	$	13,054,721

		Auto Components – 1.4%
	483,703	Dana Holding Corp.(b)		8,411,595
	172,744	Tenneco, Inc.(b)		7,332,983

				15,744,578

		Building Products – 0.8%
	102,030	Armstrong World Industries, Inc.		4,720,928
	376,559	Griffon Corp.(b)		4,944,220

				9,665,148

		Capital Markets – 2.6%
	555,653	Ares Capital Corp.		9,390,536
	698,225	Fifth Street Finance Corp.		9,321,304
	162,890	Stifel Financial Corp.(b)		11,693,873

				30,405,713

		Chemicals – 4.9%
	473,609	Chemtura Corp.(b)		8,146,075
	541,390	Ferro Corp.(b)		8,981,660
	230,016	Koppers Holdings, Inc.		9,821,683
	80,553	Minerals Technologies, Inc.		5,519,492
	244,931	Olin Corp.		5,613,818
	421,127	Omnova Solutions, Inc.(b)		3,314,269
	263,186	WR Grace & Co.(b)		10,077,392
	285,865	Zep, Inc.		4,976,910

				56,451,299

		Commercial Banks – 7.3%
	618,248	Cathay General Bancorp		10,541,128
	158,997	City National Corp.		9,070,779
	495,700	CVB Financial Corp.		4,614,967
	424,006	First Financial Bancorp		7,076,660
	500,904	First Horizon National Corp.		5,615,134
	147,328	IBERIABANK Corp.		8,858,833
	266,529	Pinnacle Financial Partners, Inc.(b)		4,408,390
	2,273,275	Popular, Inc.(b)		6,615,230
	183,036	Prosperity Bancshares, Inc.		7,828,450
	180,927	Signature Bank(b)		10,204,283
	244,462	Wintrust Financial Corp.		8,983,978

				83,817,832

		Commercial Services & Supplies – 3.2%
	195,496	KAR Auction Services, Inc.(b)		2,998,909
	221,440	McGrath Rentcorp		6,038,669

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Commercial Services & Supplies – continued
	567,866	Rollins, Inc.	$	11,527,680
	444,373	Standard Parking Corp.(b)		7,892,064
	113,083	Team, Inc.(b)		2,969,560
	187,550	Waste Connections, Inc.		5,399,564

				36,826,446

		Communications Equipment – 2.2%
	135,839	ADTRAN, Inc.		5,767,724
	1,387,561	Brocade Communications Systems, Inc.(b)		8,533,500
	395,609	Harmonic, Inc.(b)		3,710,812
	227,170	NETGEAR, Inc.(b)		7,369,395

				25,381,431

		Construction & Engineering – 0.7%
	223,305	MYR Group, Inc.(b)		5,341,455
	60,077	URS Corp.(b)		2,766,546

				8,108,001

		Consumer Finance – 1.8%
	200,778	Cash America International, Inc.		9,245,827
	545,544	Dollar Financial Corp.(b)		11,320,038

				20,565,865

		Containers & Packaging – 0.8%
	400,477	Temple-Inland, Inc.		9,371,162

		Distributors – 0.3%
	109,064	Core-Mark Holding Co., Inc.(b)		3,604,565

		Diversified Financial Services – 1.3%
	322,962	MarketAxess Holdings, Inc.		7,815,680
	311,941	PHH Corp.(b)		6,790,956

				14,606,636

		Diversified Telecommunication Services – 0.1%
	55,583	Neutral Tandem, Inc.(b)		819,849

		Electric Utilities – 2.0%
	178,898	ALLETE, Inc.		6,971,655
	131,699	ITC Holdings Corp.		9,205,760
	224,693	UIL Holdings Corp.		6,857,631

				23,035,046

		Electrical Equipment – 2.5%
	189,632	AZZ, Inc.		8,647,219
	178,305	II-VI, Inc.(b)		8,870,674
	92,247	LaBarge, Inc.(b)		1,632,772

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Electrical Equipment – continued
	152,523	Thomas & Betts Corp.(b)	$	9,070,543

				28,221,208

		Electronic Equipment, Instruments & Components – 5.1%
	440,208	Brightpoint, Inc.(b)		4,771,855
	231,931	Cognex Corp.		6,552,051
	359,931	GSI Group, Inc.(b)		3,707,289
	131,288	Littelfuse, Inc.		7,496,545
	537,821	Methode Electronics, Inc.		6,496,877
	152,792	Rofin-Sinar Technologies, Inc.(b)		6,035,284
	122,746	Rogers Corp.(b)		5,530,935
	278,194	ScanSource, Inc.(b)		10,568,590
	407,515	TTM Technologies, Inc.(b)		7,400,472

				58,559,898

		Energy Equipment & Services – 3.0%
	191,015	Dresser-Rand Group, Inc.(b)		10,242,224
	289,873	Helix Energy Solutions Group, Inc.(b)		4,985,816
	78,328	Lufkin Industries, Inc.		7,321,318
	133,752	Oceaneering International, Inc.(b)		11,964,116

				34,513,474

		Food & Staples Retailing – 0.5%
	410,633	Spartan Stores, Inc.		6,073,262

		Food Products – 3.5%
	167,748	Corn Products International, Inc.		8,692,701
	634,943	Darling International, Inc.(b)		9,759,074
	186,239	Fresh Del Monte Produce, Inc.		4,862,700
	168,066	J & J Snack Foods Corp.		7,910,867
	1,098,796	Pilgrim’s Pride Corp.(b)		8,471,717

				39,697,059

		Gas Utilities – 1.1%
	401,155	UGI Corp.		13,198,000

		Health Care Equipment & Supplies – 1.6%
	150,493	Alere, Inc.(b)		5,890,296
	112,062	Teleflex, Inc.		6,497,355
	124,562	West Pharmaceutical Services, Inc.		5,576,641

				17,964,292

		Health Care Providers & Services – 1.6%
	103,792	MEDNAX, Inc.(b)		6,913,585
	274,348	WellCare Health Plans, Inc.(b)		11,508,899

				18,422,484

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Hotels, Restaurants & Leisure – 2.0%
	149,999	Bob Evans Farms, Inc.	$	4,889,968
	205,689	California Pizza Kitchen, Inc.(b)		3,472,030
	473,802	Isle of Capri Casinos, Inc.(b)		4,501,119
	47,861	Six Flags Entertainment Corp.		3,445,992
	222,622	Wyndham Worldwide Corp.		7,081,606

				23,390,715

		Household Durables – 0.9%
	197,326	Jarden Corp.		7,018,886
	117,495	Leggett & Platt, Inc.		2,878,627

				9,897,513

		Industrial Conglomerates – 0.9%
	162,146	Raven Industries, Inc.		9,959,007

		Insurance – 3.9%
	446,540	Employers Holdings, Inc.		9,225,516
	58,490	Hanover Insurance Group, Inc. (The)		2,646,673
	299,373	HCC Insurance Holdings, Inc.		9,373,369
	496,165	Old Republic International Corp.		6,296,334
	123,616	ProAssurance Corp.(b)		7,833,546
	156,558	Reinsurance Group of America, Inc., Class A		9,828,711

				45,204,149

		Internet & Catalog Retail – 0.4%
	127,655	HSN, Inc.(b)		4,088,790

		Internet Software & Services – 0.6%
	193,225	IAC/InterActiveCorp(b)		5,968,720
	124,392	Perficient, Inc.(b)		1,493,948

				7,462,668

		IT Services – 1.3%
	39,664	Alliance Data Systems Corp.(b)		3,406,741
	234,247	Wright Express Corp.(b)		12,143,364

				15,550,105

		Life Sciences Tools & Services – 0.4%
	155,622	Pharmaceutical Product Development, Inc.		4,312,286

		Machinery – 5.5%
	334,348	Actuant Corp., Class A		9,696,092
	439,916	Albany International Corp., Class A		10,953,908
	402,453	Altra Holdings, Inc.(b)		9,505,940
	308,158	Commercial Vehicle Group, Inc.(b)		5,497,539
	283,740	John Bean Technologies Corp.		5,456,320
	200,062	Meritor, Inc.(b)		3,395,052
	42,038	Middleby Corp. (The)(b)		3,918,782

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Machinery – continued
	114,839	RBC Bearings, Inc.(b)	$	4,390,295
	564,738	Wabash National Corp.(b)		6,539,666
	49,107	Wabtec Corp.		3,330,928

				62,684,522

		Marine – 0.6%
	113,347	Kirby Corp.(b)		6,493,650

		Media – 3.4%
	163,892	Arbitron, Inc.		6,560,597
	168,118	Harte-Hanks, Inc.		2,000,604
	211,322	John Wiley & Sons, Inc., Class A		10,743,611
	176,394	Liberty Media-Starz, Series A(b)		13,688,174
	168,066	Live Nation Entertainment, Inc.(b)		1,680,660
	145,558	Madison Square Garden, Inc., Class A(b)		3,928,610

				38,602,256

		Metals & Mining – 2.2%
	102,828	Haynes International, Inc.		5,701,813
	560,885	Horsehead Holding Corp.(b)		9,563,089
	166,083	Reliance Steel & Aluminum Co.		9,596,276

				24,861,178

		Multiline Retail – 0.6%
	486,031	Fred’s, Inc. Class A		6,473,933

		Oil, Gas & Consumable Fuels – 3.7%
	172,522	Berry Petroleum Co., Class A		8,703,735
	271,798	Cloud Peak Energy, Inc.(b)		5,868,119
	140,906	Comstock Resources, Inc.(b)		4,359,632
	506,035	Energy Partners Ltd.(b)		9,108,630
	105,638	Petroleum Development Corp.(b)		5,071,680
	140,096	Rosetta Resources, Inc.(b)		6,660,164
	87,847	SemGroup Corp., Class A(b)		2,473,771

				42,245,731

		Paper & Forest Products – 0.5%
	89,855	Deltic Timber Corp.		6,005,908

		Pharmaceuticals – 0.3%
	296,279	Obagi Medical Products, Inc.(b)		3,744,967

		REITs – Apartments – 2.4%
	332,085	American Campus Communities, Inc.		10,958,805
	133,984	Mid-America Apartment Communities, Inc.		8,601,773
	309,208	UDR, Inc.		7,535,399

				27,095,977

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		REITs – Diversified – 1.5%
	364,429	DuPont Fabros Technology, Inc.	$	8,837,403
	205,021	Potlatch Corp.		8,241,844

				17,079,247

		REITs – Healthcare – 0.7%
	382,192	Omega Healthcare Investors, Inc.		8,538,169

		REITs – Hotels – 0.6%
	1,093,626	Hersha Hospitality Trust		6,496,138

		REITs – Office Property – 0.8%
	463,665	BioMed Realty Trust, Inc.		8,818,908

		REITs – Single Tenant – 0.6%
	268,632	National Retail Properties, Inc.		7,019,354

		REITs – Storage – 1.1%
	132,469	Sovran Self Storage, Inc.		5,239,149
	707,732	U-Store-It Trust		7,445,341

				12,684,490

		Road & Rail – 1.7%
	123,490	Genesee & Wyoming, Inc., Class A(b)		7,187,118
	218,510	Old Dominion Freight Line, Inc.(b)		7,667,516
	306,604	Vitran Corp., Inc.(b)		4,320,050

				19,174,684

		Semiconductors & Semiconductor Equipment – 2.4%
	151,607	Cohu, Inc.		2,328,684
	167,103	Diodes, Inc.(b)		5,691,528
	575,368	PMC-Sierra, Inc.(b)		4,315,260
	558,088	Teradyne, Inc.(b)		9,939,547
	380,746	TriQuint Semiconductor, Inc.(b)		4,915,431

				27,190,450

		Software – 1.9%
	197,611	Monotype Imaging Holdings, Inc.(b)		2,865,360
	280,515	Progress Software Corp.(b)		8,160,181
	342,563	Radiant Systems, Inc.(b)		6,063,365
	240,438	SS&C Technologies Holdings, Inc.(b)		4,909,744

				21,998,650

		Specialty Retail – 2.7%
	169,583	Genesco, Inc.(b)		6,817,237
	1,077,563	Hot Topic, Inc.		6,142,109
	202,455	OfficeMax, Inc.(b)		2,619,768
	680,131	PEP Boys-Manny Moe & Jack		8,644,465
	515,951	Sally Beauty Holdings, Inc.(b)		7,228,473

				31,452,052

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Textiles, Apparel & Luxury Goods – 0.9%
	160,273	Kenneth Cole Productions, Inc., Class A(b)	$	2,078,741
	418,305	Movado Group, Inc.(b)		6,140,717
	41,046	Vera Bradley, Inc.(b)		1,732,552

				9,952,010

		Thrifts & Mortgage Finance – 1.5%
	216,184	BankUnited, Inc.		6,206,642
	503,218	Capitol Federal Financial, Inc.		5,671,267
	358,162	First Niagara Financial Group, Inc.		4,863,840

				16,741,749

		Trading Companies & Distributors – 1.0%
	288,240	H&E Equipment Services, Inc.(b)		5,623,562
	299,808	Rush Enterprises, Inc., Class A(b)		5,936,199

				11,559,761

		Water Utilities – 0.4%
	272,189	Middlesex Water Co.		4,951,118


		Total Common Stocks (Identified Cost $811,005,423)		1,109,838,104


	Principal Amount

	Short-Term Investments – 3.1%
$	35,067,817	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $35,067,817 on 4/01/2011 collateralized by $36,085,000 Federal Home Loan Mortgage Corp., 4.125% due 5/12/2025 valued at $35,769,256 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $35,067,817)		35,067,817


		Total Investments – 99.9% (Identified Cost $846,073,240)(a)		1,144,905,921
		Other assets less liabilities—0.1%		1,447,067

		Net Assets – 100.0%	$	1,146,352,988


	(†)	See Note 2 of Notes to Financial Statements.
	(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $846,075,914 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	$	306,575,976
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,745,969	)

		Net unrealized appreciation	$	298,830,007

	(b)	Non-income producing security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at March 31, 2011 (Unaudited)


Commercial Banks	7.3	%
Machinery	5.5
Electronic Equipment, Instruments & Components	5.1
Chemicals	4.9
Insurance	3.9
Oil, Gas & Consumable Fuels	3.7
Food Products	3.5
Media	3.4
Commercial Services & Supplies	3.2
Energy Equipment & Services	3.0
Specialty Retail	2.7
Capital Markets	2.6
Electrical Equipment	2.5
Semiconductors & Semiconductor Equipment	2.4
REITs – Apartments	2.4
Communications Equipment	2.2
Metals & Mining	2.2
Hotels, Restaurants & Leisure	2.0
Electric Utilities	2.0
Other Investments, less than 2% each	32.3
Short-Term Investments	3.1

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Statements of Assets And Liabilities

March 31, 2011 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund
ASSETS
Investments at cost	$	190,866,092		$	846,073,240
Net unrealized appreciation		63,534,135			298,832,681

Investments at value		254,400,227			1,144,905,921
Receivable for Fund shares sold		2,759,371			1,189,404
Receivable for securities sold		2,493,718			3,596,864
Dividends receivable		11,807			1,023,887

TOTAL ASSETS		259,665,123			1,150,716,076

LIABILITIES
Payable for securities purchased		9,412,848			2,599,458
Payable for Fund shares redeemed		419,498			822,884
Management fees payable (Note 5)		165,921			625,040
Deferred Trustees’ fees (Note 5)		61,666			128,955
Administrative fees payable (Note 5)		9,006			44,333
Other accounts payable and accrued expenses		59,701			142,418

TOTAL LIABILITIES		10,128,640			4,363,088

NET ASSETS	$	249,536,483		$	1,146,352,988

NET ASSETS CONSIST OF:
Paid-in capital	$	256,543,687		$	925,364,035
Distributions in excess of net investment income/Accumulated net investment (loss)		(979,364	)		(570,274	)
Accumulated net realized loss on investments		(69,561,975	)		(77,273,454	)
Net unrealized appreciation on investments		63,534,135			298,832,681

NET ASSETS	$	249,536,483		$	1,146,352,988


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	120,790,368		$	582,154,282

Shares of beneficial interest		6,500,074			20,253,147

Net asset value, offering and redemption price per share	$	18.58		$	28.74

Retail Class:
Net assets	$	128,746,115		$	473,307,134

Shares of beneficial interest		7,179,209			16,613,259

Net asset value, offering and redemption price per share	$	17.93		$	28.49

Admin Class:
Net assets	$	—		$	90,891,572

Shares of beneficial interest		—			3,247,518

Net asset value, offering and redemption price per share	$	—		$	27.99

See accompanying notes to financial statements.

| 24

Statements of Operations

For the Six Months Ended March 31, 2011 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	103,003		$	7,729,887

Expenses
Management fees (Note 5)		678,739			3,876,424
Service and distribution fees (Note 5)		123,948			744,175
Administrative fees (Note 5)		42,270			241,468
Trustees’ fees and expenses (Note 5)		13,834			24,363
Transfer agent fees and expenses (Notes 5 and 6)		95,109			631,451
Audit and tax services fees		18,507			21,221
Custodian fees and expenses		12,298			19,242
Legal fees		1,772			11,302
Registration fees		22,072			32,931
Shareholder reporting expenses		14,740			70,671
Miscellaneous expenses		5,390			17,116

Total expenses		1,028,679			5,690,364
Fee/expense recovery (Note 5)		20,355			—
Less waiver and/or expense reimbursement (Note 5)		(20,098	)		(294,480	)

Net expenses		1,028,936			5,395,884

Net investment income (loss)		(925,933	)		2,334,003


NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		17,120,406			71,963,853
Net change in unrealized appreciation (depreciation) on:
Investments		34,048,054			161,720,968

Net realized and unrealized gain on investments		51,168,460			233,684,821


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	50,242,527		$	236,018,824

See accompanying notes to financial statements.

25 |

Statements of Changes in Net Assets


Small Cap Growth Fund	Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(925,933	)	$	(1,245,082	)
Net realized gain on investments		17,120,406			14,954,786
Net change in unrealized appreciation (depreciation) on investments		34,048,054			10,136,058

Net increase in net assets resulting from operations		50,242,527			23,845,762

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		—			—
Retail Class		—			—
Admin Class		—			—

Total distributions		—			—

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		71,448,603			(17,035,340	)

Net increase (decrease) in net assets		121,691,130			6,810,422
NET ASSETS
Beginning of the period		127,845,353			121,034,931

End of the period	$	249,536,483		$	127,845,353

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(979,364	)	$	(53,431	)


Small Cap Value Fund	Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income (loss)	$	2,334,003		$	3,463,326
Net realized gain on investments		71,963,853			58,619,537
Net change in unrealized appreciation (depreciation) on investments		161,720,968			34,774,717

Net increase in net assets resulting from operations		236,018,824			96,857,580

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(3,276,432	)		(1,798,397	)
Retail Class		(1,768,636	)		(522,660	)
Admin Class		(178,569	)		—

Total distributions		(5,223,637	)		(2,321,057	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		3,327,416			(150,208,179	)

Net increase (decrease) in net assets		234,122,603			(55,671,656	)
NET ASSETS
Beginning of the period		912,230,385			967,902,041

End of the period	$	1,146,352,988		$	912,230,385

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(570,274	)	$	2,319,360

See accompanying notes to financial statements.

| 26

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
SMALL CAP GROWTH FUND

Institutional Class
3/31/2011(g)	$	14.03	$	(0.07	)	$	4.62		$	4.55		$	—		$	—		$	—
9/30/2010		11.58		(0.11	)(i)		2.56			2.45			—			—			—
9/30/2009		13.07		(0.07	)		(1.42	)		(1.49	)		—			—			—
9/30/2008		15.87		(0.07	)		(2.73	)		(2.80	)		—			—			—
9/30/2007		12.00		(0.06	)(j)		3.93			3.87			—			—			—
9/30/2006		11.08		(0.08	)		0.99			0.91			—			—			—

Retail Class
3/31/2011(g)		13.55		(0.09	)		4.47			4.38			—			—			—
9/30/2010		11.21		(0.13	)(i)		2.47			2.34			—			—			—
9/30/2009		12.69		(0.09	)		(1.39	)		(1.48	)		—			—			—
9/30/2008		15.45		(0.10	)		(2.66	)		(2.76	)		—			—			—
9/30/2007		11.71		(0.09	)(j)		3.83			3.74			—			—			—
9/30/2006		10.84		(0.11	)		0.97			0.86			—			—			—
SMALL CAP VALUE FUND

Institutional Class
3/31/2011(g)	$	22.93	$	0.08		$	5.89		$	5.97		$	(0.16	)	$	—		$	(0.16	)
9/30/2010		20.66		0.11			2.23			2.34			(0.07	)		—			(0.07	)
9/30/2009		22.01		0.09			(1.32	)		(1.23	)		(0.11	)		(0.01	)		(0.12	)
9/30/2008		28.77		0.11	(k)		(4.03	)		(3.92	)		(0.06	)		(2.78	)		(2.84	)
9/30/2007		27.69		0.12	(j)(l)		4.29			4.41			(0.17	)		(3.16	)		(3.33	)
9/30/2006		27.43		0.13			2.70			2.83			(0.15	)		(2.42	)		(2.57	)

Retail Class
3/31/2011(g)		22.71		0.04			5.85			5.89			(0.11	)		—			(0.11	)
9/30/2010		20.47		0.06			2.21			2.27			(0.03	)		—			(0.03	)
9/30/2009		21.79		0.04			(1.30	)		(1.26	)		(0.05	)		(0.01	)		(0.06	)
9/30/2008		28.52		0.05	(k)		(4.00	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.46		0.04	(j)(l)		4.28			4.32			(0.10	)		(3.16	)		(3.26	)
9/30/2006		27.23		0.06			2.67			2.73			(0.08	)		(2.42	)		(2.50	)

Admin Class
3/31/2011(g)		22.30		0.01			5.73			5.74			(0.05	)		—			(0.05	)
9/30/2010		20.11		0.00			2.19			2.19			—			—			—
9/30/2009		21.40		0.00			(1.28	)		(1.28	)		(0.00	)		(0.01	)		(0.01	)
9/30/2008		28.13		(0.01	)(k)		(3.94	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.14		(0.03	)(j)(l)		4.22			4.19			(0.04	)		(3.16	)		(3.20	)
9/30/2006		26.94		(0.01	)		2.65			2.64			(0.02	)		(2.42	)		(2.44	)

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Effective June 1, 2009, redemption fees were eliminated.

(d)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.

(g)

For the six months ended March 31, 2011 (Unaudited).

(h)

Includes fee/expense recovery of 0.05%.

See accompanying notes to financial statements.

27 |


									Ratios to Average Net Assets:
Redemption fees (b)(c)		Net asset value, end of the period		Total return (%) (d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (e)			Net investment income (loss) (%) (e)			Portfolio turnover rate (%)



$	—	$	18.58		32.43		$	120,790		1.00	(h)		1.00	(h)		(0.89	)		39
	—		14.03		21.16			52,501		1.00			1.06			(0.85	)(i)		69
	—		11.58		(11.40	)		45,557		1.00			1.01			(0.68	)		107
	0.00		13.07		(17.64	)		44,540		1.00			1.01			(0.47	)		92
	0.00		15.87		32.25			28,088		1.00			1.23			(0.47	)		83
	0.01		12.00		8.30			20,414		1.00			1.38			(0.69	)		100


	—		17.93		32.32			128,746		1.25			1.29			(1.14	)		39
	—		13.55		20.87			75,344		1.25			1.39			(1.10	)(i)		69
	—		11.21		(11.66	)		75,478		1.25			1.43			(0.93	)		107
	0.00		12.69		(17.86	)		79,897		1.25			1.42			(0.70	)		92
	0.00		15.45		31.94			20,924		1.25			1.50			(0.66	)		83
	0.01		11.71		8.03			2,981		1.25			1.92			(0.94	)		100



$	—	$	28.74		26.11		$	582,154		0.90			0.93			0.60			25
	—		22.93		11.39			454,853		0.90			0.94			0.50			52
	0.00		20.66		(5.42	)		506,324		0.90			0.94			0.52			55
	0.00		22.01		(15.02	)		553,268		0.89			0.89			0.47			61
	0.00		28.77		17.02			534,776		0.89			0.89			0.43			57
	0.00		27.69		11.17			442,714		0.89	(m)		0.89	(m)		0.47			62


	—		28.49		25.96			473,307		1.15			1.22			0.34			25
	—		22.71		11.10			383,934		1.15			1.24			0.26			52
	0.00		20.47		(5.66	)		387,383		1.15			1.31			0.26			55
	0.00		21.79		(15.21	)		464,525		1.15			1.27			0.21			61
	0.00		28.52		16.74			465,055		1.15			1.24			0.15			57
	0.00		27.46		10.87			291,690		1.15			1.20			0.21			62


	—		27.99		25.78			90,892		1.40			1.52			0.10			25
	—		22.30		10.89			73,443		1.40			1.56			0.02			52
	0.00		20.11		(5.93	)		74,195		1.40			1.77			0.02			55
	0.00		21.40		(15.44	)		77,855		1.40			1.68			(0.04	)		61
	0.00		28.13		16.41			76,783		1.40			1.56			(0.10	)		57
	0.00		27.14		10.59			64,367		1.40			1.46			(0.04	)		62

(i)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.12) and $(0.14) for Institutional Class and Retail Class, respectively, and the ratio of net investment loss to average net assets would have been (0.92)% and (1.17)% for Institutional Class and Retail Class, respectively.

(j)

Includes a non-recurring payment of $0.01 per share and $0.00 per share for Small Cap Growth Fund and Small Cap Value Fund, respectively.

(k)

Includes a non-recurring dividend of $0.02 per share.

(l)

Includes a non-recurring dividend of $0.05 per share.

(m)

Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

| 28

Notes to Financial Statements

March 31, 2011 (Unaudited)

1. Organization. Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Funds I:

Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)

Loomis Sayles Funds II:

Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)

Each Fund offers Institutional Class Shares and Retail Class Shares. In addition, Small Cap Value Fund offers Admin Class Shares.

Most expenses of the Trusts can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most

29 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued at their net asset value each day. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Funds 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 Funds 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 Funds calculate their net asset values.

| 30

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c. Foreign Currency Translation. The books and records of the Funds 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Federal and Foreign Income Taxes. Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

31 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

e. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as expired capital loss carryforwards, distribution redesignations and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to securities lending collateral gain/loss adjustment, deferred Trustees’ fees and wash sales. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2010 was as follows:


	2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	—	$	—
Small Cap Value Fund		2,321,057		—		2,321,057

As of September 30, 2010, the capital loss carryforwards were as follows:


Capital loss carryforward:	Small Cap Growth Fund			Small Cap Value Fund
Expires September 30, 2011	$	(59,283,040	)	$	—
Expires September 30, 2017		(14,995,800	)		(88,137,321	)
Expires September 30, 2018		(11,885,718	)		(58,500,125	)

Total capital loss carryforward	$	(86,164,558	)	$	(146,637,446	)

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect as of the report date limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be

| 32

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

f. Repurchase Agreements. It is each 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.

g. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2011, none of the Funds had loaned securities under this agreement.

h. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in

33 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

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

•

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

•

Level 3—prices determined using significant unobservable inputs 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 each 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 Funds’ investments as of March 31, 2011, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	238,295,871	$	—	$	—	$	238,295,871
Short-Term Investments		—		16,104,356		—		16,104,356

Total	$	238,295,871	$	16,104,356	$	—	$	254,400,227

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Small Cap Value Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	1,109,838,104	$	—	$	—	$	1,109,838,104
Short-Term Investments		—		35,067,817		—		35,067,817

Total	$	1,109,838,104	$	35,067,817	$	—	$	1,144,905,921

(a)

Major categories of the Fund’s investments are included in the Portfolio of Investments.

4. Purchases and Sales of Securities. For the six months ended March 31, 2011, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	132,000,138	$	68,953,957
Small Cap Value Fund		247,614,342		273,055,808

| 34

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

5. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


Fund		Percentage of Average Daily Net Assets
Small Cap Growth Fund		0.75%
Small Cap Value Fund		0.75%

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until January 31, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the six months ended March 31, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Institutional Class	Retail Class	Admin Class
Small Cap Growth Fund	1.00%	1.25%	—
Small Cap Value Fund	0.90%	1.15%	1.40%

Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended March 31, 2011, the management fees for each Fund were as follows:


Fund	Management Fees		Percentage of Average Daily Net Assets
Small Cap Growth Fund	$	678,739	0.75%
Small Cap Value Fund		3,876,424	0.75%

For the six months ended March 31, 2011, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class		Retail Class		Admin Class		Total
Small Cap Growth Fund	$	—	$	20,098	$	—	$	20,098
Small Cap Value Fund		83,694		160,951		49,835		294,480

¹Expense reimbursements are subject to possible recovery until September 30, 2012.

35 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

For the six months ended March 31, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:


	Recovered Expenses
Fund	Institutional Class		Retail Class		Total
Small Cap Growth Fund	$	20,355	$	—	$	20,355

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plans, each Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Retail Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or maintenance of shareholder accounts.

Under the Admin Class Plan, Small Cap Value Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Small Cap Value Fund may pay Natixis Distributors an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

| 36

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

For the six months ended March 31, 2011, the Funds paid the following service and distribution fees:


	Service Fees		Distribution Fees
Fund	Admin Class		Retail Class		Admin Class
Small Cap Growth Fund	$	—	$	123,948	$	—
Small Cap Value Fund		103,146		537,883		103,146

c. Administrative Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per additional class and an additional $75,000 if managed by multiple subadvisers.

For the six months ended March 31, 2011, each Fund paid the following administrative fees to Natixis Advisors:


Fund	Administrative Fees
Small Cap Growth Fund	$	42,270
Small Cap Value Fund		241,468

d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally is a percentage of the value of shares held) not to exceed what the Funds would have paid its transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

37 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

For the six months ended March 31, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:


	Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund	$	21,215	$	29,301	$	—
Small Cap Value Fund		209,839		274,357		74,719

e. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

f. Payments by Affiliates. For the six months ended March 31, 2011, Loomis Sayles reimbursed Small Cap Growth Fund $36 for losses incurred in connection with a trading error.

| 38

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

6. Class Specific Expenses. For the six months ended March 31, 2011, the Funds paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):


	Transfer Agent Fees and Expenses
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund	$	22,608	$	72,501	$	—
Small Cap Value Fund		253,033		301,579		76,839

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

Effective April 21, 2011, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, will participate in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that will participate in the line of credit. Interest will be charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, will be accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended March 31, 2011, none of the Funds had borrowings under these agreements.

8. Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended March 31, 2011, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	10,256
Small Cap Value Fund		67,389

9. Concentration of Ownership. At March 31, 2011, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and the Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of beneficial interest in the Funds as follows:


Fund	Pension Plan		Retirement Plan
Small Cap Growth Fund		356,240		420,374
Small Cap Value Fund		394,254		730,654

39 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of March 31, 2011, one shareholder account owned more than 5% of Small Cap Growth Fund’s total outstanding shares, representing 5.30% of the Fund’s net assets. Such ownership may be beneficially held by individuals or entities other than the owner of record.

10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Small Cap Growth Fund
	Six Months Ended March 31, 2011						Year Ended September 30, 2010
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,332,975		$	55,477,806			942,038		$	12,157,438
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(575,534	)		(9,643,306	)		(1,134,399	)		(14,055,822	)

Net change		2,757,441		$	45,834,500			(192,361	)	$	(1,898,384	)

Retail Class
Issued from the sale of shares		2,572,111		$	40,906,269			1,649,726		$	20,206,682
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(951,624	)		(15,292,166	)		(2,822,162	)		(35,343,638	)

Net change		1,620,487		$	25,614,103			(1,172,436	)	$	(15,136,956	)

Increase (decrease) from capital share transactions		4,377,928		$	71,448,603			(1,364,797	)	$	(17,035,340	)

| 40

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

10. Capital Shares (continued)


	Small Cap Value Fund
	Six Months Ended March 31, 2011						Year Ended September 30, 2010
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,940,008		$	51,491,304			2,602,888		$	56,206,503
Issued in connection with the reinvestment of distributions		114,244			3,053,734			80,409			1,643,559
Redeemed		(1,635,183	)		(43,226,771	)		(7,355,313	)		(156,910,081	)

Net change		419,069		$	11,318,267			(4,672,016	)	$	(99,060,019	)

Retail Class
Issued from the sale of shares		1,288,707		$	33,912,104			1,882,548		$	40,646,183
Issued in connection with the reinvestment of distributions		66,486			1,762,558			25,691			521,021
Redeemed		(1,647,759	)		(42,551,105	)		(3,929,781	)		(84,156,249	)

Net change		(292,566	)	$	(6,876,443	)		(2,021,542	)	$	(42,989,045	)

Admin Class
Issued from the sale of shares		630,020		$	16,316,416			995,292		$	21,022,763
Issued in connection with the reinvestment of distributions		5,109			133,140			—			—
Redeemed		(681,741	)		(17,563,964	)		(1,389,922	)		(29,181,878	)

Net change		(46,612	)	$	(1,114,408	)		(394,630	)	$	(8,159,115	)

Increase (decrease) from capital share transactions		79,891		$	3,327,416			(7,088,188	)	$	(150,208,179	)

41 |

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			7
Statements of Assets and Liabilities			19
Statements of Operations			20
Statements of Changes in Net Assets			21
Financial Highlights			23
Notes to Financial Statements			25

SEMIANNUAL REPORT

MARCH 31, 2011

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Dan Fuss, CFA, CIC

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSIOX

Objective:

High current income.

Capital appreciation is the Fund’s secondary objective.

Strategy:

Invests substantially all of its assets, and may invest up to 100% of its assets, in high income securities. High income securities are fixed-income securities that Loomis Sayles believes have the potential to generate relatively high levels of current income.

Fund Inception Date:

April 12, 2004

Net Assets:

$70.7 million

Market Conditions

Strong technical and fundamental factors helped keep the high-yield and equity markets resilient throughout the six-month period, despite several negative events, including headline risk in Japan, the Middle East and North Africa, concerns about European sovereign debt and ratings downgrades for corporate credits in peripheral euro zone countries. The yield curve steadily steepened during the period, driven mostly by shifting growth expectations as economic data continued to improve. With the curve so steep, investors are being compensated for investing further along on the yield curve.

Performance Results

For the six months ended March 31, 2011, Loomis Sayles High Income Opportunities Fund returned 9.06%. The fund outperformed its benchmark, the Barclays Capital U.S. Corporate High-Yield Bond Index, which returned 7.23% for the period.

Explanation of Fund Performance

Our out-of-benchmark allocation to convertible securities made the largest contribution to the fund’s relative return for the period. In particular, strong underlying equity performance from the communications, automotive, technology and healthcare industries drove the favorable performance. In addition, issue selection remained critical within the high-yield space, where we focused on credits with positive fundamentals, low default probability and solid balance sheets. Within the high-yield sector, industrials contributed significantly to absolute and relative performance, particularly among holdings in the technology, communications and energy industries. High-yield utilities also contributed positively, with electric names buoying the sector.

With the yield curve steepening significantly during the period, the fund’s longer duration weighed on performance. The fund had considerable exposure to the middle and the longer portions of the curve. In addition, while exposure to the consumer non-cyclical sector helped on an absolute basis, it weighed on relative performance. Lackluster returns from issues in the pharmaceutical, supermarket, and food and beverage industries put downward pressure on the sector.

Outlook

Strong liquidity, markets in transition, geopolitical turmoil, continued economic recovery and tragic natural disasters garnered significant attention from market participants during the first quarter of 2011. Many of these themes will continue to dominate investor consciousness going forward.

We believe markets remain in transition regarding interest rates, with pressures building both globally and domestically. Globally, growth in many areas of the world remains robust; however, inflation concerns have begun to attract attention. Central banks will likely continue to shift toward less accommodative policy as 2011 progresses. We anticipate the Federal Reserve Board’s program of Treasury purchases in the United States, which is referred to as “QE2” (short for quantitative easing), will end during the second quarter and believe the U.S. economic recovery has sufficient momentum to continue expanding without outsized government stimulus.

Our assessment of the fundamental underpinnings of the corporate sector remains positive. In general, corporations are proceeding conservatively with regard to hiring and capital expenditures. Merger and acquisition activity has increased recently, and we believe there is room for more growth in that space. Valuations in the corporate bond space are generally fair, with investor demand for yield providing support and liquidity to the high-yield, investment-grade and convertible sectors.

We continue to position the fund for global economic recovery, as well as a gradual upward bias in interest rates. We continue to emphasize yield advantage, global diversification and specific bond picking within the fund.

1 |

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			Since Inception^(a)
Institutional Class (Inception 4/12/04)		9.06	%		15.86	%		8.95	%		9.17	%

COMPARATIVE PERFORMANCE
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		7.23			14.31			9.12			8.55
Lipper High Current Yield Funds Index^(b)		7.91			14.15			6.87			6.91

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to March 31, 2011

LOGO

Data quoted reflects past performance and cannot guarantee future results. Total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than quoted.

Returns do not reflect the taxes that a shareholder would pay on fund distributions or the redemption of shares. Periods of less than one year are not annualized.

^(a)

Since Index performance data is not available coincident with the fund’s inception date, the beginning value of the Index is the value of the month-end closest to the fund’s inception date.

^(b)

See page 5 for a description of the indices.

^(c)

The amount shown under Expense Ratio is 0.00% to reflect the fact that the fund does not pay any advisory, administration or distribution and service fees, and that Loomis Sayles has agreed to pay certain expenses of the fund.

What You Should Know

| 2

LOOMIS SAYLES SECURITIZED ASSET FUND

Fund and manager review

FUND FACTS

Managers:

Clifton Rowe, CFA

Alessandro Pagani, CFA

Symbol:


Institutional Class		LSSAX

Objective:

High level of current income consistent with capital preservation.

Strategy:

Invests at least 80% of its net assets (plus any borrowings made for investment purposes) in a diversified portfolio of securitized assets, such as mortgage-backed and other asset-backed securities.

Fund Inception Date:

March 2, 2006

Net Assets:

$690.2 million

Market Conditions

Sentiment generally remained healthy in the domestic financial markets, despite disruptions abroad, including sovereign debt concerns in Europe, civil unrest in the Middle East and North Africa and the earthquake in Japan. While the Federal Reserve Board (the Fed) maintained its low-interest-rate policy, stronger macroeconomic data and improved economic growth prospects caused market interest rates to increase slightly. Against a backdrop of low interest rates, investor demand for yield in the U.S. fixed-income markets persisted. Sectors offering a yield advantage benefited.

Performance Results

For the six months ended March 31, 2011, Loomis Sayles Securitized Asset Fund returned 2.29%. The fund outperformed its benchmark, the Barclays Capital U.S. Securitized Bond Index, which returned 0.97% for the period.

Explanation of Fund Performance

A combination of favorable security selection and yield curve positioning helped the fund outperform its benchmark for the six-month period. In addition, our overweight allocation to commercial mortgage-backed securities (CMBS) contributed favorably to performance. The fund’s holdings were primarily senior securities well protected from credit risk and offering compelling value. We acquired the majority of the fund’s CMBS in late 2008 and early 2009, when prices were severely depressed. Since then, they have experienced significant price appreciation, driven by investor demand for yield. In the asset-backed securities (ABS) segment, we favored high quality issues, including auto equipment-backed securities, which performed well. The fund’s shorter average duration also contributed positively, as improving economic growth prospects caused rates to rise across the curve. Duration is a measure of interest-rate sensitivity.

Overall, the fund’s higher quality securities detracted from relative performance due to investor preference for lower quality securities during the period, but returns were still positive. Also, a substantial underweight to the 30-year mortgage-backed sector, which outperformed the benchmark, had a slightly negative influence on relative performance. The fund’s overweight allocation to the ABS space detracted from relative results, but this was offset by strong security selection and shorter relative duration within the sector.

Outlook

We expect the Fed will continue its current interest rate policy well into 2011. In the intermediate term, we anticipate interest rates will gradually increase as modest economic growth persists. We are maintaining overweights in CMBS and ABS, and while we expect fundamental weakness to persist in the mortgage and consumer loan market, we believe the securities we currently hold are protected from significant credit risk and can continue to offer favorable risk-adjusted returns. Furthermore, we expect our government-sponsored enterprise (GSE) mortgage positions to benefit from a relatively stable interest rate environment. This sector continues to offer a modest yield advantage with strong credit quality. We will continue to look for opportunities to take advantage of the steep yield curve and will focus on income, rather than price appreciation.

3 |

LOOMIS SAYLES SECURITIZED ASSET FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			Since inception^(a)
Institutional Class (Inception 3/2/06)		2.29	%		8.47	%		7.80	%		7.61	%

Comparative Performance
Barclays Capital U.S. Securitized Bond Index^(b)		0.97			5.01			6.31			6.03
Lipper U.S. Mortgage Funds Index^(b)		0.61			5.20			5.63			5.40

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to March 31, 2011

LOGO

Returns do not reflect the taxes that a shareholder would pay on fund distributions or the redemption of shares. Periods of less than one year are not annualized.

^(a)

Since Index performance data is not available coincident with the fund’s inception date, the beginning value of the Index is the value of the month-end closest to the fund’s inception date.

^(b)

See page 5 for a description of the indices.

^(c)

What you should know

| 4

ADDITIONAL INFORMATION

Index Definitions

Barclays Capital U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

Barclays Capital U.S. Securitized Bond Index is an unmanaged index of asset-backed securities, collateralized mortgage-backed securities (ERISA-eligible), and fixed-rate mortgage-backed securities.

Lipper High Current Yield Funds Index is an unmanaged index that tracks the average performance of the 30 largest high current yield funds according to Lipper Inc.

Lipper U.S. Mortgage Funds Index is an unmanaged index that tracks the average performance of the 30 largest U.S. mortgage funds according to Lipper Inc.

Source: Lipper, Inc.

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330; (ii) on the Funds’ website, www.loomissayles.com, and (iii) on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2010 is available on (i) the Funds’ website and (ii) the SEC’s website.

Quarterly Portfolio Schedules

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

UNDERSTANDING FUND EXPENSES

Typically, mutual fund shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.

You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and to participants in “wrap fee” programs sponsored by broker dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or Natixis Advisors. The institutional investment advisory clients of Loomis Sayles and Natixis Advisors pay Loomis Sayles or Natixis Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to Natixis Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to Natixis Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.

The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from October 1, 2010 through March 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual Fund returns and expenses.

The second line in each Fund’s table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio (0%) and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

5 |

Loomis Sayles High Income Opportunities Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,090.60		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,024.93		$0.00
* Expenses are equal to the Fund’s annualized expense ratio: 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,022.90		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,024.93		$0.00
* Expenses are equal to the Fund’s annualized expense ratio: 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 6

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 85.6% of Net Assets

	Non-Convertible Bonds – 73.8%

		ABS Home Equity – 1.0%
$	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	67,927
	75,000	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.770%, 3/25/2035(b)		47,907
	125,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.700%, 6/25/2035(b)		96,204
	75,000	Park Place Securities, Inc., Series 2004-WCW2, Class M2, 0.900%, 10/25/2034(b)		58,468
	225,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.750%, 7/25/2035(b)		165,592
	109,858	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.900%, 12/26/2034(b)		91,981
	116,391	Structured Asset Investment Loan Trust, Series 2004-9, Class M1, 0.900%, 10/25/2034(b)		73,743
	143,306	Structured Asset Securities Corp., Series 2007-EQ1, Class A2, 0.340%, 3/25/2037(b)		103,874

				705,696

		ABS Other – 0.1%
	60,873	Diamond Resorts Owner Trust, Series 2009-1, Class B, 12.000%, 3/20/2026, 144A		57,520

		Aerospace & Defense – 1.2%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		849,600

		Airlines – 2.6%
	20,294	American Airlines Pass Through Trust, Series 1993-A6, 8.040%, 9/16/2011		20,294
	116,114	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		117,420
	38,192	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		38,097
	84,427	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		85,061
	99,555	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		97,564
	6,370	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		6,433
	63,297	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		63,455


Principal Amount		Description	Value (†)


		Airlines – continued
$	198,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A	$	210,375
	196,224	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		202,602
	589,535	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		608,695
	381,997	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		389,637

				1,839,633

		Automotive – 2.9%
	139,000	Cummins, Inc., 6.750%, 2/15/2027		145,878
	165,000	Ford Motor Co., 6.625%, 2/15/2028		160,213
	35,000	Ford Motor Co., 7.125%, 11/15/2025		33,981
	775,000	Ford Motor Co., 7.450%, 7/16/2031		839,023
	110,000	Ford Motor Co., 7.500%, 8/01/2026		110,440
	225,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		255,416
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		300,800
	200,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		220,000

				2,065,751

		Building Materials – 1.4%
	155,000	Masco Corp., 6.500%, 8/15/2032		139,855
	130,000	Owens Corning, Inc., 7.000%, 12/01/2036		130,446
	720,000	USG Corp., 6.300%, 11/15/2016		676,800
	30,000	USG Corp., 9.750%, 1/15/2018		31,425

				978,526

		Chemicals – 2.0%
	60,000	Georgia Gulf Corp., 9.000%, 1/15/2017, 144A		65,700
	675,000	Hercules, Inc., 6.500%, 6/30/2029		567,844
	160,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020, 144A		165,900
	110,000	Koppers, Inc., 7.875%, 12/01/2019		119,350
	148,000	LBI Escrow Corp., 8.000%, 11/01/2017, 144A		163,170
	150,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		150,322
	160,000	Momentive Performance Materials, Inc., 9.000%, 1/15/2021, 144A		165,400

				1,397,686

7 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – 3.3%
$	148,471	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.510%, 1/25/2036(b)	$	85,064
	40,101	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.292%, 10/25/2034(b)		32,821
	122,853	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.460%, 5/25/2035(b)		81,821
	190,339	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.590%, 3/25/2035(b)		120,055
	161,334	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.788%, 11/25/2035(b)		144,628
	187,807	Impac CMB Trust, Series 2005-3, Class A1, 0.730%, 8/25/2035(b)		137,972
	244,692	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.750%, 1/25/2036(b)		169,838
	257,142	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		215,614
	220,990	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.450%, 10/25/2046(b)		151,361
	108,813	Master Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.637%, 3/25/2035(b)		97,371
	315,041	Master Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.410%, 1/25/2047(b)		185,632
	44,977	MLCC Mortgage Investors, Inc., Series 2004-1, Class 2A1, 2.220%, 12/25/2034(b)		43,198
	201,783	Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1, 4.995%, 11/25/2037(b)		140,489
	378,884	Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, 0.430%, 11/25/2036(b)		218,282
	186,511	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.984%, 9/25/2046(b)		151,657
	325,278	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.490%, 1/25/2047(b)		144,222
	25,527	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.744%, 3/25/2035(b)		23,029
	196,016	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.753%, 4/25/2035(b)		188,946

				2,332,000


Principal Amount		Description	Value (†)


		Construction Machinery – 0.5%
$	200,000	RSC Equipment Rental, Inc./ RSC Holdings III LLC, 8.250%, 2/01/2021, 144A	$	208,000
	140,000	Terex Corp., 8.000%, 11/15/2017		147,525

				355,525

		Consumer Cyclical Services – 0.0%
	1,000	KAR Auction Services, Inc., 10.000%, 5/01/2015		1,054

		Consumer Products – 0.2%
	120,000	Visant Corp., 10.000%, 10/01/2017		129,600

		Diversified Manufacturing – 0.4%
	249,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		270,165

		Electric – 4.7%
	20,000	AES Corp. (The), 8.000%, 10/15/2017		21,500
	325,000	AES Corp. (The), 8.000%, 6/01/2020		351,000
	51,200	CE Generation LLC, 7.416%, 12/15/2018		52,543
	300,000	Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A		291,000
	525,000	Edison Mission Energy, 7.625%, 5/15/2027		391,125
	460,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)		234,600
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		258,720
	345,000	RRI Energy, Inc., 7.875%, 6/15/2017		342,413
	160,000	TXU Corp., Series P, 5.550%, 11/15/2014		104,800
	1,415,000	TXU Corp., Series Q, 6.500%, 11/15/2024		661,512
	515,000	TXU Corp., Series R, 6.550%, 11/15/2034		236,900
	365,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		346,075

				3,292,188

		Food & Beverage – 0.9%
	185,000	Blue Merger Sub, Inc., 7.625%, 2/15/2019, 144A		187,544
	40,000	Dean Foods Co., 6.900%, 10/15/2017		37,100
	300,000	Dean Foods Co., 7.000%, 6/01/2016		286,125
	110,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		116,600

				627,369

		Gaming – 1.1%
	220,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		200,750
	290,000	MGM Resorts International, 7.500%, 6/01/2016		274,050

| 8

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Gaming – continued
$	145,000	MGM Resorts International, 7.625%, 1/15/2017	$	136,843
	115,000	MGM Resorts International, 9.000%, 3/15/2020		126,069

				737,712

		Government Owned – No Guarantee – 0.8%
	600,000	DP World Ltd., 6.850%, 7/02/2037, 144A		552,000

		Healthcare – 5.6%
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021, 144A		5,213
	120,000	HCA, Inc., 6.375%, 1/15/2015		122,400
	720,000	HCA, Inc., 6.500%, 2/15/2016		732,600
	430,000	HCA, Inc., 7.050%, 12/01/2027		382,700
	30,000	HCA, Inc., 7.500%, 12/15/2023		28,350
	1,240,000	HCA, Inc., 7.500%, 11/06/2033		1,137,700
	160,000	HCA, Inc., 7.690%, 6/15/2025		152,400
	40,000	HCA, Inc., 8.360%, 4/15/2024		40,000
	200,000	HCA, Inc., MTN, 7.580%, 9/15/2025		188,500
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		18,700
	330,000	Quintiles Transnational Corp., 9.500%, 12/30/2014, 144A(d)		337,425
	1,015,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		841,181

				3,987,169

		Home Construction – 1.6%
	290,000	KB Home, 7.250%, 6/15/2018		284,200
	215,000	Lennar Corp., 6.950%, 6/01/2018		212,850
	495,000	Pulte Group, Inc., 6.000%, 2/15/2035		387,337
	255,000	Pulte Group, Inc., 6.375%, 5/15/2033		207,188

				1,091,575

		Hybrid ARMs – 0.1%
	174,654	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.262%, 4/25/2035(b)		89,215

		Independent Energy – 3.7%
	260,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		282,219
	1,320,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,376,479
	335,000	QEP Resources, Inc., 6.875%, 3/01/2021		351,750


Principal Amount		Description	Value (†)


		Independent Energy – continued
$	620,000	Swift Energy Co., 7.125%, 6/01/2017	$	633,950

				2,644,398

		Industrial Other – 0.6%
	305,000	Chart Industries, Inc., 9.125%, 10/15/2015		317,962
	155,000	Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A		136,400

				454,362

		Life Insurance – 0.6%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		398,213

		Lodging – 0.6%
	55,000	Felcor Lodging LP, 10.000%, 10/01/2014		62,837
	50,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		51,063
	315,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		337,444

				451,344

		Media Cable – 1.0%
	640,000	CSC Holdings LLC, 7.625%, 7/15/2018		700,800

		Media Non-Cable – 0.6%
	395,000	Intelsat SA, 11.250%, 2/04/2017		431,538

		Metals & Mining – 0.9%
	330,000	ArcelorMittal, 7.000%, 10/15/2039		330,883
	80,000	United States Steel Corp., 6.050%, 6/01/2017		82,500
	275,000	United States Steel Corp., 6.650%, 6/01/2037		253,000

				666,383

		Non-Captive Consumer – 3.8%
	235,000	Residential Capital LLC, 9.625%, 5/15/2015		237,056
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		61,082
	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		726,706
	306,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		342,720
	200,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		196,750
	100,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		98,250
	220,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		215,050
	100,000	Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		99,750
	500,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		445,000

9 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Consumer – continued
$	300,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017	$	274,125

				2,696,489

		Non-Captive Diversified – 2.4%
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020, 144A		63,975
	331,000	Ally Financial, Inc., 8.000%, 11/01/2031		360,790
	95,000	Ally Financial, Inc., 8.300%, 2/12/2015		104,144
	675,000	CIT Group, Inc., 7.000%, 5/01/2017		675,844
	120,000	International Lease Finance Corp., 8.250%, 12/15/2020		131,550
	130,000	iStar Financial, Inc., 5.150%, 3/01/2012		129,025
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		65,437
	190,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		180,025

				1,710,790

		Oil Field Services – 1.5%
	680,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		690,200
	130,000	Parker Drilling Co., 9.125%, 4/01/2018		139,750
	235,000	Pioneer Drilling Co., 9.875%, 3/15/2018		252,625

				1,082,575

		Packaging – 0.1%
	100,000	Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		99,000

		Paper – 1.0%
	190,000	Westvaco Corp., 7.950%, 2/15/2031		198,779
	455,000	Westvaco Corp., 8.200%, 1/15/2030		485,588

				684,367

		Pharmaceuticals – 0.3%
	80,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		75,900
	125,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		120,938

				196,838

		Refining – 0.9%
	500,000	Petroplus Finance Ltd., 6.750%, 5/01/2014, 144A		490,000
	150,000	Petroplus Finance Ltd., 7.000%, 5/01/2017, 144A		142,500

				632,500

		REITs – Shopping Centers – 0.3%
	190,000	Developers Diversified Realty Corp., 7.875%, 9/01/2020		217,862


Principal Amount		Description	Value (†)


		Retailers – 3.2%
$	155,000	Dillard’s, Inc., 6.625%, 1/15/2018	$	152,675
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		427,200
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		176,313
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		73,125
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		282,800
	180,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		174,150
	985,000	Toys R Us, Inc., 7.375%, 10/15/2018		987,462

				2,273,725

		Supermarkets – 2.2%
	70,000	American Stores Co., 8.000%, 6/01/2026		63,350
	1,075,000	New Albertson’s, Inc., 7.450%, 8/01/2029		849,250
	220,000	New Albertson’s, Inc., 7.750%, 6/15/2026		183,150
	30,000	New Albertson’s, Inc., 8.000%, 5/01/2031		24,600
	605,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		438,625

				1,558,975

		Technology – 6.3%
	90,000	Activant Solutions, Inc., 9.500%, 5/01/2016		92,475
	125,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		128,437
	190,000	Advanced Micro Devices, Inc., 8.125%, 12/15/2017		197,600
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,597,200
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		249,400
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		151,525
	350,000	First Data Corp., 8.250%, 1/15/2021, 144A		349,125
	860,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		632,100
	125,000	Nortel Networks Ltd., 6.875%, 9/01/2023(e)		32,500

				4,430,362

		Textile – 0.5%
	425,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		338,938

		Transportation Services – 1.0%
	185,000	APL Ltd., 8.000%, 1/15/2024(c)		126,725
	25,038	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		24,788
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)		291,638

| 10

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Transportation Services – continued
$	155,000	Overseas Shipholding Group, 7.500%, 2/15/2024	$	132,913
	130,000	Teekay Corp., 8.500%, 1/15/2020		140,887

				716,951

		Wireless – 2.1%
	200,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		203,260
	520,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		521,300
	170,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		170,637
	65,000	NII Capital Corp., 7.625%, 4/01/2021		66,463
	125,000	NII Capital Corp., 8.875%, 12/15/2019		137,500
	446,000	Sprint Capital Corp., 6.875%, 11/15/2028		411,435

				1,510,595

		Wirelines – 9.8%
	765,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		719,100
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		320,250
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		176,000
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		193,469
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		13,518
	80,000	Frontier Communications Corp., 7.125%, 3/15/2019		81,200
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		296,400
	805,000	Frontier Communications Corp., 7.875%, 1/15/2027		768,775
	790,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		784,075
	835,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		853,787
	1,030,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,050,600
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		476,400
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		327,600
	190,000	Qwest Corp., 6.875%, 9/15/2033		190,237
	10,000	Qwest Corp., 7.250%, 9/15/2025		10,650
	375,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		376,334


Principal Amount		Description	Value (†)


		Wirelines – continued
$	290,000	Telecom Italia Capital SA, 7.721%, 6/04/2038	$	307,221

				6,945,616


		Total Non-Convertible Bonds
		(Identified Cost $50,983,179)		52,202,605


	Convertible Bonds – 11.8%

		Automotive – 2.0%
	75,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)		73,969
	640,000	Ford Motor Co., 4.250%, 11/15/2016		1,160,000
	115,000	Navistar International Corp., 3.000%, 10/15/2014		173,650

				1,407,619

		Diversified Manufacturing – 1.0%
	335,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		339,606
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		359,700

				699,306

		Electric – 0.7%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		479,737

		Healthcare – 1.1%
	450,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(g)		434,250
	50,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(g)		60,813
	165,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		175,725
	55,000	Omnicare, Inc., 3.750%, 12/15/2025		70,881

				741,669

		Home Construction – 0.0%
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		30,188

		Independent Energy – 0.2%
	25,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		22,969
	30,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		32,587
	90,000	Penn Virginia Corp., 4.500%, 11/15/2012		92,925

				148,481

		Lodging – 0.5%
	355,000	Host Hotels & Resorts, Inc., 2.625%, 4/15/2027, 144A		355,444

		Media Non-Cable – 0.1%
	150,437	Liberty Media LLC, 3.500%, 1/15/2031		84,245

11 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Metals & Mining – 0.4%
$	230,000	Peabody Energy Corp., 4.750%, 12/15/2066	$	304,750

		Non-Captive Diversified – 0.0%
	5,000	iStar Financial, Inc., 0.803%, 10/01/2012(b)		4,563

		Pharmaceuticals – 1.3%
	380,000	Amylin Pharmaceuticals, Inc., 3.000%, 6/15/2014		326,800
	325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		526,500
	50,000	Kendle International, Inc., 3.375%, 7/15/2012		47,375

				900,675

		Technology – 2.8%
	5,000	Ciena Corp., 0.250%, 5/01/2013		5,100
	565,000	Ciena Corp., 0.875%, 6/15/2017		551,581
	290,000	Ciena Corp., 3.750%, 10/15/2018, 144A		434,275
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		43,950
	435,000	Intel Corp., 2.950%, 12/15/2035		447,506
	440,000	Intel Corp., 3.250%, 8/01/2039		517,550

				1,999,962

		Wirelines – 1.7%
	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		1,180,042


		Total Convertible Bonds
		(Identified Cost $6,432,909)		8,336,681


		Total Bonds and Notes
		(Identified Cost $57,416,088)		60,539,286


	Bank Loans – 0.2%

		Media Non-Cable – 0.2%
	181,970	Tribune Company, Term Loan X, 5.000%, 6/04/2009(e)(h)(i)		124,478

		Wireless – 0.0%
	30,539	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(d)(h)		31,104


		Total Bank Loans
		(Identified Cost $234,962)		155,582


Shares		Description	Value (†)


	Preferred Stocks – 5.1%

	Convertible Preferred Stocks – 3.6%

		Automotive – 2.2%
	25,150	General Motors Co., Series B, 4.750%	$	1,212,230
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		325,890

				1,538,120

		Capital Markets – 0.4%
	5,724	Newell Financial Trust I, 5.250%		274,037

		Electric Utilities – 0.5%
	7,975	AES Trust III, 6.750%		389,180

		Oil, Gas & Consumable Fuels – 0.5%
	8,050	El Paso Energy Capital Trust I, 4.750%		356,213


		Total Convertible Preferred Stocks
		(Identified Cost $2,476,937)		2,557,550


	Non-Convertible Preferred Stocks – 1.5%

		Banking – 1.5%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		282,604
	803	Ally Financial, Inc., Series G, 7.000%, 144A		747,191


		Total Non-Convertible Preferred Stocks
		(Identified Cost $722,540)		1,029,795


		Total Preferred Stocks
		(Identified Cost $3,199,477)		3,587,345


	Common Stocks – 0.5%

		Diversified Telecommunication Services – 0.1%
	940	FairPoint Communications, Inc.(f)		15,858
	1,017	Hawaiian Telcom Holdco, Inc.(f)		26,696

				42,554

		Media – 0.0%
	321	Dex One Corp.(f)		1,554

		Oil, Gas & Consumable Fuels – 0.4%
	9,278	Chesapeake Energy Corp.		310,998


		Total Common Stocks
		(Identified Cost $510,909)		355,106


	Warrants – 0.0%
	1,603	FairPoint Communications, Inc., Expiration on 1/24/2018(c)(f)(j)
		(Identified Cost $0)		—

| 12

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Short-Term Investments – 7.9%
$	5,624,137	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $5,624,137 on 4/01/2011 collateralized by $5,790,000 Federal Home Loan Mortgage Corp., 2.950% due 12/08/2017 valued at $5,739,338 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $5,624,137)	$	5,624,137


		Total Investments – 99.3%
		(Identified Cost $66,985,573)(a)		70,261,456
		Other Assets Less Liabilities – 0.7%		471,676


		Net Assets – 100.0%	$	70,733,132


	(†)	See Note 2 of Notes to Financial Statements.
	(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $67,013,109 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	$	5,751,938
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,503,591	)

		Net unrealized appreciation	$	3,248,347

	(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.
	(c)	Illiquid security. At March 31, 2011, the value of these securities amounted to $1,887,442 or 2.7% of net assets.
	(d)	All or a portion of interest payment is paid-in-kind.
	(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(f)	Non-income producing security.
	(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(h)	Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.
	(i)	Issuer has filed for bankruptcy.
	(j)	Fair valued security by the Fund’s investment adviser. At March 31, 2011, the value of this security amounted to $0.

	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 March 31, 2011, the value of Rule 144A holdings amounted to $10,127,001 or 14.3% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2011 (Unaudited)


Wirelines	11.5	%
Technology	9.1
Automotive	7.1
Healthcare	6.7
Electric	5.4
Independent Energy	3.9
Non-Captive Consumer	3.8
Collateralized Mortgage Obligations	3.3
Retailers	3.2
Airlines	2.6
Non-Captive Diversified	2.4
Supermarkets	2.2
Wireless	2.1
Chemicals	2.0
Other Investments, less than 2% each	26.1
Short-Term Investments	7.9

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 113.2% of Net Assets

		ABS Car Loan – 15.8%
$	5,290,000	Ally Auto Receivables Trust, Series 2010-4, Class A3, 0.910%, 11/17/2014	$	5,268,683
	7,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016		7,250,639
	2,900,000	AmeriCredit Automobile Receivables Trust, Series 2010-4, Class A3, 1.270%, 4/08/2015		2,895,544
	2,455,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		2,453,863
	2,166,402	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.705%, 8/15/2018, 144A(b)		2,182,418
	2,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2009-1A, Class A, 9.310%, 10/20/2013, 144A		3,063,943
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,518,427
	326,174	Capital One Auto Finance Trust, Series 2006-C, Class A4, 0.285%, 5/15/2013(b)		325,056
	706,874	Capital One Auto Finance Trust, Series 2007-C, Class A4, 5.230%, 7/15/2014		725,833
	1,500,000	CarMax Auto Owner Trust, Series 2009-2, Class A3, 1.740%, 4/15/2014		1,513,765
	766,258	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		809,934
	1,107,533	Chrysler Financial Lease Trust, Series 2010-A, Class B, 3.460%, 9/16/2013, 144A		1,108,626
	2,195,000	Chrysler Financial Lease Trust, Series 2010-A, Class C, 4.490%, 9/16/2013, 144A		2,202,179
	1,135,000	Daimler Chrysler Auto Trust, Series 2008-B, Class A4A, 5.320%, 11/10/2014		1,167,696
	7,740,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		7,740,000
	4,790,000	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 2/15/2015		4,783,910
	2,740,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A		2,870,737
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,483,124
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,655,887
	1,305,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		1,373,900


Principal Amount		Description	Value (†)


		ABS Car Loan – continued
$	6,565,000	Navistar Financial Corp. Owner Trust, Series 2010-B, Class A2, 0.810%, 1/18/2013, 144A	$	6,564,688
	5,755,000	Navistar Financial Dealer Note Master Trust, Series 2010-1, Class A, 1.900%, 1/26/2015, 144A(b)		5,793,213
	9,590,000	Nissan Auto Lease Trust, Series 2010-B, Class A3, 1.120%, 12/15/2013		9,595,672
	137,913	Nissan Auto Receivables Owner Trust, Series 2008-B, Class A3, 4.460%, 4/16/2012		138,404
	8,490,000	Nissan Master Owner Trust Receivables, Series 2010-AA, Class A, 1.405%, 1/15/2015, 144A(b)		8,582,217
	9,793,841	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A		9,799,717
	9,940,000	Volkswagen Auto Lease Trust, Series 2010-A, Class A3, 0.990%, 11/20/2013		9,929,562

				108,797,637

		ABS Credit Card – 8.1%
	1,895,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.475%, 3/15/2017(b)		1,889,672
	2,670,000	Capital One Multi-Asset Execution Trust, Series 2007-A5, Class A5, 0.295%, 7/15/2020(b)		2,593,791
	2,300,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.505%, 4/15/2019(b)		2,213,869
	1,750,000	Chase Issuance Trust, Series 2007-C1, Class C1, 0.715%, 4/15/2019(b)		1,685,437
	1,150,000	Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2, 0.722%, 3/24/2017(b)		1,108,333
	4,215,000	Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8, 5.650%, 9/20/2019		4,742,027
	11,410,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 3.005%, 8/15/2018, 144A(b)		12,083,195
	3,305,000	Discover Card Master Trust, Series 2007-A1, Class A1, 5.650%, 3/16/2020		3,707,173
	1,335,000	GE Capital Credit Card Master Note Trust, Series 2007-2, Class B, 0.435%, 3/15/2015(b)		1,326,365
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		3,000,515
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,273,161
	2,070,000	MBNA Credit Card Master Note Trust, Series 2004-A3, Class A3, 0.515%, 8/16/2021(b)		2,031,802

| 14

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		ABS Credit Card – continued
$	3,130,000	MBNA Credit Card Master Note Trust, Series 2004-C2, Class C2, 1.155%, 11/15/2016(b)	$	3,103,043
	1,520,000	World Financial Network Credit Card Master Trust, Series 2006-A, Class A, 0.385%, 2/15/2017, 144A(b)		1,494,519
	9,695,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,032,928

				56,285,830

		ABS Home Equity – 0.5%
	616,697	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		580,215
	245,988	Countrywide Asset-Backed Certificates, Series 2006-S3, Class A1, 0.360%, 6/25/2021(b)		239,449
	1,559,180	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		900,426
	2,175,996	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.400%, 7/25/2036(b)		1,569,546

				3,289,636

		ABS Other – 2.0%
	1,142,266	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		1,161,800
	1,193,450	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		1,224,005
	3,808,840	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026, 144A(c)		3,818,362
	1,555,195	Sierra Receivables Funding Co., Series 2007-1A, Class A2, 0.404%, 3/20/2019, 144A(b)		1,465,089
	485,654	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		496,771
	1,248,936	Sierra Receivables Funding Co., Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		1,253,833
	2,183,602	Sierra Receivables Funding Co., Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		2,175,463
	2,320,930	Sierra Receivables Funding Co., Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		2,328,710

				13,924,033

		ABS Student Loan – 2.2%
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.303%, 7/25/2025(b)		15,538,384


Principal Amount		Description	Value (†)


		Collateralized Mortgage Obligations – 10.0%
$	1,045,388	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036	$	636,279
	668,987	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.652%, 7/25/2021(b)		497,844
	499,962	Countrywide Home Loans, Series 2004-HYB5, Class 6A2, 3.065%, 4/20/2035(b)		175,764
	2,797,000	Federal Home Loan Mortgage Corp., Series 2912, Class EH, 5.500%, 1/15/2035(d)		3,044,606
	7,536,316	Federal National Mortgage Association, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		904,817
	8,594,062	Federal National Mortgage Association, Series 2004-2, Class QK, 4.000%, 9/25/2017(d)		8,846,246
	4,124,274	First Horizon Alternative Mortgage Securities, Series 2006-AA3, Class A1, 5.860%, 6/25/2036(b)		2,388,899
	701,131	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.515%, 7/25/2035(b)		648,465
	3,670,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		3,572,966
	6,189,540	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.690%, 10/07/2020(b)		6,197,277
	32,495,859	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.800%, 12/08/2020(b)		32,648,264
	425,564	Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		347,035
	1,738,063	Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,594,943
	94,351	Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		86,488
	8,395,001	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 6.194%, 11/25/2036(b)		6,643,502
	540,004	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.787%, 10/25/2035(b)		513,678

				68,747,073

		Commercial Mortgage-Backed Securities – 28.5%
	11,306	Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A2, 5.165%, 9/10/2047		11,300
	189,000	Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.368%, 9/10/2047(b)		203,843
	350,000	Banc of America Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.929%, 5/10/2045(b)		380,130

15 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	421,033	Banc of America Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046	$	423,073
	6,017,000	Banc of America Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		6,318,153
	260,679	Bank of America-First Union NB Commercial Mortgage, Series 2001-3, Class A2, 5.464%, 4/11/2037		262,389
	33,653	Bear Stearns Commercial Mortgage Securities, Series 2001-TOP2, Class A2, 6.480%, 2/15/2035		33,635
	97,902	Bear Stearns Commercial Mortgage Securities, Series 2005-T18, Class A2, 4.556%, 2/13/2042		98,773
	2,725,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,854,676
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.906%, 6/11/2040(b)		1,293,957
	7,500,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		8,011,360
	8,870,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		9,323,085
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.951%, 6/10/2046(b)		272,941
	4,860,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 6.018%, 6/15/2038(b)		5,259,244
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,445,750
	5,688,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.905%, 6/15/2039(b)		6,023,298
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.995%, 9/15/2039(b)		5,310,582
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		11,600,075
	1,508,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.417%, 2/15/2041(b)		1,630,535
	6,600,000	Extended Stay America Trust, Series 2010-ESHA, Class B, 4.221%, 11/05/2027, 144A		6,651,007
	10,510,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		11,116,467
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		9,256,262


Principal Amount		Description	Value (†)


		Commercial Mortgage-Backed Securities – continued
$	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038	$	133,895
	742,634	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A2, 4.475%, 7/10/2039		742,056
	1,815,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		1,909,701
	308,576	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		310,607
	6,730,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		7,217,524
	7,500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		8,066,563
	12,500,000	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 6.002%, 8/10/2045(b)		13,271,692
	7,500,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		8,138,791
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,374,350
	7,585,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		7,999,431
	275,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030		278,887
	2,440,000	LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4, 5.661%, 3/15/2039		2,630,971
	7,500,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038		7,934,398
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.610%, 2/12/2039(b)		1,076,309
	250,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 6.097%, 6/12/2046(b)		273,708
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A4, 5.414%, 7/12/2046		1,059,107
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		4,869,633
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		7,881,328
	1,330,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		1,418,108

| 16

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	555,000	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.910%, 8/12/2041(b)	$	586,378
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		9,619,261
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.071%, 6/11/2049(b)		7,862,764
	23,878	Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A2, 4.380%, 10/15/2041		24,052
	7,600,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045		8,160,622

				196,620,671

		Hybrid ARMs – 1.4%
	218,455	FHLMC, 2.576%, 1/01/2035(b)(d)		229,705
	3,195,790	FHLMC, 5.928%, 2/01/2037(b)(d)		3,383,145
	2,460,063	FHLMC, 6.004%, 11/01/2036(b)(d)		2,630,312
	1,533,506	FNMA, 5.710%, 9/01/2036(b)(d)		1,621,678
	1,695,380	FNMA, 5.983%, 2/01/2037(b)(d)		1,803,103

				9,667,943

		Mortgage Related – 44.7%
	20,656,835	FHLMC, 5.000%, with various maturities from 2022 to 2040(d)(f)		21,793,918
	28,817,663	FHLMC, 5.500%, with various maturities from 2035 to 2040(d)(f)		30,788,623
	13,446,472	FHLMC, 6.000%, with various maturities from 2036 to 2037(d)(f)		14,659,590
	75,840	FHLMC, 6.500%, 1/01/2038(d)		84,999
	12,450,000	FHLMC (TBA), 4.500%, 6/01/2020(g)		13,037,491
	33,000,000	FHLMC (TBA), 5.000%, 9/01/2036(g)		34,438,602
	20,000,000	FHLMC (TBA), 6.000%, 9/01/2035(g)		21,725,000
	406,502	FNMA, 4.500%, 10/01/2035(d)		417,057
	1,820,931	FNMA, 5.000%, 4/01/2040(d)		1,908,396
	10,643,878	FNMA, 5.500%, with various maturities from 2034 to 2036(d)(f)		11,453,646
	7,138,014	FNMA, 6.000%, with various maturities from 2034 to 2037(d)(f)		7,819,160


Principal Amount		Description	Value (†)


		Mortgage Related – continued
$	8,126,495	FNMA, 6.500%, with various maturities from 2036 to 2038(d)(f)	$	9,122,873
	20,040	FNMA, 7.000%, 12/01/2037(d)		22,936
	26,700,000	FNMA (TBA), 5.000%, 5/01/2036(g)		27,930,710
	1,295,000	FNMA (TBA), 6.000%, 8/01/2035(g)		1,408,312
	70,929,363	GNMA, 4.500%, with various maturities from 2039 to 2040(d)(f)		73,304,753
	1,115,230	GNMA, 5.500%, with various maturities from 2033 to 2036(d)(f)		1,211,130
	63,811	GNMA, 6.000%, 6/15/2036(d)		70,365
	284,449	GNMA, 6.500%, 9/15/2036(d)		321,605
	34,000,000	GNMA (TBA), 5.500%, 3/01/2036(g)		36,815,608

				308,334,774


		Total Bonds and Notes
		(Identified Cost $754,705,488)		781,205,981


	Short-Term Investments – 6.0%
	41,681,826	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $41,681,826 on 4/01/2011 collateralized by $42,895,000 Federal Home Loan Mortgage Corp., 2.950% due 12/08/2017 valued at $42,519,669 including accrued interest (Note 2 of Notes of Financial Statements) (Identified Cost $41,681,826)		41,681,826


		Total Investments – 119.2%
		(Identified Cost $796,387,314)(a)		822,887,807
		Other Assets Less Liabilities – (19.2)%		(132,733,070	)


		Net Assets – 100.0%	$	690,154,737


	(†)	See Note 2 of Notes to Financial Statements.
	(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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $796,387,314 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	$	32,148,248
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,647,755	)

		Net unrealized appreciation	$	26,500,493

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


	(b)			Variable rate security. Rate as of March 31, 2011 is disclosed.
	(c)			Illiquid security. At March 31, 2011, the value of this security amounted to $3,818,362 or 0.6% of net assets.
	(d)			All or a portion of this security has been designated to cover the Fund’s obligations under open TBA transactions.
	(e)			Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(f)			The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(g)			Delayed delivery. See Note 2 of Notes to Financial Statements.

	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 March 31, 2011, the value of Rule 144A holdings amounted to $97,366,579 or 14.1% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	FHLMC			Federal Home Loan Mortgage Corp.
	FNMA			Federal National Mortgage Association
	GNMA			Government National Mortgage Association
	TBA			To Be Announced

Industry Summary at March 31, 2011 (Unaudited)


Mortgage Related	44.7	%
Commercial Mortgage-Backed Securities	28.5
ABS Car Loan	15.8
Collateralized Mortgage Obligations	10.0
ABS Credit Card	8.1
ABS Student Loan	2.2
ABS Other	2.0
Other Investments, less than 2% each	1.9
Short-Term Investments	6.0

Total Investments	119.2
Other assets less liabilities	(19.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 18

Statements of Assets and Liabilities

March 31, 2011 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	66,985,573		$	796,387,314
Net unrealized appreciation		3,275,883			26,500,493

Investments at value		70,261,456			822,887,807
Receivable for Fund shares sold		—			777,216
Dividends and interest receivable		1,039,274			2,424,969

TOTAL ASSETS		71,300,730			826,089,992


LIABILITIES
Payable for securities purchased		562,755			—
Payable for delayed delivery securities purchased (Note 2)		—			135,743,506
Payable for Fund shares redeemed		4,843			191,749

TOTAL LIABILITIES		567,598			135,935,255

NET ASSETS	$	70,733,132		$	690,154,737

NET ASSETS CONSIST OF:
Paid-in capital	$	72,628,423		$	660,906,922
Undistributed net investment income		210,528			500,191
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,381,702	)		2,247,131
Net unrealized appreciation on investments		3,275,883			26,500,493

NET ASSETS	$	70,733,132		$	690,154,737


NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	70,733,132		$	690,154,737

Shares of beneficial interest		6,819,286			62,715,574

Net asset value, offering and redemption price per share	$	10.37		$	11.00

See accompanying notes to financial statements.

19 |

Statements of Operations

For the Six Months Ended March 31, 2011 (Unaudited)


	High Income Opportunities Fund		Securitized Asset Fund
INVESTMENT INCOME
Interest	$	2,451,513	$	12,048,055
Dividends		76,186		—

Net investment income		2,527,699		12,048,055


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		997,962		3,862,856
Net change in unrealized appreciation (depreciation) on:
Investments		2,331,689		(492,956	)

Net realized and unrealized gain on investments		3,329,651		3,369,900


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,857,350	$	15,417,955

See accompanying notes to financial statements.

| 20

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income	$	2,527,699		$	5,589,114		$	12,048,055		$	18,710,575
Net realized gain on investments and futures contracts		997,962			1,485,070			3,862,856			3,355,685
Net change in unrealized appreciation (depreciation) on investments and futures contracts		2,331,689			5,014,237			(492,956	)		39,981,038

Net increase in net assets resulting from operations		5,857,350			12,088,421			15,417,955			62,047,298

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(2,818,433)			(5,690,124	)		(14,269,664	)		(20,474,786	)
Net realized capital gains
Institutional Class		—			—			—			(4,702,129	)

Total distributions		(2,818,433	)		(5,690,124	)		(14,269,664	)		(25,176,915	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 8)		2,134,459			(12,548,060	)		35,707,510			325,960,515

Net increase (decrease) in net assets		5,173,376			(6,149,763	)		36,855,801			362,830,898
NET ASSETS
Beginning of the period		65,559,756			71,709,519			653,298,936			290,468,038

End of the period	$	70,733,132		$	65,559,756		$	690,154,737		$	653,298,936

UNDISTRIBUTED NET INVESTMENT INCOME	$	210,528		$	501,262		$	500,191		$	2,721,800

See accompanying notes to financial statements.

21 |

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| 22

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains(b)			Total distributions
HIGH INCOME OPPORTUNITIES FUND

Institutional Class
3/31/2011(f)	$	9.92	$	0.38	$	0.50		$	0.88		$	(0.43	)	$	—		$	(0.43	)
9/30/2010		9.07		0.78		0.86			1.64			(0.79	)		—			(0.79	)
9/30/2009		8.26		0.79		0.84			1.63			(0.81	)		(0.01	)		(0.82	)
9/30/2008		10.42		0.82		(2.09	)		(1.27	)		(0.82	)		(0.07	)		(0.89	)
9/30/2007		10.39		0.77		0.01	(g)		0.78			(0.75	)		(0.00	)		(0.75	)
9/30/2006		10.50		0.76		(0.10	)		0.66			(0.73	)		(0.04	)		(0.77	)

SECURITIZED ASSET FUND

Institutional Class
3/31/2011(f)	$	10.99	$	0.20	$	0.05		$	0.25		$	(0.24	)	$	—		$	(0.24	)
9/30/2010		10.16		0.41		1.08			1.49			(0.49	)		(0.17	)		(0.66	)
9/30/2009		9.60		0.50		0.66			1.16			(0.57	)		(0.03	)		(0.60	)
9/30/2008		10.07		0.55		(0.45	)		0.10			(0.57	)		—			(0.57	)
9/30/2007		10.13		0.55		(0.10	)		0.45			(0.51	)		(0.00	)		(0.51	)
9/30/2006(h)		10.00		0.30		0.02			0.32			(0.19	)		—			(0.19	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Periods less than one year, if applicable, are not annualized.

(d)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

For the six months ended March 31, 2011 (Unaudited).

(g)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(h)

For the period March 2, 2006 (commencement of operations) through September 30, 2006.

See accompanying notes to financial statements.

23 |


							Ratios to Average Net Assets
Net asset value, end of the period		Total return (%)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)		Gross expenses (%)(d)		Net investment income (%)(e)		Portfolio turnover rate(%)



	$10.37		9.06		$	70,733		—		—		7.51		17
	9.92		18.88			65,560		—		—		8.21		26
	9.07		23.06			71,710		—		—		10.86		34
	8.26		(13.24	)		64,950		—		—		8.47		24
	10.42		7.68			84,073		—		—		7.35		29
	10.39		6.64			42,847		—		—		7.36		26




	$11.00		2.29		$	690,155		—		—		3.65		111
	10.99		15.24			653,299		—		—		3.89		251
	10.16		12.97			290,468		—		—		5.42		390
	9.60		0.92			382,054		—		—		5.55		430
	10.07		4.58			347,153		—		—		5.43		73
	10.13		3.28			70,993		—		—		3.02		55

See accompanying notes to financial statements.

| 24

Notes To Financial Statements

March 31, 2011 (Unaudited)

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles High Income Opportunities Fund (the “High Income Opportunities Fund”)

Loomis Sayles Securitized Asset Fund (the “Securitized Asset Fund”)

Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of Natixis Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.

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

The High Income Opportunities 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.

25 |

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on High Income Opportunities Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

The High Income Opportunities Fund may use foreign currency exchange contracts to facilitate transactions in foreign denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Forward Foreign Currency Contracts. The High Income Opportunities 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 reflected in the Fund’s Statements of Assets and Liabilities. 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 Funds’ or counterparty’s net obligations under the contracts.

There were no forward currency contracts held by the Fund during the six months ended March 31, 2011.

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

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

Futures contracts are exchange-traded. Exchange-traded futures have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Funds are limited.

There were no futures contracts held by the Funds during the six months ended March 31, 2011.

f. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The High Income Opportunities Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which

| 26

Notes To Financial Statements – continued

March 31, 2011 (Unaudited)

may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, defaulted bonds, distribution redesignations and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to defaulted bond income accruals, premium amortization, securities lending collateral gain/loss adjustments, contingent payment debt instruments and wash sales. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2010 was as follows:


	2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	5,690,124	$	—	$	5,690,124
Securitized Asset Fund		25,176,915		—		25,176,915

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2010, the capital loss carryforwards and post-October losses were as follows:


Capital loss carryforward:	High Income Opportunities Fund			Securitized Asset Fund
Expires September 30, 2017	$	(811,815	)	$	—
Expires September 30, 2018		(5,225,445	)		(1,367,506	)

Total capital loss carryforward	$	(6,037,260	)	$	(1,367,506	)

Deferred net capital losses (post-October 2009)	$	—		$	(239,014	)

h. Repurchase Agreements. It is each 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.

i. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in its portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

j. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for

27 |

non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2011, none of the Funds had loaned securities under this agreement.

k. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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;

•

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 Funds’ investments as of March 31, 2011, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Wireless	$	—	$	1,307,335	$	203,260	$	1,510,595
All Other Non-Convertible Bonds(a)		—		50,692,010		—		50,692,010

Total Non-Convertible Bonds		—		51,999,345		203,260		52,202,605

Convertible Bonds(a)		—		8,336,681		—		8,336,681

Total Bonds and Notes		—		60,336,026		203,260		60,539,286

Bank Loans(a)		—		155,582		—		155,582

Preferred Stocks
Convertible Preferred Stocks
Automotive		1,212,230		325,890		—		1,538,120
Capital Markets		—		274,037		—		274,037
Electric Utilities		389,180		—		—		389,180
Oil, Gas & Consumable Fuels		356,213		—		—		356,213

Total Convertible Preferred Stocks		1,957,623		599,927		—		2,557,550

Non-Convertible Preferred Stocks(a)		—		1,029,795		—		1,029,795

Total Preferred Stocks		1,957,623		1,629,722		—		3,587,345

Common Stocks(a)		355,106		—		—		355,106
Warrants		—		—		—		—
Short-Term Investments		—		5,624,137		—		5,624,137

Total	$	2,312,729	$	67,745,467	$	203,260	$	70,261,456

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

| 28

Notes To Financial Statements – continued

March 31, 2011 (Unaudited)

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Car Loan	$	—	$	101,057,637	$	7,740,000	$	108,797,637
ABS Home Equity		—		2,389,210		900,426		3,289,636
ABS Other		—		10,105,671		3,818,362		13,924,033
All Other Bonds and Notes(a)		—		655,194,675		—		655,194,675

Total Bonds and Notes		—		768,747,193		12,458,788		781,205,981

Short-Term Investments		—		41,681,826		—		41,681,826

Total	$	—	$	810,429,019	$	12,458,788	$	822,887,807

(a) Major categories of the Fund’s investments are included in 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 March 31, 2011:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Wireless	$	—	$	—	$	—	$	3,260	$	200,000	$	—	$	—	$	—	$	203,260	$	3,260

Total	$	—	$	—	$	—	$	3,260	$	200,000	$	—	$	—	$	—	$	203,260	$	3,260

Securitized Asset Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
ABS Car Loan	$	—	$	—	$	—	$	214	$	7,739,786	$	—		$	—	$	—	$	7,740,000	$	214
ABS Home Equity		345,569		—		3		852,042		—		(297,188	)		—		—		900,426		581,574
ABS Other		4,588,503		—		—		9,522		—		(779,663	)		—		—		3,818,362		9,522

Total	$	4,934,072	$	—	$	3	$	861,778	$	7,739,786	$	(1,076,851	)	$	—	$	—	$	12,458,788	$	591,310

29 |

4. Purchases and Sales of Securities. For the six months ended March 31, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Opportunities Fund	$	—	$	—	$	11,190,013	$	12,212,298
Securitized Asset Fund		787,326,283		792,184,527		172,995,127		42,950,638

5. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis Sayles has agreed to pay, without reimbursement from the Funds or the Trust, the following expenses of the Funds: compensation to Trustees of the Trust who are not “interested persons” (as defined in the 1940 Act) of the Trust; registration, filing and other fees in connection with requirements of regulatory authorities; the charges and expenses of any entity appointed by the Funds for custodial, paying agent, shareholder servicing and plan agent services; charges and expenses of the independent registered public accounting firm retained by the Funds; charges and expenses of any transfer agents and registrars appointed by the Funds; any cost of certificates representing shares of the Funds; legal fees and expenses in connection with the day-to-day affairs of the Funds, including registering and qualifying its shares with Federal and State regulatory authorities; expenses of meetings of shareholders and Trustees of the Trust; the costs of services, including services of counsel, required in connection with the preparation of the Funds’ registration statements and prospectuses, including amendments and revisions thereto, annual, semi-annual and other periodic reports of the Funds, and notices and proxy solicitation material furnished to shareholders of the Funds or regulatory authorities, and any costs of printing or mailing these items; and the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses.

Loomis Sayles serves as investment adviser to each Fund. Under the terms of each management agreement, Loomis Sayles does not charge the Funds an investment advisory fee, also known as a management fee, or any other fee for those services or for bearing those expenses. Although the Funds do not compensate Loomis Sayles directly for services under the advisory agreement, Loomis Sayles will typically receive an advisory fee from the sponsors of “wrap programs,” who in turn charge the programs’ participants.

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trust. Natixis Distributors currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse Natixis Distributors to the extent that Natixis Distributors incurs expenses in connection with any redemption of Fund shares.

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to Natixis Advisors for services to the Funds.

d. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

6. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment

| 30

Notes To Financial Statements – continued

March 31, 2011 (Unaudited)

fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended March 31, 2011, none of the Funds had borrowings under these agreements.

7. Concentration of Ownership. From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of March 31, 2011, four shareholder accounts owned more than 5% of High Income Opportunities Fund’s outstanding shares, representing 38.83% of the Fund’s net assets. Such ownership may be beneficially held by multiple individuals or entities other than the owner of record.

8. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	High Income Opportunities Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		636,813		$	6,537,926			696,898		$	6,634,833
Issued in connection with the reinvestment of distributions		222,270			2,233,310			492,408			4,619,407
Redeemed		(650,841	)		(6,636,777	)		(2,487,653	)		(23,802,300	)

Increase (decrease) from capital share transactions		208,242		$	2,134,459			(1,298,347	)	$	(12,548,060	)


	Securitized Asset Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		10,096,040		$	110,811,501			43,829,638		$	463,734,471
Issued in connection with the reinvestment of distributions		23,082			253,034			50,062			521,565
Redeemed		(6,861,855	)		(75,357,025	)		(13,015,425	)		(138,295,521	)

Increase (decrease) from capital share transactions		3,257,267		$	35,707,510			30,864,275		$	325,960,515

31 |

Loomis Sayles Bond Fund

Loomis Sayles Fixed Income Fund

Loomis Sayles Global Bond Fund

Loomis Sayles Inflation Protected Securities Fund

Loomis Sayles Institutional High Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Investment Grade Fixed Income Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			18
Statements of Assets and Liabilities			81
Statements of Operations			83
Statements of Changes in Net Assets			85
Financial Highlights			87
Notes to Financial Statements			95

SEMI-ANNUAL REPORT

MARCH 31, 2011

LOOMIS SAYLES BOND FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbols:


Institutional Class		LSBDX
Retail Class		LSBRX
Admin Class		LBFAX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests primarily in investment-grade fixed-income securities, although it may invest up to 35% of assets in lower-quality fixed-income securities and up to 20% of its assets in preferred stocks. The fund may invest any portion of its assets in Canadian securities and up to 20% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

May 16, 1991

Class Inception Date:

Institutional Class:

May 16, 1991

Retail Class:

December 31, 1996

Admin Class:

January 2, 1998

Net Assets:

$20,025.1 million

Market Conditions

As attention shifted from economic recovery to economic growth, investors began to displace lingering economic pessimism with optimism. The transition was far from smooth though, as new concerns materialized and old ones resurfaced. Specifically, increased anxiety regarding sovereign debt solvency in Europe, unrest in North Africa and the Middle East, precarious macroeconomic data, earthquakes in Japan and New Zealand and China’s lending restrictions percolated through global credit markets in waves during the period, alternately fostering and stymieing investors’ appetite for risk. The Federal Reserve’s second round of quantitative easing, popularly referred to as “QE2,” tempered modest price decreases that occurred during the period. Overall, liquidity returned to the credit markets during the period, largely in the form of new issuance as firms sought to refinance debt. This trend supported high-yield and investment-grade names.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Bond Fund returned 5.64%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned -1.90% for the period.

Explanation of Fund Performance

Positive security selection primarily accounted for the fund’s outperformance. Tentative signs of stability in Europe, namely the acceptance of euro zone bank stress tests, allayed investor fears, and major currencies rallied against the U.S. dollar. This translated into sizable contributions from our investments denominated in the Canadian dollar, Australian dollar, New Zealand dollar and Norwegian krone. Similarly, bonds issued in the Indonesian rupiah, Singapore dollar and South Korean won contributed modestly to performance. In addition, our holdings in equity-sensitive convertible bonds and preferred securities advanced due to healthy stock market performance during the period. Among high-yield bonds, the industrials sector was the top performer, with the strongest returns coming from issues in the technology, consumer cyclical and communications segments. Our allocation to high-yield financials also contributed positively. Our underweight in U.S. Treasuries helped performance, as investors favored riskier assets in their search for yield, causing Treasuries to underperform.

A small position in government-owned securities had a negative effect on relative performance, primarily due to a long duration stance within the allocation. (Duration is a measure of interest rate sensitivity.) Additionally, the fund’s overall longer-than-benchmark duration detracted from returns because yields increased during the period. Furthermore, while most non-U.S.-dollar positions contributed positively, holdings denominated in the euro lagged on fears of sovereign risk.

Outlook

We believe markets remain in transition regarding interest rates, with pressures building both globally and domestically. Globally, growth in many areas of the world remains robust; however, inflation concerns have begun to attract attention. Central banks will likely continue to shift toward less accommodative policy as 2011 progresses. We anticipate the Federal Reserve’s program of Treasury purchases in the United States will end during the second quarter and believe the U.S. economic recovery has sufficient momentum to continue expanding without outsized government stimulus.

1 |

LOOMIS SAYLES BOND FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/16/91)		5.64	%		11.94	%		8.22	%		10.21	%
Retail Class (Inception 12/31/96)		5.51			11.66			7.91			9.92
Admin Class (Inception 1/2/98)		5.38			11.31			7.63			9.63

Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(c)		-1.90			5.26			5.83			5.53
Lipper BBB-Rated Funds Index^(c)		0.37			8.77			5.97			5.79

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.64% Retail: 0.94% Admin: 1.21%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.64% Retail: 0.94% Admin: 1.20%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

March 31, 2001 through March 31, 2011^(a)(b)

LOGO

Data quoted reflects past performance and cannot guarantee future results. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. For performance current to the most recent month-end, please visit www.loomissayles.com. Current performance may be higher or lower than quoted.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail and Admin Classes would be lower, due to higher fees.

^(b)

The mountain chart is based on the initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 15 for a description of the indices.

What you should know:

| 2

LOOMIS SAYLES FIXED INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSFIX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests primarily in fixed-income securities, may invest up to 35% of its assets in lower-quality fixed-income securities and up to 20% of its assets in preferred stocks. The fund may invest any portion of its assets in Canadian securities and up to 20% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

January 17, 1995

Fund Registration Date:

March 7, 1997

Net Assets:

$860.1 million

Market Conditions

As attention shifted from economic recovery to economic growth, investors began to displace lingering economic pessimism with optimism. The transition was far from smooth though, as new concerns materialized and old ones resurfaced. Specifically, increased anxiety regarding sovereign debt solvency in Europe, unrest in North Africa and the Middle East, precarious macroeconomic data, earthquakes in Japan and New Zealand and China’s lending restrictions percolated through global credit markets in waves during the period, alternately fostering and stymieing investors’ appetite for risk. The Federal Reserve Board’s second round of Treasury purchases, which is popularly referred to as quantitative easing (QE2), tempered modest price decreases that occurred during the period. Overall, liquidity returned to the credit markets during the period, largely in the form of new issuance as firms sought to refinance debt. This trend supported high-yield and investment-grade names.

Performance Results

For the six months ended March 31, 2011, Loomis Sayles Fixed Income Fund returned 5.64%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned -1.90% for the period.

Explanation of Fund Performance

Favorable security selection primarily accounted for the fund’s outperformance. Tentative signs of stability in Europe, namely the acceptance of eurozone bank stress tests, allayed investor fears, and major currencies rallied against the U.S. dollar. This translated into sizable contributions from our investments denominated in the Canadian dollar, Australian dollar, New Zealand dollar and Norwegian krone. Similarly, bonds issued in the Indonesian rupiah, Singapore dollar and South Korean won contributed modestly to performance. In addition, our holdings in equity-sensitive convertible bonds and preferred securities advanced due to healthy stock market performance during the period. Among high-yield bonds, the industrials sector was the top performer, with the strongest returns coming from issues in the technology, consumer non-cyclical and communication segments. Our allocation to high-yield financials also contributed positively.

A small position in government-owned securities had a negative effect on relative performance, primarily due to a long duration stance within the allocation. Additionally, our overall longer-than-Benchmark duration detracted from returns due to yields increasing during the period. Furthermore, while most non-U.S.-dollar positions contributed positively, our holdings denominated in the euro lagged on fears of sovereign risk. Issues denominated in the Brazilian real also struggled during the period.

Outlook

We believe markets remain in transition regarding interest rates, with pressures building both globally and domestically. Globally, growth in many areas of the world remains robust; however, inflation concerns have begun to attract attention. Central banks will likely continue to shift toward less accommodative policy as 2011 progresses. We anticipate the Federal Reserve’s program of Treasury purchases in the United States will end during the second quarter and believe the U.S. economic recovery has sufficient momentum to continue expanding without outsized government stimulus.

3 |

LOOMIS SAYLES FIXED INCOME FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 1/17/95)		5.64	%		12.16	%		8.99	%		10.69	%

Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(b)		-1.90			5.26			5.83			5.53
Lipper BBB-Rated Funds Index^(b)		0.37			8.77			5.97			5.79

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.58%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.58%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2001 through March 31, 2011^(a)

LOGO

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 15 for a description of the indices.

What you should know

| 4

LOOMIS SAYLES GLOBAL BOND FUND

Fund and manager review

FUND FACTS

Managers:

Ken Buntrock, CFA, CIC

David Rolley, CFA

Lynda Schweitzer, CFA

Symbols:


Institutional Class		LSGBX
Retail Class		LSGLX

Objective:

High total investment return through a combination of high current income and capital appreciation

Strategy:

Invests primarily in investment grade fixed-income securities worldwide, although it may invest up to 20% of assets in lower-quality fixed-income securities.

Fund Inception Date:

May 10, 1991

Class Inception Date:

Institutional Class:

May 10, 1991

Retail Class:

December 31, 1996

Net Assets:

$2,294.6 million

Market Conditions

Government bond yields rose at the end of 2010, as investors favored risk in the form of equity and other higher-yielding investments in the wake of improving economic data. But, mid-way through the first quarter of 2011, deteriorating sentiment and increased uncertainty began to test risk preference. Higher oil prices, turmoil in the Middle East and North Africa, and the Japanese disaster caused the market to revise global economic growth forecasts down. Meanwhile, the ambiguity of European sovereign debt concerns remained. Nevertheless, riskier assets performed well during the period, despite mounting uncertainty and rising interest rates around the globe. Global credit strongly outperformed government-issued bonds on a duration-matched basis, while lower-quality bonds generally outperformed high-quality bonds. Among currencies, the U.S. dollar finished the period weaker versus all major currencies.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Global Bond Fund returned 1.37%. The fund outperformed its benchmark, the Barclays Capital Global Aggregate Bond Index, which returned -0.10% for the period.

Explanation of Fund Performance

Favorable security selection and an overweight in corporate bonds, along with an underweight in government bonds, drove the fund’s outperformance relative to the benchmark. Specifically, our preference for cyclical corporate bonds within the technology and communications industries aided performance. From a quality perspective, the fund’s overweights in BBB-rated credits and high-yield bonds boosted relative returns. From a currency perspective, we capitalized on a weak U.S. dollar with overweights in developing and non-yen, -euro and –U.S.-dollar currencies, including the Indonesian rupiah, Malaysian ringgit, Mexican peso, Singapore dollar, Danish krone, Norwegian krone and Swedish krona. To better align the currency exposure of specific holdings, we traded foreign currency contracts throughout the period. These derivatives were an integral part of the fund’s overall currency strategy, which boosted returns for the period. Country selection also enhanced returns, primarily due to substantial underweights in the European local markets. In addition, the fund’s shorter-than-benchmark duration across the U.S.-dollar-based corporate, securitized and Treasury sectors enhanced returns, as yields rose across the curve. Duration is a measure of interest rate sensitivity.

The fund’s underweight in the euro detracted from returns, as the currency strengthened against the U.S. dollar during the period. Euro positioning also dampened relative performance from a yield curve perspective. As rates rose across the curve, the fund’s average long-duration exposure hurt relative performance.

Outlook

We are maintaining overweight positions in non-yen Asian currencies, because we expect the currency-positive effects of tighter central bank policies to outweigh the currency-negative effects of weaker local equity markets. The impact of higher oil prices on inflation has resulted in a more hawkish tone coming from the European Central Bank (ECB). This is why the euro has firmed. Oil price hikes increase the likelihood of ECB hikes, widening the euro-to-dollar spread in short-term rates. We used the latest bond rally to tweak duration lower in developed countries. We believe there are clear risks to growth in 2012, but for now we remain global expansion optimists and are therefore also retaining our corporate credit positions. Finally, positions in emerging markets, commodity currencies and non-Japan Asian countries still appear warranted, given the global growth and rates outlook. Nevertheless, some equity volatility is likely following the conclusion of the Federal Reserve Board’s quantitative easing, which involves large-scale purchases of Treasury securities. As long as growth prospects remain firm, we anticipate spillover into credit spreads will be relatively minor.

5 |

LOOMIS SAYLES GLOBAL BOND FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/10/91)		1.37	%		9.12	%		7.56	%		8.98	%
Retail Class (Inception 12/31/96)		1.22			8.79			7.22			8.67

Comparative Performance
Barclays Capital Global Aggregate Bond Index^(c)		-0.10			7.15			6.95			7.02
Lipper Global Income Funds Index^(c)		1.80			7.81			6.46			6.63

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.66% Retail 1.00%

Gross expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.66% Retail: 1.00%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

March 31, 2001 through March 31, 2011^(a)(b)

LOGO

Data quoted reflects past performance and cannot guarantee future results. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. For performance current to the most recent month-end, please visit www.loomissayles.com. Current performance may be higher or lower than quoted.

Returns do not reflect the taxes that a shareholder would pay on fund distributions or the redemption of shares. Periods of less than one year are not annualized. Performance data reflects certain fee waiver and/or expense reimbursements, if any, without which performance would be lower.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

^(b)

The mountain chart is based on the Institutional Class minimum initial investment of $100,000.

^(c)

See page 15 for a description of the indices.

What you should know:

| 6

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Fund and manager review

FUND FACTS

Managers:

John Hyll

Cliff Rowe, CFA

Symbols:


Institutional Class		LSGSX
Retail Class		LIPRX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests primarily in inflation-protected securities with emphasis on debt securities issued by the U.S. Treasury.

Fund Inception Date:

May 20, 1991

Class Inception Date:

Institutional Class:

May 20, 1991

Retail Class:

May 28, 2010

Net Assets:

$17.3 million

Market Conditions

While still close to historical lows, interest rates began to move higher at the end of 2010, a trend that continued through the first quarter of 2011. A preference for riskier assets prevailed for most of the first quarter, but headline news, including a severe earthquake in Japan, political instability in the Middle East and North Africa, and the re-emergence of European sovereign-debt woes contributed to volatility that negatively influenced investor sentiment. Despite these headwinds, the markets remained relatively resilient, as positive corporate earning news and macroeconomic indicators supported the continuation of the economic recovery.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned 1.40%. The fund performed in line with its benchmark, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, which returned 1.42% for the period.

Explanation of Fund Performance

Against a backdrop of higher interest rates, shorter-duration Treasury Inflation Protected Securities (TIPS) led fund performance during the period. The fund’s slightly-shorter-than-benchmark yield curve positioning contributed positively to performance and helped the fund’s TIPS outperform those of the benchmark.

In addition, an overweight to corporate credit – particularly our small allocation to high-yield industrials – helped relative results, as riskier assets performed better during the period. Among corporates, the largest contribution to return came from holdings in the basic industry, capital goods and insurance areas. Nevertheless, our corporate exposure favored longer-duration issues, and rising interest rates dampened the sector’s positive contribution. Furthermore, corporate returns in the consumer non-cyclical and technology sectors were weak and slightly detracted from relative performance.

The fund’s exposure to the Mexican peso and Canadian dollar also helped relative performance. Both currencies appreciated versus the U.S. dollar, due to sustained demand for local market commodities and continued low rates in the United States.

Outlook

Higher food and commodity prices have stoked expected inflation levels, which helped TIPS outperform nominal Treasuries. Despite recent bouts of volatility, the market has shown to be fairly resilient, offering further conviction that the economic recovery may continue as anticipated. The continuation of the Federal Reserve Board’s (the Fed’s) loose monetary policy may cause inflation speculation to mount over time, which could increase breakeven rates (the difference between the nominal yields offered by Treasuries and the real, or inflation-adjusted, yields offered by TIPS). Further out, when the Fed shifts toward a more hawkish stance on inflation and raises interest rates, inflation expectations at the longer end of the yield curve may dampen. In this scenario, real and nominal yields for long-dated issues would converge, effectively lowering breakeven rates at the long end of the yield curve. If this occurs, we may find opportunities at the shorter and intermediate parts of the yield curve to maximize returns. Additionally, corporate earnings generally have been positive, and we will continue to hold a small overweight to the sector, seeking to opportunistically add value when what we view as attractive risk/reward issues become available.

7 |

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Average Annual Returns

March 31, 2011



	6 Months			1 Year			5 Years			10 Years

Institutional Class (Inception 5/20/91)^(e)		1.40	%		8.29	%		5.90	%		5.37	%
Retail Class (Inception 5/28/10)^(a)(e)		1.31			8.05			5.59			5.02

Comparative Performance
Barclays Capital U.S. Treasury Inflation Protected Securities Index^(c)		1.42			7.91			6.25			6.74
Lipper Treasury Inflation Protected Securities Funds Index^(c)		1.24			7.99			5.68			N/A

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.22% Retail: 2.36%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.40% Retail: 0.65%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)(e)

March 31, 2001 through March 31, 2011^(b)(d)(e)

LOGO

For illustrative purposes, the chart above reflects the growth of a hypothetical investment of $100,000 in the fund, for the last ten years. The chart above also reflects the growth of a hypothetical investment in the former primary benchmark of the fund, the Barclays Capital U.S. Government Bond Index (the “Former Benchmark”), compared to the performance of the fund from March 31, 2001 through December 31, 2004. On December 15, 2004, in connection with a change of the fund’s investment objective, the fund changed its primary benchmark to the Barclays Capital U.S. Treasury Inflation Protected Securities Index (the “New Benchmark”). Since index performance data is not available coincident with the date of the fund’s strategy change, comparative data for the fund’s New Benchmark begins on December 31, 2004. The chart above reflects the growth of a hypothetical investment in the New Benchmark, compared to the performance of the fund, from December 31, 2004, through March 31, 2011. The chart above also compares the performance of the fund to the Lipper Treasury Inflation Protected Securities Funds Index from December 31, 2004 through March 31, 2011. The performance of the New Benchmark and of the Lipper Treasury Inflation Protected Securities Funds Index was linked to the performance of the Former Benchmark as of December 31, 2004.

^(a)

Prior to inception of Retail Class (5/28/10), performance is that of Institutional Class, restated to reflect the higher net expenses of Retail Class.

^(b)

The mountain chart is based on the fund’s initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 15 for a description of the indices. Return data is not available for the Lipper Treasury Inflation Protected Securities Index prior to July 1, 2003.

^(d)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

^(e)

The fund revised its investment strategies on 12/15/04; performance may have been different had the current investment strategy been in place for all periods shown.

What you should know:

| 8

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSHIX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests in primarily lower-quality fixed-income securities and other securities that are expected to produce a relatively high level of income, (including income-producing preferred and common stocks).

The fund may invest any portion of its assets in Canadian securities and up to 50% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

June 5, 1996

Fund Registration Date:

March 7, 1997

Net Assets:

$429.4 million

Market Conditions

A gradually improving global economic environment drove risk appetite, while stronger corporate balance sheets and employment gains generated additional investor confidence. In this environment, high-yield credits generally outperformed their investment-grade counterparts, and investors were rewarded for taking on higher degrees of risk. Record market liquidity allowed debt issuers to refinance old lines of credit at more beneficial terms, as investors reached for yield in the continued artificially-low interest rate environment. Challenges emerged, as European sovereign-debt worries continued to pop up on news of elections, resignations and banking sector troubles. In addition, political upheaval in the Middle East and North Africa led to volatility in the global markets and created uncertainty regarding oil shipments. The natural and nuclear disasters in Japan also rattled the markets, as many of the country’s manufacturers had to shut down operations. Investors also feared that Japan, one of the largest holders of U.S. Treasuries, would liquidate its positions to rebuild.

Performance Results

For the six months ended March 31, 2011, Loomis Sayles Institutional High Income Fund returned 9.60%. The fund outperformed its benchmark, the Barclays Capital U.S. Corporate High-Yield Bond Index, which returned 7.23% for the period.

Explanation of Fund Performance

Favorable security selection and exposure to out-of-benchmark sectors were the main drivers of the fund’s outperformance relative to the benchmark. In particular, positions in convertible bonds and a small allocation to equities boosted relative returns due to strong underlying equity-market performance. In the high-yield sector, holdings in the industrials, utilities and financial segments posted strong returns, while consumer non-cyclical and cyclical, technology, finance, communication, capital goods and energy credits represented some of the strongest industry-based returns.

Although investment-grade securities and securities denominated in foreign currencies provided positive returns, the returns they generated were not as strong as the return of the benchmark. A small allocation to U.S. Treasuries posted negative results. While investors flocked to relatively safer assets during periods of increased volatility, a preference for risk dominated during the six-month period.

Outlook

We believe markets remain in transition regarding interest rates, with pressures building both globally and domestically. Globally, growth in many areas of the world remains robust; however, inflation concerns have begun to attract attention. Central banks will likely continue to shift toward less accommodative policy as 2011 progresses. We anticipate the Federal Reserve’s program of Treasury purchases in the United States, which is referred to as “QE2” (short for quantitative easing), will end during the second quarter and believe the U.S. economic recovery has sufficient momentum to continue expanding without outsized government stimulus.

9 |

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years
Institutional Class (Inception 6/5/96)		9.60	%		14.12	%		9.51	%		11.21	%
Comparative Performance
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		7.23			14.31			9.12			8.63
Lipper High Current Yield Funds Index^(b)		7.91			14.15			6.87			6.72

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.72%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.72%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2001 through March 31, 2011^(a)

LOGO

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 15 for a description of the indices.

What you should know

| 10

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Fund and manager review

FUND FACTS

Managers:

Neil Burke

Cliff Rowe, CFA

Richard Raczkowski

Symbols:


Institutional Class		LSDIX
Retail Class		LSDRX

Objective:

Above-average total return through a combination of current income and capital appreciation

Strategy:

Invests only in investment-grade fixed-income securities. The fund’s weighted average duration generally is two to five years. The fund may invest any portion of its assets in U.S.-dollar-denominated Canadian securities and up to 20% of its assets in other U.S.-dollar-denominated foreign securities, including emerging market securities.

Fund Inception Date:

January 28, 1998

Class Inception Date:

Institutional Class:

January 28, 1998

Retail Class:

May 28, 2010

Net Assets:

$56.8 million

Market Conditions

By the end of calendar year 2010, interest rates began to move steadily steeper, creating a challenging environment for most rate-sensitive sectors. A preference for riskier assets prevailed throughout much of the first quarter of 2011, but headline news, including a severe earthquake in Japan, political instability in the Middle East and North Africa, and the re-emergence of European sovereign-debt woes contributed to volatility that negatively influenced investor sentiment. Despite these headwinds, the markets remained relatively resilient, as positive corporate earning news and macroeconomic indicators supported a continuation of the economic recovery.

Performance Results

For the six months ended March 31, 2011, Institutional Class shares of Loomis Sayles Intermediate Duration Bond Fund returned -0.34%. The fund outperformed its benchmark, the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which returned -1.11% for the period.

Explanation of Fund Performance

Favorable issue selection and sector allocations contributed to the fund’s outperformance. In particular, commercial mortgage-backed securities (CMBS) continued to offer attractive value for the fund, and an overweight position in CMBS was the largest individual contributor to performance during the period. Our allocations remained concentrated in higher-quality, super-senior CMBS. Issue selection among U.S. corporate bonds also made a positive contribution to performance, helping to buoy returns in a challenging market environment. In particular, the fund’s holdings in the communications, energy and basic industry sectors boosted relative return. A small allocation to high-yield corporate securities, focused in the industrials segment, provided a small boost to excess return and generated the largest gains for the fund. Additionally, an underweight in U.S. Treasuries helped performance, because returns among Treasuries were largely negative in the rising-rate environment, and riskier assets performed better.

The fund’s longer-duration positions tended to underperform during the period, as interest rates ratcheted higher. Despite remaining in line with the benchmark in terms of duration, a negative yield curve effect was the largest detractor from the fund’s performance. Returns from Treasury securities declined during the period. Longer-duration positions weighed on performance, while issues at the shorter end of the yield curve eked out small positive gains. Within the corporate sector, returns were weakest in the capital goods, technology and transportation industries.

Outlook

We anticipate maintaining an overweight in corporate securities and structured assets while remaining underweight in Treasuries for the foreseeable future. There is a more cautious view of interest rates and yield curve effects going forward, due to the Federal Reserve Board’s scheduled conclusion to its second round of quantitative easing, popularly referred to as “QE2,” by the end of the second quarter. We expect to maintain the fund’s relatively neutral duration versus the benchmark. Anticipating future volatility as QE2 winds down, we will continue to diversify the fund’s holdings. In addition, we will continue to use Treasuries for liquidity and duration management.

11 |

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years

Institutional Class (Inception 1/28/98)		-0.34	%		5.63	%		6.83	%		5.66	%
Retail Class (Inception 5/28/10)^(a)		-0.37			5.61			6.58			5.35

Comparative Performance
Barclays Capital U.S. Intermediate Government/Credit Bond Index^(c)		-1.11			4.63			5.68			5.20
Lipper Intermediate Investment Grade Debt Funds Index^(c)		-0.01			6.68			5.77			5.34

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.73% Retail: 1.61%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.40% Retail: 0.65%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)

March 31, 2001 through March 31, 2011^(b)(d)

LOGO

Data quoted reflects past performance and cannot guarantee future results. Average annual total returns assume reinvestment of dividends and capital gains distributions. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. For performance current to the most recent month-end, please visit www.loomissayles.com. Current performance may be higher or lower than quoted.

^(a)

Prior to inception of Retail Class (5/28/10), performance is that of Institutional Class, restated to reflect the higher net expenses of Retail Class.

^(b)

The mountain chart is based on the fund’s initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 15 for a description of the indices.

^(d)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

What you should know:

| 12

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbols:


Institutional Class		LSIGX

Objective:

Above-average total investment return through a combination of current income and capital appreciation

Strategy:

Invests in primarily investment-grade fixed-income securities, although it may invest up to 10% of its assets in lower-quality fixed-income securities and up to 10% of its assets in preferred stocks. The fund may invest any portion of its assets in securities of Canadian issuers and up to 20% of assets in securities of other foreign issuers, including emerging markets.

Fund Inception Date:

July 1, 1994

Fund Registration Date:

March 7, 1997

Net Assets:

$455.4 million

Market Conditions

Riskier assets rallied during the period amid positive macroeconomic indicators and continued support from the Federal Reserve Board’s quantitative easing program, which involves significant purchases of Treasury securities. Many fourth-quarter 2010 earnings reports surpassed expectations, and consumer confidence trended higher. Late in the period, unrest in the Middle East and a devastating earthquake in Japan brought volatility back to the market. Commodity prices increased sharply, and inflationary pressures prompted China to raise reserve rates. Oil prices hit 12-month highs, as unrest in North Africa created supply concerns. On a bright note, the U.S. unemployment rate dropped to 8.8% in March from a high of 9.8% in November. Demand for risk and a technical rally continued to drive returns in corporate and securitized debt. Overall, corporate bonds outpaced U.S. Treasuries, as yield spreads continued to tighten.

Performance Results

For the six months ended March 31, 2011, Loomis Sayles Investment Grade Fixed Income Fund returned 3.39%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned -1.90% for the period.

Explanation of Fund Performance

Strong security selection and sector positioning within corporate credit, high-yield, non-U.S. dollar and convertibles were the primary drivers of the fund’s outperformance. In particular, a substantial allocation to the non-U.S.-dollar space boosted relative performance, as the commodity-rich nations of Canada, Australia, Norway and New Zealand provided the strongest returns. Additionally, strong security selection in the investment-grade corporate bond sector bolstered relative performance, with names in the finance, insurance, communication and transportation industries offering the best returns. A modest allocation to high-yield corporate bonds also contributed favorably, particularly in the consumer cyclical, transportation and finance industries. The fund’s commercial mortgage-backed securities and asset-backed securities offered strong returns relative to Treasuries and continued to support relative performance, while exposure to convertible bonds and preferred stock benefited from strong returns in the equity market. Selected names in the automotive, banking, technology and consumer non-cyclical industries performed the best. In addition, an underweight position in U.S. Treasuries helped relative performance, as demand for risk drove investors away from normally safer sectors, which lagged for the period.

The only notable detractor to relative performance was the fund’s yield-curve positioning. Specifically, the fund’s slightly-longer-than-benchmark duration weighed on returns, as the yield curve shifted up during the period. Duration is a measure of interest-rate sensitivity.

Outlook

We believe markets remain in transition regarding interest rates, with pressures building both globally and domestically. Globally, growth in many areas of the world remains robust; however, inflation concerns have begun to attract attention. Central banks will likely continue to shift toward less accommodative policy as 2011 progresses. We anticipate the Federal Reserve’s program of Treasury purchases in the United States, which is referred to as “QE2” (short for quantitative easing), will end during the second quarter and believe the U.S. economic recovery has sufficient momentum to continue expanding without outsized government stimulus.

13 |

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Average Annual Returns

March 31, 2011



	6 months			1 year			5 years			10 years
Institutional Class (Inception 7/1/94)		3.39	%		11.40	%		9.18	%		10.16	%
Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(b)		-1.90			5.26			5.83			5.53
Lipper BBB-Rated Funds Index^(b)		0.37			8.77			5.97			5.79

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.48%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.48%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2001 through March 31, 2011^(a)

LOGO

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 15 for a description of the indices.

What you should know

| 14

ADDITIONAL INFORMATION

Index Definitions

Indexes are unmanaged and do not have expenses that affect results, unlike mutual funds. Index returns are adjusted for the reinvestment of capital gain distributions and income dividends. It is not possible to invest directly in an index.

Barclays Capital U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities.

Barclays Capital U.S. Intermediate Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities with remaining maturities of one to ten years.

Barclays Capital Global Aggregate Bond Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-rate debt markets.

Barclays Capital U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar denominated, non-investment grade, fixed-rate, taxable corporate bond market.

Barclays Capital U.S. Treasury Inflation Protected Securities Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury.

Lipper BBB-Rated Funds Index is an unmanaged index that tracks the average performance of the 30 largest BBB-rated funds according to Lipper Inc.

Lipper Global Income Funds Index is an unmanaged index that tracks the average performance of the 30 largest global income funds according to Lipper Inc.

Lipper High Current Yield Funds Index is an unmanaged index that tracks the average performance of the 30 largest high current yield funds according to Lipper Inc.

Lipper Intermediate Investment Grade Debt Funds Index is an unmanaged index that tracks the average performance of the 30 largest intermediate investment grade debt funds according to Lipper Inc.

Lipper Treasury Inflation Protected Securities Funds Index is an unmanaged index that tracks the average performance of the 30 largest treasury inflation protected securities funds according to Lipper Inc.

Source: Lipper, Inc.

Proxy Voting Information

Quarterly Portfolio Schedules

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. These costs are described in more detail in each fund’s prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the fund from October 1, 2010 through March 31, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your Class.

The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

15 |

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,056.40		$3.23
Hypothetical (5% return before expenses)		$1,000.00		$1,021.79		$3.18

Retail Class
Actual		$1,000.00		$1,055.10		$4.71
Hypothetical (5% return before expenses)		$1,000.00		$1,020.34		$4.63

Admin Class
Actual		$1,000.00		$1,053.80		$6.14
Hypothetical (5% return before expenses)		$1,000.00		$1,018.95		$6.04
* Expenses are equal to the Fund’s annualized expense ratio: 0.63%, 0.92% and 1.20% for Institutional, Retail and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,056.40		$2.97
Hypothetical (5% return before expenses)		$1,000.00		$1,022.04		$2.92
* Expenses are equal to the Fund’s annualized expense ratio: 0.58%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,013.70		$3.31
Hypothetical (5% return before expenses)		$1,000.00		$1,021.64		$3.33

Retail Class
Actual		$1,000.00		$1,012.20		$4.92
Hypothetical (5% return before expenses)		$1,000.00		$1,020.04		$4.94
* Expenses are equal to the Fund’s annualized expense ratio: 0.66% and 0.98% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,014.00		$2.01
Hypothetical (5% return before expenses)		$1,000.00		$1,022.94		$2.02

Retail Class
Actual		$1,000.00		$1,013.10		$3.26
Hypothetical (5% return before expenses)		$1,000.00		$1,021.69		$3.28
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 16

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,096.00		$3.66
Hypothetical (5% return before expenses)		$1,000.00		$1,021.44		$3.53
* Expenses are equal to the Fund’s annualized expense ratio: 0.70%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Intermediate Duration Bond Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$996.60		$1.99
Hypothetical (5% return before expenses)		$1,000.00		$1,022.94		$2.02

Retail Class
Actual		$1,000.00		$996.30		$3.24
Hypothetical (5% return before expenses)		$1,000.00		$1,021.69		$3.28
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2010		Ending Account Value 3/31/2011		Expenses Paid During Period* 10/1/2010 – 3/31/2011
Actual		$1,000.00		$1,033.90		$2.48
Hypothetical (5% return before expenses)		$1,000.00		$1,022.49		$2.47
* Expenses are equal to the Fund’s annualized expense ratio: 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

17 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 86.8% of Net Assets

	Non-Convertible Bonds – 76.9%

		ABS Car Loan – 0.1%
$	10,423,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.394%, 8/20/2013, 144A(b)	$	10,200,077
	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		6,202,528

				16,402,605

		Aerospace & Defense – 0.1%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		1,593,778
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,117,440

				14,711,218

		Airlines – 2.1%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		56,463,125
	405,876	American Airlines Pass Through Trust, Series 1993-A6, 8.040%, 9/16/2011		405,876
	1,655,398	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		1,945,092
	146,307	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		148,867
	7,195,819	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		7,276,772
	2,090,679	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		2,085,452
	2,898,362	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,920,100
	8,657,826	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		8,484,669
	4,276,392	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		4,233,628
	2,527,025	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,754,458


Principal Amount (‡)		Description	Value (†)


		Airlines – continued
$	2,365,219	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022	$	2,560,350
	3,452,515	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,487,040
	2,741,509	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,864,877
	3,618,639	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		3,627,686
	17,074,761	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		17,501,630
	26,253,528	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022		26,450,429
	23,894,768	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		27,120,562
	28,806,593	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		31,111,120
	2,000,000	Delta Air Lines Pass Through Trust, Series 2001-1, Class A-2, 7.111%, 3/18/2013		2,060,000
	2,894,701	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,988,778
	4,593,778	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,743,076
	33,863,762	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		35,133,653
	9,017,945	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 12/17/2016		9,559,022
	2,825,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		3,001,563
	3,515,463	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,620,927
	26,198,659	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		26,722,632
	2,000,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		2,104,568
	44,235,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		47,111,160

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Airlines – continued
$	26,836,367	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024	$	27,104,730
	15,845,464	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		18,143,056
	27,843,000	US Airways Pass Through Trust, Series 2010-1, Class B, 8.500%, 10/22/2018		27,982,215

				411,717,113

		Automotive – 1.7%
	385,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		400,400
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,328,950
	9,800,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		14,305,211
	6,550,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		9,746,789
	2,590,000	Ford Motor Co., 6.375%, 2/01/2029		2,446,882
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,733,720
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,514,743
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		63,035,729
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		2,640,848
	122,204,000	Ford Motor Co., 7.450%, 7/16/2031		132,299,272
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,586,325
	55,235,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		59,787,800
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		7,991,526
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,678,540
	14,150,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		15,848,000
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,070,000
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		7,168,000

				334,582,735

		Banking – 6.2%
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		120,032,796
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		36,961,723
	35,170,000	BAC Capital Trust VI, 5.625%, 3/08/2035		30,691,136
	2,682,000	Bank of America Corp., 5.420%, 3/15/2017		2,738,011


Principal Amount (‡)		Description	Value (†)


		Banking – continued
$	7,290,000	Bank of America Corp., 6.000%, 9/01/2017	$	7,813,407
	12,823,000	Bank of America NA, 5.300%, 3/15/2017		13,164,938
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		78,217,726
	3,260,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		3,292,206
	274,980,870,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, 144A, (IDR)		31,172,394
	66,710,000	Citigroup, Inc., 5.000%, 9/15/2014		69,658,782
	1,445,000	Citigroup, Inc., 5.850%, 12/11/2034		1,416,925
	33,485,000	Citigroup, Inc., 5.875%, 2/22/2033		31,479,918
	15,880,000	Citigroup, Inc., 6.000%, 10/31/2033		15,163,637
	43,650,000	Citigroup, Inc., 6.125%, 5/15/2018		47,609,535
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		8,396,404
	72,120,000	Citigroup, Inc., 6.375%, 8/12/2014		79,724,189
	4,900,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		6,526,530
	87,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		93,838,200
	14,370,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		15,675,198
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		880,176
	54,175,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		54,642,476
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,127,337
	4,680,000	HBOS PLC, 6.000%, 11/01/2033, 144A		3,521,677
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		12,283,275
	599,419,948,660	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		64,681,594
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		37,325,631
	80,020,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		78,668,142
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		4,968,206
	6,110,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,794,828

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)	$	62,110,066
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		6,376,100
	8,660,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		9,618,593
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,309,804
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,147,454
	12,895,000	Morgan Stanley, 4.750%, 4/01/2014		13,436,796
	19,500,000	Morgan Stanley, 5.500%, 7/24/2020		19,486,292
	4,100,000	Morgan Stanley, 5.750%, 1/25/2021		4,138,114
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		122,433,150
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		9,804,816
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		12,859,657
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,372,906
	7,500,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		12,378,205

				1,246,938,950

		Brokerage – 0.0%
	1,295,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,196,995
	4,860,000	Jefferies Group, Inc., 8.500%, 7/15/2019		5,733,337

				6,930,332

		Building Materials – 0.8%
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,774,753
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,220,903
	19,873,000	Masco Corp., 6.125%, 10/03/2016		20,383,100
	2,900,000	Masco Corp., 6.500%, 8/15/2032		2,616,629
	26,195,000	Owens Corning, Inc., 6.500%, 12/01/2016		28,521,142
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		51,355,701
	35,870,000	USG Corp., 6.300%, 11/15/2016		33,717,800
	17,605,000	USG Corp., 9.750%, 1/15/2018		18,441,238

				163,031,266


Principal Amount (‡)		Description	Value (†)


		Chemicals – 0.7%
$	51,205,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A	$	61,134,213
	19,619,000	Hercules, Inc., 6.500%, 6/30/2029		16,504,483
	2,550,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		2,696,625
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		10,587,715
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		25,464,280
	2,886,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		2,683,980
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		10,513,650
	1,025,000	Mosaic Global Holdings, Inc., 7.375%, 8/01/2018		1,165,634

				130,750,580

		Collateralized Mortgage Obligations – 0.2%
	2,193,623	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.763%, 4/25/2037(b)		1,736,979
	10,029,033	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.734%, 7/25/2047(b)		6,303,257
	30,121,098	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.753%, 4/25/2035(b)		29,034,720

				37,074,956

		Commercial Mortgage-Backed Securities – 0.0%
	4,964,749	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.745%, 4/25/2035(b)		4,477,349

		Construction Machinery – 0.5%
	60,172,000	Case New Holland, Inc., 7.750%, 9/01/2013		65,512,265
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,000,474
	1,902,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,992,345
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		24,280,373

				93,785,457

		Consumer Cyclical Services – 0.6%
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		940,000
	6,175,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,986,313
	106,395,000	Western Union Co. (The), 6.200%, 11/17/2036		104,115,913

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Consumer Cyclical Services – continued
$	1,575,000	Western Union Co. (The), 6.200%, 6/21/2040	$	1,545,651

				111,587,877

		Consumer Products – 0.1%
	695,000	Acco Brands Corp., 7.625%, 8/15/2015		708,900
	7,210,000	Snap-on, Inc., 6.700%, 3/01/2019		8,149,326

				8,858,226

		Distributors – 0.0%
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,115,825
	3,805,000	ONEOK, Inc., 6.000%, 6/15/2035		3,701,504

				5,817,329

		Diversified Manufacturing – 0.4%
	8,473,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		9,193,205
	1,435,000	Textron Financial Corp., 5.400%, 4/28/2013		1,508,961
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		564,623
	19,900,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		28,046,677
	7,145,000	Textron, Inc., 5.600%, 12/01/2017		7,465,782
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		37,525,106

				84,304,354

		Electric – 2.8%
	4,875,000	AES Corp. (The), 7.750%, 3/01/2014		5,265,000
	12,356,963	AES Ironwood LLC, 8.857%, 11/30/2025		12,264,286
	1,432,373	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,453,859
	75,513,000	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		79,531,047
	3,105,000	Ameren Illinois Co., 6.250%, 4/01/2018		3,397,758
	94,196,017	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		98,844,638
	4,541,440	CE Generation LLC, 7.416%, 12/15/2018		4,660,571
	62,180,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		58,163,421
	134,000	Commonwealth Edison Co., 4.750%, 12/01/2011(c)		133,855
	5,295,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		3,891,825
	11,835,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		8,225,325
	3,504,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		2,719,980


Principal Amount (‡)		Description	Value (†)


		Electric – continued
$	23,200,000	Edison Mission Energy, 7.625%, 5/15/2027	$	17,284,000
	19,000,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		16,584,454
	11,581,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		12,933,035
	7,425,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		7,868,087
	4,250,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		4,904,645
	25,460,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		28,079,019
	37,955,000	ITC Holdings Corp., 6.375%, 9/30/2036, 144A		39,709,242
	23,775,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)		12,125,250
	581,702	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		582,051
	4,764,375	Quezon Power Philippines LC, 8.860%, 6/15/2017		5,193,169
	557,391	Salton Sea Funding Corp., Series E, 8.300%, 5/30/2011		559,698
	206,251	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		218,077
	70,980,000	TXU Corp., Series P, 5.550%, 11/15/2014		46,491,900
	140,586,000	TXU Corp., Series Q, 6.500%, 11/15/2024		65,723,955
	9,406,000	TXU Corp., Series R, 6.550%, 11/15/2034		4,326,760
	9,175,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		9,523,925
	14,695,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		13,916,165
	5,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		4,740,750

				569,315,747

		Entertainment – 0.0%
	10,000	Time Warner, Inc., 7.625%, 4/15/2031		11,536

		Financial Other – 0.2%
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		48,330,281

		Food & Beverage – 0.2%
	31,590,000	Corn Products International, Inc., 6.625%, 4/15/2037		33,019,100
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		6,840,441

				39,859,541

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Government Owned – No Guarantee – 0.6%
$	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A	$	31,753,800
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		16,974,938
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		80,230,741

				128,959,479

		Health Insurance – 0.1%
	10,565,000	CIGNA Corp., 6.150%, 11/15/2036		10,775,349

		Healthcare – 2.2%
	7,100,000	Boston Scientific Corp., 5.125%, 1/12/2017		7,262,214
	3,725,000	Boston Scientific Corp., 5.450%, 6/15/2014		3,975,525
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		16,146,860
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		7,883,187
	22,142,000	Boston Scientific Corp., 7.000%, 11/15/2035		22,611,964
	13,400,000	HCA, Inc., 5.750%, 3/15/2014		13,651,250
	7,800,000	HCA, Inc., 6.250%, 2/15/2013		8,092,500
	17,380,000	HCA, Inc., 6.375%, 1/15/2015		17,727,600
	63,735,000	HCA, Inc., 6.500%, 2/15/2016		64,850,362
	3,045,000	HCA, Inc., 6.750%, 7/15/2013		3,201,056
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		24,211,560
	20,287,000	HCA, Inc., 7.190%, 11/15/2015		20,388,435
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		25,654,860
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		24,281,638
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		67,152,202
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		44,984,000
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		20,663,370
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		11,637,010
	4,710,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		4,832,432
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		28,341,593
	560,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		616,700

				438,166,318


Principal Amount (‡)		Description	Value (†)


		Home Construction – 0.5%
$	6,430,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015	$	5,336,900
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		14,356,150
	6,249,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		5,670,968
	4,050,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		3,675,375
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,254,000
	895,000	KB Home, 5.875%, 1/15/2015		883,813
	6,007,000	Pulte Group, Inc., 5.200%, 2/15/2015		5,961,947
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		51,140,287
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		14,007,500
	3,930,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		4,011,406

				106,298,346

		Independent Energy – 0.8%
	9,585,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		10,550,161
	80,585,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		80,480,965
	5,925,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		8,722,287
	2,615,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		2,827,469
	13,805,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		14,909,400
	20,226,000	Connacher Oil and Gas Ltd., 10.250%, 12/15/2015, 144A		21,439,560
	3,640,000	Connacher Oil and Gas Ltd., 11.750%, 7/15/2014, 144A		3,913,000
	8,782,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		9,157,755
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,316,250

				162,316,847

		Industrial Other – 0.2%
	26,410,000	Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A		23,240,800
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,274,164

				34,514,964

		Integrated Energy – 0.0%
	1,028,864	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		1,095,740

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Life Insurance – 0.9%
	2,800,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)	$	3,859,678
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,366,480
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		30,275,150
	7,075,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		7,262,763
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		4,318,154
	6,655,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		9,626,448
	22,550,000	MetLife, Inc., 6.400%, 12/15/2066		21,717,905
	12,020,000	MetLife, Inc., 10.750%, 8/01/2069		16,587,600
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		58,678,211
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		12,450,285
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		5,494,525
	9,965,000	Unum Group, 7.125%, 9/30/2016		11,233,883

				184,871,082

		Local Authorities – 1.8%
	110,620,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		115,674,951
	15,305,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		16,002,043
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		98,632,154
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,028,553
	13,340,077	Province of Alberta, 5.930%, 9/16/2016, (CAD)		15,279,376
	730,000	Province of British Columbia, 5.750%, 1/09/2012, (CAD)		778,423
	760,000	Province of Ontario, 4.400%, 12/02/2011, (CAD)		799,956
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		76,369,263
	60,000	Queensland Treasury Corp., Series 11G, 6.000%, 6/14/2011, (AUD)		62,194


Principal Amount (‡)		Description	Value (†)


		Local Authorities – continued
	38,965,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)	$	40,595,637

				365,222,550

		Lodging – 0.0%
	8,450,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,755,484

		Media Cable – 1.3%
	174,935,000	Comcast Corp., 6.950%, 8/15/2037		190,448,936
	1,550,000	CSC Holdings LLC, 7.875%, 2/15/2018		1,720,500
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		39,693,171
	26,541,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		30,151,133

				262,013,740

		Media Non-Cable – 0.3%
	5,765,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		5,721,763
	44,385,000	News America, Inc., 6.150%, 3/01/2037		43,979,942

				49,701,705

		Metals & Mining – 0.4%
	11,557,000	Alcoa, Inc., 5.720%, 2/23/2019		12,018,332
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		5,050,218
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,933,974
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,788,994
	15,150,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		13,938,000
	11,175,000	United States Steel Corp., 6.050%, 6/01/2017		11,524,219
	9,625,000	United States Steel Corp., 6.650%, 6/01/2037		8,855,000
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		24,431,400

				84,540,137

		Mortgage Related – 0.0%
	223,613	FHLMC, 5.000%, 12/01/2031		235,650

		Non-Captive Consumer – 4.9%
	86,353,000	Residential Capital LLC, 9.625%, 5/15/2015		87,108,589
	1,305,000	SLM Corp., 6.000%, 5/10/2012, (AUD)		1,313,665
	150,125(††)	SLM Corp., 6.000%, 12/15/2043		3,155,252
	27,880,000	SLM Corp., MTN, 5.050%, 11/14/2014		28,142,853
	4,875,000	SLM Corp., MTN, 5.125%, 8/27/2012		5,031,175

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Consumer – continued
$	2,030,000	SLM Corp., MTN, 8.000%, 3/25/2020	$	2,212,700
	76,745,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		79,437,982
	57,166,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		57,556,444
	23,623,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		22,199,100
	28,262,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		29,396,776
	34,835,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		36,123,477
	45,279,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		38,711,190
	140,870,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		157,774,400
	37,484,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		49,536,176
	4,690,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		4,221,000
	10,870,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		10,693,362
	17,024,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		16,726,080
	27,427,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		26,809,892
	800,000	Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		798,000
	400,000	Springleaf Finance Corp., Series J, MTN, 5.625%, 8/17/2011		400,500
	4,800,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		4,752,000
	935,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		832,150
	340,340,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		310,985,675

				973,918,438

		Non-Captive Diversified – 7.6%
	30,190,000	Ally Financial, Inc., 6.750%, 12/01/2014		31,812,713
	23,588,000	Ally Financial, Inc., 7.500%, 12/31/2013		25,386,585
	50,810,000	Ally Financial, Inc., 7.500%, 9/15/2020, 144A		54,176,162
	44,981,000	Ally Financial, Inc., 8.000%, 12/31/2018		48,298,349
	35,442,000	Ally Financial, Inc., 8.000%, 11/01/2031		38,631,780
	72,545,000	Ally Financial, Inc., 8.300%, 2/12/2015		79,527,456


Principal Amount (‡)		Description	Value (†)


		Non-Captive Diversified – continued
$	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A	$	71,438,150
	13,608,616	CIT Group, Inc., 7.000%, 5/01/2013		13,863,778
	38,902,776	CIT Group, Inc., 7.000%, 5/01/2014		39,632,203
	38,902,776	CIT Group, Inc., 7.000%, 5/01/2015		39,243,175
	89,288,640	CIT Group, Inc., 7.000%, 5/01/2016		89,400,251
	102,048,173	CIT Group, Inc., 7.000%, 5/01/2017		102,175,733
	44,525,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		46,983,661
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		71,358,003
	15,000,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		12,090,012
	150,000,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		120,922,967
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		69,268,368
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.603%, 5/13/2024(b)		19,776,935
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		211,762,128
	7,270,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		7,454,572
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		369,000
	15,925,000	International Lease Finance Corp., 6.375%, 3/25/2013		16,482,375
	28,765,000	International Lease Finance Corp., 8.250%, 12/15/2020		31,533,631
	35,950,000	International Lease Finance Corp., 8.875%, 9/15/2015, 144A		39,545,000
	415,000	International Lease Finance Corp., Series Q, MTN, 5.250%, 1/10/2013		420,188
	3,680,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		3,739,800
	3,545,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,562,725
	52,875,000	iStar Financial, Inc., 5.150%, 3/01/2012		52,478,437

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	3,865,000	iStar Financial, Inc., 5.500%, 6/15/2012	$	3,826,350
	25,633,000	iStar Financial, Inc., 5.650%, 9/15/2011		25,697,083
	16,230,000	iStar Financial, Inc., 5.850%, 3/15/2017		14,160,675
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		25,860,730
	5,655,000	iStar Financial, Inc., 6.050%, 4/15/2015		5,174,325
	46,795,000	iStar Financial, Inc., 8.625%, 6/01/2013		47,496,925
	9,690,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		9,060,150
	60,205,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		57,044,237

				1,529,654,612

		Oil Field Services – 1.4%
	10,680,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		11,454,300
	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018		17,181,450
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		169,367,632
	4,497,000	Parker Drilling Co., 9.125%, 4/01/2018		4,834,275
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,341,357
	25,600,000	Weatherford International Ltd., 6.500%, 8/01/2036		25,596,954
	4,250,000	Weatherford International Ltd., 6.800%, 6/15/2037		4,419,838
	13,670,000	Weatherford International Ltd., 7.000%, 3/15/2038		14,478,950

				274,674,756

		Packaging – 0.2%
	3,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		4,999,348
	2,500,000	Owens-Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		3,596,144
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		20,345,265

				28,940,757

		Paper – 1.5%
	26,262,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		27,443,790
	31,317,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		33,039,435
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		532,275
	80,840,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		88,822,950


Principal Amount (‡)		Description	Value (†)


		Paper – continued
$	21,749,000	Georgia-Pacific LLC, 8.000%, 1/15/2024	$	24,848,232
	16,307,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		19,690,703
	4,447,000	International Paper Co., 6.875%, 11/01/2023		4,758,779
	10,392,000	International Paper Co., 8.700%, 6/15/2038		13,322,014
	24,586,000	Westvaco Corp., 7.950%, 2/15/2031		25,722,045
	36,799,000	Westvaco Corp., 8.200%, 1/15/2030		39,272,850
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,107,038
	12,470,000	Weyerhaeuser Co., 7.375%, 3/15/2032		13,149,453

				294,709,564

		Pharmaceuticals – 0.1%
	22,630,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		23,393,763

		Pipelines – 2.3%
	27,325,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		27,777,775
	12,209,000	El Paso Corp., 6.950%, 6/01/2028		12,369,011
	2,045,000	El Paso Corp., 7.420%, 2/15/2037		2,092,816
	1,500,000	El Paso Corp., GMTN, 7.750%, 1/15/2032		1,680,873
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,109,361
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,177,864
	11,435,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		11,948,237
	25,030,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		28,220,149
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,046,335
	56,672,004	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		61,298,706
	116,405,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		130,063,148
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		63,780,850
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,412,871
	28,845,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		31,945,088
	62,130,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		65,697,194
	5,572,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		5,502,350

				462,122,628

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Property & Casualty Insurance – 0.5%
$	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020	$	4,347,551
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		15,816,627
	51,522,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		48,500,441
	8,600,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		4,730,000
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,361,911
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		6,528,344
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,194,691

				94,479,565

		Property Trust – 0.4%
	68,360,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		78,437,494

		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		5,421,780
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		58,869

				5,480,649

		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,305,832

		Refining – 0.0%
	1,782,000	Valero Energy Corp., 6.625%, 6/15/2037		1,796,174

		REITs – Apartments – 0.3%
	2,565,000	Camden Property Trust, 5.000%, 6/15/2015		2,743,078
	40,075,000	Camden Property Trust, 5.700%, 5/15/2017		43,868,219
	4,680,000	ERP Operating LP, 5.125%, 3/15/2016		5,025,655
	3,000,000	ERP Operating LP, 5.375%, 8/01/2016		3,262,401

				54,899,353

		REITs – Diversified – 0.0%
	5,720,000	Duke Realty LP, 5.950%, 2/15/2017		6,170,261

		REITs – Office Property – 0.3%
	57,890,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		61,610,417


Principal Amount (‡)		Description	Value (†)


		REITs – Office Property – continued
$	5,640,000	Highwoods Properties, Inc., 7.500%, 4/15/2018	$	6,446,751

				68,057,168

		REITs – Regional Malls – 0.1%
	9,032,000	Simon Property Group LP, 5.750%, 12/01/2015		10,045,228
	1,690,000	Simon Property Group LP, 6.125%, 5/30/2018		1,894,006

				11,939,234

		REITs – Warehouse/Industrials – 0.1%
	6,022,000	ProLogis, 5.625%, 11/15/2015		6,390,926
	6,110,000	ProLogis, 5.625%, 11/15/2016		6,400,231
	6,375,000	ProLogis, 5.750%, 4/01/2016		6,847,388
	2,332,000	ProLogis, 6.625%, 5/15/2018		2,525,952
	1,595,000	ProLogis, 6.875%, 3/15/2020		1,745,295
	3,020,000	ProLogis, 7.375%, 10/30/2019		3,420,292

				27,330,084

		Retailers – 1.0%
	1,920,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,891,200
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,165,200
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,753,050
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		6,894,720
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		945,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022		14,411,690
	5,160,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		5,198,700
	50,232,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		45,271,590
	2,798,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		2,895,930
	5,580,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,994,100
	28,445,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		28,445,000
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		13,673,678
	2,098,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,124,225
	1,485,000	Macy’s Retail Holdings, Inc., 8.375%, 7/15/2015		1,726,313
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,828,004
	39,965,000	Toys R Us, Inc., 7.375%, 10/15/2018		40,064,912
	11,255,000	Toys R Us, Inc., 7.875%, 4/15/2013		12,099,125

				195,382,437

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Sovereigns – 3.8%
	10,000,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)	$	1,225,862
	25,000,000,000	Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,128,961
	145,156,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		18,924,425
	498,832,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		62,849,108
	317,658,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		40,316,719
	378,003,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		39,316,045
	5,258,000(†††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		44,696,393
	28,585,700(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		243,957,006
	4,557,000(†††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		40,507,263
	98,690,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		60,145,500
	17,305,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		12,030,242
	114,735,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		81,519,370
	26,800,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		28,073,000
	1,910,000,000	Republic of Iceland, Zero Coupon, 7/15/2011, (ISK)		9,792,362
	5,263,700,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		27,610,697
	4,616,100,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		25,902,779
	5,473,160,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		28,698,358

				768,694,090

		Supermarkets – 0.7%
	3,000,000	American Stores Co., 7.900%, 5/01/2017		2,887,500
	13,145,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		9,924,475
	100,590,000	New Albertson’s, Inc., 7.450%, 8/01/2029		79,466,100
	20,550,000	New Albertson’s, Inc., 7.750%, 6/15/2026		17,107,875
	9,715,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,966,300
	2,995,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,568,213


Principal Amount (‡)		Description	Value (†)


		Supermarkets – continued
$	17,575,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	12,741,875

				132,662,338

		Supranational – 2.0%
	11,505,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		7,240,191
	837,962,640,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		84,003,168
	16,500,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		12,965,813
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		74,889,450
	345,270,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		33,779,559
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		148,320,942
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		31,863,514

				393,062,637

		Technology – 2.0%
	1,940,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		1,993,350
	65,276,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		72,822,036
	1,000,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,466,801
	71,937,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		61,865,820
	3,916,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,367,760
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,867,187
	12,555,000	Avnet, Inc., 5.875%, 3/15/2014		13,497,115
	50,915,000	Avnet, Inc., 6.000%, 9/01/2015		54,690,856
	15,245,000	Avnet, Inc., 6.625%, 9/15/2016		16,685,576
	10,821,000	Corning, Inc., 6.850%, 3/01/2029		12,179,176
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,444,744
	3,640,000	Eastman Kodak Co., 7.250%, 11/15/2013		3,621,800
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		16,606,693
	430,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		445,588
	6,016,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		6,392,000

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Technology – continued
$	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017	$	1,016,703
	15,055,000	Motorola Solutions, Inc., 6.500%, 9/01/2025		15,841,564
	32,320,000	Motorola Solutions, Inc., 6.500%, 11/15/2028		33,214,521
	33,295,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		35,725,602
	12,015,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		8,831,025
	18,622,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		4,841,720
	4,301,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		5,050,836
	28,030,000	Xerox Capital Trust I, 8.000%, 2/01/2027		28,520,525
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,227
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		706,471

				408,740,696

		Tobacco – 0.5%
	71,085,000	Reynolds American, Inc., 6.750%, 6/15/2017		81,289,394
	17,990,000	Reynolds American, Inc., 7.250%, 6/15/2037		19,039,950

				100,329,344

		Transportation Services – 0.5%
	20,469,000	APL Ltd., 8.000%, 1/15/2024(c)		14,021,265
	29,151,288	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		28,859,775
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)		5,503,701
	10,413,583	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		10,205,311
	520,914	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 7/02/2011		510,495
	13,376,540	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		11,905,121
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)		12,551,998
	7,695,836	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017(e)		7,772,794
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(e)		173,479
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		2,914,487

				94,418,426


Principal Amount (‡)		Description	Value (†)


		Treasuries – 16.6%
	587,055,000	Canadian Government, 2.000%, 9/01/2012, (CAD)	$	608,920,452
	228,647,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		243,839,821
	94,395,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		99,915,574
	246,645,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		263,855,453
	297,760,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		330,072,872
	5,954,553	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		4,226,818
	1,950,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		1,702,616
	38,475,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		32,339,814
	19,500,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		16,688,263
	161,775,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		161,885,736
	54,925,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		52,736,382
	9,025,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		8,817,709
	114,275,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		107,854,150
	33,000,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		26,342,018
	224,730,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		181,649,103
	668,075,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		125,676,381
	319,620,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		61,495,460
	530,990,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		96,414,015
	2,021,445,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		392,623,999
	35,750,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		35,556,612
	9,000,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		9,897,338
	490,910,000	U.S. Treasury Bond, 4.250%, 11/15/2040		469,509,269

				3,332,019,855

		Utility Other – 0.0%
	4,800,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		5,310,288

		Wireless – 1.1%
	57,512,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		57,655,780

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wireless – continued
$	40,092,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015	$	40,242,345
	4,680,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		4,715,100
	34,124,000	Sprint Capital Corp., 6.875%, 11/15/2028		31,479,390
	38,286,000	Sprint Capital Corp., 6.900%, 5/01/2019		39,530,295
	8,390,000	Sprint Capital Corp., 8.750%, 3/15/2032		8,924,863
	15,252,000	Sprint Nextel Corp., 6.000%, 12/01/2016		15,309,195
	16,745,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		18,126,462

				215,983,430

		Wirelines – 3.2%
	20,118,000	AT&T Corp., 6.500%, 3/15/2029		21,286,132
	8,395,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		8,059,200
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,326,478
	12,705,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		14,814,069
	37,096,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		37,981,024
	3,940,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		4,014,974
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		800,000
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		9,847,848
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,936,625
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		746,425
	17,975,000	GTE Corp., 6.940%, 4/15/2028		19,928,793
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,747,595
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,960,941
	68,090,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		67,579,325
	17,580,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		17,975,550
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		3,429,788
	10,210,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		11,071,564


Principal Amount (‡)		Description	Value (†)


		Wirelines – continued
	20,159,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)	$	24,533,049
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		30,972,300
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		63,665,897
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,562,000
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		43,047,300
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		38,072,531
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,512,525
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		11,310,300
	2,890,000	Qwest Corp., 7.500%, 6/15/2023		2,897,225
	39,844,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		36,053,082
	26,495,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		25,003,782
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		48,518,866
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		27,988,484
	18,105,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		16,342,243
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,360,652
	10,310,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		11,567,263
	7,860,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		7,319,075

				642,232,905


		Total Non-Convertible Bonds
		(Identified Cost $13,984,043,370)		15,398,101,621


	Convertible Bonds – 8.6%
		Airlines – 0.1%
	15,985,000	AMR Corp., 6.250%, 10/15/2014		16,824,212
	1,730,000	UAL Corp., 4.500%, 6/30/2021		1,753,874

				18,578,086

		Automotive – 1.7%
	2,615,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		2,579,044
	176,290,000	Ford Motor Co., 4.250%, 11/15/2016		319,525,625
	12,335,000	Navistar International Corp., 3.000%, 10/15/2014		18,625,850

				340,730,519

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Diversified Manufacturing – 0.3%
$	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A	$	44,990,225
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		26,200,330

				71,190,555

		Electric – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,453,750

		Healthcare – 0.5%
	32,436,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		31,300,740
	14,480,000	Life Technologies Corp., 1.500%, 2/15/2024		16,796,800
	285,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		294,619
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,673,150
	3,107,000	Omnicare, Inc., 3.250%, 12/15/2035		2,881,743
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		38,469,187

				92,416,239

		Independent Energy – 0.1%
	10,809,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		9,930,769
	9,405,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		10,216,181

				20,146,950

		Life Insurance – 0.4%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		73,188,431

		Lodging – 0.1%
	27,935,000	Host Hotels & Resorts, Inc., 2.625%, 4/15/2027, 144A		27,969,919

		Media Non-Cable – 0.0%
	10,067,087	Liberty Media LLC, 3.500%, 1/15/2031		5,637,569

		Metals & Mining – 0.1%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,606,400
	16,535,000	United States Steel Corp., 4.000%, 5/15/2014		30,155,706

				31,762,106

		Non-Captive Diversified – 0.3%
	60,585,000	iStar Financial, Inc., 0.803%, 10/01/2012(b)		55,283,812

		Pharmaceuticals – 1.2%
	940,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		1,666,150


Principal Amount (‡)		Description	Value (†)


		Pharmaceuticals – continued
$	51,585,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012	$	83,567,700
	4,120,000	Kendle International, Inc., 3.375%, 7/15/2012		3,903,700
	26,120,000	Nektar Therapeutics, 3.250%, 9/28/2012		26,315,900
	34,079,000	Valeant Pharmaceuticals International, 4.000%, 11/15/2013		134,612,050

				250,065,500

		REITs – Warehouse/Industrials – 0.2%
	28,230,000	ProLogis, 3.250%, 3/15/2015		33,134,962

		Technology – 2.8%
	330,000	Ciena Corp., 0.250%, 5/01/2013		336,600
	45,854,000	Ciena Corp., 0.875%, 6/15/2017		44,764,967
	8,030,000	Ciena Corp., 3.750%, 10/15/2018, 144A		12,024,925
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		12,716,200
	11,651,000	Intel Corp., 2.950%, 12/15/2035		11,985,966
	343,275,000	Intel Corp., 3.250%, 8/01/2039		403,777,219
	10,025,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		10,012,469
	21,955,000	Micron Technology, Inc., 1.875%, 6/01/2014		23,876,063
	1,045,000	Nortel Networks Corp., 1.750%, 4/15/2012(d)		900,006
	49,636,000	Nortel Networks Corp., 2.125%, 4/15/2014(d)		42,749,005

				563,143,420

		Textile – 0.0%
	102,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		98,940

		Wirelines – 0.8%
	20,455,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		20,173,744
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		75,030,454
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		56,994,656

				152,198,854


		Total Convertible Bonds
		(Identified Cost $1,294,259,442)		1,736,999,612

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

	Municipals – 1.3%

		California – 0.3%
$	5,425,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028	$	3,751,116
	2,165,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,611,864
	20,455,000	State of California, 4.500%, 10/01/2029		17,780,100
	5,805,000	State of California, 4.500%, 8/01/2030		4,997,467
	7,340,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		6,610,551
	5,945,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		5,117,991
	17,945,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		15,122,610
	3,805,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		2,834,687

				57,826,386

		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		5,457,015

		Illinois – 0.3%
	69,245,000	State of Illinois, 5.100%, 6/01/2033		56,148,693
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,899,247

				58,047,940

		Michigan – 0.1%
	21,020,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		14,909,696

		Ohio – 0.0%
	10,390,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		6,891,999


Principal Amount (‡)		Description	Value (†)


		Virginia – 0.6%
$	178,970,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)	$	112,563,182


		Total Municipals
		(Identified Cost $331,072,706)		255,696,218


		Total Bonds and Notes
		(Identified Cost $15,609,375,518)		17,390,797,451


	Bank Loans – 0.3%

		Electric – 0.0%
	7,195,436	Texas Competitive Electric Holdings Company, LLC, Term Loan B2, 3.783%, 10/10/2014(g)		6,056,614

		Media Non-Cable – 0.1%
	4,319,791	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(g)		3,823,922
	37,309,205	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		24,649,446

				28,473,368

		Wireless – 0.1%
	12,129,970	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(g)(h)		12,354,375

		Wirelines – 0.1%
	11,414,523	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/24/2016(g)		11,001,888
	3,415,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.553%, 3/13/2014(g)		3,310,603

				14,312,491


		Total Bank Loans
		(Identified Cost $85,672,471)		61,196,848


	Shares

	Preferred Stocks – 2.7%

	Convertible Preferred Stocks – 1.9%

		Automotive – 0.9%
	2,624,400	General Motors Co., Series B, 4.750%		126,496,080
	949,385	Goodyear Tire & Rubber Co. (The), 5.875%		48,494,586

				174,990,666

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		Capital Markets – 0.1%
	270,416	Newell Financial Trust I, 5.250%	$	12,946,166

		Commercial Banks – 0.1%
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		12,922,402

		Diversified Financial Services – 0.2%
	25,823	Bank of America Corp., Series L, 7.250%		26,106,795
	304,895	Sovereign Capital Trust IV, 4.375%		13,567,827

				39,674,622

		Electric Utilities – 0.1%
	346,577	AES Trust III, 6.750%		16,912,958
	208,375	CMS Energy Trust I, 7.750%(c)(i)		9,376,875

				26,289,833

		Machinery – 0.1%
	263,437	United Rentals Trust I, 6.500%		12,381,539

		Oil, Gas & Consumable Fuels – 0.2%
	87,351	Chesapeake Energy Corp., 4.500%		8,473,047
	269,293	El Paso Energy Capital Trust I, 4.750%		11,916,215
	144,600	SandRidge Energy, Inc., 8.500%		26,146,572
	25,000	Williams Cos., Inc., 5.500%		3,581,250

				50,117,084

		REITs – Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		8,969,015

		Semiconductors & Semiconductor Equipment – 0.2%
	52,704	Lucent Technologies Capital Trust I, 7.750%		51,649,920


		Total Convertible Preferred Stocks
		(Identified Cost $349,582,523)		389,941,247


	Non-Convertible Preferred Stocks – 0.8%

		Banking – 0.2%
	52,843	Ally Financial, Inc., Series G, 7.000%, 144A		49,170,412

		Diversified Financial Services – 0.2%
	53,000	Bank of America Corp., 6.375%		1,186,670
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		33,611,580

				34,798,250

		Electric Utilities – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		102,923


Shares		Description	Value (†)


		Electric Utilities – continued
	100	Entergy Arkansas, Inc., 4.320%	$	7,844
	5,000	Entergy Mississippi, Inc., 4.360%		375,781
	665	Entergy New Orleans, Inc., 4.360%		52,639
	200	Entergy New Orleans, Inc., 4.750%		16,225
	645	MDU Resources Group, Inc., 5.100%		64,863
	360	Public Service Company of Oklahoma, 4.000%		27,090
	50,100	Southern California Edison Co., 4.780%		1,060,617

				1,707,982

		Household Durables – 0.0%
	36,783	Hovnanian Enterprises, Inc., 7.625%(e)		248,285

		Multi Utilities – 0.0%
	1,100	Xcel Energy, Inc., 3.600%		75,911

		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,470,119

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Series C, 8.540%		9,126,378

		Software – 0.2%
	38,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		41,051,875

		Thrifts & Mortgage Finance – 0.1%
	534,725	Countrywide Capital IV, 6.750%		13,245,138

		Total Non-Convertible Preferred Stocks
		(Identified Cost $102,702,022)		151,894,350


		Total Preferred Stocks
		(Identified Cost $452,284,545)		541,835,597


	Common Stocks – 2.6%

		Biotechnology – 0.3%
	1,409,794	Vertex Pharmaceuticals, Inc.(e)		67,571,426

		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(e)		19,487,887
	8,919	Smurfit-Stone Container Corp.(e)		344,719

				19,832,606

		Diversified Telecommunication Services – 0.1%
	269,619	FairPoint Communications, Inc.(e)		4,548,472
	403,884	Hawaiian Telcom Holdco, Inc.(e)		10,601,955

				15,150,427

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Electronic Equipment, Instruments & Components – 0.1%
	630,490	Corning, Inc.	$	13,007,009

		Media – 0.0%
	4,746	Dex One Corp.(e)		22,971
	79,727	SuperMedia, Inc.(e)		497,496

				520,467

		Oil, Gas & Consumable Fuels – 0.2%
	1,026,979	Chesapeake Energy Corp.		34,424,336
	313,333	Repsol YPF SA, Sponsored ADR		10,794,322

				45,218,658

		Pharmaceuticals – 0.4%
	1,528,400	Bristol-Myers Squibb Co.		40,395,612
	690,207	Valeant Pharmaceuticals International, Inc.		34,379,211

				74,774,823

		Semiconductors & Semiconductor Equipment – 1.4%
	14,199,033	Intel Corp.		286,394,496


		Total Common Stocks
		(Identified Cost $417,869,200)		522,469,912


	Closed End Investment Companies – 0.2%
	147,148	Dreyfus High Yield Strategies Fund		687,181
	60,769	DWS High Income Trust		616,198
	860,000	Highland Credit Strategies Fund		6,458,600
	337,212	Morgan Stanley Emerging Markets Debt Fund, Inc.		3,429,446
	2,203,264	Western Asset High Income Opportunity Fund, Inc.		14,012,759
	1,077,051	Western Asset Managed High Income Fund, Inc.		6,871,585


		Total Closed End Investment Companies
		(Identified Cost $37,855,232)		32,075,769


Principal Amount (‡)		Description	Value (†)


	Short-Term Investments – 6.2%
$	1,242,914,288	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $1,242,914,288 on 4/01/2011 collateralized by $14,665,000 Federal Home Loan Bank, 2.350% due 12/21/2015 valued at $14,555,013; $1,540,000 Federal Home Loan Mortgage Corp., 2.500% due 1/14/2016 valued at $1,545,775; $150,000,000 Federal Home Loan Mortgage Corp., 1.750% due 11/17/2015 valued at $148,125,000; $203,575,000 Federal National Mortgage Association, 4.375% due 10/15/2015 valued at $225,968,250; $150,000,000 Federal National Mortgage Association, 1.550% due 11/12/2015 valued at $146,250,000; $100,000,000 Federal National Mortgage Association, 1.650% due 10/29/2015 valued at $97,250,000; $33,000,000 Federal Home Loan Mortgage Corp., 2.125% due 8/25/2015 valued at $32,175,000; $116,425,000 Federal National Mortgage Association, 4.375% due 10/15/2015 valued at $129,231,750; $48,540,000 Federal National Mortgage Association, 2.000% due 8/05/2015 valued at $48,722,025; $59,000,000 Federal National Mortgage Association, 2.000% due 8/18/2015 valued at $58,778,750; $32,000,000 Federal National Mortgage Association, 2.050% due 10/08/2015 valued at $31,880,000; $335,000,000 Federal National Mortgage Association, 2.000% due 9/21/2015 valued at $332,906,250; $70,000 Federal National Mortgage Association Discount Note, due 5/02/2011 valued at $70,000; $310,000 U.S. Treasury Note, 3.625% due 2/15/2020 valued at $320,075 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,242,914,288)	$	1,242,914,288


		Total Investments – 98.8%
		(Identified Cost $17,845,971,254)(a)		19,791,289,865
		Other Assets Less Liabilities—1.2%		233,779,611


		Net Assets – 100.0%	$	20,025,069,476

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Bond Fund – continued


(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $17,905,251,847 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,271,391,644
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(385,353,626	)

	Net unrealized appreciation	$	1,886,038,018

(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(c)	Illiquid security. At March 31, 2011, the value of these securities amounted to $524,964,870 or 2.6% of net assets.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Non-income producing security.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(g)	Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.
(h)	All or a portion of interest payment is paid-in-kind.
(i)	Fair valued security by the Fund’s investment adviser. At March 31, 2011 the value of this security amounted to $9,376,875 representing less than 0.01% of net assets.

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 March 31, 2011, the value of Rule 144A holdings amounted to $2,043,629,882 or 10.2% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
AGMC	Assured Guaranty Municipal Corp.
AMBAC	American Municipal Bond Assurance Corp.
EMTN	Euro Medium Term Note
FHLMC	Federal Home Loan Mortgage Corp.
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

Industry Summary at March 31, 2011 (Unaudited)


Treasuries	16.6	%
Non-Captive Diversified	7.9
Banking	6.4
Non-Captive Consumer	4.9
Technology	4.8
Automotive	4.3
Wirelines	4.1
Sovereigns	3.8
Electric	2.8
Healthcare	2.7
Pipelines	2.3
Airlines	2.2
Supranational	2.0
Other Investments, less than 2% each	27.8
Short-Term Investments	6.2

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

Currency Exposure at March 31, 2011 (Unaudited)


United States Dollar	69.5	%
Canadian Dollar	9.0
New Zealand Dollar	4.0
Norwegian Krone	3.4
Euro	3.0
Australian Dollar	2.6
Indonesian Rupiah	2.6
Other, less than 2% each	4.7

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 86.3% of Net Assets

	Non-Convertible Bonds – 76.4%

		ABS Other – 0.1%
$	725,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029	$	685,589

		Aerospace & Defense – 0.0%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		168,000

		Airlines – 0.6%
	6,244	American Airlines Pass Through Trust, Series 1993-A6, 8.040%, 9/16/2011		6,244
	484,865	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		569,716
	299,574	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		302,944
	50,956	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		51,466
	172,849	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		173,282
	548,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		582,250
	1,427,237	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,480,758
	450,897	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 12/17/2016		477,951
	1,098,391	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,109,375

				4,753,986

		Automotive – 2.7%
	2,400,000	Cummins, Inc., 7.125%, 3/01/2028		2,659,747
	300,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		437,915
	200,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		297,612
	765,000	Ford Motor Co., 6.375%, 2/01/2029		722,728
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,078,411
	165,000	Ford Motor Co., 6.625%, 2/15/2028		160,213
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,105,329
	690,000	Ford Motor Co., 7.125%, 11/15/2025		669,921
	9,250,000	Ford Motor Co., 7.450%, 7/16/2031		10,014,142
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,651,585


Principal Amount (‡)		Description	Value (†)


		Automotive – continued
$	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015	$	698,165
	565,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		641,378
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		352,500

				23,489,646

		Banking – 5.7%
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,911,062
	2,385,000	BAC Capital Trust VI, 5.625%, 3/08/2035		2,081,273
	500,000	Bank of America Corp., 4.850%, 11/15/2014		501,176
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,153,925
	18,710,000,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, 144A, (IDR)		2,121,004
	6,020,000	Citigroup, Inc., 5.000%, 9/15/2014		6,286,102
	135,000	Citigroup, Inc., 5.850%, 12/11/2034		132,377
	3,075,000	Citigroup, Inc., 5.875%, 2/22/2033		2,890,869
	1,460,000	Citigroup, Inc., 6.000%, 10/31/2033		1,394,138
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		758,108
	200,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		266,389
	1,470,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		1,482,685
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		1,984,980
	21,194,634,240	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		2,287,049
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		114,017
	600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		569,050
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		1,304,706
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		275,817
	595,000	Morgan Stanley, 4.750%, 4/01/2014		619,999
	7,000,000	Morgan Stanley, 5.500%, 7/24/2020		6,995,079
	6,700,000	Morgan Stanley, 5.750%, 1/25/2021		6,762,283
	370,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		390,055
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		4,272,135

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	625,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017	$	671,336
	350,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		577,649

				48,803,263

		Building Materials – 1.0%
	860,000	Masco Corp., 4.800%, 6/15/2015		854,586
	240,000	Masco Corp., 5.850%, 3/15/2017		235,317
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,666,737
	305,000	Masco Corp., 6.500%, 8/15/2032		275,197
	805,000	Owens Corning, Inc., 6.500%, 12/01/2016		876,485
	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,057,038
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,579,200

				8,544,560

		Chemicals – 1.3%
	3,440,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		4,107,054
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		124,278
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,568,365
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		4,296,800
	55,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		51,150
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		841,650

				10,989,297

		Collateralized Mortgage Obligations – 0.1%
	1,200,597	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.753%, 4/25/2035(b)		1,157,295

		Commercial Mortgage-Backed Securities – 0.1%
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		99,957
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,047,352

				1,147,309

		Construction Machinery – 0.1%
	965,000	Toro Co., 6.625%, 5/01/2037(c)		866,835


Principal Amount (‡)		Description	Value (†)


		Distributors – 0.1%
$	1,000,000	ONEOK, Inc., 6.000%, 6/15/2035	$	972,800

		Diversified Manufacturing – 0.2%
	245,000	Textron, Inc., 5.600%, 12/01/2017		255,999
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,487,334

				1,743,333

		Electric – 3.5%
	730,000	AES Corp. (The), 7.750%, 3/01/2014		788,400
	3,100,000	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,264,951
	4,174,607	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		4,380,626
	380,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		279,300
	810,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		562,950
	1,700,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,483,872
	1,589,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		1,774,509
	2,890,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		3,062,461
	275,000	Enersis SA, 7.375%, 1/15/2014		306,110
	4,000,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		4,616,136
	3,517,985	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A		3,712,741
	695,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)		354,450
	244,070	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		244,216
	1,101,100	Quezon Power Philippines LC, 8.860%, 6/15/2017		1,200,199
	765,000	TXU Corp., Series P, 5.550%, 11/15/2014		501,075
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		708,263
	1,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		770,500
	450,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		467,114
	670,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		634,490
	1,280,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		1,213,632

				30,325,995

		Entertainment – 0.5%
	2,065,000	Time Warner, Inc., 6.625%, 5/15/2029		2,201,940
	730,000	Time Warner, Inc., 7.625%, 4/15/2031		842,105
	1,155,000	Time Warner, Inc., 7.700%, 5/01/2032		1,346,913

				4,390,958

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Food & Beverage – 0.5%
$	1,540,000	Corn Products International, Inc., 6.625%, 4/15/2037	$	1,609,668
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		2,928,564

				4,538,232

		Government Owned - No Guarantee – 0.9%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,208,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,997,313
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,388,642

				7,593,955

		Healthcare – 2.6%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		434,710
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		309,504
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		474,300
	860,000	Boston Scientific Corp., 7.000%, 11/15/2035		878,254
	455,000	HCA, Inc., 5.750%, 3/15/2014		463,531
	2,345,000	HCA, Inc., 6.250%, 2/15/2013		2,432,937
	410,000	HCA, Inc., 6.375%, 1/15/2015		418,200
	610,000	HCA, Inc., 6.500%, 2/15/2016		620,675
	115,000	HCA, Inc., 6.750%, 7/15/2013		120,894
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,155,050
	820,000	HCA, Inc., 7.190%, 11/15/2015		824,100
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,393,875
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,321,200
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,533,650
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,220,000
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,761,525
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		402,050
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		328,318
	1,075,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		890,906

				21,983,679

		Home Construction – 0.9%
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		85,675


Principal Amount (‡)		Description	Value (†)


		Home Construction – continued
$	155,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014	$	140,662
	115,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		104,363
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,674,500
	1,152,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,143,360
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,067,400
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,592,500
	275,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		280,696

				8,089,156

		Independent Energy – 1.5%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,512,254
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,107,831
	2,845,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		2,841,327
	380,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		410,875
	900,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		972,000
	792,000	Connacher Oil and Gas Ltd., 10.250%, 12/15/2015, 144A		839,520
	525,000	Connacher Oil and Gas Ltd., 11.750%, 7/15/2014, 144A		564,375
	1,465,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,527,683

				12,775,865

		Industrial Other – 0.2%
	1,575,000	Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A		1,386,000

		Integrated Energy – 0.1%
	857,385	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		913,115

		Life Insurance – 1.1%
	615,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		640,606
	175,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		179,644
	500,000	Hartford Life Insurance Co., 3.830%, 9/15/2011(b)		503,935
	1,000,000	MetLife, Inc., 6.400%, 12/15/2066		963,100
	3,385,000	MetLife, Inc., 10.750%, 8/01/2069		4,671,300
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,128,946
	1,000,000	Protective Life Secured Trust, 3.360%, 9/10/2014(b)		997,930

				9,085,461

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Local Authorities – 5.2%
	3,240,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)	$	3,388,057
	845,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		883,484
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,404,691
	672,508	Province of Alberta, 5.930%, 9/16/2016, (CAD)		770,273
	11,700,000	Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		11,449,708
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		21,191,586
	2,150,000	Queensland Treasury Corp., Series 11G, 6.000%, 6/14/2011, (AUD)		2,228,633

				44,316,432

		Lodging – 0.0%
	150,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		153,188

		Media Cable – 0.2%
	26,000	CSC Holdings LLC, 6.750%, 4/15/2012		26,975
	170,000	CSC Holdings LLC, 7.875%, 2/15/2018		188,700
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,526,724

				1,742,399

		Media Non-Cable – 0.6%
	2,190,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		2,173,575
	2,630,000	News America, Inc., 6.150%, 3/01/2037		2,605,999

				4,779,574

		Metals & Mining – 0.7%
	1,500,000	Alcoa, Inc., 5.720%, 2/23/2019		1,559,877
	300,000	Alcoa, Inc., 5.870%, 2/23/2022		307,004
	4,660,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		4,287,200

				6,154,081

		Non-Captive Consumer – 3.7%
	3,905,000	Residential Capital LLC, 9.625%, 5/15/2015		3,939,169
	31,725(††)	SLM Corp., 6.000%, 12/15/2043		666,780
	760,000	SLM Corp., MTN, 5.125%, 8/27/2012		784,347
	1,665,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		1,723,425
	200,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		201,366


Principal Amount (‡)		Description	Value (†)


		Non-Captive Consumer – continued
$	145,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018	$	136,260
	2,920,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		3,037,244
	235,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		243,692
	2,575,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,201,491
	7,986,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,944,320
	300,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		270,000
	800,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		787,000
	700,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		687,750
	200,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		182,500
	2,200,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,150,500
	1,000,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		990,000
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,869,000
	2,800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,558,500

				31,373,344

		Non-Captive Diversified – 5.8%
	1,305,000	Ally Financial, Inc., 6.000%, 12/15/2011		1,334,362
	224,000	Ally Financial, Inc., 6.875%, 8/28/2012		235,200
	682,000	Ally Financial, Inc., 7.500%, 12/31/2013		734,003
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020, 144A		2,425,719
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,567,675
	181,000	Ally Financial, Inc., 8.000%, 11/01/2031		197,290
	6,055,000	Ally Financial, Inc., 8.300%, 2/12/2015		6,637,794
	456,794	CIT Group, Inc., 7.000%, 5/01/2013		465,359
	1,305,836	CIT Group, Inc., 7.000%, 5/01/2014		1,330,320
	1,305,836	CIT Group, Inc., 7.000%, 5/01/2015		1,317,262
	346,610	CIT Group, Inc., 7.000%, 5/01/2016		347,043
	3,046,961	CIT Group, Inc., 7.000%, 5/01/2017		3,050,770
	830,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		875,832

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	35,000	General Electric Capital Corp., 5.625%, 5/01/2018	$	37,839
	170,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		167,837
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,066,583
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,416,564
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,234,552
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,314,384
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,270,422
	1,015,000	International Lease Finance Corp., 8.250%, 12/15/2020		1,112,694
	3,045,000	International Lease Finance Corp., 8.875%, 9/15/2015, 144A		3,349,500
	85,000	iStar Financial, Inc., 5.500%, 6/15/2012		84,150
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		196,313
	905,000	iStar Financial, Inc., 5.875%, 3/15/2016		805,450
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		27,450
	2,495,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,532,425
	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		182,325
	1,245,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		1,179,637

				49,496,754

		Oil Field Services – 0.1%
	420,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		450,450
	490,000	Allis-Chalmers Energy, Inc., 9.000%, 1/15/2014		500,413
	235,000	Parker Drilling Co., 9.125%, 4/01/2018		252,625

				1,203,488

		Packaging – 0.3%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,182,500

		Paper – 1.6%
	2,000,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,090,000
	2,868,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,025,740
	6,005,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		6,597,994
	132,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		150,810


Principal Amount (‡)		Description	Value (†)


		Paper – continued
$	1,045,000	Westvaco Corp., 7.950%, 2/15/2031	$	1,093,286
	1,080,000	Westvaco Corp., 8.200%, 1/15/2030		1,152,604

				14,110,434

		Pharmaceuticals – 0.0%
	335,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		346,306

		Pipelines – 1.3%
	1,740,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		1,768,832
	925,000	El Paso Corp., 6.950%, 6/01/2028		937,123
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		277,340
	1,550,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		1,747,552
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		361,853
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		266,223
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,976,841
	3,850,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		4,071,048

				11,406,812

		Property & Casualty Insurance – 1.0%
	80,000	Axis Capital Holdings Ltd., 5.750%, 12/01/2014		85,949
	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		2,811,558
	180,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		169,444
	1,545,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		849,750
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,189,941
	1,430,000	XL Group PLC, 6.250%, 5/15/2027		1,419,853
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,180,556

				8,707,051

		Property Trust – 0.4%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,396,357

		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		341,250

		REITs – Apartments – 0.2%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,636,506

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		REITs – Apartments – continued
$	70,000	ERP Operating LP, 5.125%, 3/15/2016	$	75,170

				1,711,676

		REITs – Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		226,531

		REITs – Office Property – 0.5%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,708,971
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		542,944

				4,251,915

		REITs – Regional Malls – 0.1%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		221,889
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		327,719

				549,608

		REITs – Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		194,739
	815,000	Realty Income Corp., 6.750%, 8/15/2019		929,961

				1,124,700

		REITs – Warehouse/Industrials – 0.0%
	100,000	ProLogis, 5.625%, 11/15/2015		106,126
	80,000	ProLogis, 5.750%, 4/01/2016		85,928

				192,054

		Retailers – 0.9%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		984,000
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,111,000
	1,079,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		972,449
	575,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		595,125
	3,240,000	Toys R Us, Inc., 7.375%, 10/15/2018		3,248,100
	750,000	Toys R Us, Inc., 7.875%, 4/15/2013		806,250

				7,716,924

		Sovereigns – 3.7%
	2,915,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		380,037
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		4,206,513
	7,590,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		789,435


Principal Amount (‡)		Description	Value (†)


		Sovereigns – continued
	578,000(†††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)	$	4,913,373
	125,000(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		1,096,257
	305,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,602,941
	501,000(†††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		4,453,399
	14,885,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		9,071,494
	625,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		444,063
	157,270,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		824,959
	212,600,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		1,192,984
	294,565,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		1,544,543

				31,519,998

		Supermarkets – 0.9%
	25,000	American Stores Co., 8.000%, 6/01/2026		22,625
	6,515,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,146,850
	1,470,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,223,775
	565,000	New Albertson’s, Inc., 8.000%, 5/01/2031		463,300
	5,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,287
	1,745,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,265,125

				8,125,962

		Supranational – 3.4%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		15,750,720
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		13,541,994

				29,292,714

		Technology – 1.6%
	5,215,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		5,817,864
	250,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		215,000
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,766,993
	130,000	Avnet, Inc., 6.625%, 9/15/2016		142,284
	450,000	Corning, Inc., 6.850%, 3/01/2029		506,481
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,341,466

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Technology – continued
$	740,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014	$	766,825
	815,000	Motorola Solutions, Inc., 6.500%, 11/15/2028		837,557
	995,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,067,637
	150,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		110,250
	1,325,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		344,500
	984,300	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,155,903

				14,072,760

		Tobacco – 0.5%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,796,593
	810,000	Reynolds American, Inc., 7.250%, 6/15/2037		857,274

				4,653,867

		Transportation Services – 0.5%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(c)		1,712,500
	1,095,419	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,084,465
	976,627	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		869,198
	327,733	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017(e)		331,011

				3,997,174

		Treasuries – 15.2%
	175,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		180,487
	8,525,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		8,797,941
	19,910,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		20,651,568
	2,860,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		3,050,037
	18,145,000	Canadian Government, 3.750%, 9/01/2011, (CAD)		18,922,643
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		7,900,312
	9,615,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		10,658,418
	263,571	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		187,095
	100,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		87,314
	1,600,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,344,866


Principal Amount (‡)		Description	Value (†)


		Treasuries – continued
	6,675,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)	$	6,679,569
	2,225,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		2,136,340
	375,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		366,387
	4,700,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		4,435,918
	5,520,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,461,812
	56,415,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		10,612,630
	9,425,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		1,813,387
	11,705,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		2,125,325
	8,410,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		1,633,469
	1,500,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,491,886
	375,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		412,389
	23,565,000	U.S. Treasury Bond, 4.250%, 11/15/2040		22,537,707

				130,487,500

		Utility Other – 0.0%
	200,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		221,262

		Wireless – 1.2%
	1,745,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		1,749,362
	4,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		4,652,381
	165,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		166,238
	1,982,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,828,395
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		1,053,150
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		319,125
	898,000	Sprint Nextel Corp., 6.000%, 12/01/2016		901,368

				10,670,019

		Wirelines – 2.9%
	355,000	AT&T Corp., 6.500%, 3/15/2029		375,613
	355,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		340,800
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		213,068
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		804,542

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wirelines – continued
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)	$	614,315
	235,000	Embarq Corp., 7.082%, 6/01/2016		267,240
	200,000	Embarq Corp., 7.995%, 6/01/2036		225,480
	350,000	GTE Corp., 6.940%, 4/15/2028		388,043
	985,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		977,613
	500,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		511,250
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		135,450
	500,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		542,192
	850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,034,431
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,371,100
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		7,150,962
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		364,000
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		825,375
	790,000	Qwest Corp., 6.875%, 9/15/2033		790,988
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,788,900
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,299,300
	1,330,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		1,203,458
	1,320,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		1,245,706

				24,469,826


		Total Non-Convertible Bonds
		(Identified Cost $585,697,164)		657,398,789


	Convertible Bonds – 9.1%

		Airlines – 0.6%
	4,785,000	AMR Corp., 6.250%, 10/15/2014		5,036,213

		Automotive – 0.6%
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		5,301,563

		Diversified Manufacturing – 0.7%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,383,012
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		555,900

				5,938,912


Principal Amount (‡)		Description	Value (†)


		Electric – 0.1%
$	500,000	CMS Energy Corp., 5.500%, 6/15/2029	$	726,875

		Healthcare – 0.2%
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		1,636,713

		Independent Energy – 0.2%
	1,150,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,056,562
	675,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		733,219

				1,789,781

		Life Insurance – 1.3%
	11,000,000	Old Republic International Corp., 3.750%, 3/15/2018		11,041,250

		Lodging – 0.1%
	1,245,000	Host Hotels & Resorts, Inc., 2.625%, 4/15/2027, 144A		1,246,556

		Media Non-Cable – 0.0%
	447,246	Liberty Media LLC, 3.500%, 1/15/2031		250,458

		Metals & Mining – 0.4%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		300,800
	1,540,000	United States Steel Corp., 4.000%, 5/15/2014		2,808,575

				3,109,375

		Non-Captive Diversified – 0.0%
	380,000	iStar Financial, Inc., 0.803%, 10/01/2012(b)		346,750

		Pharmaceuticals – 0.7%
	175,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		310,188
	205,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		332,100
	1,065,000	Nektar Therapeutics, 3.250%, 9/28/2012		1,072,987
	1,095,000	Valeant Pharmaceuticals International, 4.000%, 11/15/2013		4,325,250

				6,040,525

		Technology – 3.4%
	4,065,000	Ciena Corp., 0.875%, 6/15/2017		3,968,456
	2,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,207,975
	8,417,000	Intel Corp., 2.950%, 12/15/2035		8,658,989
	7,000,000	Intel Corp., 3.250%, 8/01/2039		8,233,750
	3,585,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,580,519
	520,000	Micron Technology, Inc., 1.875%, 6/01/2014		565,500
	248,000	Nortel Networks Corp., 2.125%, 4/15/2014(d)		213,590

				29,428,779

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Textile – 0.0%
$	52,000	Dixie Yarns, Inc., 7.000%, 5/15/2012	$	50,440

		Wirelines – 0.8%
	820,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		808,725
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,537,800
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		2,315,862

				6,662,387


		Total Convertible Bonds
		(Identified Cost $65,011,374)		78,606,577


	Municipals – 0.8%

		Michigan – 0.2%
	2,405,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		1,705,890

		Virginia – 0.6%
	7,725,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		4,858,639


		Total Municipals
		(Identified Cost $10,110,743)		6,564,529


		Total Bonds and Notes
		(Identified Cost $660,819,281)		742,569,895


	Bank Loans – 0.1%

		Media Non-Cable – 0.1%
	576,317	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(f)		380,761

		Wireless – 0.0%
	241,769	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(f)(g)		246,242


		Total Bank Loans
		(Identified Cost $988,657)		627,003


	Shares

	Preferred Stocks – 3.3%

	Convertible Preferred Stocks – 2.6%

		Automotive – 0.8%
	93,100	General Motors Co., Series B, 4.750%		4,487,420


Shares		Description	Value (†)


		Automotive – continued
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%	$	2,084,319

				6,571,739

		Capital Markets – 0.1%
	25,075	Newell Financial Trust I, 5.250%		1,200,466

		Diversified Financial Services – 0.6%
	2,844	Bank of America Corp., Series L, 7.250%		2,875,256
	55,343	Sovereign Capital Trust IV, 4.375%		2,462,763

				5,338,019

		Electric Utilities – 0.1%
	10,000	AES Trust III, 6.750%		488,000

		Machinery – 0.2%
	30,199	United Rentals Trust I, 6.500%		1,419,353

		Oil, Gas & Consumable Fuels – 0.4%
	775	Chesapeake Energy Corp., 4.500%		75,175
	72,200	El Paso Energy Capital Trust I, 4.750%		3,194,850

				3,270,025

		REITs – Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		385,540

		Semiconductors & Semiconductor Equipment – 0.4%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,797,500


		Total Convertible Preferred Stocks
		(Identified Cost $18,927,754)		22,470,642


	Non-Convertible Preferred Stocks – 0.7%

		Banking – 0.1%
	1,121	Ally Financial, Inc., Series G, 7.000%, 144A		1,043,091

		Diversified Financial Services – 0.0%
	5,000	Bank of America Corp., 6.375%		111,950

		Electric Utilities – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		7,124
	2,876	Entergy New Orleans, Inc., 4.750%		233,316
	150	MDU Resources Group, Inc., 5.100%		15,084
	4,670	Union Electric Co., 4.500%		354,920

				610,444

		Multi Utilities – 0.0%
	100	Xcel Energy, Inc., Series D, 4.110%		8,050

		Software – 0.4%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(h)		3,240,937

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Shares		Description	Value (†)


	Non-Convertible Preferred Stocks – continued

		Thrifts & Mortgage Finance – 0.1%
	20,975	Countrywide Capital IV, 6.750%	$	519,551


		Total Non-Convertible Preferred Stocks
		(Identified Cost $4,149,005)		5,534,023


		Total Preferred Stocks
		(Identified Cost $23,076,759)		28,004,665


	Common Stocks – 2.6%

		Biotechnology – 0.7%
	127,420	Vertex Pharmaceuticals, Inc.(e)		6,107,240

		Containers & Packaging – 0.2%
	35,353	Owens-Illinois, Inc.(e)		1,067,307
	447	Smurfit-Stone Container Corp.(e)		17,277

				1,084,584

		Diversified Telecommunication Services – 0.0%
	8,050	Hawaiian Telcom Holdco, Inc.(e)		211,312

		Electronic Equipment, Instruments & Components – 0.5%
	205,167	Corning, Inc.		4,232,595

		Media – 0.0%
	3,027	SuperMedia, Inc.(e)		18,888

		Oil, Gas & Consumable Fuels – 0.2%
	54,259	Chesapeake Energy Corp.		1,818,762

		Pharmaceuticals – 0.1%
	20,881	Valeant Pharmaceuticals International, Inc.		1,040,083

		Semiconductors & Semiconductor Equipment – 0.9%
	388,905	Intel Corp.		7,844,214


		Total Common Stocks
		(Identified Cost $15,586,737)		22,357,678


	Principal Amount (‡)

	Short-Term Investments – 6.5%
$	56,191,130	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $56,191,130 on 4/01/2011 collateralized by $60,255,000 Federal Home Loan Mortgage Corp., 3.310% due 11/10/2020 valued at $57,317,569 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $56,191,130)		56,191,130


		Total Investments – 98.8%
		(Identified Cost $756,662,564)(a)		849,750,371
		Other assets less liabilities—1.2%		10,367,347


		Net Assets – 100.0%	$	860,117,718


(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $758,493,488 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	$	104,975,578
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,718,695	)

	Net unrealized appreciation	$	91,256,883

(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(c)	Illiquid security. At March 31, 2011, the value of these securities amounted to $22,717,406 or 2.6% of net assets.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Non-income producing security.
(f)	Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.
(g)	All or a portion of interest payment is paid-in-kind.
(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

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 March 31, 2011, the value of Rule 144A holdings amounted to $77,951,040 or 9.1% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

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

Industry Summary at March 31, 2011 (Unaudited)


Treasuries	15.2	%
Banking	5.8
Non-Captive Diversified	5.8
Local Authorities	5.2
Technology	5.0
Automotive	4.1
Sovereigns	3.7
Non-Captive Consumer	3.7
Wirelines	3.7
Electric	3.6
Supranational	3.4
Healthcare	2.8
Life Insurance	2.4
Other Investments, less than 2% each	27.9
Short-Term Investments	6.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund – continued

Currency Exposure at March 31, 2011 (Unaudited)


United States Dollar	69.5	%
Canadian Dollar	12.6
New Zealand Dollar	3.8
Euro	2.4
Other, less than 2% each	10.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 96.0% of Net Assets

	Non-Convertible Bonds – 95.5%

		Argentina – 1.2%
$	12,963,979	Argentina Government International Bond, 8.280%, 12/31/2033	$	11,557,387
	6,675,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		7,184,303
	8,320,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		8,216,000

				26,957,690

		Australia – 1.6%
	5,180,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		4,905,993
	16,413,243	Australia Government Bond, 3.000%, 9/20/2025, (AUD)		17,635,748
	6,804,311	New South Wales Treasury Corp., 2.750%, 11/20/2025, (AUD)		6,654,001
	2,700,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		2,823,381
	6,000,000	SMART Trust, Series 2011-1USA, Class A3B, 1.104%, 10/14/2014, 144A(b)		5,988,102

				38,007,225

		Bermuda – 0.5%
	4,805,000	Noble Group Ltd., 8.500%, 5/30/2013, 144A		5,369,587
	6,905,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		7,066,142

				12,435,729

		Brazil – 0.9%
	7,000,000	Banco Nacional de Desenvolvimento Economico e Social, 6.500%, 6/10/2019, 144A		7,630,000
	4,000,000	Telemar Norte Leste SA, 5.125%, 12/15/2017, 144A, (EUR)		5,524,243
	7,444,000	Telemar Norte Leste SA, 5.500%, 10/23/2020, 144A		7,313,730

				20,467,973

		Canada – 7.7%
	4,440,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,814,709
	1,240,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		1,334,672
	160,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		174,825
	3,180,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,707,890
	3,090,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		3,163,720


Principal Amount (‡)		Description	Value (†)


		Canada – continued
	59,895,000	Canadian Government, 3.000%, 12/01/2015, (CAD)	$	62,697,308
	10,595,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)		11,665,975
	5,212,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,359,839
	3,800,000	Pacific Rubiales Energy Corp., 8.750%, 11/10/2016, 144A		4,341,500
	14,540,000	Province of British Columbia Canada, 2.850%, 6/15/2015		14,933,511
	6,700,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		9,580,000
	766,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		9,373,416
	11,000,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		15,632,797
	13,150,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		19,013,163
	1,550,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,739,341
	9,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,459,531

				176,992,197

		Cayman Islands – 2.3%
	5,000,000	CCL Finance Ltd., 9.500%, 8/15/2014, 144A		5,787,500
	14,500,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.254%, 9/20/2016, 144A(b)		14,401,038
	5,500,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,335,000
	3,600,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		3,753,000
	1,170,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		1,240,200
	7,300,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		7,692,375
	6,716,000	Vale Overseas Ltd., 6.875%, 11/21/2036		7,151,606
	6,700,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		7,102,000

				52,462,719

		Colombia – 0.6%
	9,200,000,000	Emgesa SA ESP, 8.750%, 1/25/2021, 144A, (COP)		5,180,807
	17,600,000,000	Empresas Publicas de Medellin ESP, 8.375%, 2/01/2021, 144A, (COP)		9,716,441

				14,897,248

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Denmark – 2.1%
	210,000,000	Denmark Government Bond, 4.000%, 11/15/2015, (DKK)	$	42,019,399
	3,970,000	Kingdom of Denmark, EMTN, 1.750%, 10/05/2015, (EUR)		5,396,763

				47,416,162

		Finland – 2.2%
	24,215,000	Finland Government Bond, 3.125%, 9/15/2014, (EUR)		35,182,284
	10,070,000	Finland Government Bond, 3.875%, 9/15/2017, (EUR)		14,823,494

				50,005,778

		France – 0.9%
	7,362,000	AXA SA, 7.125%, 12/15/2020, (GBP)		12,628,791
	5,000,000	Lafarge SA, EMTN, 5.375%, 11/29/2018, (EUR)		7,018,092
	465,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		605,863

				20,252,746

		Germany – 5.5%
	29,855,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		42,221,637
	11,365,000	Bundesrepublik Deutschland, 3.750%, 7/04/2013, (EUR)(c)		16,771,024
	16,000,000	Bundesrepublik Deutschland, Series 6, 3.750%, 1/04/2017, (EUR)		23,747,954
	1,140,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		14,467,913
	20,500,000	Republic of Germany, 1.250%, 9/16/2011, (EUR)		29,090,066

				126,298,594

		Hungary – 0.3%
	6,250,000	Hungary Government International Bond, 6.375%, 3/29/2021		6,256,250

		India – 0.8%
	12,170,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		12,123,827
	5,700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		5,671,500

				17,795,327

		Indonesia – 0.2%
	42,900,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		5,981,110

		Italy – 2.2%
	4,850,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		6,494,218


Principal Amount (‡)		Description	Value (†)


		Italy – continued
	33,530,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 9/01/2020, (EUR)	$	45,048,199

				51,542,417

		Japan – 12.6%
	400,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		5,071,195
	5,630,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		5,721,769
	3,100,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		38,222,613
	1,200,000,000	Japan Finance Organization for Municipal Enterprises, 1.550%, 2/21/2012, (JPY)		14,593,359
	7,100,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		86,399,437
	1,270,000,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		15,255,054
	7,936,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		98,108,347
	454,000,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		5,799,105
	1,672,000,000	Japan Government Two Year Bond, 0.200%, 2/15/2013, (JPY)		20,101,227

				289,272,106

		Jersey – 0.3%
	4,550,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		7,778,146

		Korea – 1.0%
	485,000,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,716,935
	11,600,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		12,861,152

				23,578,087

		Lithuania – 0.2%
	5,000,000	Lithuania Government International Bond, 6.125%, 3/09/2021, 144A		5,105,000

		Luxembourg – 1.3%
	13,800,000	ArcelorMittal, 7.000%, 10/15/2039		13,836,929
	4,200,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		4,234,839
	5,800,000	Gazprom Via Gaz Capital SA, 5.092%, 11/29/2015, 144A		6,053,460
	4,127,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		3,894,720
	1,007,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		1,010,582

				29,030,530

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Mexico – 3.2%
$	3,160,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A	$	2,970,400
	4,715,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		4,526,400
	5,300,000	BBVA Bancomer SA, 7.250%, 4/22/2020, 144A		5,350,716
	6,850,000	Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		7,620,625
	8,400,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		8,652,000
	2,027,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		17,781,290
	1,735,500(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		15,625,329
	1,373,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		11,717,501

				74,244,261

		Netherlands – 2.3%
	10,000,000	Allianz Finance II BV, EMTN, 4.750%, 7/22/2019, (EUR)		14,681,038
	950,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		1,573,149
	12,995,000	Kingdom of Netherlands, 5.500%, 1/15/2028, (EUR)(c)		21,991,150
	1,000,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		1,449,086
	12,700,000	Volkswagen International Finance NV, 2.875%, 4/01/2016, 144A		12,516,231

				52,210,654

		New Zealand – 0.9%
	26,500,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		21,419,932

		Norway – 3.0%
	139,050,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		26,157,693
	223,125,000	Norwegian Government, 4.500%, 5/22/2019, (NOK)(c)		42,487,010

				68,644,703

		Peru – 0.4%
	22,155,000	Republic of Peru, 7.840%, 8/12/2020, 144A, (PEN)		8,471,865

		Philippines – 0.4%
	395,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		8,596,711


Principal Amount (‡)		Description	Value (†)


		Poland – 1.3%
	5,900,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)	$	6,500,599
	65,000,000	Poland Government International Bond, 5.000%, 10/24/2013, (PLN)		22,810,454

				29,311,053

		Singapore – 1.9%
	27,845,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		22,613,343
	24,355,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		20,122,814

				42,736,157

		South Africa – 1.0%
	8,495,000	Edcon Proprietary Ltd., 4.423%, 6/15/2014, 144A, (EUR)(b)		10,293,438
	12,000,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		12,250,296

				22,543,734

		Supranationals – 3.7%
	1,700,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		21,954,648
	17,470,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		19,383,122
	90,681,660,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		9,090,556
	285,470,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)		22,667,121
	503,700,000	Inter-American Development Bank, EMTN, 4.750%, 1/10/2014, (INR)		10,983,247

				84,078,694

		Sweden – 1.8%
	250,275,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)(c)		41,499,044

		Switzerland – 0.4%
	8,500,000	Credit Suisse of New York, MTN, 4.375%, 8/05/2020		8,302,469

		Turkey – 0.4%
	8,500,000	Akbank TAS, 5.125%, 7/22/2015, 144A		8,532,300

		United Arab Emirates – 2.0%
	6,800,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		7,488,500
	5,168,240	Dolphin Energy Ltd., 5.888%, 6/15/2019, 144A		5,491,255
	29,110,000	DP World Ltd., 6.850%, 7/02/2037, 144A		26,781,200

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United Arab Emirates – continued
$	5,900,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A	$	5,944,250

				45,705,205

		United Kingdom – 6.1%
	9,500,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		9,897,794
	950,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		1,570,710
	7,100,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		10,937,638
	4,300,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,114,885
	4,800,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,718,909
	13,775,000	Rexam PLC, 6.750%, 6/01/2013, 144A		14,945,544
	6,500,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		11,074,829
	13,240,000	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)		21,493,835
	15,075,000	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)		26,296,923
	8,300,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		14,614,649
	11,620,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		19,563,141

				139,228,857

		United States – 21.3%
	3,895,000	Ally Financial, Inc., 6.875%, 8/28/2012		4,089,750
	4,200,000	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		4,423,482
	4,200,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		4,622,919
	1,864,000	Arch Western Finance LLC, 6.750%, 7/01/2013		1,882,640
	5,655,000	Avnet, Inc., 5.875%, 6/15/2020		5,781,338
	9,360,000	Bank of America Corp., 5.625%, 7/01/2020		9,609,687
	300,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		321,772
	200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		209,518
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.906%, 6/11/2040(b)		107,830
	6,350,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 1.502%, 8/17/2017, (EUR)(b)		8,583,812


Principal Amount (‡)		Description	Value (†)


		United States – continued
$	5,000,000	Caterpillar Financial Services Corp., Series F, MTN, 2.650%, 4/01/2016	$	4,962,365
	2,498,666	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		2,641,087
	2,580,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		2,607,072
	5,130,000	Citibank Credit Card Issuance Trust, Series 2001-A4, Class A4, 5.375%, 4/10/2013, (EUR)		7,273,643
	6,900,000	Citigroup, Inc., 5.500%, 2/15/2017		7,167,920
	689,178	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		696,070
	486,900	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		488,117
	3,858,485	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,954,947
	900,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.995%, 9/15/2039(b)		955,905
	1,675,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		1,740,583
	3,000,000	Crown Castle Towers LLC, 3.214%, 8/15/2035, 144A		2,991,840
	6,300,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		6,525,250
	3,401,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,686,184
	8,590,000	CSC Holdings LLC, 8.500%, 4/15/2014		9,631,537
	4,000,000	CSX Corp., 6.150%, 5/01/2037		4,236,996
	3,958,000	CSX Corp., MTN, 6.000%, 10/01/2036		4,105,693
	6,259,555	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		6,462,990
	1,615,479	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,667,982
	5,890,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		5,890,000
	3,467,000	Embarq Corp., 7.995%, 6/01/2036		3,908,699
	6,306,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		7,069,537

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
$	120,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A	$	123,958
	7,530,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		8,204,146
	12,790,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		12,936,245
	4,500,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		4,870,917
	480,000	Frontier Communications Corp., 6.625%, 3/15/2015		500,400
	888,000,000	General Electric Capital Corp., EMTN, 1.000%, 3/21/2012, (JPY)		10,692,991
	4,540,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,744,300
	180,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		205,650
	1,805,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		2,179,537
	1,250,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		2,000,049
	8,280,204	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		8,363,885
	1,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,057,704
	700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		740,924
	3,535,000	HCA, Inc., 5.750%, 3/15/2014		3,601,281
	1,270,000	HCA, Inc., 6.250%, 2/15/2013		1,317,625
	1,205,000	HCA, Inc., 6.375%, 1/15/2015		1,229,100
	2,440,000	HCA, Inc., 6.500%, 2/15/2016		2,482,700
	770,000	HCA, Inc., 6.750%, 7/15/2013		809,463
	525,000	HCA, Inc., 7.500%, 11/06/2033		481,688
	635,000	HCA, Inc., 7.690%, 6/15/2025		604,838
	624,000	HCA, Inc., MTN, 7.580%, 9/15/2025		588,120
	165,000	HCA, Inc., MTN, 7.750%, 7/15/2036		154,275
	5,000,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B1, 4.940%, 3/25/2016, 144A		5,107,114
	5,700,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,596,773


Principal Amount (‡)		Description	Value (†)


		United States – continued
$	4,435,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	4,647,122
	1,875,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		2,029,688
	1,105,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		1,067,820
	26,740,000,000	JPMorgan Chase Bank NA, EMTN, Zero Coupon, 10/17/2011, 144A, (IDR)		2,979,403
	1,900,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.005%, 6/15/2049(b)		2,034,930
	300,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.078%, 6/15/2038(b)		329,927
	4,879,296	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		5,004,218
	5,200,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 1.314%, 3/19/2018, (EUR)(b)		6,829,604
	8,058,065	Merrill Auto Trust Securitization, Series 2008-1, Class A4A, 6.150%, 4/15/2015		8,256,163
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,047,353
	2,070,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		3,472,103
	3,200,000	Morgan Stanley, 5.500%, 7/24/2020		3,197,750
	200,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.458%, 1/11/2043(b)		224,041
	125,000	Motorola Solutions, Inc., 6.500%, 9/01/2025		131,531
	115,000	Motorola Solutions, Inc., 6.500%, 11/15/2028		118,183
	6,120,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		6,566,772
	4,855,000	Nabors Industries, Inc., 6.150%, 2/15/2018		5,315,487
	3,730,000	News America, Inc., 6.150%, 3/01/2037		3,695,960
	540,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		541,350
	3,599,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		3,625,992
	5,080,000	NII Capital Corp., 7.625%, 4/01/2021		5,194,300
	5,995,000	Nissan Master Owner Trust Receivables, Series 2010-AA, Class A, 1.405%, 1/15/2015, 144A(b)		6,060,116

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
$	3,745,000	NRG Energy, Inc., 8.250%, 9/01/2020, 144A	$	3,894,800
	7,740,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		7,941,194
	2,170,000	Owens-Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		3,121,453
	6,890,000	ProLogis, 6.625%, 5/15/2018		7,463,041
	5,770,000	Prudential Financial, Inc., 5.375%, 6/21/2020		6,008,289
	3,410,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,631,650
	2,635,000	Qwest Corp., 6.875%, 9/15/2033		2,638,294
	5,165,000	Qwest Corp., 7.250%, 10/15/2035		5,242,475
	5,285,000	Qwest Corp., 7.500%, 6/15/2023		5,298,212
	10,745,000	Rowan Cos., Inc., 7.875%, 8/01/2019		12,745,461
	4,021,338	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		4,113,389
	6,610,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		6,841,945
	11,350,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		15,996,471
	12,420,718	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		12,419,420
	59,020,000	U.S. Treasury Note, 0.625%, 2/28/2013		58,874,752
	10,710,000	U.S. Treasury Note, 1.000%, 7/31/2011(e)		10,740,545
	5,395,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		5,118,506
	2,000,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		1,935,000
	300,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		321,383
	2,427,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		3,390,801
	1,950,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,586,536
	9,465,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		9,794,911
	8,655,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,967,896
	4,800,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		7,047,946


Principal Amount (‡)		Description	Value (†)


		United States – continued
	3,200,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)	$	4,518,435

				489,913,466

		Uruguay – 1.0%
	193,274,130	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		10,226,006
	221,244,863	Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU)		13,634,814

				23,860,820


		Total Non-Convertible Bonds
		(Identified Cost $2,076,784,829)		2,191,832,959


	Convertible Bonds – 0.5%

		United States – 0.5%
	5,375,000	Ciena Corp., 0.875%, 6/15/2017		5,247,344
	1,500,000	ERP Operating LP, 3.850%, 8/15/2026		1,535,700
	3,820,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		3,686,300


		Total Convertible Bonds
		(Identified Cost $8,227,363)		10,469,344


		Total Bonds and Notes
		(Identified Cost $2,085,012,192)		2,202,302,303


	Short-Term Investments – 3.6%
	82,626,362	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $82,626,362 on 4/01/2011 collateralized by $39,085,000 Federal Home Loan Mortgage Corp., 3.310% due 11/10/2020 valued at $37,179,606; $49,515,000 Federal National Mortgage Association, 3.420% due 11/24/2020 valued at $47,101,144 including accrued interest (Note 2 of Notes to Financial Statements)
		(Identified Cost $82,626,362)		82,626,362

		Total Investments – 99.6%
		(Identified Cost $2,167,638,554)(a)		2,284,928,665
		Other Assets Less liabilities— 0.4%		9,714,766

		Net Assets – 100.0%	$	2,294,643,431

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued



(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $2,175,191,055 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		$ 120,399,851
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,662,241	)

	Net unrealized appreciation	$	109,737,610

(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(c)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or futures contracts.
(d)	Illiquid security. At March 31, 2011, the value of this security amounted to $7,941,194 or 0.3% of net assets.
(e)	All or a portion of this security has been pledged for open forward foreign currency contracts and as initial margin for open futures contracts.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.



	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 March 31, 2011, the value of Rule 144A holdings amounted to $461,568,010 or 20.1% of net assets.
	EMTN			Euro Medium Term Note
	MTN			Medium Term Note

	AUD			Australian Dollar
	CAD			Canadian Dollar
	CHF			Swiss Franc
	COP			Colombian Peso
	DKK			Danish Krone
	EUR			Euro
	GBP			British Pound
	IDR			Indonesian Rupiah
	INR			Indian Rupee
	JPY			Japanese Yen
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PEN			Peruvian Nuevo Sol
	PHP			Philippine Peso
	PLN			Polish Zloty
	SEK			Swedish Krona
	SGD			Singapore Dollar
	UYU			Uruguayan Peso

At March 31, 2011, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units	Notional Value	Unrealized Appreciation (Depreciation)
Buy⁽¹⁾	04/25/2011	Brazilian Real	18,150,000	$11,072,508	$ 201,478
Sell⁽¹⁾	04/25/2011	Brazilian Real	18,150,000	11,072,508	(275,364)
Sell⁽¹⁾	06/07/2011	Canadian Dollar	22,580,000	23,256,237	(123,835)
Sell⁽²⁾	06/15/2011	Danish Krone	230,000,000	43,659,381	(1,109,732)
Buy⁽³⁾	06/20/2011	Malaysian Ringgit	69,000,000	22,662,331	183,832
Buy⁽¹⁾	05/27/2011	New Zealand Dollar	28,030,000	21,314,377	663,667
Sell⁽¹⁾	05/27/2011	New Zealand Dollar	28,030,000	21,314,377	(429,505)
Buy⁽⁴⁾	06/02/2011	Polish Zloty	70,200,000	24,598,914	500,047
Sell⁽⁴⁾	06/02/2011	Polish Zloty	70,200,000	24,598,914	(468,983)
Buy⁽²⁾	04/13/2011	Singapore Dollar	29,000,000	23,007,017	602,814
Buy⁽²⁾	06/13/2011	South Korean Won	43,930,000,000	39,871,508	683,283
Buy⁽¹⁾	06/13/2011	South Korean Won	23,100,000,000	20,965,896	344,579
Buy⁽⁵⁾	06/13/2011	South Korean Won	21,500,000,000	19,513,713	334,409

Total					$ 1,106,690

At March 31, 2011, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver⁽⁵⁾/Units of Currency	Receive/In Exchange For	Unrealized Appreciation
06/16/2011	British Pound 14,203,235	Euro 16,520,000	$ 616,337

⁽¹⁾	Counterparty is Credit Suisse.

⁽²⁾	Counterparty is Barclays.

⁽³⁾	Counterparty is JPMorgan Chase.

⁽⁴⁾	Counterparty is Morgan Stanley.

⁽⁵⁾	Counterparty is UBS.

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Global Bond Fund – continued

At March 31, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date	Contracts	Notional Value	Unrealized Appreciation
30 Year U.S. Treasury Bond	06/21/2011	560	$67,305,000	$34,522

Industry Summary at March 31, 2011 (Unaudited)


Treasuries	42.1	%
Sovereigns	4.8
Banking	4.3
Supranational	3.7
Government Guaranteed	3.2
Local Authorities	3.1
Wirelines	2.6
ABS Car Loan	2.3
Government Owned—No Guarantee	2.2
Life Insurance	2.0
Other Investments, less than 2% each	25.7
Short-Term Investments	3.6

Total Investments	99.6
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	0.4

Net Assets	100.0	%

Currency Exposure at March 31, 2011 (Unaudited)


United States Dollar	37.7	%
Euro	16.6
Japanese Yen	14.9
British Pound	6.1
Canadian Dollar	4.5
Norwegian Krone	3.0
Mexican Peso	2.0
Other, less than 2% each	14.8

Total Investments	99.6
Other assets less liabilities(including open forward foreign currency contracts and futures contracts)	0.4

Net Assets	100.0	%

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 90.8% of Net Assets

		Automotive – 0.4%
$	60,000	Ford Motor Co., 7.450%, 7/16/2031	$	64,957

		Banking – 1.5%
	115,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		115,992
	145,000	Lloyds TSB Bank PLC, 6.375%, 1/21/2021		151,104

				267,096

		Building Materials – 0.1%
	10,000	Masco Corp., 7.125%, 3/15/2020		10,349

		Chemicals – 0.2%
	25,000	CF Industries, Inc., 6.875%, 5/01/2018		28,063

		Collateralized Mortgage Obligations – 0.2%
	30,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		29,207

		Food & Beverage – 0.6%
	40,000	Bottling Group LLC, 5.125%, 1/15/2019		43,816
	75,000	Dean Foods Co., 6.900%, 10/15/2017		69,563

				113,379

		Healthcare – 0.1%
	15,000	McKesson Corp., 6.000%, 3/01/2041		15,531

		Independent Energy – 0.3%
	35,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		37,843
	15,000	SM Energy Co., 6.625%, 2/15/2019, 144A		15,394

				53,237

		Life Insurance – 0.4%
	60,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		64,866

		Lodging – 0.3%
	50,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		49,562

		Media Non-Cable – 0.2%
	30,000	CBS Corp., 5.500%, 5/15/2033		27,188

		Metals & Mining – 0.7%
	85,000	Alcoa, Inc., 5.950%, 2/01/2037		80,189
	55,000	United States Steel Corp., 6.650%, 6/01/2037		50,600

				130,789

		Paper – 0.5%
	70,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		79,275


Principal Amount (‡)		Description	Value (†)

		Pharmaceuticals – 0.1%
$	10,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A	$	9,850

		Pipelines – 0.2%
	3,000	Colorado Interstate Gas Co., 5.950%, 3/15/2015		3,306
	30,000	Southern Natural Gas Co., 7.350%, 2/15/2031		34,025

				37,331

		Sovereigns – 0.8%
	15,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		131,551

		Technology – 0.7%
	105,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		117,138

		Textile – 0.0%
	10,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		7,975

		Tobacco – 1.0%
	130,000	Altria Group, Inc., 9.950%, 11/10/2038		181,323

		Treasuries – 79.5%
	347,267	U.S. Treasury Inflation Indexed Bond, 1.125%, 1/15/2021		352,340
	208,086	U.S. Treasury Inflation Indexed Bond, 1.250%, 4/15/2014		222,368
	704,197	U.S. Treasury Inflation Indexed Bond, 1.750%, 1/15/2028		717,731
	149,768	U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026		159,854
	509,370	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040		538,619
	64,247	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025		72,122
	278,424	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027		310,030
	1,011,008	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		1,301,830
	453,112	U.S. Treasury Inflation Indexed Note, 1.375%, 1/15/2020		475,096
	1,037,835	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		1,124,996
	1,093,082	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018		1,181,894
	1,144,921	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013		1,238,393
	752,793	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015		828,190
	440,918	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014		480,463
	858,576	U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014		942,153
	926,341	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016		1,022,737
	731,546	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017		824,418
	299,835	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016		340,313

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of March 31, 2011, (Unaudited)

Loomis Sayles Inflation Protected Securities Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Treasuries – continued
$	642,752	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017	$	738,211
	673,547	U.S. Treasury Inflation Indexed Note, 3.000%, 7/15/2012		721,432
	820,000	U.S. Treasury STRIPS, Zero Coupon, 5/15/2040		203,685

				13,796,875

		Wireless – 0.6%
	10,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		10,025
	20,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		20,075
	5,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		5,038
	85,000	Sprint Capital Corp., 6.875%, 11/15/2028		78,412

				113,550

		Wirelines – 2.4%
	91,000	AT&T, Inc., 5.350%, 9/01/2040, 144A		81,513
	30,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		32,291
	5,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,463
	15,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		17,490
	35,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		35,835
	70,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		71,332
	155,000	Embarq Corp., 7.995%, 6/01/2036		174,747

				418,671


		Total Bonds and Notes
		(Identified Cost $14,968,594)		15,747,763


	Short-Term Investments – 1.4%
	250,190	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $250,190 on 4/01/2011 collateralized by $270,000 Federal Home Loan Mortgage Corp., 3.310% due 11/10/2020 valued at $256,838 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $250,190)		250,190


		Total Investments – 92.2%
		(Identified Cost $15,218,784)(a)		15,997,953
		Other Assets Less Liabilities—7.8%		1,350,364


		Net Assets – 100.0%	$	17,348,317


	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements


(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $15,359,770 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	$	694,510
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(56,327	)

	Net unrealized appreciation	$	638,183


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 March 31, 2011, the value of Rule 144A holdings amounted to $177,086 or 1.0% of net assets.
MTN	Medium Term Note
STRIPS	Separate Trading of Registered Interest and Principal of Securities

CAD	Canadian Dollar
MXN	Mexican Peso

Industry Summary at March 31, 2011 (Unaudited)


Treasuries	79.5	%
Wirelines	2.4
Other Investments, less than 2% each	8.9
Short-Term Investments	1.4

Total Investments	92.2
Other assets less liabilities	7.8

Net Assets	100.0	%

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 86.4% of Net Assets

	Non-Convertible Bonds – 64.2%

		Aerospace & Defense – 0.5%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)	$	142,490
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,088,000

				2,230,490

		Airlines – 1.2%
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		1,082,027
	6,244	American Airlines Pass Through Trust, Series 1993-A6, 8.040%, 9/16/2011		6,244
	338,154	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		366,052
	137,581	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		138,957
	153,373	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		153,757
	382,815	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		395,256
	441,413	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		457,967
	1,773,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A		1,872,731
	585,000	US Airways Pass Through Trust, Series 2010-1, Class B, 8.500%, 4/22/2017		587,925

				5,060,916

		Automotive – 1.6%
	500,000	Cummins, Inc., 6.750%, 2/15/2027		524,740
	15,000	Ford Motor Co., 6.375%, 2/01/2029		14,171
	20,000	Ford Motor Co., 6.500%, 8/01/2018		20,940
	95,000	Ford Motor Co., 6.625%, 2/15/2028		92,244
	1,945,000	Ford Motor Co., 6.625%, 10/01/2028		1,887,675
	230,000	Ford Motor Co., 7.125%, 11/15/2025		223,307
	1,905,000	Ford Motor Co., 7.450%, 7/16/2031		2,062,372
	40,000	Ford Motor Co., 7.500%, 8/01/2026		40,160


Principal Amount (‡)		Description	Value (†)

		Automotive – continued
$	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028	$	1,964,600

				6,830,209

		Banking – 0.5%
	10,477,600,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, 144A, (IDR)		1,187,762
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		798,117

				1,985,879

		Building Materials – 1.9%
	440,000	Masco Corp., 5.850%, 3/15/2017		431,415
	750,000	Masco Corp., 6.125%, 10/03/2016		769,251
	670,000	Masco Corp., 6.500%, 8/15/2032		604,532
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,229,205
	4,595,000	USG Corp., 6.300%, 11/15/2016		4,319,300
	620,000	USG Corp., 9.750%, 1/15/2018		649,450

				8,003,153

		Chemicals – 2.6%
	2,558,000	Hercules, Inc., 6.500%, 6/30/2029		2,151,917
	475,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		502,313
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		1,495,680
	430,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		399,900
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		2,456,130
	4,707,000	Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(b)		4,148,044

				11,153,984

		Collateralized Mortgage Obligations – 0.3%
	546,572	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.763%, 4/25/2037(c)		432,792
	745,455	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		666,696
	196,722	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.734%, 7/25/2047(c)		123,640

				1,223,128

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – 0.3%
$	555,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040	$	576,730
	91,563	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.745%, 4/25/2035(c)		82,574
	415,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.005%, 6/15/2049(c)		444,472
	205,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		216,201

				1,319,977

		Construction Machinery – 0.6%
	239,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		250,352
	1,200,000	Terex Corp., 8.000%, 11/15/2017		1,264,500
	965,000	United Rentals North America, Inc., 10.875%, 6/15/2016		1,114,575

				2,629,427

		Consumer Cyclical Services – 0.0%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		126,900
	90,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		72,675

				199,575

		Consumer Products – 0.3%
	945,000	Acco Brands Corp., 7.625%, 8/15/2015		963,900
	400,000	Visant Corp., 10.000%, 10/01/2017		432,000

				1,395,900

		Electric – 2.3%
	645,000	AES Corp. (The), 7.750%, 10/15/2015		696,600
	312,298	AES Ironwood LLC, 8.857%, 11/30/2025		309,955
	100,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		73,500
	490,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		340,550
	1,500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		1,164,375
	720,000	Edison Mission Energy, 7.625%, 5/15/2027		536,400
	287,056	Midwest Generation LLC, Series B, 8.560%, 1/02/2016		292,797
	1,685,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)		859,350
	680,625	Quezon Power Philippines LC, 8.860%, 6/15/2017		741,881


Principal Amount (‡)		Description	Value (†)

		Electric – continued
$	1,025,000	RRI Energy, Inc., 7.875%, 6/15/2017	$	1,017,312
	2,390,000	Texas Competitive Electric Holdings Co. LLC, Series A, 10.250%, 11/01/2015		1,398,150
	920,000	TXU Corp., Series P, 5.550%, 11/15/2014		602,600
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		708,263
	420,000	TXU Corp., Series R, 6.550%, 11/15/2034		193,200
	1,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)		948,150

				9,883,083

		Food & Beverage – 0.1%
	255,000	Smithfield Foods, Inc., 7.750%, 7/01/2017		274,125

		Government Owned – No Guarantee – 0.8%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		368,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		998,656
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,938,025

				3,304,681

		Healthcare – 4.5%
	1,135,000	Gentiva Health Services, Inc., 11.500%, 9/01/2018		1,283,969
	410,000	HCA, Inc., 5.750%, 3/15/2014		417,688
	30,000	HCA, Inc., 6.250%, 2/15/2013		31,125
	560,000	HCA, Inc., 6.375%, 1/15/2015		571,200
	550,000	HCA, Inc., 6.500%, 2/15/2016		559,625
	20,000	HCA, Inc., 6.750%, 7/15/2013		21,025
	1,020,000	HCA, Inc., 7.050%, 12/01/2027		907,800
	965,000	HCA, Inc., 7.190%, 11/15/2015		969,825
	865,000	HCA, Inc., 7.500%, 12/15/2023		817,425
	4,240,000	HCA, Inc., 7.500%, 11/06/2033		3,890,200
	1,370,000	HCA, Inc., 7.690%, 6/15/2025		1,304,925
	375,000	HCA, Inc., 8.360%, 4/15/2024		375,000
	600,000	HCA, Inc., MTN, 7.580%, 9/15/2025		565,500
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,449,250
	6,874,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		5,696,827
	300,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		330,375

				19,191,759

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Home Construction – 0.9%
$	185,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015	$	153,550
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		795,660
	425,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		385,687
	272,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		246,840
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		573,800
	1,260,000	KB Home, 7.250%, 6/15/2018		1,234,800
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		313,000

				3,703,337

		Independent Energy – 1.4%
	250,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		368,029
	1,110,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		1,200,187
	1,415,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,528,200
	704,000	Connacher Oil and Gas Ltd., 10.250%, 12/15/2015, 144A		746,240
	910,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		987,768
	920,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		959,364
	415,000	Swift Energy Co., 7.125%, 6/01/2017		424,338

				6,214,126

		Life Insurance – 0.6%
	1,810,000	MetLife, Inc., 10.750%, 8/01/2039		2,497,800

		Local Authorities – 3.9%
	12,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		13,040,976
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		3,902,592

				16,943,568

		Media Non-Cable – 0.9%
	440,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		436,700
	3,265,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		3,232,350

				3,669,050

		Metals & Mining – 3.0%
	4,530,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		4,167,600
	4,740,000	United States Steel Corp., 6.050%, 6/01/2017		4,888,125
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,858,400


Principal Amount (‡)		Description	Value (†)

		Metals & Mining – continued
$	2,035,000	United States Steel Corp., 7.000%, 2/01/2018	$	2,113,856

				13,027,981

		Non-Captive Consumer – 4.6%
	4,350,000	Residential Capital LLC, 9.625%, 5/15/2015		4,388,062
	750,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		755,123
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		108,068
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,890,013
	2,020,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,262,400
	1,250,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		1,651,911
	900,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		810,000
	680,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		668,950
	900,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		884,250
	2,920,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,854,300
	400,000	Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		399,000
	300,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		297,000
	800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		731,000

				19,700,077

		Non-Captive Diversified – 3.8%
	149,000	Ally Financial, Inc., 6.750%, 12/01/2014		157,009
	585,000	Ally Financial, Inc., 8.000%, 12/31/2018		628,144
	208,000	Ally Financial, Inc., 8.000%, 11/01/2031		226,720
	313,032	CIT Group, Inc., 7.000%, 5/01/2013		318,901
	894,866	CIT Group, Inc., 7.000%, 5/01/2014		911,645
	894,866	CIT Group, Inc., 7.000%, 5/01/2015		902,696
	2,021,450	CIT Group, Inc., 7.000%, 5/01/2016		2,023,977
	5,013,031	CIT Group, Inc., 7.000%, 5/01/2017		5,019,297
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		198,250
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,410,332

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	490,000	International Lease Finance Corp., 8.250%, 12/15/2020	$	537,162
	65,000	iStar Financial, Inc., 5.500%, 6/15/2012		64,350
	110,000	iStar Financial, Inc., 5.850%, 3/15/2017		95,975
	470,000	iStar Financial, Inc., 5.875%, 3/15/2016		418,300
	20,000	iStar Financial, Inc., 6.050%, 4/15/2015		18,300
	1,770,000	iStar Financial, Inc., 8.625%, 6/01/2013		1,796,550
	120,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		112,200
	565,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		535,337

				16,375,145

		Oil Field Services – 0.1%
	210,000	Parker Drilling Co., 9.125%, 4/01/2018		225,750

		Packaging – 0.4%
	1,555,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		1,696,894

		Paper – 2.4%
	1,240,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,295,800
	3,620,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		3,977,475
	1,270,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		1,450,975
	2,930,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		3,537,975

				10,262,225

		Pipelines – 1.8%
	1,430,000	El Paso Corp., 6.950%, 6/01/2028		1,448,742
	1,055,000	El Paso Corp., 7.420%, 2/15/2037		1,079,668
	2,210,000	El Paso Corp., GMTN, 7.750%, 1/15/2032		2,476,486
	550,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		610,148
	1,105,000	El Paso Corp., GMTN, 8.050%, 10/15/2030		1,257,214
	1,000,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		987,500

				7,859,758

		Property & Casualty Insurance – 0.8%
	940,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		517,000
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,104,232

				3,621,232


Principal Amount (‡)		Description	Value (†)

		Railroads – 0.1%
$	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)	$	214,305
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		27,900

				242,205

		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		500,205

		Retailers – 3.3%
	430,000	Dillard’s, Inc., 6.625%, 1/15/2018		423,550
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		400,500
	750,000	Dillard’s, Inc., 7.130%, 8/01/2018		755,625
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,819,200
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		118,125
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		165,750
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,695,790
	3,494,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,494,000
	295,000	Macy’s Retail Holdings, Inc., 7.000%, 2/15/2028		297,950
	5,185,000	Toys R Us, Inc., 7.375%, 10/15/2018		5,197,962

				14,368,452

		Sovereigns – 2.8%
	1,881,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		245,232
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,050,783
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		832,713
	4,897,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		509,336
	208,681(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		1,773,923
	95,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		810,752
	180,000(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		1,600,024
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		2,541,359
	19,725,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		103,467
	49,000,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		274,959

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Sovereigns – continued
	59,020,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)	$	309,470

				12,052,018


		Supermarkets – 1.5%
	110,000	American Stores Co., 8.000%, 6/01/2026		99,550
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		1,408,075
	2,250,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,777,500
	440,000	New Albertson’s, Inc., 7.750%, 6/15/2026		366,300
	2,935,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,406,700
	180,000	New Albertson’s, Inc., 8.700%, 5/01/2030		154,350
	240,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		174,000

				6,386,475


		Supranational – 0.2%
	1,639,380,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		164,343
	8,600,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		841,383

				1,005,726


		Technology – 3.1%
	90,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		92,475
	6,580,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		5,658,800
	3,055,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		2,627,300
	801,000	Corning, Inc., 6.850%, 3/01/2029		901,536
	960,000	Eastman Kodak Co., 7.250%, 11/15/2013		955,200
	60,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		62,175
	210,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		223,125
	190,000	Motorola Solutions, Inc., 6.500%, 9/01/2025		199,927
	700,000	Motorola Solutions, Inc., 6.500%, 11/15/2028		719,374
	70,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		75,110
	2,275,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		1,672,125
	1,000,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		260,000

				13,447,147


Principal Amount (‡)		Description	Value (†)


		Textile – 0.2%
$	890,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034	$	709,775

		Transportation Services – 1.2%
	2,685,000	APL Ltd., 8.000%, 1/15/2024(b)		1,839,225
	1,611,831	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,595,712
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)		243,032
	292,988	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		260,760
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)		319,633
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(e)		34,696
	740,000	Teekay Corp., 8.500%, 1/15/2020		801,975

				5,095,033

		Treasuries – 1.7%
	199,023	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		141,276
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		43,657
	750,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		630,406
	3,175,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,177,173
	725,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		696,111
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		170,981
	1,825,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,722,457
	700,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		696,213
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		192,448

				7,470,722

		Wireless – 1.8%
	805,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		807,013
	2,050,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		2,057,687
	2,620,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,416,950
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		867,300
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		228,706
	1,170,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		1,266,525

				7,644,181

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wirelines – 6.1%
$	410,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A	$	393,600
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		308,000
	760,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		717,250
	3,180,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,036,900
	2,330,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,382,425
	1,590,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,578,075
	1,675,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		1,712,687
	145,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		140,288
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,467,780
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		794,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,440,400
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,678,580
	1,936,000	Qwest Corp., 6.875%, 9/15/2033		1,938,420
	1,500,000	Qwest Corp., 7.200%, 11/10/2026		1,507,500
	645,000	Qwest Corp., 7.250%, 9/15/2025		686,925
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,428,105
	985,000	Qwest Corp., 7.500%, 6/15/2023		987,462

				26,198,397


		Total Non-Convertible Bonds
		(Identified Cost $238,587,237)		275,603,565


	Convertible Bonds – 22.1%

		Airlines – 0.3%
	890,000	AMR Corp., 6.250%, 10/15/2014		936,725
	175,000	UAL Corp., 4.500%, 6/30/2021		177,415

				1,114,140

		Automotive – 1.5%
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		6,398,125

		Diversified Manufacturing – 1.5%
	3,765,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		3,816,769
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,523,350

				6,340,119


Principal Amount (‡)		Description	Value (†)

		Electric – 0.1%
$	250,000	CMS Energy Corp., 5.500%, 6/15/2029	$	363,438

		Healthcare – 2.9%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		4,247,687
	2,470,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		2,383,550
	345,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		356,644
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		915,900
	3,833,000	Omnicare, Inc., 3.250%, 12/15/2035		3,555,107
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		786,138

				12,245,026

		Independent Energy – 1.4%
	4,835,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,442,156
	1,340,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,455,575

				5,897,731

		Life Insurance – 0.7%
	2,990,000	Old Republic International Corp., 3.750%, 3/15/2018		3,001,213

		Lodging – 0.5%
	2,189,000	Host Hotels & Resorts, Inc., 2.625%, 4/15/2027, 144A		2,191,736

		Media Non-Cable – 0.0%
	60,988	Liberty Media LLC, 3.500%, 1/15/2031		34,153

		Metals & Mining – 1.3%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,600,000
	2,280,000	United States Steel Corp., 4.000%, 5/15/2014		4,158,150

				5,758,150

		Pharmaceuticals – 4.3%
	2,215,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		3,926,087
	3,325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		5,386,500
	2,715,000	Kendle International, Inc., 3.375%, 7/15/2012		2,572,462
	2,091,000	Nektar Therapeutics, 3.250%, 9/28/2012		2,106,683
	1,165,000	Valeant Pharmaceuticals International, 4.000%, 11/15/2013		4,601,750

				18,593,482

		Technology – 6.5%
	540,000	Ciena Corp., 0.250%, 5/01/2013		550,800
	5,260,000	Ciena Corp., 0.875%, 6/15/2017		5,135,075

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Technology – continued
$	3,420,000	Ciena Corp., 3.750%, 10/15/2018, 144A	$	5,121,450
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		256,375
	3,125,000	Eastman Kodak Co., 7.000%, 4/01/2017		2,785,156
	5,750,000	Intel Corp., 3.250%, 8/01/2039		6,763,437
	3,020,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,016,225
	240,000	Micron Technology, Inc., 1.875%, 6/01/2014		261,000
	795,000	Nortel Networks Corp., 2.125%, 4/15/2014(d)		684,694
	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014		3,500,438

				28,074,650

		Textile – 0.0%
	13,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		12,610

		Wirelines – 1.1%
	830,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		818,588
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		2,571,887
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		1,384,863

				4,775,338


		Total Convertible Bonds
		(Identified Cost $67,048,704)		94,799,911


	Municipals – 0.1%

		District of Columbia – 0.1%
	540,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 (Identified Cost $540,000)		525,274


		Total Bonds and Notes
		(Identified Cost $306,175,941)		370,928,750


	Bank Loans – 0.5%

		Media Non-Cable – 0.5%
	2,069,612	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(g)		1,832,041
	182,908	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		120,844

				1,952,885

		Wireless – 0.0%
	78,893	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(g)(h)		80,353


Principal Amount (‡)		Description	Value (†)

		Wirelines – 0.0%
$	115,983	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/24/2016(g)	$	111,790


		Total Bank Loans
		(Identified Cost $2,391,771)		2,145,028


	Shares

	Common Stocks – 6.1%

		Automobiles – 1.6%
	465,000	Ford Motor Co.(e)		6,933,150

		Biotechnology – 1.9%
	165,617	Vertex Pharmaceuticals, Inc.(e)		7,938,023

		Containers & Packaging – 0.3%
	40,621	Owens-Illinois, Inc.(e)		1,226,348
	4,495	Smurfit-Stone Container Corp.(e)		173,732

				1,400,080

		Diversified Telecommunication Services – 0.1%
	22,208	FairPoint Communications, Inc.(e)		374,649
	2,627	Hawaiian Telcom Holdco, Inc.(e)		68,959

				443,608

		Electronic Equipment, Instruments & Components – 0.3%
	69,766	Corning, Inc.		1,439,272

		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		73,625

		Household Durables – 0.0%
	6,775	KB Home		84,281

		Media – 0.0%
	849	Dex One Corp.(e)		4,109
	961	SuperMedia, Inc.(e)		5,997

				10,106

		Oil, Gas & Consumable Fuels – 0.1%
	2,846	Chesapeake Energy Corp.		95,398
	5,965	Repsol YPF SA, Sponsored ADR		205,494

				300,892

		Pharmaceuticals – 0.7%
	64,900	Bristol-Myers Squibb Co.		1,715,307
	24,929	Valeant Pharmaceuticals International, Inc.		1,241,713

				2,957,020

		REITs – Apartments – 0.2%
	6,185	Apartment Investment & Management Co., Class A		157,532
	32,565	Associated Estates Realty Corp.		517,132

				674,664

		REITs – Shopping Centers – 0.0%
	7,868	Developers Diversified Realty Corp.		110,152

See accompanying notes to financial statements.

| 62

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Semiconductors & Semiconductor Equipment – 0.9%
	190,970	Intel Corp.	$	3,851,865


		Total Common Stocks
		(Identified Cost $19,814,162)		26,216,738


	Preferred Stocks – 3.2%

	Convertible Preferred Stocks – 2.7%

		Automotive – 1.0%
	68,450	General Motors Co., Series B, 4.750%		3,299,290
	20,345	Goodyear Tire & Rubber Co. (The), 5.875%		1,039,223

				4,338,513

		Capital Markets – 0.0%
	4,000	Newell Financial Trust I, 5.250%		191,500

		Commercial Banks – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		142,858

		Diversified Financial Services – 0.2%
	14,200	Sovereign Capital Trust IV, 4.375%		631,900

		Electric Utilities – 0.2%
	17,119	AES Trust III, 6.750%		835,407
	4,150	CMS Energy Trust I, 7.750%(b)(i)		186,750

				1,022,157

		Household Durables – 0.1%
	11,000	Hovnanian Enterprises, Inc., 7.250%		233,200

		Machinery – 0.2%
	14,328	United Rentals Trust I, 6.500%		673,416

		Oil, Gas & Consumable Fuels – 0.3%
	29,700	El Paso Energy Capital Trust I, 4.750%		1,314,225

		Semiconductors & Semiconductor Equipment – 0.7%
	3,260	Lucent Technologies Capital Trust I, 7.750%		3,194,800


		Total Convertible Preferred Stocks
		(Identified Cost $10,722,253)		11,742,569


	Non-Convertible Preferred Stocks – 0.5%

		Banking – 0.1%
	448	Ally Financial, Inc., Series G, 7.000%, 144A		416,864

		Diversified Financial Services – 0.3%
	18,000	Bank of America Corp., 6.375%		403,020


Shares		Description	Value (†)


		Diversified Financial Services – continued
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%	$	655,545

				1,058,565

		Household Durables – 0.1%
	57,194	Hovnanian Enterprises, Inc., 7.625%(e)		386,059

		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Series C, 8.540%		181,602

		Thrifts & Mortgage Finance – 0.0%
	7,075	Countrywide Capital IV, 6.750%		175,248


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,857,155)		2,218,338


		Total Preferred Stocks
		(Identified Cost $12,579,408)		13,960,907


	Closed End Investment Companies – 0.1%
	11,109	Dreyfus High Yield Strategies Fund		51,879
	7,693	DWS High Income Trust		78,007
	31,505	Highland Credit Strategies Fund		236,603


		Total Closed End Investment Companies
		(Identified Cost $585,304)		366,489


	Warrants – 0.0%
	33,185	FairPoint Communications, Inc., Expiration on 1/24/2018(b)(e)(i)
		(Identified Cost $0)		—


	Principal Amount (‡)

	Short-Term Investments – 2.2%
$	9,453,903	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $9,453,903 on 4/01/2011 collateralized by $10,020,000 Federal Home Loan Mortgage Corp, 3.310% due 11/10/2020 valued at $9,531,525; $115,000 Federal National Mortgage Association, 2.000% due 1/09/2012 valued at $117,013 including accrued interest (See Note 2 of Notes to Financial Statements)
		(Identified Cost $9,453,903)		9,453,903


		Total Investments – 98.5%		423,071,815
		(Identified Cost $351,000,489)(a)
		Other assets less liabilities—1.5%		6,286,879


		Net Assets – 100.0%	$	429,358,694

See accompanying notes to financial statements.

63 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued



(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements
(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $351,107,191 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	$	81,335,236
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,370,612	)

	Net unrealized appreciation		$ 71,964,624

(b)	Illiquid security. At March 31, 2011, the value of these securities amounted to $12,180,474 or 2.8% of net assets.
(c)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Non-income producing security.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(g)	Variable rate security. Rate shown represents the weighted average rate at March 31, 2011.
(h)	All or a portion of interest payment is paid-in-kind.
(i)	Fair valued security by the Fund’s investment adviser. At March 31, 2011 the value of these securities amounted to $186,750 representing less than 0.01% of net assets.

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 March 31, 2011, the value of Rule 144A holdings amounted to $47,695,933 or 11.1% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
IDR	Indonesian Rupiah
ISK	Icelandic Krona
MXN	Mexican Peso
NZD	New Zealand Dollar

Industry Summary at March 31, 2011 (Unaudited)


Technology	9.6	%
Healthcare	7.4
Wirelines	7.2
Pharmaceuticals	5.0
Non-Captive Consumer	4.6
Metals & Mining	4.3
Automotive	4.1
Local Authorities	3.9
Non-Captive Diversified	3.8
Retailers	3.3
Independent Energy	2.8
Sovereigns	2.8
Chemicals	2.6
Paper	2.4
Electric	2.4
Other Investments, less than 2% each	30.1
Short-Term Investments	2.2

Total Investments	98.5
Other assets less liabilities	1.5

Net Assets	100.0	%

See accompanying notes to financial statements.

| 64

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 98.9% of Net Assets

		ABS Car Loan – 2.3%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	335,029
	150,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		149,930
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		128,031
	280,000	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		279,117
	160,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		158,991
	270,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		269,677

				1,320,775

		ABS Credit Card – 1.8%
	260,000	BA Credit Card Trust, Series 2008-A5, Class A5, 1.455%, 12/16/2013(b)		260,789
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.475%, 3/15/2017(b)		59,831
	315,000	Chase Issuance Trust, Series 2007-A16, Class A16, 0.610%, 6/16/2014(b)		315,507
	150,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.305%, 10/16/2014(b)		149,756
	140,000	MBNA Credit Card Master Note Trust, Series 2004-A3, Class A3, 0.515%, 8/16/2021(b)		137,417
	110,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		117,292

				1,040,592

		ABS Home Equity – 0.1%
	83,672	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		78,723

		ABS Other – 0.5%
	264,764	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		269,291

		ABS Student Loan – 0.9%
	525,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.303%, 7/25/2025(b)		524,102

		Aerospace & Defense – 1.6%
	265,000	General Dynamics Corp., 5.250%, 2/01/2014		292,967
	285,000	Goodrich Corp., 4.875%, 3/01/2020		296,366


Principal Amount		Description	Value (†)

		Aerospace & Defense – continued
$	355,000	Raytheon Co., 3.125%, 10/15/2020	$	325,284

				914,617

		Airlines – 0.4%
	190,360	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		208,445

		Automotive – 1.0%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		253,675
	305,000	Toyota Motor Credit Corp., MTN, 2.800%, 1/11/2016		303,759

				557,434

		Banking – 10.4%
	85,000	American Express Co., 5.500%, 9/12/2016		92,662
	330,000	American Express Co., 6.150%, 8/28/2017		369,286
	460,000	Bank of America Corp., 5.650%, 5/01/2018		480,738
	250,000	Barclays Bank PLC, 5.000%, 9/22/2016		265,045
	615,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		716,559
	285,000	BNP Paribas, MTN, 3.600%, 2/23/2016		285,483
	550,000	Citigroup, Inc., 6.010%, 1/15/2015		601,048
	200,000	Credit Suisse NY, 6.000%, 2/15/2018		212,420
	430,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		466,196
	305,000	Lloyds TSB Bank PLC, 4.875%, 1/21/2016		314,493
	205,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		223,466
	475,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		522,080
	355,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		381,319
	250,000	Royal Bank of Scotland PLC (The), 4.875%, 3/16/2015		259,843
	265,000	Wells Fargo & Co., 3.625%, 4/15/2015		273,150
	435,000	Wells Fargo & Co., 3.676%, 6/15/2016		437,571

				5,901,359

		Building Materials – 0.1%
	30,000	Masco Corp., 7.125%, 3/15/2020		31,046

		Chemicals – 0.5%
	130,000	Eastman Chemical Co., 4.500%, 1/15/2021		126,375
	140,000	RPM International, Inc., 6.125%, 10/15/2019		146,861

				273,236

See accompanying notes to financial statements.

65 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – 3.3%
$	132,860	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.652%, 7/25/2021(b)	$	98,871
	17,831	Federal Home Loan Mortgage Corp., Series 3145, Class KA, 5.000%, 8/15/2024		17,828
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		136,298
	456,071	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.690%, 10/07/2020(b)		456,641
	1,184,846	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.800%, 12/08/2020(b)		1,190,403

				1,900,041

		Commercial Mortgage-Backed Securities – 12.4%
	375,000	Banc of America Commercial Mortgage, Inc., Series 2006-5, Class A4, 5.414%, 9/10/2047		398,088
	346,706	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049		351,871
	255,000	Banc of America Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		267,763
	250,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.906%, 6/11/2040(b)		269,574
	45,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		48,068
	265,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		278,536
	140,000	Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 6.008%, 12/10/2049(b)		151,907
	250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		259,321
	400,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.905%, 6/15/2039(b)		423,579
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		374,095
	165,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 6.078%, 7/10/2038(b)		180,509
	175,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		185,098
	470,000	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 6.002%, 8/10/2045(b)		499,016
	200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		210,897


Principal Amount		Description	Value (†)

		Commercial Mortgage-Backed Securities – continued
$	85,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4, 5.932%, 2/12/2049(b)	$	91,028
	410,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.005%, 6/15/2049(b)		439,117
	210,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		221,474
	320,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.610%, 2/12/2039(b)		344,419
	210,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 6.097%, 6/12/2046(b)		229,915
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		248,223
	205,000	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.910%, 8/12/2041(b)		216,590
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		421,435
	475,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.071%, 6/11/2049(b)		506,004
	420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		434,917

				7,051,444

		Construction Machinery – 0.7%
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		326,651
	90,000	John Deere Capital Corp., MTN, 4.500%, 4/03/2013		95,698

				422,349

		Consumer Cyclical Services – 0.3%
	160,000	Expedia, Inc., 5.950%, 8/15/2020		161,400

		Consumer Products – 0.6%
	325,000	Koninklijke (Royal) Philips Electronics NV, 4.625%, 3/11/2013		343,799

		Distributors – 0.2%
	90,000	EQT Corp., 8.125%, 6/01/2019		107,281

		Diversified Manufacturing – 1.1%
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		92,064
	300,000	Tyco International Finance SA, 3.750%, 1/15/2018		300,326
	220,000	Tyco International Finance SA, 4.125%, 10/15/2014		233,598

				625,988

See accompanying notes to financial statements.

| 66

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Electric – 3.0%
$	260,000	Carolina Power & Light Co., 5.250%, 12/15/2015	$	288,662
	5,000	Carolina Power & Light Co., 6.500%, 7/15/2012		5,338
	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		295,870
	150,000	Duke Energy Corp., 5.625%, 11/30/2012		160,687
	180,000	Duke Energy Corp., 5.650%, 6/15/2013		195,878
	140,000	NextEra Energy Capital Holdings, Inc., 0.712%, 11/09/2012(b)		140,463
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		294,392
	115,000	Southern Co., 0.703%, 10/21/2011(b)		115,280
	205,000	Virginia Electric and Power Co., 5.100%, 11/30/2012		218,024

				1,714,594

		Entertainment – 0.8%
	265,000	Time Warner, Inc., 5.875%, 11/15/2016		295,643
	145,000	Walt Disney Co., 5.700%, 7/15/2011		147,267

				442,910

		Environmental – 0.2%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		101,998

		Food & Beverage – 1.7%
	200,000	Anheuser-Busch Cos., Inc., 6.450%, 9/01/2037		225,682
	100,000	HJ Heinz Finance Co., 6.000%, 3/15/2012		104,975
	300,000	Kellogg Co., 5.125%, 12/03/2012		320,042
	270,000	Kraft Foods, Inc., 6.125%, 8/23/2018		301,947

				952,646

		Government Owned – No Guarantee – 0.9%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		171,037
	305,000	Petrobras International Finance Co., 5.750%, 1/20/2020		314,649

				485,686

		Health Insurance – 1.4%
	275,000	UnitedHealth Group, Inc., 4.875%, 2/15/2013		292,042
	260,000	WellPoint, Inc., 4.350%, 8/15/2020		259,394
	165,000	WellPoint, Inc., 5.250%, 1/15/2016		181,325
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		38,791

				771,552


Principal Amount		Description	Value (†)

		Healthcare – 1.1%
$	20,000	Express Scripts, Inc., 6.250%, 6/15/2014	$	22,219
	170,000	Life Technologies Corp., 4.400%, 3/01/2015		177,398
	335,000	McKesson Corp., 3.250%, 3/01/2016		337,415
	105,000	McKesson Corp., 6.500%, 2/15/2014		117,729

				654,761

		Hybrid ARMs – 0.3%
	148,320	FHLMC, 2.576%, 1/01/2035(b)		155,958

		Independent Energy – 1.6%
	215,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		236,649
	260,000	Devon Energy Corp., 5.625%, 1/15/2014		287,509
	150,000	Encana Corp., 6.500%, 5/15/2019		175,139
	15,000	Talisman Energy, Inc., 5.850%, 2/01/2037		14,904
	125,000	Talisman Energy, Inc., 6.250%, 2/01/2038		131,399
	25,000	Talisman Energy, Inc., 7.750%, 6/01/2019		30,505
	55,000	XTO Energy, Inc., 4.900%, 2/01/2014		60,034

				936,139

		Integrated Energy – 1.0%
	285,000	BP Capital Markets PLC, 3.125%, 10/01/2015		286,593
	70,000	Hess Corp., 7.000%, 2/15/2014		79,307
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		190,227

				556,127

		Life Insurance – 0.9%
	130,000	American International Group, Inc., 3.650%, 1/15/2014		132,228
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,126
	255,000	MetLife, Inc., 4.750%, 2/08/2021		255,581
	70,000	Unum Group, 5.625%, 9/15/2020		71,130

				490,065

		Lodging – 0.0%
	15,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		15,542

		Media Cable – 2.3%
	335,000	Comcast Corp., 4.950%, 6/15/2016		358,184
	100,000	Cox Communications, Inc., 4.625%, 6/01/2013		106,144
	215,000	Cox Communications, Inc., 5.450%, 12/15/2014		237,292
	290,000	DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.000%, 3/01/2021		291,021

See accompanying notes to financial statements.

67 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Media Cable – continued
$	250,000	Time Warner Cable, Inc., 8.250%, 2/14/2014	$	290,677

				1,283,318

		Media Non-Cable – 0.9%
	30,000	CBS Corp., 5.750%, 4/15/2020		31,730
	210,000	CBS Corp., 8.875%, 5/15/2019		263,698
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		192,764

				488,192

		Metals & Mining – 1.3%
	260,000	Alcoa, Inc., 6.150%, 8/15/2020		274,748
	235,000	ArcelorMittal, 9.850%, 6/01/2019		298,156
	175,000	United States Steel Corp., 6.050%, 6/01/2017		180,469

				753,373

		Mortgage Related – 5.8%
	377,450	FHLMC, 4.000%, 6/01/2025		388,596
	929,458	FHLMC, 4.500%, with various maturities from 2019 to 2025(c)		975,089
	2,575	FHLMC, 5.500%, 3/01/2013		2,782
	3,796	FHLMC, 6.000%, 11/01/2012		3,952
	2,701	FHLMC, 6.500%, 1/01/2024		3,052
	308	FHLMC, 8.000%, 7/01/2025		363
	756,165	FNMA, 4.000%, 4/01/2024		778,377
	379,872	FNMA, 4.500%, 4/01/2024		398,914
	664,363	FNMA, 5.500%, with various maturities from 2017 to 2020(c)		721,255
	4,565	FNMA, 6.000%, 9/01/2021		4,992
	1,226	FNMA, 7.500%, 6/01/2016		1,357
	1,786	FNMA, 8.000%, 6/01/2015		1,970
	7,035	GNMA, 6.500%, 12/15/2023		7,978
	1,682	GNMA, 8.500%, 9/15/2022		1,804
	3,977	GNMA, 9.500%, 1/15/2019		4,708

				3,295,189

		Non-Captive Consumer – 0.4%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		234,563


Principal Amount		Description	Value (†)

		Non-Captive Diversified – 1.0%
$	550,000	General Electric Capital Corp., MTN, 5.500%, 1/08/2020	$	581,910

		Oil Field Services – 0.7%
	285,000	Ensco PLC, 3.250%, 3/15/2016		283,952
	115,000	Rowan Cos., Inc., 5.000%, 9/01/2017		118,988

				402,940

		Paper – 0.6%
	330,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		325,866

		Pharmaceuticals – 1.0%
	275,000	Eli Lilly & Co., 4.200%, 3/06/2014		294,784
	270,000	Schering-Plough Corp., 5.300%, 12/01/2013		297,462

				592,246

		Pipelines – 2.1%
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		315,055
	245,000	NiSource Finance Corp., 6.125%, 3/01/2022		266,593
	150,000	Plains All American Pipeline LP / PAA Finance Corp., 5.000%, 2/01/2021		150,446
	175,000	Questar Corp., 2.750%, 2/01/2016		172,975
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		290,363

				1,195,432

		Property & Casualty Insurance – 0.3%
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		154,202
	15,000	Willis North America, Inc., 7.000%, 9/29/2019		16,245

				170,447

		Railroads – 1.7%
	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014		398,283
	245,000	CSX Corp., 3.700%, 10/30/2020		230,983
	30,000	CSX Corp., 6.150%, 5/01/2037		31,777
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		291,685

				952,728

		Real Estate Operations/Development – 0.1%
	36,000	Colonial Realty LP, 4.800%, 4/01/2011		36,000

		Refining – 0.5%
	240,000	Valero Energy Corp., 9.375%, 3/15/2019		306,789

See accompanying notes to financial statements.

| 68

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		REITs – Apartments – 0.5%
$	250,000	ERP Operating LP, 6.625%, 3/15/2012	$	262,768

		REITs – Shopping Centers – 0.5%
	280,000	Federal Realty Investment Trust, 5.400%, 12/01/2013		301,496

		Retailers – 0.2%
	130,000	Macy’s Retail Holdings, Inc., 5.350%, 3/15/2012		133,900

		Supermarkets – 0.6%
	135,000	Kroger Co. (The), 6.150%, 1/15/2020		152,248
	50,000	Kroger Co. (The), 6.200%, 6/15/2012		52,857
	35,000	Kroger Co. (The), 6.400%, 8/15/2017		40,270
	65,000	Kroger Co. (The), 6.750%, 4/15/2012		68,878

				314,253

		Technology – 3.4%
	265,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		295,635
	580,000	Cisco Systems, Inc., 2.900%, 11/17/2014		602,104
	95,000	Corning, Inc., 4.250%, 8/15/2020		94,127
	160,000	Equifax, Inc., 7.000%, 7/01/2037		170,566
	230,000	IBM International Group Capital, 5.050%, 10/22/2012		244,690
	275,000	Oracle Corp., 4.950%, 4/15/2013		296,248
	145,000	Xerox Corp., 4.250%, 2/15/2015		152,634
	80,000	Xerox Corp., 6.400%, 3/15/2016		90,677

				1,946,681

		Tobacco – 1.1%
	205,000	Altria Group, Inc., 9.700%, 11/10/2018		269,599
	335,000	Philip Morris International, Inc., 6.875%, 3/17/2014		384,489

				654,088

		Transportation Services – 0.5%
	300,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		299,279

		Treasuries – 16.5%
	595,000	U.S. Treasury Bond, 4.250%, 11/15/2040		569,061
	2,415,000	U.S. Treasury Note, 1.125%, 12/15/2012		2,434,057
	1,610,000	U.S. Treasury Note, 1.250%, 8/31/2015		1,560,443
	1,815,000	U.S. Treasury Note, 1.750%, 4/15/2013		1,849,322
	1,775,000	U.S. Treasury Note, 4.250%, 8/15/2014		1,940,991


Principal Amount		Description	Value (†)

		Treasuries – continued
$	980,000	U.S. Treasury Note, 4.875%, 7/31/2011	$	995,465

				9,349,339

		Wireless – 1.8%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		257,241
	280,000	American Tower Corp., 4.500%, 1/15/2018		274,984
	5,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		5,013
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		170,637
	330,000	Vodafone Group PLC, 5.350%, 2/27/2012		343,957

				1,051,832

		Wirelines – 4.0%
	515,000	AT&T, Inc., 5.800%, 2/15/2019		572,057
	255,000	Embarq Corp., 7.995%, 6/01/2036		287,487
	260,000	Qwest Corp., 6.875%, 9/15/2033		260,325
	400,000	Telecom Italia Capital SA, 4.950%, 9/30/2014		416,729
	275,000	Telefonica Emisiones SAU, 4.949%, 1/15/2015		290,158
	435,000	Verizon Communications, Inc., 1.950%, 3/28/2014		435,363

				2,262,119


		Total Bonds and Notes
		(Identified Cost $54,634,821)		56,204,648


	Short-Term Investments – 1.2%
	667,232	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $667,232 on 4/1/2011 collateralized by $250,000 Federal Home Loan Mortgage Corp, 3.31% due 11/10/2020 valued 237,813; $440,000 Federal National Mortgage Association, 2.000% due 1/9/2012 valued at $447,700 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $667,232)		667,232


		Total Investments – 100.1%
		(Identified Cost $55,302,053)(a)		56,871,880
		Other Assets Less Liabilities—(0.1)%		(85,081	)


		Net Assets – 100.0%	$	56,786,799


	(†)	See Note 2 of Notes to Financial Statements.
	(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.):

See accompanying notes to financial statements.

69 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


	At March 31, 2011, the net unrealized appreciation on investments based on a cost of $55,502,932 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	$	1,658,637
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(289,689	)

	Net unrealized appreciation	$	1,368,948

(b)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(c)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

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 March 31, 2011, the value of Rule 144A holdings amounted to $753,176 or 1.3% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GMTN	Global Medium Term Note
GNMA	Government National Mortgage Association
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2011 (Unaudited)



Treasuries	16.5	%
Commercial Mortgage-Backed Securities	12.4
Banking	10.4
Mortgage Related	5.8
Wirelines	4.0
Technology	3.4
Collateralized Mortgage Obligations	3.3
Electric	3.0
ABS Car Loan	2.3
Media Cable	2.3
Pipelines	2.1
Other Investments, less than 2% each	33.4
Short-Term Investments	1.2

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 70

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 86.6% of Net Assets

	Non-Convertible Bonds – 81.5%

		ABS Credit Card – 0.2%
$	1,000,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019	$	1,083,942

		ABS Other – 1.8%
	2,500,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		2,364,100
	1,158,455	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		1,184,973
	3,605,875	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		3,722,740
	949,645	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		1,008,649

				8,280,462

		Airlines – 4.6%
	323,243	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		379,811
	338,154	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		366,052
	1,056,260	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,082,667
	4,696,853	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		5,330,928
	1,871,965	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,932,803
	5,232,467	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		5,729,551
	2,198,950	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 7/02/2018		2,281,411
	3,455,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		3,679,644

				20,782,867

		Automotive – 0.9%
	1,930,000	Cummins, Inc., 5.650%, 3/01/2098		1,560,816
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,517,738

				4,078,554

		Banking – 8.1%
	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018		2,983,939
	1,045,000	BAC Capital Trust VI, 5.625%, 3/08/2035		911,920


Principal Amount (‡)		Description	Value (†)

		Banking – continued
$	230,000	Bank of America Corp., 5.420%, 3/15/2017	$	234,803
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,465,443
	7,484,000,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, 144A, (IDR)		848,402
	85,000	Citigroup, Inc., 5.850%, 12/11/2034		83,349
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		173,922
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,398,291
	2,420,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,440,882
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		883,341
	60,000	JPMorgan Chase & Co., 4.750%, 5/01/2013		63,738
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		570,083
	2,870,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		2,721,957
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		248,619
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,562,963
	4,800,000	Morgan Stanley, 5.500%, 7/24/2020		4,796,626
	3,400,000	Morgan Stanley, 5.750%, 1/25/2021		3,431,606
	260,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		274,093
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		2,083,969
	1,400,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,429,869
	695,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		746,526
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		414,162
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		324,048
	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		4,856,634
	135,000	Washington Mutual Finance Corp., 6.875%, 5/15/2011		135,867

				37,085,052

		Brokerage – 2.1%
	2,955,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,974,385
	2,645,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(b)		2,748,327
	755,000	Jefferies Group, Inc., 6.250%, 1/15/2036		697,861
	2,835,000	Jefferies Group, Inc., 8.500%, 7/15/2019		3,344,447

				9,765,020

See accompanying notes to financial statements.

71 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Building Materials – 1.7%
$	1,175,000	Masco Corp., 4.800%, 6/15/2015	$	1,167,603
	730,000	Masco Corp., 5.850%, 3/15/2017		715,756
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,738,507
	200,000	Masco Corp., 6.500%, 8/15/2032		180,457
	375,000	Masco Corp., 7.750%, 8/01/2029		381,444
	1,235,000	Owens Corning, Inc., 6.500%, 12/01/2016		1,344,669
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,262,742

				7,791,178

		Chemicals – 1.4%
	4,450,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		5,312,904
	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		982,107

				6,295,011

		Collateralized Mortgage Obligations – 0.3%
	675,000	Federal Home Loan Mortgage Corp., Series 2912, Class EH, 5.500%, 1/15/2035		734,755
	283,726	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.515%, 7/25/2035(c)		262,414
	195,396	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.787%, 10/25/2035(c)		185,870

				1,183,039

		Commercial Mortgage-Backed Securities – 6.3%
	160,000	Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.368%, 9/10/2047(c)		172,566
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		643,545
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		386,600
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		628,553
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.906%, 6/11/2040(c)		438,867
	58,416	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		58,386


Principal Amount (‡)		Description	Value (†)

		Commercial Mortgage-Backed Securities –continued
$	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049	$	1,108,890
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.951%, 6/10/2046(c)		524,046
	3,525,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.905%, 6/15/2039(c)		3,732,793
	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.995%, 9/15/2039(c)		2,156,096
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		711,820
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,387,041
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,586,556
	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		847,002
	350,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		376,440
	1,180,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		1,271,258
	1,100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 6.061%, 4/15/2045(c)		1,208,710
	4,055,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.005%, 6/15/2049(c)		4,342,969
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,481,767
	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		508,647
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.078%, 6/15/2038(c)		417,907
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		416,262
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 6.097%, 6/12/2046(c)		257,286

See accompanying notes to financial statements.

| 72

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042	$	373,186
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		452,266
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		263,397
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.458%, 1/11/2043(c)		896,163
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		214,256

				28,863,275

		Consumer Products – 0.3%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		631,020
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		881,619

				1,512,639

		Distributors – 1.3%
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,576,042
	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018		2,337,719

				5,913,761

		Diversified Manufacturing – 0.4%
	700,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		986,567
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		856,520

				1,843,087

		Electric – 1.8%
	2,800,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		2,837,954
	1,520,715	Bruce Mansfield Unit, 6.850%, 6/01/2034(b)		1,595,763
	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		1,260,135
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		595,314
	21,000	Commonwealth Edison Co., 4.750%, 12/01/2011(b)		20,977
	900,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		785,579
	1,000,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		1,116,746

				8,212,468


Principal Amount (‡)		Description	Value (†)

		Financial Other – 0.7%
$	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A	$	3,140,287

		Food & Beverage – 0.1%
	500,000	Corn Products International, Inc., 6.625%, 4/15/2037		522,619

		Government Guaranteed – 0.5%
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		2,460,620

		Government Owned – No Guarantee – 2.0%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,824,706
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,140,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		998,656
	10,400,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,206,914

				9,170,276

		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		23,401

		Healthcare – 0.5%
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		895,884
	95,000	HCA, Inc., 6.375%, 1/15/2015		96,900
	55,000	HCA, Inc., 6.500%, 2/15/2016		55,963
	100,000	HCA, Inc., 7.050%, 12/01/2027		89,000
	190,000	HCA, Inc., 7.190%, 11/15/2015		190,950
	75,000	HCA, Inc., 7.500%, 12/15/2023		70,875
	175,000	HCA, Inc., 7.690%, 6/15/2025		166,687
	305,000	HCA, Inc., 8.360%, 4/15/2024		305,000
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		9,425
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		285,175

				2,165,859

		Home Construction – 1.3%
	1,116,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,107,630
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,613,550
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,182,188
	835,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		852,296

				5,755,664

		Hybrid ARMs – 0.1%
	157,699	FNMA, 5.710%, 9/01/2036(c)		166,766

See accompanying notes to financial statements.

73 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Hybrid ARMs – continued
$	88,228	FNMA, 5.983%, 2/01/2037(c)	$	93,834

				260,600

		Independent Energy – 0.6%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,315,330
	1,320,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		1,318,296

				2,633,626

		Industrial Other – 0.3%
	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020		1,230,103

		Life Insurance – 1.1%
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		406,238
	110,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		112,919
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		513,507
	1,095,000	MetLife, Inc., 6.400%, 12/15/2066		1,054,595
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,118,982

				5,206,241

		Local Authorities – 3.3%
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,744,101
	2,625,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		2,744,954
	685,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		716,197
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,116,534
	302,908	Province of Alberta, 5.930%, 9/16/2016, (CAD)		346,943
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		968,975
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		802,016
	1,735,000	Queensland Treasury Corp., Series 11G, 6.000%, 6/14/2011, (AUD)		1,798,455

				15,238,175

		Lodging – 0.8%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,568,267
	1,660,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		1,831,229

				3,399,496


Principal Amount (‡)		Description	Value (†)

		Media Non-Cable – 0.1%
$	240,000	News America, Inc., 8.150%, 10/17/2036	$	290,930

		Mortgage Related – 0.0%
	26,174	Federal National Mortgage Association, 7.000%, 4/25/2020		28,599
	3,964	FHLMC, 10.000%, with various maturities in 2018(d)		4,484
	14,647	FNMA, 6.000%, 12/01/2018		16,011
	48,400	GNMA, 10.000%, with various maturities in 2018(d)		55,028

				104,122

		Non-Captive Consumer – 2.2%
	470,000	SLM Corp., MTN, 5.050%, 11/14/2014		474,431
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		241,639
	995,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		1,034,951
	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,107,158
	2,385,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,671,200
	45,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		44,269
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,157,000
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,303,206

				10,033,854

		Non-Captive Diversified – 4.1%
	97,000	Ally Financial, Inc., 8.000%, 12/31/2018		104,154
	4,165,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,175,413
	59,287	CIT Group, Inc., 7.000%, 5/01/2013		60,398
	169,485	CIT Group, Inc., 7.000%, 5/01/2014		172,663
	169,485	CIT Group, Inc., 7.000%, 5/01/2015		170,968
	282,478	CIT Group, Inc., 7.000%, 5/01/2016		282,831
	395,473	CIT Group, Inc., 7.000%, 5/01/2017		395,967
	670,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		706,997
	65,000	General Electric Capital Corp., 5.625%, 5/01/2018		70,273

See accompanying notes to financial statements.

| 74

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	300,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038	$	296,182
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		372,709
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,816,889
	655,000	General Electric Capital Corp., Series A, MTN, 0.603%, 5/13/2024(c)		573,435
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,487,108
	4,355,000	International Lease Finance Corp., 6.375%, 3/25/2013		4,507,425
	25,000	International Lease Finance Corp., 8.875%, 9/15/2015, 144A		27,500
	315,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		316,575

				18,537,487

		Oil Field Services – 0.4%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,292,932
	235,000	Weatherford International Ltd., 6.500%, 8/01/2036		234,972
	105,000	Weatherford International Ltd., 6.800%, 6/15/2037		109,196

				1,637,100

		Paper – 0.4%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,567,500
	200,000	Westvaco Corp., 8.200%, 1/15/2030		213,445

				1,780,945

		Pharmaceuticals – 0.0%
	170,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		175,738

		Pipelines – 1.2%
	635,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		645,522
	350,000	El Paso Corp., 6.950%, 6/01/2028		354,587
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		241,236
	965,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		1,078,226
	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,176,270
	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		901,215

				5,397,056


Principal Amount (‡)		Description	Value (†)

		Property & Casualty Insurance – 2.0%
$	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020	$	1,801,736
	2,465,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		2,320,438
	60,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		33,000
	150,000	Progressive Corp., 7.000%, 10/01/2013		166,414
	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		225,134
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		871,790
	2,015,000	XL Group PLC, 6.250%, 5/15/2027		2,000,701
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,659,020

				9,078,233

		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		129,675

		Real Estate Operations/Development – 0.1%
	531,000	Colonial Realty LP, 4.800%, 4/01/2011		531,000

		REITs – Apartments – 0.1%
	30,000	ERP Operating LP, 5.125%, 3/15/2016		32,216
	180,000	ERP Operating LP, 5.750%, 6/15/2017		198,178

				230,394

		REITs – Office Property – 0.3%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		85,141
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,228,769

				1,313,910

		REITs – Shopping Centers – 0.6%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,028,636
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,469,560

				2,498,196

		REITs – Single Tenant – 0.1%
	95,000	Realty Income Corp., 5.750%, 1/15/2021		100,001
	405,000	Realty Income Corp., 6.750%, 8/15/2019		462,128

				562,129

		REITs – Warehouse/Industrials – 0.3%
	55,000	ProLogis, 5.625%, 11/15/2015		58,370
	240,000	ProLogis, 5.625%, 11/15/2016		251,400

See accompanying notes to financial statements.

75 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		REITs – Warehouse/Industrials – continued
$	265,000	ProLogis, 5.750%, 4/01/2016	$	284,637
	785,000	ProLogis, 7.375%, 10/30/2019		889,049

				1,483,456

		Restaurants – 0.1%
	610,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		590,252

		Retailers – 0.6%
	118,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		106,347
	2,803,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		2,803,000

				2,909,347

		Sovereigns – 2.2%
	262,000(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		2,227,169
	140,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,194,793
	227,000(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		2,017,807
	3,100,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		3,247,250
	38,315,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		200,981
	101,800,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		571,240
	69,235,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		363,032

				9,822,272

		Supranational – 2.3%
	4,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		2,448,976
	45,300,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,296,672
	4,375,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		3,491,735

				10,237,383

		Technology – 2.3%
	210,000	Corning, Inc., 6.850%, 3/01/2029		236,358
	810,000	Corning, Inc., 7.000%, 5/15/2024		927,294
	3,565,000	Corning, Inc., 7.250%, 8/15/2036		4,070,064
	3,550,000	Ingram Micro, Inc., 5.250%, 9/01/2017		3,609,111
	470,000	Motorola Solutions, Inc., 6.500%, 9/01/2025		494,556


Principal Amount (‡)		Description	Value (†)

		Technology – continued
$	235,000	Motorola Solutions, Inc., 6.500%, 11/15/2028	$	241,504
	290,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		311,171
	425,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		499,094

				10,389,152

		Tobacco – 0.2%
	735,000	Reynolds American, Inc., 6.750%, 6/15/2017		840,511
	195,000	Reynolds American, Inc., 7.250%, 6/15/2037		206,381

				1,046,892

		Transportation Services – 0.8%
	100,000	APL Ltd., 8.000%, 1/15/2024(b)		68,500
	2,503,815	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		2,478,776
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		976,172

				3,523,448

		Treasuries – 15.0%
	135,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		139,322
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		33,783,597
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,093,770
	7,935,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		8,538,862
	155,991	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		110,730
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		43,657
	1,000,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		840,541
	1,775,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		1,776,215
	800,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		768,122
	100,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		97,703
	1,425,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,344,932
	5,460,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,413,314
	23,620,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		4,443,328
	54,560,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		10,597,155
	400,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		397,836
	100,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		109,970

				68,499,054

See accompanying notes to financial statements.

| 76

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wireless – 0.3%
$	510,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014	$	511,275
	70,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		70,262
	35,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		35,263
	234,000	Sprint Capital Corp., 6.875%, 11/15/2028		215,865
	120,000	Sprint Capital Corp., 6.900%, 5/01/2019		123,900
	366,000	Sprint Nextel Corp., 6.000%, 12/01/2016		367,372

				1,323,937

		Wirelines – 3.3%
	1,310,000	AT&T Corp., 6.500%, 3/15/2029		1,386,064
	2,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		1,792,118
	2,165,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,319,163
	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		510,000
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,878,594
	195,000	Qwest Corp., 7.500%, 6/15/2023		195,487
	1,880,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		1,701,129
	290,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		261,765
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,510,367
	915,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		1,026,581
	695,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		647,170

				15,228,438


		Total Non-Convertible Bonds
		(Identified Cost $322,378,527)		371,251,722


	Convertible Bonds – 4.2%

		Automotive – 0.4 %
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,875,938

		Life Insurance – 1.8%
	7,950,000	Old Republic International Corp., 3.750%, 3/15/2018		7,979,812

		REITs – Apartments – 0.0%
	180,000	ERP Operating LP, 3.850%, 8/15/2026		184,284


Principal Amount (‡)		Description	Value (†)

		Technology – 2.0%
$	3,505,000	Intel Corp., 2.950%, 12/15/2035	$	3,605,769
	4,700,000	Intel Corp., 3.250%, 8/01/2039		5,528,375

				9,134,144


		Total Convertible Bonds
		(Identified Cost $17,282,177)		19,174,178


	Municipals – 0.9%

		Illinois – 0.2%
	1,105,000	State of Illinois, 5.100%, 6/01/2033		896,011

		Michigan – 0.2%
	1,055,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		748,322

		Ohio – 0.1%
	750,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(b)		497,498

		Virginia – 0.4%
	2,815,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		1,770,494


		Total Municipals
		(Identified Cost $5,421,393)		3,912,325


		Total Bonds and Notes
		(Identified Cost $345,082,097)		394,338,225


	Shares

	Preferred Stocks – 1.6%

	Non-Convertible Preferred Stocks – 0.8%

		Banking – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		149,811

		Electric Utilities – 0.1%
	263	Connecticut Light & Power Co., 2.200%		9,912
	150	MDU Resources Group, Inc., 5.100%		15,084
	3,160	Union Electric Co., 4.500%		240,160

				265,156

		Multi Utilities – 0.0%
	100	San Diego Gas & Electric Co., 4.500%		1,675

See accompanying notes to financial statements.

77 |

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		Software – 0.7%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)	$	3,240,937


		Total Non-Convertible Preferred Stocks
		(Identified Cost $3,228,421)		3,657,579


	Convertible Preferred Stocks – 0.8%

		Capital Markets – 0.3%
	33,050	Newell Financial Trust I, 5.250%		1,582,269

		Diversified Financial Services – 0.5%
	940	Bank of America Corp., Series L, 7.250%		950,331
	25,000	Sovereign Capital Trust IV, 4.375%		1,112,500

				2,062,831


		Total Convertible Preferred Stocks
		(Identified Cost $2,578,145)		3,645,100


		Total Preferred Stocks
		(Identified Cost $5,806,566)		7,302,679


	Common Stocks – 0.2%

		Biotechnology – 0.2%
	13,708	Vertex Pharmaceuticals, Inc.(e) (Identified Cost $302,522)		657,024


	Principal Amount (‡)

	Short-Term Investments – 11.2%
$	51,164,471	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2011 at 0.000% to be repurchased at $51,164,471 on 4/01/2011 collateralized by $54,865,000 Federal National Mortgage Association, 3.420% due 11/24/2020 valued at $52,190,331 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $51,164,471)		51,164,471


		Total Investments – 99.6%
		(Identified Cost $402,355,656)(a)		453,462,399
		Other Assets Less Liabilities—0.4%		1,981,408


		Net Assets – 100.0%	$	455,443,807


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


(†)	See Note 2 of Notes to Financial Statements.
(††)	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 March 31, 2011, the net unrealized appreciation on investments based on a cost of $404,120,897 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	$	52,750,731
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,409,229	)

	Net unrealized appreciation	$	49,341,502

(b)	Illiquid security. At March 31, 2011, the value of these securities amounted to $7,579,556 or 1.7% of net assets.
(c)	Variable rate security. Rate as of March 31, 2011 is disclosed.
(d)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
(e)	Non-income producing security.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

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 March 31, 2011, the value of Rule 144A holdings amounted to $62,505,397 or 13.7% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
EMTN	Euro Medium Term Note
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GMTN	Global Medium Term Note
GNMA	Government National Mortgage Association
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

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

See accompanying notes to financial statements.

| 78

Portfolio of Investments – as of March 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued

Industry Summary at March 31, 2011 (Unaudited)


Treasuries	15.0	%
Banking	8.1
Commercial Mortgage-Backed Securities	6.3
Airlines	4.6
Technology	4.3
Non-Captive Diversified	4.1
Local Authorities	3.3
Wirelines	3.3
Life Insurance	2.9
Supranational	2.3
Non-Captive Consumer	2.2
Sovereigns	2.2
Brokerage	2.1
Government Owned – No Guarantee	2.0
Property & Casualty Insurance	2.0
Other Investments, less than 2% each	23.7
Short-Term Investments	11.2

Total Investments	99.6
Other assets less liabilities	0.4

Net Assets	100.0	%

Currency Exposure at March 31, 2011 (Unaudited)


U.S. Dollar	73.0	%
Canadian Dollar	9.6
New Zealand Dollar	4.5
Norwegian Krone	3.3
Australian Dollar	3.2
Other, less than 2% each	6.0

Total Investments	99.6
Other assets less liabilities	0.4

Net Assets	100.0	%

See accompanying notes to financial statements.

79 |

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| 80

Statements of Assets and Liabilities

March 31, 2011 (Unaudited)


	Bond Fund			Fixed Income Fund			Global Bond Fund
ASSETS
Investments at cost	$	16,603,056,966		$	700,471,434		$	2,085,012,192
Repurchase agreement(s) at cost		1,242,914,288			56,191,130			82,626,362
Net unrealized appreciation		1,945,318,611			93,087,807			117,290,111

Investments at value		19,791,289,865			849,750,371			2,284,928,665
Cash		7,638,633			292,982			—
Foreign currency at value (identified cost $22,059,192, $795,753 and $40,630,041)		21,647,173			755,805			41,544,482
Receivable for Fund shares sold		46,880,807			600,000			4,338,569
Receivable for securities sold		8,759,417			337,807			—
Collateral received for open forward foreign currency contracts (Note 2)		—			—			939,998
Dividends and interest receivable		282,475,218			10,801,661			25,866,369
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—			4,130,446
Tax reclaims receivable		1,525,689			63,787			202,626

TOTAL ASSETS		20,160,216,802			862,602,413			2,361,951,155


LIABILITIES
Payable for securities purchased		105,407,189			1,884,668			60,554,235
Payable for Fund shares redeemed		17,647,886			45,394			1,942,481
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—			2,407,419
Foreign taxes payable (Note 2)		352,526			15,970			—
Due to brokers (Note 2)		—			—			939,998
Management fees payable (Note 6)		8,668,680			362,678			1,037,736
Deferred Trustees’ fees (Note 6)		802,472			102,450			175,847
Administrative fees payable (Note 6)		796,490			34,175			90,263
Other accounts payable and accrued expenses		1,472,083			39,360			159,745

TOTAL LIABILITIES		135,147,326			2,484,695			67,307,724

NET ASSETS	$	20,025,069,476		$	860,117,718		$	2,294,643,431

NET ASSETS CONSIST OF:
Paid-in capital	$	18,872,463,351		$	758,395,589		$	2,239,714,315
Undistributed net investment income (Distributions in excess of net investment income)		(61,343,180	)		8,832,700			(18,715,351	)
Accumulated net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions		(733,532,950	)		(228,175	)		(46,781,906	)
Net unrealized appreciation on investments, futures contracts and foreign currency translations		1,947,482,255			93,117,604			120,426,373

NET ASSETS	$	20,025,069,476		$	860,117,718		$	2,294,643,431


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	11,438,988,894		$	860,117,718		$	1,326,479,414

Shares of beneficial interest		785,077,965			61,281,832			78,947,652

Net asset value, offering and redemption price per share	$	14.57		$	14.04		$	16.80

Retail Class:
Net assets	$	8,318,500,269		$	—		$	968,164,017

Shares of beneficial interest		573,041,322			—			58,145,833

Net asset value, offering and redemption price per share	$	14.52		$	—		$	16.65

Admin Class:
Net assets	$	267,580,313		$	—		$	—

Shares of beneficial interest		18,478,847			—			—

Net asset value, offering and redemption price per share	$	14.48		$	—		$	—

See accompanying notes to financial statements.

81 |


	Inflation Protected Securities Fund			Institutional High Income Fund		Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	14,968,594		$	341,546,586	$	54,634,821		$	351,191,185
Repurchase agreement(s) at cost		250,190			9,453,903		667,232			51,164,471
Net unrealized appreciation		779,169			72,071,326		1,569,827			51,106,743

Investments at value		15,997,953			423,071,815		56,871,880			453,462,399
Cash		—			149,108		—			27,274
Foreign currency at value (identified cost $0, $112,049, $0 and $551,245)		—			105,478		—			557,766
Receivable for Fund shares sold		1,320,171			841,264		194,916			—
Receivable from investment adviser (Note 6)		10,200			—		1,113			—
Receivable for securities sold		—			134,166		417,297			—
Dividends and interest receivable		102,321			5,708,924		460,231			5,988,134
Tax reclaims receivable		—			19,913		1,951			122,348

TOTAL ASSETS		17,430,645			430,030,668		57,947,388			460,157,921


LIABILITIES
Payable for securities purchased		—			326,238		437,873			4,430,108
Payable for Fund shares redeemed		2,832			—		635,882			—
Foreign taxes payable (Note 2)		—			3,625		—			7,519
Management fees payable (Note 6)		—			218,299		—			147,358
Deferred Trustees’ fees (Note 6)		59,656			69,224		62,652			76,672
Administrative fees payable (Note 6)		591			17,137		2,337			17,379
Other accounts payable and accrued expenses		19,249			37,451		21,845			35,078

TOTAL LIABILITIES		82,328			671,974		1,160,589			4,714,114

NET ASSETS	$	17,348,317		$	429,358,694	$	56,786,799		$	455,443,807

NET ASSETS CONSIST OF:
Paid-in capital	$	17,274,166		$	347,239,978	$	56,238,023		$	398,953,019
Undistributed net investment income (Distributions in excess of net investment income)		(103,175	)		4,423,240		(201,429	)		(1,157,666	)
Accumulated net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions		(601,897	)		5,625,994		(819,622	)		6,456,129
Net unrealized appreciation on investments, futures contracts and foreign currency translations		779,223			72,069,482		1,569,827			51,192,325

NET ASSETS	$	17,348,317		$	429,358,694	$	56,786,799		$	455,443,807


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	16,894,760		$	429,358,694	$	55,406,078		$	455,443,807

Shares of beneficial interest		1,528,339			54,564,722		5,350,895			35,619,108

Net asset value, offering and redemption price per share	$	11.05		$	7.87	$	10.35		$	12.79

Retail Class:
Net assets	$	453,557		$	—	$	1,380,721		$	—

Shares of beneficial interest		41,082			—		133,193			—

Net asset value, offering and redemption price per share	$	11.04		$	—	$	10.37		$	—

See accompanying notes to financial statements.

| 82

Statements of Operations

For the Six Months Ended March 31, 2011 (Unaudited)


	Bond Fund			Fixed Income Fund			Global Bond Fund
INVESTMENT INCOME
Interest	$	539,645,682		$	23,073,332		$	44,018,789
Dividends		28,793,675			1,127,673			—
Less net foreign taxes withheld		(1,317,368	)		(49,710	)		(158,854	)

		567,121,989			24,151,295			43,859,935

Expenses
Management fees (Note 6)		50,428,026			2,065,773			6,140,270
Service and distribution fees (Note 6)		10,879,239			—			1,223,515
Administrative fees (Note 6)		4,594,562			193,034			529,760
Trustees’ fees and expenses (Note 6)		219,043			21,834			38,535
Transfer agent fees and expenses (Notes 6 and 7)		6,549,068			1,577			771,073
Audit and tax services fees		32,777			22,855			27,205
Custodian fees and expenses		567,509			35,814			109,951
Legal fees		232,554			9,773			26,776
Registration fees		225,857			17,946			76,888
Shareholder reporting expenses		748,041			1,267			91,146
Miscellaneous expenses		285,902			14,375			35,577

Total expenses		74,762,578			2,384,248			9,070,696
Fee/expense recovery (Note 6)		6,942			—			—

Net expenses		74,769,520			2,384,248			9,070,696

Net investment income		492,352,469			21,767,047			34,789,239


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		255,924,412			11,554,766			34,118,503
Futures contracts		—			—			4,296,316
Foreign currency transactions		5,232,177			200,609			4,946,543
Net change in unrealized appreciation (depreciation) on:
Investments		313,067,057			11,754,469			(49,057,035	)
Futures contracts		—			—			555,658
Foreign currency translations		122,187			8,671			(293,629	)

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		574,345,833			23,518,515			(5,433,644	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,066,698,302		$	45,285,562		$	29,355,595

See accompanying notes to financial statements.

83 |


	Inflation Protected Securities Fund			Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	230,733		$	14,114,047		$	865,679		$	11,818,500
Dividends		—			576,138			—			410,426
Less net foreign taxes withheld		—			(45,935	)		(157	)		(602	)

		230,733			14,644,250			865,522			12,228,324

Expenses
Management fees (Note 6)		17,343			1,230,100			64,962			864,970
Service and distribution fees (Note 6)		244			—			1,483			—
Administrative fees (Note 6)		3,241			95,786			12,139			101,040
Trustees’ fees and expenses (Note 6)		18,032			16,391			18,789			17,580
Transfer agent fees and expenses (Notes 6 and 7)		3,890			4,479			1,062			965
Audit and tax services fees		20,446			21,866			20,349			21,244
Custodian fees and expenses		8,320			23,596			10,523			23,187
Legal fees		170			4,673			507			5,420
Registration fees		19,502			18,358			17,657			14,714
Shareholder reporting expenses		1,393			1,900			2,125			1,077
Miscellaneous expenses		3,068			8,309			3,389			9,606

Total expenses		95,649			1,425,458			152,985			1,059,803
Less waiver and/or expense reimbursement (Note 6)		(67,657	)		—			(47,562	)		—

Net expenses		27,992			1,425,458			105,423			1,059,803

Net investment income		202,741			13,218,792			760,099			11,168,521


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		38,095			7,063,709			57,819			11,906,310
Futures contracts		—			—			(11,130	)		—
Foreign currency transactions		225			47,382			—			118,202
Net change in unrealized appreciation (depreciation) on:
Investments		(59,884	)		17,294,686			(957,143	)		(8,915,753	)
Foreign currency translations		9			(7,165	)		—			41,373

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(21,555	)		24,398,612			(910,454	)		3,150,132

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	181,186		$	37,617,404		$	(150,355	)	$	14,318,653

See accompanying notes to financial statements.

| 84

Statements of Changes in Net Assets


	Bond Fund						Fixed Income Fund						Global Bond Fund
	Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income	$	492,352,469		$	1,070,035,077		$	21,767,047		$	45,727,241		$	34,789,239		$	68,638,745
Net realized gain (loss) on investments, futures contracts, swap agreements and foreign currency transactions		261,156,589			(80,917,562	)		11,755,375			11,807,903			43,361,362			17,629,634
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		313,189,244			1,805,551,398			11,763,140			54,418,162			(48,795,006	)		102,327,637

Net increase (decrease) in net assets resulting from operations		1,066,698,302			2,794,668,913			45,285,562			111,953,306			29,355,595			188,596,016

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(327,821,826)			(642,070,620	)		(48,778,586	)		(42,551,309	)		(32,690,275	)		(39,529,201	)
Retail Class		(227,371,155)			(448,114,393	)		—			—			(23,460,114	)		(31,727,897	)
Admin Class		(7,052,730)			(13,185,534	)		—			—			—			—
Net realized capital gains
Institutional Class		—			—			—			—			—			—

Total distributions		(562,245,711	)		(1,103,370,547	)		(48,778,586	)		(42,551,309	)		(56,150,389	)		(71,257,098	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(181,187,912	)		(717,934,887	)		57,472,289			(25,218,972	)		9,534,894			243,357,966

Net increase (decrease) in net assets		323,264,679			973,363,479			53,979,265			44,183,025			(17,259,900	)		360,696,884
NET ASSETS
Beginning of the period		19,701,804,797			18,728,441,318			806,138,453			761,955,428			2,311,903,331			1,951,206,447

End of the period	$	20,025,069,476		$	19,701,804,797		$	860,117,718		$	806,138,453		$	2,294,643,431		$	2,311,903,331

UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)	$	(61,343,180	)	$	8,550,062		$	8,832,700		$	35,844,239		$	(18,715,351	)	$	2,645,799

See accompanying notes to financial statements.

85 |


Inflation Protected Securities Fund				Institutional High Income Fund						Intermediate Duration Bond Fund						Investment Grade Fixed Income Fund
Six Months Ended March 31, 2011 (Unaudited)	Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010			Six Months Ended March 31, 2011 (Unaudited)			Year Ended September 30, 2010

$ 202,741	$	426,034		$	13,218,792		$	28,061,451		$	760,099		$	1,184,695		$	11,168,521		$	26,566,472

38,320		188,071			7,111,091			25,735,774			46,689			478,623			12,024,512			19,397,666

(59,875)		727,374			17,287,521			11,621,609			(957,143	)		1,575,620			(8,874,380	)		21,278,146


181,186		1,341,479			37,617,404			65,418,834			(150,355	)		3,238,938			14,318,653			67,242,284



(260,879)		(490,125)			(28,511,356	)		(30,543,921	)		(904,560	)		(1,295,593	)		(14,267,694	)		(27,602,054	)
(4,406)		(471)			—			—			(18,601	)		(690	)		—			—
—		—			—			—			—			—			—			—

—		—			(15,983,712	)		(11,736	)		—			—			(19,655,485	)		—

(265,285)		(490,596	)		(44,495,068	)		(30,555,657	)		(923,161	)		(1,296,283	)		(33,923,179	)		(27,602,054	)


4,116,607		(1,511,063	)		52,543,700			(109,686,518	)		20,819,091			7,071,240			1,849,629			(91,945,491	)

4,032,508		(660,180	)		45,666,036			(74,823,341	)		19,745,575			9,013,895			(17,754,897	)		(52,305,261	)

13,315,809		13,975,989			383,692,658			458,515,999			37,041,224			28,027,329			473,198,704			525,503,965

$17,348,317	$	13,315,809		$	429,358,694		$	383,692,658		$	56,786,799		$	37,041,224		$	455,443,807		$	473,198,704


$ (103,175)	$	(40,631	)	$	4,423,240		$	19,715,804		$	(201,429	)	$	(38,367	)	$	(1,157,666	)	$	1,941,507

See accompanying notes to financial statements.

| 86

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
BOND FUND

Institutional Class
3/31/2011(g)	$	14.20	$	0.37	$	0.42		$	0.79		$	(0.42	)	$	—		$	(0.42	)
9/30/2010		12.99		0.78		1.24			2.02			(0.81	)		—			(0.81	)
9/30/2009		11.89		0.85		1.23			2.08			(0.87	)		(0.11	)		(0.98	)
9/30/2008		14.71		0.96		(2.77	)		(1.81	)		(1.01	)		—			(1.01	)
9/30/2007		14.13		0.83		0.58			1.41			(0.83	)		—			(0.83	)
9/30/2006		13.81		0.72		0.47			1.19			(0.87	)		—			(0.87	)

Retail Class
3/31/2011(g)		14.15		0.35		0.42			0.77			(0.40	)		—			(0.40	)
9/30/2010		12.94		0.74		1.24			1.98			(0.77	)		—			(0.77	)
9/30/2009		11.85		0.82		1.22			2.04			(0.84	)		(0.11	)		(0.95	)
9/30/2008		14.67		0.92		(2.77	)		(1.85	)		(0.97	)		—			(0.97	)
9/30/2007		14.10		0.79		0.57			1.36			(0.79	)		—			(0.79	)
9/30/2006		13.78		0.69		0.47			1.16			(0.84	)		—			(0.84	)

Admin Class
3/31/2011(g)		14.11		0.32		0.43			0.75			(0.38	)		—			(0.38	)
9/30/2010		12.91		0.70		1.23			1.93			(0.73	)		—			(0.73	)
9/30/2009		11.82		0.79		1.22			2.01			(0.81	)		(0.11	)		(0.92	)
9/30/2008		14.64		0.88		(2.76	)		(1.88	)		(0.94	)		—			(0.94	)
9/30/2007		14.07		0.75		0.58			1.33			(0.76	)		—			(0.76	)
9/30/2006		13.75		0.65		0.48			1.13			(0.81	)		—			(0.81	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Effective June 2, 2008, redemption fees were eliminated.

(d)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(e)

(f)

Computed on an annualized basis for periods less than one year, if applicable.

(g)

For the six months ended March 31, 2011 (Unaudited).

(h)

Effective July 1, 2007, the Fund decreased its net expense limitations to 0.70%, 0.95% and 1.20% from 0.75%, 1.00% and 1.25% for the Institutional Class, Retail Class and Admin Class, respectively.

(i)

Includes fee/expense recovery of 0.02%.

(j)

Includes fee/expense recovery of less than 0.01%.

(k)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

87 |


									Ratios to Average Net Assets:
Redemption fees(b)(c)		Net asset value, end of the period		Total return (%)(d)			Net assets, end of the period (000’s)		Net expenses (%)(e)(f)			Gross expenses (%)(f)			Net investment income (%)(f)		Portfolio turnover rate (%)



$	—	$	14.57		5.64		$	11,438,989		0.63			0.63			5.14		10
	—		14.20		16.00			11,194,527		0.64			0.64			5.76		27
	—		12.99		19.84			10,855,818		0.65			0.65			7.69		39
	0.00		11.89		(13.14	)		7,616,621		0.64			0.64			6.78		26
	0.00		14.71		10.28			7,716,061		0.67	(h)		0.67			5.75		20
	0.00		14.13		9.00			4,742,622		0.75	(i)		0.75	(i)		5.20		26


	—		14.52		5.51			8,318,500		0.92			0.92			4.84		10
	—		14.15		15.72			8,241,062		0.93	(j)		0.93	(j)		5.46		27
	—		12.94		19.46			7,646,591		0.95			0.96			7.44		39
	0.00		11.85		(13.44	)		6,863,594		0.94	(j)		0.94	(j)		6.49		26
	0.00		14.67		9.93			6,432,333		0.97	(h)		0.97			5.49		20
	0.00		14.10		8.79			2,232,632		1.00			1.01			4.99		26


	—		14.48		5.38			267,580		1.20	(k)		1.20	(k)		4.56		10
	—		14.11		15.37			266,215		1.20			1.21			5.20		27
	—		12.91		19.21			226,032		1.20			1.25			7.22		39
	0.00		11.82		(13.69	)		210,494		1.20			1.24			6.23		26
	0.00		14.64		9.66			193,850		1.23	(h)(j)		1.23	(j)		5.20		20
	0.00		14.07		8.51			106,941		1.25			1.29			4.71		26

See accompanying notes to financial statements.

| 88

Financial Highlights – continued

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
FIXED INCOME FUND

Institutional Class
3/31/2011(f)	$	14.12	$	0.37	$	0.39		$	0.76		$	(0.84	)	$	—		$	(0.84	)
9/30/2010		12.94		0.77		1.14			1.91			(0.73	)		—			(0.73	)
9/30/2009		12.15		0.78		1.15			1.93			(0.89	)		(0.25	)		(1.14	)
9/30/2008		14.49		0.88		(2.14	)		(1.26	)		(1.06	)		(0.02	)		(1.08	)
9/30/2007		13.89		0.83		0.67			1.50			(0.90	)		—			(0.90	)
9/30/2006		13.88		0.74		0.30			1.04			(1.03	)		—			(1.03	)

GLOBAL BOND FUND

Institutional Class
3/31/2011(f)	$	16.99	$	0.27	$	(0.04	)	$	0.23		$	(0.42	)	$	—		$	(0.42	)
9/30/2010		16.09		0.55		0.92			1.47			(0.57	)		—			(0.57	)
9/30/2009		14.42		0.67		1.89			2.56			(0.89	)		—			(0.89	)
9/30/2008		15.83		0.70		(1.30	)		(0.60	)		(0.81	)		—			(0.81	)
9/30/2007		15.43		0.60		0.70			1.30			(0.90	)		—			(0.90	)
9/30/2006		15.57		0.48		0.16			0.64			(0.70	)		(0.08	)		(0.78	)

Retail Class
3/31/2011(f)		16.84		0.24		(0.03	)		0.21			(0.40	)		—			(0.40	)
9/30/2010		15.96		0.49		0.91			1.40			(0.52	)		—			(0.52	)
9/30/2009		14.31		0.62		1.88			2.50			(0.85	)		—			(0.85	)
9/30/2008		15.71		0.64		(1.29	)		(0.65	)		(0.75	)		—			(0.75	)
9/30/2007		15.29		0.54		0.70			1.24			(0.82	)		—			(0.82	)
9/30/2006		15.43		0.44		0.15			0.59			(0.65	)		(0.08	)		(0.73	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(d)

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

For the six months ended March 31, 2011 (Unaudited).

(g)

Includes fee/expense recovery of less than 0.01% and 0.03% for Fixed Income Fund and Global Bond Fund, respectively.

(h)

Effective June 2, 2008, redemption fees were eliminated.

(i)

Includes fee/expense recovery of 0.01%.

(j)

Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

89 |


										Ratios to Average Net Assets:
Redemption fees(b)			Net asset value, end of the period		Total return (%)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)(e)			Gross expenses (%)(e)			Net investment income (%)(e)		Portfolio turnover rate(%)



	$—		$	14.04		5.64		$	860,118		0.58			0.58			5.27		13
	—			14.12		15.38			806,138		0.58			0.58			5.83		22
	—			12.94		19.55			761,955		0.58			0.58			7.11		29
	—			12.15		(9.42	)		624,486		0.58			0.58			6.43		30
	—			14.49		11.31			605,100		0.60			0.60			5.96		22
	—			13.89		8.06			456,011		0.60	(g)		0.60	(g)		5.48		40




	$—		$	16.80		1.37		$	1,326,479		0.66			0.66			3.21		42
	—			16.99		9.46			1,285,095		0.66			0.66			3.41		100
	—			16.09		19.19			1,032,465		0.68			0.68			4.76		75
	0.00	(h)		14.42		(4.14	)		1,157,175		0.64			0.64			4.36		60
	0.00			15.83		8.70			996,046		0.68			0.68			3.84		95
	0.00			15.43		4.32			643,991		0.74	(g)		0.74	(g)		3.21		77


	—			16.65		1.22			968,164		0.98			0.98			2.88		42
	—			16.84		9.05			1,026,809		1.00	(i)		1.00	(i)		3.08		100
	—			15.96		18.81			918,742		1.00			1.02			4.46		75
	0.00	(h)		14.31		(4.45	)		1,073,466		1.00	(j)		1.00	(j)		4.02		60
	0.00			15.71		8.36			874,575		1.00			1.04			3.53		95
	0.00			15.29		4.03			540,697		1.00			1.09			2.93		77

See accompanying notes to financial statements.

| 90

Financial Highlights – continued

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains(b)			Total distributions
INFLATION PROTECTED SECURITIES FUND

Institutional Class
3/31/2011(f)	$	11.10	$	0.16		$	(0.01	)	$	0.15		$	(0.20	)	$	—		$	(0.20	)
9/30/2010		10.46		0.31			0.67			0.98			(0.34	)		—			(0.34	)
9/30/2009		9.86		0.09	(g)		0.61			0.70			(0.10	)		—			(0.10	)
9/30/2008		10.31		0.73			(0.43	)		0.30			(0.75	)		—			(0.75	)
9/30/2007		10.30		0.47			0.03			0.50			(0.49	)		—			(0.49	)
9/30/2006		10.84		0.52			(0.38	)		0.14			(0.63	)		(0.05	)		(0.68	)

Retail Class
3/31/2011(f)		11.09		0.17			(0.03	)		0.14			(0.19	)		—			(0.19	)
9/30/2010*		10.71		0.04			0.44			0.48			(0.10	)		—			(0.10	)

INSTITUTIONAL HIGH INCOME FUND

Institutional Class
3/31/2011(f)	$	8.08	$	0.25		$	0.46		$	0.71		$	(0.59	)	$	(0.33	)	$	(0.92	)
9/30/2010		7.40		0.54			0.66			1.20			(0.52	)		(0.00	)		(0.52	)
9/30/2009		6.87		0.57			0.54			1.11			(0.49	)		(0.09	)		(0.58	)
9/30/2008		8.45		0.60			(1.52	)		(0.92	)		(0.51	)		(0.15	)		(0.66	)
9/30/2007		8.11		0.55			0.30			0.85			(0.51	)		—			(0.51	)
9/30/2006		7.80		0.50			0.34			0.84			(0.53	)		—			(0.53	)

From commencement of Class operations on May 28, 2010 through September 30, 2010

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(d)

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

For the six months ended March 31, 2011 (Unaudited).

(g)

Includes income reductions resulting from principal deflation adjustments during the period in the amount of $0.14 per share and 1.44% of average net assets. See Note 2 of Notes to Financial Statements.

(h)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

91 |


							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)(e)			Gross expenses (%)(e)			Net investment income (%)(e)			Portfolio turnover rate (%)



$	11.05		1.40		$	16,895		0.40			1.37			2.92			7
	11.10		9.58			13,240		0.40			1.22			2.88			39
	10.46		7.21			13,976		0.40			1.11			0.88	(g)		12
	9.86		2.64			16,033		0.40			0.95			6.85			22
	10.31		5.05			13,468		0.40			1.28			4.60			26
	10.30		1.48			9,053		0.40			1.69			4.96			41


	11.04		1.31			454		0.65			1.70			3.12			7
	11.09		4.47			75		0.65			2.36			1.12			39




$	7.87		9.60		$	429,359		0.70			0.70			6.45			14
	8.08		17.06			383,693		0.71			0.71			7.08			21
	7.40		20.82			458,516		0.72			0.72			9.54			37
	6.87		(11.70	)		214,201		0.72			0.72			7.70			35
	8.45		10.81			187,568		0.75	(h)		0.75	(h)		6.60			31
	8.11		11.56			141,318		0.75			0.79			6.40			23

See accompanying notes to financial statements.

| 92

Financial Highlights – continued

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
INTERMEDIATE DURATION BOND FUND

Institutional Class
3/31/2011(e)	$	10.57	$	0.15	$	(0.19	)	$	(0.04	)	$	(0.18	)	$	—		$	(0.18	)
9/30/2010		9.95		0.38		0.66			1.04			(0.42	)		—			(0.42	)
9/30/2009		8.95		0.48		0.98			1.46			(0.46	)		—			(0.46	)
9/30/2008		9.47		0.47		(0.50	)		(0.03	)		(0.49	)		—			(0.49	)
9/30/2007		9.50		0.45		(0.01	)		0.44			(0.47	)		—			(0.47	)
9/30/2006		9.60		0.42		(0.07	)		0.35			(0.45	)		—			(0.45	)

Retail Class
3/31/2011(e)		10.58		0.14		(0.18	)		(0.04	)		(0.17	)		—			(0.17	)
9/30/2010*		10.21		0.09		0.41			0.50			(0.13	)		—			(0.13	)

INVESTMENT GRADE FIXED INCOME FUND

Institutional Class
3/31/2011(e)	$	13.44	$	0.33	$	0.09		$	0.42		$	(0.44	)	$	(0.63	)	$	(1.07	)
9/30/2010		12.39		0.68		1.07			1.75			(0.70	)		–			(0.70	)
9/30/2009		11.36		0.67		1.31			1.98			(0.81	)		(0.14	)		(0.95	)
9/30/2008		12.96		0.76		(1.47	)		(0.71	)		(0.89	)		–			(0.89	)
9/30/2007		12.63		0.70		0.53			1.23			(0.90	)		–			(0.90	)
9/30/2006		13.28		0.60		0.22			0.82			(0.92	)		(0.55	)		(1.47	)

From commencement of Class operations on May 28, 2010 through September 30, 2010

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(c)

(d)

Computed on an annualized basis for periods less than one year, if applicable.

(e)

For the six months ended March 31, 2011 (Unaudited).

(f)

Includes fee/expense recovery of less than 0.01%.

See accompanying notes to financial statements.

93 |


							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%)(b)			Net assets, end of the period (000’s)		Net expenses (%)(c)(d)			Gross expenses (%)(d)			Net investment income (%)(d)		Portfolio turnover rate(%)



$	10.35		(0.34	)	$	55,406		0.40			0.58			2.93		37
	10.57		10.67			36,959		0.40			0.73			3.75		43
	9.95		16.99			28,027		0.40			0.68			5.24		52
	8.95		(0.46	)		32,748		0.40			0.59			5.00		65
	9.47		4.76			31,445		0.40			0.61			4.71		87
	9.50		3.82			41,851		0.40			0.62			4.48		62


	10.37		(0.37	)		1,381		0.65			0.88			2.74		37
	10.58		4.89			82		0.65			1.61			2.66		43




	$12.79		3.39		$	455,444		0.49			0.49			5.16		7
	13.44		14.59			473,199		0.48			0.48			5.29		24
	12.39		19.35			525,504		0.49			0.49			6.10		22
	11.36		(6.00	)		277,863		0.50			0.50			5.98		32
	12.96		10.19			261,741		0.53			0.53			5.52		23
	12.63		6.81			173,549		0.55	(f)		0.55	(f)		4.79		50

See accompanying notes to financial statements.

| 94

Notes to Financial Statements

March 31, 2011 (Unaudited)

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. Shares of certain funds in the Trust were first registered under the Securities Act of 1933 (the “1933 Act”) effective March 7, 1997 (subsequent to their commencement of investment operations). The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Bond Fund (the “Bond Fund”)

Loomis Sayles Fixed Income Fund (the “Fixed Income Fund”)

Loomis Sayles Global Bond Fund (the “Global Bond Fund”)

Loomis Sayles Inflation Protected Securities Fund (the “Inflation Protected Securities Fund”)

Loomis Sayles Institutional High Income Fund (the “Institutional High Income Fund”)

Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)

Loomis Sayles Investment Grade Fixed Income Fund (the “Investment Grade Fixed Income Fund”)

Each Fund offers Institutional Class shares. Bond Fund, Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund also offer Retail Class shares. In addition, Bond Fund offers Admin Class shares.

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

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

95 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class-specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

Certain Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

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

| 96

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

f. Swap Agreements. Each Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also make or receive upfront payments. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.

There were no credit default swaps held by the Funds during the six months ended March 31, 2011.

g. Due to/from Brokers. Transactions and positions in forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. Due to brokers’ balances in the Statements of Assets and Liabilities represent cash and securities received as collateral for forward foreign currency contracts. In certain circumstances the Funds’ use of cash and/or securities pledged as collateral is restricted by regulation or broker mandated limits.

h. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, defaulted bond adjustments, discount adjustments on inflation-protected securities, paydown gains and losses, premium amortization, reclassification of realized capital gain to ordinary income and return of capital and capital gain distributions from REITs. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, securities lending collateral gain/loss adjustments, forward and futures contracts mark to market, defaulted bond interest, REIT basis adjustments, adjustments to inflation-protected securities and contingent payment debt instruments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

97 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2010 was as follows:


	2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Bond Fund	$	1,103,370,547	$	—	$	1,103,370,547
Fixed Income Fund		42,551,309		—		42,551,309
Global Bond Fund		71,257,098		—		71,257,098
Inflation Protected Securities Fund		490,596		—		490,596
Institutional High Income Fund		30,544,655		11,002		30,555,657
Intermediate Duration Bond Fund		1,296,283		—		1,296,283
Investment Grade Fixed Income Fund		27,602,054		—		27,602,054

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2010, the capital loss carryforwards and post-October losses were as follows:


Capital loss carryforward:	Bond Fund			Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
Expires September 30, 2014	$	—		$	—		$	(1,046,616	)	$	(19,853	)
Expires September 30, 2015		—			—			(5,497,643	)		(155,005	)
Expires September 30, 2016		—			—			(3,309,847	)		—
Expires September 30, 2017		(73,277,381	)		(129,506	)		(21,329,772	)		(110,122	)
Expires September 30, 2018		(667,219,656	)		(9,202,603	)		(34,063,363	)		(238,354	)

Total capital loss carryforward	$	(740,497,037	)	$	(9,332,109	)	$	(65,247,241	)	$	(523,334	)

Deferred net capital losses (post-October 2009)	$	(182,708,157	)	$	—		$	(18,054,311	)	$	—


Capital loss carryforward:	Institutional High Income Fund		Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
Expires September 30, 2014	$	—	$	—		$	—
Expires September 30, 2015		—		(83,490	)		—
Expires September 30, 2016		—		(222,423	)		—
Expires September 30, 2017		—		(460,684	)		—
Expires September 30, 2018		—		—			—

Total capital loss carryforward	$	—	$	(766,597	)	$	—

Deferred net capital losses (post-October 2009)	$	—	$	—		$	—

j. Repurchase Agreements. It is each 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.

k. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of

| 98

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment.

There were no delayed delivery securities held by the Funds as of March 31, 2011.

l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended March 31, 2011, none of the Funds had loaned securities under this agreement.

m. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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;

•

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 Funds’ investments as of March 31, 2011, at value:

Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	3,155,252	$	970,763,186	$	—	$	973,918,438
Non-Captive Diversified		—		1,458,216,462		71,438,150		1,529,654,612
All Other Non-Convertible Bonds(a)		—		12,894,528,571		—		12,894,528,571

Total Non-Convertible Bonds		3,155,252		15,323,508,219		71,438,150		15,398,101,621

Convertible Bonds(a)		—		1,736,999,612		—		1,736,999,612
Municipals(a)		—		255,696,218		—		255,696,218

Total Bonds and Notes		3,155,252		17,316,204,049		71,438,150		17,390,797,451

Bank Loans(a)		—		61,196,848		—		61,196,848

99 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Bond Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Automotive	$	126,496,080	$	48,494,586	$	—	$	174,990,666
Capital Markets		—		12,946,166		—		12,946,166
Commercial Banks		12,922,402		—		—		12,922,402
Diversified Financial Services		26,106,795		13,567,827		—		39,674,622
Electric Utilities		16,912,958		—		9,376,875		26,289,833
Machinery		—		—		12,381,539		12,381,539
Oil, Gas & Consumable Fuels		46,535,834		3,581,250		—		50,117,084
REITs—Healthcare		8,969,015		—		—		8,969,015
Semiconductors & Semiconductor Equipment		51,649,920		—		—		51,649,920

Total Convertible Preferred Stocks		289,593,004		78,589,829		21,758,414		389,941,247

Non-Convertible Preferred Stocks
Banking		—		49,170,412		—		49,170,412
Diversified Financial Services		34,798,250		—		—		34,798,250
Electric Utilities		1,060,617		647,365		—		1,707,982
Household Durables		248,285		—		—		248,285
Multi Utilities		75,911		—		—		75,911
REITs—Office Property		—		2,470,119		—		2,470,119
REITs—Warehouse/Industrials		9,126,378		—		—		9,126,378
Software		—		41,051,875		—		41,051,875
Thrifts & Mortgage Finance		13,245,138		—		—		13,245,138

Total Non-Convertible Preferred Stocks		58,554,579		93,339,771		—		151,894,350

Total Preferred Stocks		348,147,583		171,929,600		21,758,414		541,835,597

Common Stocks(a)		522,469,912		—		—		522,469,912
Closed End Investment Companies		32,075,769		—		—		32,075,769
Short-Term Investments		—		1,242,914,288		—		1,242,914,288

Total	$	905,848,516	$	18,792,244,785	$	93,196,564	$	19,791,289,865

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Preferred stocks valued at $30,667,500 were transferred from Level 2 to Level 1 during the six months ended March 31, 2011. At September 30, 2010, this security was valued at original purchase price; at March 31, 2011, this security was valued at a market price in accordance with the Fund’s valuation policies. All transfers are recognized as of the beginning of the reporting period.

Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	666,780	$	30,706,564	$	—	$	31,373,344
All Other Non-Convertible Bonds(a)		—		626,025,445		—		626,025,445

Total Non-Convertible Bonds		666,780		656,732,009		—		657,398,789

Convertible Bonds(a)		—		78,606,577		—		78,606,577
Municipals(a)		—		6,564,529		—		6,564,529

Total Bonds and Notes		666,780		741,903,115		—		742,569,895

Bank Loans(a)		—		627,003		—		627,003

| 100

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Automotive	$	4,487,420	$	2,084,319	$	—	$	6,571,739
Capital Markets		—		1,200,466		—		1,200,466
Diversified Financial Services		2,875,256		2,462,763		—		5,338,019
Electric Utilities		488,000		—		—		488,000
Machinery		—		—		1,419,353		1,419,353
Oil, Gas & Consumable Fuels		3,270,025		—		—		3,270,025
REITs—Healthcare		385,540		—		—		385,540
Semiconductors & Semiconductor Equipment		3,797,500		—		—		3,797,500

Total Convertible Preferred Stocks		15,303,741		5,747,548		1,419,353		22,470,642

Non-Convertible Preferred Stocks
Banking		—		1,043,091		—		1,043,091
Diversified Financial Services		111,950		—		—		111,950
Electric Utilities		354,920		255,524		—		610,444
Multi Utilities		8,050		—		—		8,050
Software		—		3,240,937		—		3,240,937
Thrifts & Mortgage Finance		519,551		—		—		519,551

Total Non-Convertible Preferred Stocks		994,471		4,539,552		—		5,534,023

Total Preferred Stocks		16,298,212		10,287,100		1,419,353		28,004,665

Common Stocks(a)		22,357,678		—		—		22,357,678
Short-Term Investments		—		56,191,130		—		56,191,130

Total	$	39,322,670	$	809,008,348	$	1,419,353	$	849,750,371

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Global Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	7,729,374	$	30,277,851	$	38,007,225
Canada		—		171,632,358		5,359,839		176,992,197
Japan		—		283,550,337		5,721,769		289,272,106
Supranationals		—		73,095,447		10,983,247		84,078,694
United States		—		484,023,466		5,890,000		489,913,466
All Other Non-Convertible Bonds(a)		—		1,113,569,271		—		1,113,569,271

Total Non-Convertible Bonds		—		2,133,600,253		58,232,706		2,191,832,959

Convertible Bonds(a)		—		10,469,344		—		10,469,344

Total Bonds and Notes		—		2,144,069,597		58,232,706		2,202,302,303

Short-Term Investments		—		82,626,362		—		82,626,362

Total Investments		—		2,226,695,959		58,232,706		2,284,928,665

Forward Foreign Currency Contracts (unrealized appreciation)		—		4,130,446		—		4,130,446
Futures Contracts (unrealized appreciation)		34,522		—		—		34,522

Total	$	34,522	$	2,230,826,405	$	58,232,706	$	2,289,093,633

101 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Global Bond Fund

Liability Valuation Inputs


Description(a)	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(2,407,419	)	$	—	$	(2,407,419	)

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Inflation Protected Securities Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	15,747,763	$	—	$	15,747,763
Short-Term Investments		—		250,190		—		250,190

Total	$	—	$	15,997,953	$	—	$	15,997,953

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Institutional High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	370,928,750	$	—	$	370,928,750
Bank Loans(a)		—		2,145,028		—		2,145,028
Common Stocks(a)		26,216,738		—		—		26,216,738
Preferred Stocks
Convertible Preferred Stocks
Automotive		3,299,290		1,039,223		—		4,338,513
Capital Markets		—		191,500		—		191,500
Commercial Banks		142,858		—		—		142,858
Diversified Financial Services		—		631,900		—		631,900
Electric Utilities		835,407		—		186,750		1,022,157
Household Durables		233,200		—		—		233,200
Machinery		—		—		673,416		673,416
Oil, Gas & Consumable Fuels		1,314,225		—		—		1,314,225
Semiconductors & Semiconductor Equipment		3,194,800		—		—		3,194,800

Total Convertible Preferred Stocks		9,019,780		1,862,623		860,166		11,742,569

Non-Convertible Preferred Stocks(a)		1,801,474		416,864		—		2,218,338

Total Preferred Stocks		10,821,254		2,279,487		860,166		13,960,907

Closed End Investment Companies		366,489		—		—		366,489
Warrants		—		—		—		—
Short-Term Investments		—		9,453,903		—		9,453,903

Total	$	37,404,481	$	384,807,168	$	860,166	$	423,071,815

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Preferred stocks valued at $598,125 were transferred from Level 2 to Level 1 during the six months ended March 31, 2011. At September 30, 2010, this security was valued at original purchase price; at March 31, 2011, this security was valued at a market price in accordance with the Fund’s valuation policies. All transfers are recognized as of the beginning of the reporting period.

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	56,204,648	$	—	$	56,204,648
Short-Term Investments		—		667,232		—		667,232

Total	$	—	$	56,871,880	$	—	$	56,871,880

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

| 102

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Diversified	$	—	$	14,362,074	$	4,175,413	$	18,537,487
All Other Non-Convertible Bonds(a)		—		352,714,235		—		352,714,235

Total Non-Convertible Bonds		—		367,076,309		4,175,413		371,251,722

Convertible Bonds(a)		—		19,174,178		—		19,174,178
Municipals(a)		—		3,912,325		—		3,912,325

Total Bonds and Notes		—		390,162,812		4,175,413		394,338,225

Preferred Stocks
Non-Convertible Preferred Stocks
Banking		—		149,811		—		149,811
Electric Utilities		240,160		24,996		—		265,156
Multi Utilities		1,675		—		—		1,675
Software		—		3,240,937		—		3,240,937

Total Non-Convertible Preferred Stocks		241,835		3,415,744		—		3,657,579

Convertible Preferred Stocks
Capital Markets		—		1,582,269		—		1,582,269
Diversified Financial Services		950,331		1,112,500		—		2,062,831

Total Convertible Preferred Stocks		950,331		2,694,769		—		3,645,100

Total Preferred Stocks		1,192,166		6,110,513		—		7,302,679

Common Stocks(a)		657,024		—		—		657,024
Short-Term Investments		—		51,164,471		—		51,164,471

Total Investments	$	1,849,190	$	447,437,796	$	4,175,413	$	453,462,399

(a) Major categories of the Fund’s investments are included in 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 March 31, 2011:

Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	50,705,608	$	—	$	—	$	—	$	—	$	—	$	—	$	(50,705,608	)	$	—	$	—
Non-Captive Diversified		—		—		—		178,150		71,260,000		—		—		—			71,438,150		178,150
Preferred Stocks
Convertible Preferred Stocks
Electric Utilities		7,293,125		—		—		2,083,750		—		—		—		—			9,376,875		2,083,750
Machinery		—		—		—		3,556,399		—		—		8,825,140		—			12,381,539		3,556,399

Total	$	57,998,733	$	—	$	—	$	5,818,299	$	71,260,000	$	—	$	8,825,140	$	(50,705,608	)	$	93,196,564	$	5,818,299

103 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Debt securities valued at $50,705,608 were transferred from Level 3 to Level 2 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at March 31, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Preferred stocks valued at $8,825,140 were transferred from Level 2 to Level 3 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using evaluated bids furnished to the Fund by a pricing service; at March 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Preferred Stocks
Convertible Preferred Stocks
Machinery	$	—	$	—	$	—	$	407,686	$	—	$	—	$	1,011,667	$	—	$	1,419,353	$	407,686

Preferred stocks valued at $1,011,667 were transferred from Level 2 to Level 3 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using evaluated bids furnished to the Fund by a pricing service; at March 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Global Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	265,237	$	(358,735	)	$	427,091		$	36,494,000	$	(6,549,742	)	$	—	$	—	$	30,277,851	$	427,091
Canada		5,065,604		—		—			294,235			—		—			—		—		5,359,839		294,235
Japan		—		—		—			91,769			5,630,000		—			—		—		5,721,769		91,769
Supranationals		—		2,961		—			(138,000	)		11,118,286		—			—		—		10,983,247		(138,000	)
United States		—		—		—			163			5,889,837		—			—		—		5,890,000		163

Total	$	5,065,604	$	268,198	$	(358,735	)	$	675,258		$	59,132,123	$	(6,549,742	)	$	—	$	—	$	58,232,706	$	675,258

| 104

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Institutional High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	971,693	$	—	$	—	$	—	$	—	$	—	$	—	$	(971,693	)	$	—	$	—
Preferred Stocks
Convertible Preferred Stocks
Electric Utilities		145,250		—		—		41,500		—		—		—		—			186,750		41,500
Machinery		—		—		—		193,428		—		—		479,988		—			673,416		193,428

Total	$	1,116,943	$	—	$	—	$	234,928	$	—	$	—	$	479,988	$	(971,693	)	$	860,166	$	234,928

Debt securities valued at $971,693 were transferred from Level 3 to Level 2 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at March 31, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Preferred stocks valued at $479,988 were transferred from Level 2 to Level 3 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using evaluated bids furnished to the Fund by a pricing service; at March 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Intermediate Duration Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	160,000	$	—	$	—	$	—	$	—	$	—	$	—	$	(160,000	)	$	—	$	—

Debt securities valued at $160,000 were transferred from Level 3 to Level 2 during the six months ended March 31, 2011. At September 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at March 31, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		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 March 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2011
Bonds and Notes
Non-Convertible Bonds
Non-Captive Diversified	$	—	$	—	$	—	$	10,413	$	4,165,000	$	—	$	—	$	—	$	4,175,413	$	10,413

105 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

4. 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 Funds used during the period include forward foreign currency contracts and futures contracts.

The Funds are 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. Certain Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds 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 Funds. During the six months ended March 31, 2011, Global Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to manage their duration in order to control interest rate risk without having to buy or sell portfolio securities. During the six months ended March 31, 2011, Global Bond Fund and Intermediate Duration Bond Fund used futures contracts in accordance with this objective.

Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. The 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 March 31, 2011, there were no Funds that held derivative positions subject to credit-risk-related contingent features that were in a net liability position (unrealized depreciation) 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 Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2011, the maximum amount of loss that Global Bond Fund would incur if counterparties failed to meet their obligations, based on the value of derivative positions in an unrealized gain position as of period end, is $4,130,446 and the amount of loss that Global Bond Fund would incur after taking into account master netting arrangements is $1,723,027.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is under collateralized. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for Global Bond Fund as of March 31, 2011:


Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Interest Rate Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	4,130,446		$	—
Unrealized appreciation on futures contracts*		—			34,522
Liabilities
Unrealized depreciation on forward foreign currency contracts		(2,407,419	)		—

* Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. Variation margin as of Mach 31, 2011 was $0.

Transactions in derivative instruments for Global Bond Fund during the six months ended March 31, 2011 were as follows:


Statements of Operations Caption	Foreign Exchange Contracts		Interest Rate Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	2,446,506	$	—
Futures contracts		—		4,296,316
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		867,057		—
Futures contracts		—		555,658

* Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

| 106

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Transactions in derivative instruments for Intermediate Duration Bond Fund during the six months ended March 31, 2011 were as follows:


Statements of Operations Caption	Interest Rate Contracts
Net Realized Gain (Loss) on:
Futures contracts	$	(11,130	)

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

Volume of forwards and futures activity, as a percentage of net assets, for Global Bond Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the six months ended March 31, 2011:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		15.17%		2.55%
Highest Notional Amount Outstanding		22.31%		2.93%
Lowest Notional Amount Outstanding		12.98%		2.40%
Notional Amount Outstanding as of March 31, 2011		15.39%		2.93%

Volume of futures activity, as a percentage of net assets, for Intermediate Duration Bond Fund, based on daily notional amounts outstanding during the period, at absolute value, was as follows for the six months ended March 31, 2011:


Intermediate Duration Bond Fund	Futures
Average Notional Amount Outstanding		0.20%
Highest Notional Amount Outstanding		2.02%
Lowest Notional Amount Outstanding		0.00%
Notional Amount Outstanding as of March 31, 2011		0.00%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5. Purchases and Sales of Securities. For the six months ended March 31, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Bond Fund	$	462,689,167	$	50,554	$	1,487,211,224	$	3,206,594,440
Fixed Income Fund		22,210,673		—		79,700,780		121,795,260
Global Bond Fund		172,630,935		214,891,326		759,716,102		696,999,378
Inflation Protected Securities Fund		3,222,066		775,881		270,358		218,547
Institutional High Income Fund		—		—		69,153,308		53,087,650
Intermediate Duration Bond Fund		14,770,080		14,138,015		25,109,064		4,261,738
Investment Grade Fixed Income Fund		—		71,788		30,349,601		105,262,683

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the six months ended March 31, 2011, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $1 billion		Next $1 billion		Next $1 billion		Next $12 billion		Over $15 billion
Bond Fund		0.60%		0.60%		0.60%		0.50%		0.49%
Fixed Income Fund		0.50%		0.50%		0.50%		0.50%		0.50%
Global Bond Fund		0.60%		0.50%		0.48%		0.48%		0.48%
Inflation Protected Securities Fund		0.25%		0.25%		0.25%		0.25%		0.25%
Institutional High Income Fund		0.60%		0.60%		0.60%		0.60%		0.60%
Intermediate Duration Bond Fund		0.25%		0.25%		0.25%		0.25%		0.25%
Investment Grade Fixed Income Fund		0.40%		0.40%		0.40%		0.40%		0.40%

107 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expense. These undertakings are in effect until January 31, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Institutional Class		Retail Class		Admin Class
Bond Fund		0.70%		0.95%		1.20%
Fixed Income Fund		0.65%		—		—
Global Bond Fund		0.75%		1.00%		—
Inflation Protected Securities Fund		0.40%		0.65%		—
Institutional High Income Fund		0.75%		—		—
Intermediate Duration Bond Fund		0.40%		0.65%		—
Investment Grade Fixed Income Fund		0.55%		—		—

For the six months ended March 31, 2011, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross		Net
Bond Fund	$	50,428,026	$	—	$	50,428,026		0.51%		0.51%
Fixed Income Fund		2,065,773		—		2,065,773		0.50%		0.50%
Global Bond Fund		6,140,270		—		6,140,270		0.54%		0.54%
Inflation Protected Securities Fund		17,343		17,343		—		0.25%		0.00%
Institutional High Income Fund		1,230,100		—		1,230,100		0.60%		0.60%
Intermediate Duration Bond Fund		64,962		46,500		18,462		0.25%		0.07%
Investment Grade Fixed Income Fund		864,970		—		864,970		0.40%		0.40%

¹Management fee waivers are subject to possible recovery until September 30, 2012.

For the six months ended March 31, 2011, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Admin Class		Total
Inflation Protected Securities Fund	$	3,751	$	129	$	—	$	3,880
Intermediate Duration Bond Fund		753		309		—		1,062

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $46,434 for the six months ended March 31, 2011².

²Expense reimbursements are subject to possible recovery until September 30, 2012.

For the six months ended March 31, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:


	Recovered Expenses
Fund	Institutional Class		Retail Class		Admin Class		Total
Bond Fund	$	—	$	—	$	6,942	$	6,942

| 108

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, Bond Fund, Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plan”), and the Bond Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plan, each Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Retail Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

Under the Admin Class Plan, Bond Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sales of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of the Bond Fund may pay Natixis Distributors an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the six months ended March 31, 2011, the Funds paid the following service and distribution fees:


	Service Fees				Distribution Fees
Fund	Retail Class		Admin Class		Retail Class		Admin Class
Bond Fund	$	—	$	332,220	$	10,214,799	$	332,220
Global Bond Fund		—		—		1,223,515		—
Inflation Protected Securities Fund		—		—		244		—
Intermediate Duration Bond Fund		—		—		1,483		—

For the six months ended March 31, 2011, each Fund paid the following administrative fees to Natixis Advisors:


Fund	Administrative Fees
Bond Fund	$	4,594,562
Fixed Income Fund		193,034
Global Bond Fund		529,760
Inflation Protected Securities Fund		3,241
Institutional High Income Fund		95,786
Intermediate Duration Bond Fund		12,139
Investment Grade Fixed Income Fund		101,040

109 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally is a percentage of the value of shares held) not to exceed what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the six months ended March 31, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations.


	Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class		Admin Class
Bond Fund	$	2,411,946	$	3,164,315	$	142,914
Global Bond Fund		241,895		440,788		—
Inflation Protected Securities Fund		2,654		13		—
Institutional High Income Fund		2,572		—		—
Intermediate Duration Bond Fund		438		22		—
Investment Grade Fixed Income Fund		20		—		—

e. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

7. Class Specific Expenses. For the six months ended March 31, 2011, the Funds paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):


	Transfer Agent Fees and Expenses
Fund	Institutional Class		Retail Class		Admin Class
Bond Fund	$	2,669,154	$	3,731,387	$	148,527
Fixed Income Fund		1,577		—		—
Global Bond Fund		246,912		524,161		—
Inflation Protected Securities Fund		3,750		140		—
Institutional High Income Fund		4,479		—		—
Intermediate Duration Bond Fund		753		309		—
Investment Grade Fixed Income Fund		965		—		—

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its

| 110

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended March 31, 2011, none of the Funds had borrowings under these agreements.

9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10. Concentration of Ownership. At March 31, 2011, Loomis Sayles Distributors, L.P. and Loomis Sayles Trust Co. LLC owned 262,588 shares, equal to 16.73% of Inflation Protected Securities Fund’s shares outstanding. At March 31, 2011, the Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and the Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of beneficial interest in the Funds as follows:


Fund	Pension Plan		Retirement Plan
Bond Fund		959,011		2,124,312
Global Bond Fund		—		483,918
Inflation Protected Securities Fund		—		273,472
Institutional High Income Fund		—		1,454,868
Intermediate Duration Bond Fund		—		88,153

From time to time, the Funds may have a concentration of several shareholders having a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of March 31, 2011, certain Funds had shareholders that held greater than 5% of the fund’s outstanding shares. Such ownership may be beneficially held by multiple individuals or entities other than the owner of record. The number of greater than 5% shareholders and the aggregate percentage of net assets represented by such ownership was as follows:


Fund	Number of Greater Than 5% Shareholders	Percentage of Ownership
Fixed Income Fund	3	19.07%
Global Bond Fund	1	11.45%
Inflation Protected Securities Fund	3	22.33%
Intermediate Duration Bond Fund	4	72.89%
Investment Grade Fixed Income Fund	3	22.40%

11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Bond Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		107,155,867		$	1,540,731,183			225,791,097		$	3,060,935,314
Issued in connection with the reinvestment of distributions		20,106,126			287,909,548			41,506,088			563,071,668
Redeemed		(130,531,629	)		(1,872,543,205	)		(314,876,391	)		(4,250,749,039	)

Net change		(3,269,636	)	$	(43,902,474	)		(47,579,206	)	$	(626,742,057	)

111 |

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

11. Capital Shares (continued)


	Bond Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		74,049,850		$	1,061,407,101			155,856,734		$	2,110,792,790
Issued in connection with the reinvestment of distributions		14,985,923			213,776,926			31,177,594			421,514,998
Redeemed		(98,454,014	)		(1,407,060,404	)		(195,407,565	)		(2,642,018,934	)

Net change		(9,418,241	)	$	(131,876,377	)		(8,373,237	)	$	(109,711,146	)


Admin Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,787,794		$	39,864,678			6,876,197		$	92,742,622
Issued in connection with the reinvestment of distributions		449,852			6,401,579			878,950			11,862,601
Redeemed		(3,620,107	)		(51,675,318	)		(6,397,886	)		(86,086,907	)

Net change		(382,461	)	$	(5,409,061	)		1,357,261		$	18,518,316

Increase (decrease) from capital share transactions		(13,070,338	)	$	(181,187,912	)		(54,595,182	)	$	(717,934,887	)


	Fixed Income Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		6,634,769		$	92,923,979			5,773,068		$	76,057,230
Issued in connection with the reinvestment of distributions		3,122,786			41,814,110			2,880,044			36,461,361
Redeemed		(5,563,615	)		(77,265,800	)		(10,449,999	)		(137,737,563	)

Increase (decrease) from capital share transactions		4,193,940		$	57,472,289			(1,796,887	)	$	(25,218,972	)


	Global Bond Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		13,110,838		$	220,505,206			26,748,125		$	431,989,257
Issued in connection with the reinvestment of distributions		1,795,450			29,831,598			2,225,990			35,769,761
Redeemed		(11,578,919	)		(194,200,018	)		(17,516,539	)		(281,002,249	)

Net change		3,327,369		$	56,136,786			11,457,576		$	186,756,769


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		8,598,931		$	142,857,572			23,865,070		$	381,825,710
Issued in connection with the reinvestment of distributions		1,346,128			22,168,892			1,915,462			30,512,388
Redeemed		(12,756,366	)		(211,628,356	)		(22,406,075	)		(355,736,901	)

Net change		(2,811,307	)	$	(46,601,892	)		3,374,457		$	56,601,197

Increase (decrease) from capital share transactions		516,062		$	9,534,894			14,832,033		$	243,357,966

| 112

Notes to Financial Statements – continued

March 31, 2011 (Unaudited)

11. Capital Shares (continued)


	Inflation Protected Securities Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010*

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		493,393		$	5,469,025			791,178		$	8,469,372
Issued in connection with the reinvestment of distributions		20,830			229,454			39,383			421,149
Redeemed		(178,307	)		(1,959,085	)		(973,654	)		(10,475,324	)

Net change		335,916		$	3,739,394			(143,093	)	$	(1,584,803	)


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		36,272		$	398,991			6,779		$	73,519
Issued in connection with the reinvestment of distributions		353			3,907			20			221
Redeemed		(2,342	)		(25,685	)		—			—

Net change		34,283		$	377,213			6,799		$	73,740

Increase (decrease) from capital share transactions		370,199		$	4,116,607			(136,294	)	$	(1,511,063	)


* From commencement of operations on May 28, 2010 through September 30, 2010 for Retail Class shares.
	Institutional High Income Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		6,945,368		$	53,455,060			8,849,076		$	67,432,762
Issued in connection with the reinvestment of distributions		5,108,875			37,652,413			3,532,180			25,502,337
Redeemed		(4,973,878	)		(38,563,773	)		(26,865,854	)		(202,621,617	)

Increase (decrease) from capital share transactions		7,080,365		$	52,543,700			(14,484,598	)	$	(109,686,518	)


	Intermediate Duration Bond Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010*

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,879,316		$	30,139,721			763,776		$	7,876,084
Issued in connection with the reinvestment of distributions		79,486			826,522			110,093			1,123,452
Redeemed		(1,102,995	)		(11,467,799	)		(196,295	)		(2,008,973	)

Net change		1,855,807		$	19,498,444			677,574		$	6,990,563


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		179,353		$	1,880,268			11,573		$	120,851
Issued in connection with the reinvestment of distributions		306			3,190			38			401
Redeemed		(54,242	)		(562,811	)		(3,835	)		(40,575	)

Net change		125,417		$	1,320,647			7,776		$	80,677

Increase (decrease) from capital share transactions		1,981,224		$	20,819,091			685,350		$	7,071,240

*	From commencement of operations on May 28, 2010 through September 30, 2010 for Retail Class shares.


	Investment Grade Fixed Income Fund

	Six Months Ended March 31, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		5,032,366		$	64,440,706			3,726,576		$	47,540,397
Issued in connection with the reinvestment of distributions		2,391,916			30,123,366			1,587,990			20,286,002
Redeemed		(7,010,231	)		(92,714,443	)		(12,508,551	)		(159,771,890	)

Increase (decrease) from capital share transactions		414,051		$	1,849,629			(7,193,985	)	$	(91,945,491	)

113 |

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees.

Item 11. 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-CSR 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 was no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.


(a)	(1)	Not applicable.

(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(a)	(3)	Not applicable.

(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

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 I

By:		/s/ ROBERT J. BLANDING
Name:		Robert J. Blanding
Title:		President and Chief Executive Officer

Date:		May 20, 2011

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:		President and Chief Executive Officer

Date:		May 20, 2011

By:		/s/ MICHAEL C. KARDOK
Name:		Michael C. Kardok
Title:		Treasurer

Date:		May 20, 2011