UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

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: June 30, 2011

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 82.3% of Net Assets
	Non-Convertible Bonds – 73.3%
		ABS Car Loan – 0.1%
$	10,423,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.326%, 8/20/2013, 144A(b)	$	10,280,340
	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		6,217,823
				16,498,163
		Aerospace & Defense – 0.1%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		1,615,807
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		14,142,240
				15,758,047
		Airlines – 2.0%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		55,293,172
	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		1,911,984
	145,844	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		149,855
	5,474,625	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		5,515,684
	2,090,679	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		2,087,961
	2,898,403	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,872,897
	8,657,826	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		8,559,992
	4,276,392	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		4,249,451
	2,507,068	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,682,563
	2,365,219	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,551,362
	3,384,461	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,388,522
	2,741,509	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,858,023
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,488,933
	16,763,146	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		17,244,249
	26,006,658	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022		26,071,675
	23,894,768	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		27,359,509
	28,200,538	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		29,967,584

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	2,000,000	Delta Air Lines Pass Through Trust, Series 2001-1, Class A-2, 7.111%, 3/18/2013	$	2,022,400
	2,894,701	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		3,010,489
	4,593,778	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,668,197
	33,863,762	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		34,923,698
	6,957,473	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 12/17/2016		7,374,921
	2,825,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		3,012,156
	3,515,463	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,519,682
	24,150,496	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		24,150,496
	2,000,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		2,108,408
	44,235,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		47,942,158
	26,836,367	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		26,511,915
	15,255,043	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		17,294,642
	27,843,000	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		27,286,140
	19,107,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		19,107,000
				417,591,594
		Automotive – 1.6%
	385,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		401,362
	2,500,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		2,450,000
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,422,157
	9,800,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		14,445,956
	6,550,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		9,830,927
	2,590,000	Ford Motor Co., 6.375%, 2/01/2029		2,473,113
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,741,688
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,530,043
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		63,674,902
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		2,687,714
	122,204,000	Ford Motor Co., 7.450%, 7/16/2031		138,534,976
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,600,101

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	55,235,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015	$	59,662,582
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		7,881,210
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,769,155
	9,198,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		10,347,750
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,107,000
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		7,168,000
				338,728,636
		Banking – 6.0%
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		124,979,263
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		37,310,743
	35,170,000	BAC Capital Trust VI, 5.625%, 3/08/2035		30,300,045
	2,682,000	Bank of America Corp., 5.420%, 3/15/2017		2,736,061
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		7,844,353
	12,823,000	Bank of America NA, 5.300%, 3/15/2017		13,217,256
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		81,143,864
	3,260,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		3,376,405
	42,420,000	Citigroup, Inc., 5.000%, 9/15/2014		44,454,378
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		4,962,374
	1,445,000	Citigroup, Inc., 5.850%, 12/11/2034		1,428,767
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		33,989,532
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		12,633,674
	43,650,000	Citigroup, Inc., 6.125%, 5/15/2018		48,068,690
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		8,462,072
	72,120,000	Citigroup, Inc., 6.375%, 8/12/2014		79,744,887
	4,900,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		6,553,767
	87,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		94,611,021
	14,370,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		15,839,907
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		868,742

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	54,175,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037	$	54,174,079
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,197,702
	4,680,000	HBOS PLC, 6.000%, 11/01/2033, 144A		3,567,110
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		12,036,375
	599,419,948,660	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		67,047,241
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		38,167,399
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		30,863,507
	80,020,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		75,481,586
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		4,977,856
	6,110,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,728,724
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		64,493,000
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		6,567,484
	8,660,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		9,581,580
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,476,376
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,150,413
	8,040,000	Morgan Stanley, 4.750%, 4/01/2014		8,380,783
	24,355,000	Morgan Stanley, 5.500%, 7/24/2020		24,651,912
	4,100,000	Morgan Stanley, 5.750%, 1/25/2021		4,148,499
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		128,356,649
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		9,851,030
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		12,888,638
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,379,991
	7,500,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		12,581,668
				1,244,275,403
		Brokerage – 0.0%
	1,295,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,207,777
	4,860,000	Jefferies Group, Inc., 8.500%, 7/15/2019		5,747,854
				6,955,631

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 0.8%
$	4,805,000	Masco Corp., 4.800%, 6/15/2015	$	4,774,335
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,268,519
	19,873,000	Masco Corp., 6.125%, 10/03/2016		20,414,480
	9,110,000	Masco Corp., 6.500%, 8/15/2032		8,166,286
	3,675,000	Masco Corp., 7.750%, 8/01/2029		3,650,352
	26,195,000	Owens Corning, Inc., 6.500%, 12/01/2016		28,502,308
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		51,852,300
	35,870,000	USG Corp., 6.300%, 11/15/2016		31,565,600
	17,605,000	USG Corp., 9.750%, 1/15/2018		17,340,925
				169,535,105
		Chemicals – 0.7%
	51,205,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		63,484,778
	21,094,000	Hercules, Inc., 6.500%, 6/30/2029		17,824,430
	2,550,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		2,652,000
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		10,749,602
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		25,541,915
	2,886,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		2,655,120
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		10,400,600
	1,025,000	Mosaic Global Holdings, Inc., 7.375%, 8/01/2018		1,214,110
				134,522,555
		Collateralized Mortgage Obligations – 0.2%
	2,161,797	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.681%, 4/25/2037(b)		1,647,958
	9,813,290	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.609%, 7/25/2047(b)		5,636,292
	29,135,888	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.750%, 4/25/2035(b)		28,053,140
				35,337,390
		Commercial Mortgage-Backed Securities – 0.0%
	4,730,156	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.732%, 4/25/2035(b)		4,148,484
		Construction Machinery – 0.5%
	60,172,000	Case New Holland, Inc., 7.750%, 9/01/2013		65,136,190

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – continued
$	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036	$	2,081,660
	1,902,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,949,550
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		26,923,934
				96,091,334
		Consumer Cyclical Services – 0.5%
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		925,000
	6,175,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		5,063,500
	90,755,000	Western Union Co. (The), 6.200%, 11/17/2036		92,275,691
	1,575,000	Western Union Co. (The), 6.200%, 6/21/2040		1,581,495
				99,845,686
		Consumer Products – 0.0%
	695,000	Acco Brands Corp., 7.625%, 8/15/2015		691,525
	7,210,000	Snap-on, Inc., 6.700%, 3/01/2019		8,341,033
				9,032,558
		Distributors – 0.0%
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,171,290
	3,805,000	ONEOK, Inc., 6.000%, 6/15/2035		3,771,904
				5,943,194
		Diversified Manufacturing – 0.4%
	8,473,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		9,225,402
	1,435,000	Textron Financial Corp., 5.400%, 4/28/2013		1,520,784
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		574,846
	19,900,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		28,925,506
	7,145,000	Textron, Inc., 5.600%, 12/01/2017		7,658,297
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		38,625,291
				86,530,126
		Electric – 3.0%
	4,875,000	AES Corp. (The), 7.750%, 3/01/2014		5,265,000
	12,191,882	AES Ironwood LLC, 8.857%, 11/30/2025		12,374,761
	1,412,002	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,454,362

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	72,717,768	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A	$	77,163,005
	3,105,000	Ameren Illinois Co., 6.250%, 4/01/2018		3,463,680
	93,100,864	Bruce Mansfield Unit, 6.850%, 6/01/2034		99,810,373
	4,372,910	CE Generation LLC, 7.416%, 12/15/2018		4,514,247
	62,180,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		61,224,045
	67,000	Commonwealth Edison Co., 4.750%, 12/01/2011(c)		66,972
	5,295,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		3,653,550
	11,835,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		7,988,625
	3,504,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		2,549,160
	23,200,000	Edison Mission Energy, 7.625%, 5/15/2027		17,052,000
	32,800,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		28,100,482
	11,581,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		13,101,782
	7,425,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		7,881,341
	4,250,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		4,986,886
	25,460,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		28,956,931
	37,955,000	ITC Holdings Corp., 6.375%, 9/30/2036, 144A		40,462,687
	23,775,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(e)		9,272,250
	441,961	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		442,602
	4,646,250	Quezon Power Philippines LC, 8.860%, 6/15/2017		5,041,181
	199,179	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		213,478
	23,535,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		23,123,137
	70,980,000	TXU Corp., Series P, 5.550%, 11/15/2014		56,074,200
	140,586,000	TXU Corp., Series Q, 6.500%, 11/15/2024		70,293,000
	9,406,000	TXU Corp., Series R, 6.550%, 11/15/2034		4,608,940
	9,175,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		9,738,620
	14,695,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		14,018,001
	5,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		4,789,800
				617,685,098

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Entertainment – 0.0%
$	10,000	Time Warner, Inc., 7.625%, 4/15/2031	$	11,998
		Financial Other – 0.6%
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		70,301,553
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		49,602,759
				119,904,312
		Food & Beverage – 0.2%
	31,590,000	Corn Products International, Inc., 6.625%, 4/15/2037		34,164,175
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		7,016,210
				41,180,385
		Government Guaranteed – 0.1%
	14,905,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		15,681,682
		Government Owned - No Guarantee – 0.7%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		32,961,825
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		17,578,741
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		82,328,333
	10,600,000	Petroleos de Venezuela SA, 5.375%, 4/12/2027		5,353,000
				138,221,899
		Healthcare – 2.1%
	7,100,000	Boston Scientific Corp., 5.125%, 1/12/2017		7,503,741
	3,725,000	Boston Scientific Corp., 5.450%, 6/15/2014		4,047,984
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		16,682,126
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,143,323
	22,142,000	Boston Scientific Corp., 7.000%, 11/15/2035		23,713,573
	13,400,000	HCA, Inc., 5.750%, 3/15/2014		13,584,250
	7,800,000	HCA, Inc., 6.250%, 2/15/2013		8,073,000
	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		3,174,413
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		23,599,470

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	20,287,000	HCA, Inc., 7.190%, 11/15/2015	$	20,439,152
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		25,586,990
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		23,950,825
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		65,918,435
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		44,759,080
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		20,389,320
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		11,388,090
	3,875,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A		3,855,625
	4,710,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		4,944,497
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		28,555,330
	560,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		612,500
				441,499,686
		Home Construction – 0.5%
	6,430,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015		4,677,825
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		11,754,700
	6,249,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		5,405,385
	4,050,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		3,493,125
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,027,125
	895,000	KB Home, 5.875%, 1/15/2015		850,250
	6,007,000	Pulte Group, Inc., 5.200%, 2/15/2015		6,007,000
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		50,976,900
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		14,223,000
				98,415,310
		Independent Energy – 0.4%
	9,585,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		10,987,612
	34,960,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		36,478,872
	13,805,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		14,581,531
	8,782,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		9,199,496

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021	$	10,365,375
				81,612,886
		Industrial Other – 0.1%
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,333,925
		Integrated Energy – 0.0%
	968,345	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		1,031,288
		Life Insurance – 1.0%
	2,800,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		3,940,992
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,397,437
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		30,412,918
	7,075,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		7,389,229
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		4,340,764
	6,655,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		9,915,148
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,252,015
	22,550,000	MetLife, Inc., 6.400%, 12/15/2066		21,986,250
	12,020,000	MetLife, Inc., 10.750%, 8/01/2069		16,918,150
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		58,969,817
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		12,583,178
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		5,723,451
	9,965,000	Unum Group, 7.125%, 9/30/2016		11,438,176
				202,267,525
		Local Authorities – 1.9%
	110,680,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		119,826,953
	15,305,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		16,568,919
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		103,827,035
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,078,393
	13,340,077	Province of Alberta, 5.930%, 9/16/2016, (CAD)		15,447,490
	730,000	Province of British Columbia, 5.750%, 1/09/2012, (CAD)		774,552

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – continued
	760,000	Province of Ontario, 4.400%, 12/02/2011, (CAD)	$	798,455
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		83,791,591
	38,965,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		42,469,797
				384,583,185
		Lodging – 0.0%
	8,450,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,725,394
		Media Cable – 0.6%
	53,800,000	Comcast Corp., 6.950%, 8/15/2037		60,733,421
	1,550,000	CSC Holdings LLC, 7.875%, 2/15/2018		1,693,375
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		40,116,517
	26,541,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		30,779,412
				133,322,725
		Media Non-Cable – 0.0%
	3,215,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		3,223,038
		Metals & Mining – 0.4%
	11,557,000	Alcoa, Inc., 5.720%, 2/23/2019		12,020,759
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		5,056,969
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,952,080
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,774,158
	15,150,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		14,089,500
	11,175,000	United States Steel Corp., 6.050%, 6/01/2017		11,091,187
	9,625,000	United States Steel Corp., 6.650%, 6/01/2037		8,445,938
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		23,755,200
				83,185,791
		Mortgage Related – 0.0%
	211,209	FHLMC, 5.000%, 12/01/2031		226,014
		Non-Captive Consumer – 4.7%
	3,100,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		2,092,500
	86,353,000	Residential Capital LLC, 9.625%, 5/15/2015		85,705,352

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Non-Captive Consumer – continued
	1,305,000		SLM Corp., 6.000%, 5/10/2012, (AUD)	$	1,367,314
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		3,312,883
	27,880,000		SLM Corp., MTN, 5.050%, 11/14/2014		27,877,909
	4,875,000		SLM Corp., MTN, 5.125%, 8/27/2012		5,002,140
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,179,822
	76,745,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		79,814,800
	57,166,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		57,451,830
	23,623,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		22,362,004
	28,262,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		29,045,253
	34,835,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		36,267,729
	45,279,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		38,023,584
	140,870,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		154,620,743
	37,484,000		Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		51,332,311
	4,690,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		4,185,825
	10,870,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		10,815,650
	17,024,000		Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		16,938,880
	4,955,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,533,825
	22,472,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		22,191,100
	800,000		Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		801,400
	400,000		Springleaf Finance Corp., Series J, MTN, 5.625%, 8/17/2011		399,800
	4,800,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		4,800,000
	935,000		Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		837,994
	340,340,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		312,261,950
					974,222,598
			Non-Captive Diversified – 7.1%
	30,190,000		Ally Financial, Inc., 6.750%, 12/01/2014		31,171,175
	23,588,000		Ally Financial, Inc., 7.500%, 12/31/2013		25,209,675
	50,810,000		Ally Financial, Inc., 7.500%, 9/15/2020		53,096,450

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	44,981,000	Ally Financial, Inc., 8.000%, 12/31/2018	$	48,129,670
	35,442,000	Ally Financial, Inc., 8.000%, 11/01/2031		38,365,965
	72,545,000	Ally Financial, Inc., 8.300%, 2/12/2015		81,069,037
	21,694,984	CIT Group, Inc., 7.000%, 5/01/2014		21,966,171
	38,902,776	CIT Group, Inc., 7.000%, 5/01/2015		38,951,404
	89,288,640	CIT Group, Inc., 7.000%, 5/01/2016		88,953,808
	102,048,173	CIT Group, Inc., 7.000%, 5/01/2017		101,793,053
	44,525,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		48,409,656
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		78,001,125
	15,000,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		12,411,728
	150,000,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		124,116,177
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		75,248,629
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.578%, 5/13/2024(b)		19,913,175
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		231,255,063
	7,270,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		7,753,075
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		368,550
	20,380,000	International Lease Finance Corp., 6.250%, 5/15/2019		19,912,625
	13,466,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,869,980
	28,375,000	International Lease Finance Corp., 8.250%, 12/15/2020		30,645,000
	35,950,000	International Lease Finance Corp., 8.625%, 9/15/2015		38,960,812
	3,680,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		3,735,200
	3,545,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,545,000
	52,875,000	iStar Financial, Inc., 5.150%, 3/01/2012		52,676,719
	3,865,000	iStar Financial, Inc., 5.500%, 6/15/2012		3,836,013
	25,633,000	iStar Financial, Inc., 5.650%, 9/15/2011		25,568,918
	16,230,000	iStar Financial, Inc., 5.850%, 3/15/2017		13,917,225
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		25,061,663

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	5,655,000	iStar Financial, Inc., 6.050%, 4/15/2015	$	5,117,775
	46,795,000	iStar Financial, Inc., 8.625%, 6/01/2013		47,730,900
	9,690,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		8,890,575
	60,205,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		56,291,675
				1,475,943,666
		Oil Field Services – 1.3%
	10,680,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		11,214,000
	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018		17,348,737
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		170,306,943
	4,497,000	Parker Drilling Co., 9.125%, 4/01/2018		4,744,335
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,391,421
	18,170,000	Weatherford International Ltd., 6.500%, 8/01/2036		18,742,682
	4,250,000	Weatherford International Ltd., 6.800%, 6/15/2037		4,514,503
	13,670,000	Weatherford International Ltd., 7.000%, 3/15/2038		14,861,491
				269,124,112
		Packaging – 0.1%
	3,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		5,003,016
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		20,135,520
				25,138,536
		Paper – 1.5%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		32,537,630
	32,327,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		36,522,624
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		539,206
	80,840,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		93,051,609
	17,718,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		21,040,887
	16,307,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		20,602,280
	4,447,000	International Paper Co., 6.875%, 11/01/2023		4,870,932
	10,392,000	International Paper Co., 8.700%, 6/15/2038		12,927,970
	24,586,000	Westvaco Corp., 7.950%, 2/15/2031		26,586,981

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – continued
$	36,799,000	Westvaco Corp., 8.200%, 1/15/2030	$	39,861,523
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,240,823
	12,470,000	Weyerhaeuser Co., 7.375%, 3/15/2032		12,976,669
				305,759,134
		Pharmaceuticals – 0.1%
	22,630,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		23,535,200
		Pipelines – 2.4%
	27,325,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		28,660,127
	12,209,000	El Paso Corp., 6.950%, 6/01/2028		13,200,176
	2,045,000	El Paso Corp., 7.420%, 2/15/2037		2,272,760
	1,500,000	El Paso Corp., GMTN, 7.750%, 1/15/2032		1,744,908
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,167,055
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,159,222
	11,435,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		11,798,930
	25,030,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		28,708,985
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,251,370
	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		33,126,215
	55,458,768	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		60,290,336
	116,405,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		130,406,659
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		64,583,151
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,433,321
	28,845,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		32,277,930
	62,130,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		65,614,747
	5,572,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		5,404,840
				498,100,732
		Property & Casualty Insurance – 0.6%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		21,926,272
	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,410,799

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A	$	15,638,720
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,911,010
	51,522,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		51,116,728
	8,600,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		5,117,000
	3,375,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		3,160,502
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,525,861
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		6,654,347
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,178,469
				124,639,708
		Property Trust – 0.4%
	68,360,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		77,519,761
		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		5,640,240
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		60,926
				5,701,166
		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,734,880
		Refining – 0.0%
	1,782,000	Valero Energy Corp., 6.625%, 6/15/2037		1,858,013
		REITs - Apartments – 0.3%
	2,565,000	Camden Property Trust, 5.000%, 6/15/2015		2,770,787
	40,075,000	Camden Property Trust, 5.700%, 5/15/2017		44,142,092
	4,680,000	ERP Operating LP, 5.125%, 3/15/2016		5,102,066
	3,000,000	ERP Operating LP, 5.375%, 8/01/2016		3,291,708
				55,306,653
		REITs - Diversified – 0.0%
	5,720,000	Duke Realty LP, 5.950%, 2/15/2017		6,274,199
		REITs - Office Property – 0.3%
	57,890,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		63,169,973

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs - Office Property – continued
$	5,640,000	Highwoods Properties, Inc., 7.500%, 4/15/2018	$	6,543,827
				69,713,800
		REITs - Regional Malls – 0.1%
	9,032,000	Simon Property Group LP, 5.750%, 12/01/2015		10,138,583
	1,690,000	Simon Property Group LP, 6.125%, 5/30/2018		1,895,081
				12,033,664
		REITs - Warehouse/Industrials – 0.1%
	6,022,000	ProLogis LP, 5.625%, 11/15/2015		6,367,326
	6,110,000	ProLogis LP, 5.625%, 11/15/2016		6,524,447
	6,375,000	ProLogis LP, 5.750%, 4/01/2016		6,888,270
	2,332,000	ProLogis LP, 6.625%, 5/15/2018		2,578,320
	1,595,000	ProLogis LP, 6.875%, 3/15/2020		1,761,215
	3,020,000	ProLogis LP, 7.375%, 10/30/2019		3,443,733
				27,563,311
		Retailers – 1.0%
	1,920,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,920,000
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,305,600
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,774,800
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		6,966,540
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		960,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022		14,590,053
	5,160,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		5,237,400
	50,232,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		44,957,640
	2,798,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		2,909,920
	5,580,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,966,200
	28,445,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		29,567,298
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,472,794
	2,098,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,321,882
	1,485,000	Macy’s Retail Holdings, Inc., 8.125%, 7/15/2015		1,761,581

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Retailers – continued
$	9,245,000		Marks & Spencer PLC, 7.125%, 12/01/2037, 144A	$	9,142,214
	39,965,000		Toys R Us, Inc., 7.375%, 10/15/2018		38,816,006
	11,255,000		Toys R Us, Inc., 7.875%, 4/15/2013		11,874,025
					197,543,953
			Sovereigns – 4.0%
	10,000,000,000		Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		1,293,702
	25,000,000,000		Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,341,379
	145,156,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		19,793,858
	498,832,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		66,458,697
	317,658,000,000		Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		42,842,879
	378,003,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		40,852,006
	5,258,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		46,826,760
	28,585,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		258,751,306
	4,557,000	(†††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		41,090,530
	98,690,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		68,927,754
	10,025,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		7,563,796
	114,735,000		Republic of Brazil, 12.500%, 1/05/2022, (BRL)		91,896,806
	26,800,000		Republic of Croatia, 6.750%, 11/05/2019, 144A		28,944,000
	7,413,690,000		Republic of Iceland, 4.250%, 8/24/2012, (ISK)		45,455,298
	2,234,925,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		13,584,440
	4,616,100,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		30,299,135
	2,953,245,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		17,822,478
					825,744,824
			Supermarkets – 0.7%
	3,000,000		American Stores Co., 7.900%, 5/01/2017		2,988,750
	13,145,000		American Stores Co., Series B, MTN, 7.100%, 3/20/2028		10,532,431
	100,590,000		New Albertson’s, Inc., 7.450%, 8/01/2029		83,238,225
	20,550,000		New Albertson’s, Inc., 7.750%, 6/15/2026		18,084,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
$	9,715,000	New Albertson’s, Inc., 8.000%, 5/01/2031	$	8,282,038
	2,995,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,710,475
	17,575,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		13,313,062
				139,148,981
		Supranational – 2.1%
	8,660,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		5,554,130
	11,505,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		7,692,607
	837,962,640,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		88,198,365
	16,500,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		13,948,285
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		78,091,284
	345,270,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		35,587,914
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		161,606,915
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		33,006,269
				423,685,769
		Technology – 1.5%
	1,940,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		1,998,200
	65,276,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		75,181,503
	1,000,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,493,654
	78,002,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		70,201,800
	4,626,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,151,835
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,927,208
	12,555,000	Avnet, Inc., 5.875%, 3/15/2014		13,637,178
	50,915,000	Avnet, Inc., 6.000%, 9/01/2015		55,963,884
	15,245,000	Avnet, Inc., 6.625%, 9/15/2016		17,262,493
	10,821,000	Corning, Inc., 6.850%, 3/01/2029		11,951,838
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,568,245
	3,640,000	Eastman Kodak Co., 7.250%, 11/15/2013		3,439,800
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		16,713,792

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	430,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014	$	448,275
	6,016,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		6,474,720
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,057,089
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,877,124
	11,895,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		8,980,725
	4,301,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		5,142,874
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,850
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		720,296
				309,238,383
		Tobacco – 0.5%
	71,085,000	Reynolds American, Inc., 6.750%, 6/15/2017		82,073,106
	17,990,000	Reynolds American, Inc., 7.250%, 6/15/2037		19,387,247
				101,460,353
		Transportation Services – 0.4%
	20,469,000	APL Ltd., 8.000%, 1/15/2024(c)		13,509,540
	26,299,473	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		25,247,494
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)		5,241,619
	10,304,632	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		9,789,401
	436,930	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014		415,083
	12,268,672	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		10,551,058
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)		12,081,298
	7,269,514	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017		7,124,123
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(e)		169,445
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		2,943,375
				87,072,436
		Treasuries – 14.9%
	587,055,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		613,314,062
	228,647,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		245,633,425
	94,395,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		100,117,718

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	246,645,000	Canadian Government, 3.750%, 6/01/2019, (CAD)	$	271,407,959
	297,760,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		338,766,256
	6,094,699	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		3,405,909
	2,210,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		1,357,246
	1,950,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		1,384,566
	102,205,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		67,495,993
	125,685,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		106,272,030
	170,925,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		159,700,598
	76,200,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		69,339,631
	9,025,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		8,263,380
	148,250,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		131,086,913
	33,000,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		29,363,141
	224,730,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		196,747,507
	668,075,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		132,119,767
	319,620,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		64,274,358
	2,498,770,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		496,265,545
	38,575,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		32,075,163
	9,000,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,903,139
	11,125,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		9,682,976
				3,085,977,282
		Utility Other – 0.0%
	4,800,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		5,256,000
		Wireless – 1.1%
	57,512,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		57,440,110
	40,092,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		40,092,000
	4,680,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		4,709,250
	41,539,000	Sprint Capital Corp., 6.875%, 11/15/2028		39,358,202
	38,286,000	Sprint Capital Corp., 6.900%, 5/01/2019		39,434,580

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
$	8,390,000	Sprint Capital Corp., 8.750%, 3/15/2032	$	9,082,175
	15,252,000	Sprint Nextel Corp., 6.000%, 12/01/2016		15,232,935
	12,665,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		13,662,369
				219,011,621
		Wirelines – 3.6%
	8,395,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		8,197,717
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,320,823
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,233,590
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		32,015,161
	3,940,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		4,134,419
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		106,197,025
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,389,953
	4,400,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		4,232,272
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		810,000
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,949,986
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,998,125
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		748,250
	17,975,000	GTE Corp., 6.940%, 4/15/2028		20,637,044
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,797,930
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		4,075,327
	68,090,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		69,451,800
	11,350,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		11,676,312
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		3,651,350
	15,110,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		15,338,233
	35,941,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		41,695,863
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		30,820,475
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,260,385
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		17,041,056

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031	$	41,329,450
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		36,646,594
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,474,900
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		10,991,700
	2,890,000	Qwest Corp., 7.500%, 6/15/2023		2,893,613
	39,844,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		33,814,288
	26,495,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		23,626,731
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		49,771,205
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		28,670,140
	18,105,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		16,876,521
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,339,820
	6,785,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		7,803,937
	7,860,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		7,718,889
				732,630,884
		Total Non-Convertible Bonds (Identified Cost $13,581,551,583)		15,149,845,666
	Convertible Bonds – 7.7%
		Airlines – 0.1%
	29,555,000	AMR Corp., 6.250%, 10/15/2014		28,668,350
	1,730,000	UAL Corp., 4.500%, 6/30/2021		1,732,249
				30,400,599
		Automotive – 1.6%
	2,615,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		2,497,325
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		312,836,494
	12,335,000	Navistar International Corp., 3.000%, 10/15/2014		16,143,431
				331,477,250
		Diversified Manufacturing – 0.3%
	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		43,714,300
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		25,088,619
				68,802,919

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Electric – 0.0%
$	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029	$	1,443,750
		Healthcare – 0.5%
	32,436,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		31,462,920
	14,480,000	Life Technologies Corp., 1.500%, 2/15/2024		16,543,400
	285,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		293,906
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,685,700
	3,107,000	Omnicare, Inc., 3.250%, 12/15/2035		2,971,069
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		39,812,437
				93,769,432
		Independent Energy – 0.2%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		25,148,437
	9,405,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		9,898,763
				35,047,200
		Life Insurance – 0.4%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		72,185,850
		Media Non-Cable – 0.0%
	10,067,087	Liberty Media LLC, 3.500%, 1/15/2031		5,436,227
		Metals & Mining – 0.1%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,496,588
	16,535,000	United States Steel Corp., 4.000%, 5/15/2014		26,269,981
				27,766,569
		Non-Captive Diversified – 0.3%
	60,585,000	iStar Financial, Inc., 0.805%, 10/01/2012(b)		54,526,500
		Pharmaceuticals – 0.5%
	940,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		1,480,500
	51,585,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		75,056,175
	26,120,000	Nektar Therapeutics, 3.250%, 9/28/2012		26,054,700
				102,591,375

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		REITs - Warehouse/Industrials – 0.2%
$	28,230,000	ProLogis LP, 3.250%, 3/15/2015	$	32,288,063
		Technology – 2.5%
	330,000	Ciena Corp., 0.250%, 5/01/2013		321,338
	49,074,000	Ciena Corp., 0.875%, 6/15/2017		41,528,872
	8,030,000	Ciena Corp., 3.750%, 10/15/2018, 144A		9,435,250
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		10,340,050
	11,651,000	Intel Corp., 2.950%, 12/15/2035		12,044,221
	343,275,000	Intel Corp., 3.250%, 8/01/2039		418,795,500
	10,025,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		10,551,313
	21,955,000	Micron Technology, Inc., 1.875%, 6/01/2014		21,406,125
				524,422,669
		Textile – 0.0%
	81,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		80,291
		Wirelines – 1.0%
	20,455,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		20,403,862
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		102,512,070
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		77,870,250
				200,786,182
		Total Convertible Bonds (Identified Cost $1,232,862,111)		1,581,024,876
	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		3,709,344
	2,165,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,714,377
	20,455,000	State of California, 4.500%, 10/01/2029		18,934,580
	5,805,000	State of California, 4.500%, 8/01/2030		5,305,363
	7,340,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		7,071,209
	5,945,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		5,433,314
	17,945,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		16,096,306

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		California – continued
$	3,805,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027	$	3,036,390
				61,300,883
		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		5,603,492
		Illinois – 0.3%
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		2,082,540
	69,245,000	State of Illinois, 5.100%, 6/01/2033		58,908,107
				60,990,647
		Michigan – 0.1%
	20,690,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		15,030,044
		Ohio – 0.0%
	10,390,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		7,562,154
		Virginia – 0.6%
	178,970,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		119,544,801
		Total Municipals (Identified Cost $330,874,202)		270,032,021
		Total Bonds and Notes (Identified Cost $15,145,287,896)		17,000,902,563
	Senior Loans – 0.3%
		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.690%, 10/10/2014(b)		5,860,525
		Media Non-Cable – 0.1%
	4,203,827	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(b)		3,492,161
	36,690,454	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		21,914,108
				25,406,269
		Wireless – 0.1%
	12,129,970	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(g)		12,450,929
		Wirelines – 0.1%
	13,530,000	FairPoint Communications, Inc., New Term Loan B, 1/22/2016(h)		12,121,391

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Wirelines – continued
$	14,944,523	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)	$	13,388,649
				25,510,040
		Total Senior Loans (Identified Cost $97,371,928)		69,227,763
Shares
	Preferred Stocks – 3.0%
	Convertible Preferred Stocks – 2.2%
		Automotive – 1.2%
	4,083,850	General Motors Co., Series B, 4.750%		199,046,849
	949,385	Goodyear Tire & Rubber Co. (The), 5.875%		52,804,794
				251,851,643
		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		25,853,988
	305,595	Sovereign Capital Trust IV, 4.375%		15,126,952
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		13,231,980
				54,212,920
		Construction Machinery – 0.1%
	263,437	United Rentals Trust I, 6.500%		11,920,524
		Consumer Products – 0.1%
	275,316	Newell Financial Trust I, 5.250%		12,939,852
		Electric – 0.1%
	346,577	AES Trust III, 6.750%		17,072,383
	208,375	CMS Energy Trust I, 7.750%(c)(i)		9,376,875
				26,449,258
		Independent Energy – 0.1%
	87,351	Chesapeake Energy Corp., 4.500%		8,014,454
	144,600	SandRidge Energy, Inc., 8.500%		22,693,524
				30,707,978
		Pipelines – 0.1%
	284,585	El Paso Energy Capital Trust I, 4.750%		12,669,724
	25,000	Williams Cos., Inc., 5.500%		3,464,063
				16,133,787

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		REITs - Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%	$	8,867,447
		Technology – 0.2%
	52,704	Lucent Technologies Capital Trust I, 7.750%		51,847,560
		Total Convertible Preferred Stocks (Identified Cost $421,430,134)		464,930,969
	Non-Convertible Preferred Stocks – 0.8%
		Banking – 0.2%
	53,000	Bank of America Corp., 6.375%		1,208,930
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		34,077,726
	534,725	Countrywide Capital IV, 6.750%		13,234,444
				48,521,100
		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		100,181
	100	Entergy Arkansas, Inc., 4.320%		8,222
	5,000	Entergy Mississippi, Inc., 4.360%		382,813
	665	Entergy New Orleans, Inc., 4.360%		51,745
	200	Entergy New Orleans, Inc., 4.750%		15,956
	645	MDU Resources Group, Inc., 5.100%		64,843
	360	Public Service Company of Oklahoma, 4.000%		25,200
	50,100	Southern California Edison Co., 4.780%		1,087,671
	1,100	Xcel Energy, Inc., 3.600%		77,825
				1,814,456
		Government Sponsored – 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)		40,861,875
		Home Construction – 0.0%
	36,783	Hovnanian Enterprises, Inc., 7.625%(e)		179,501
		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		7,115,430
		Non-Captive Diversified – 0.3%
	52,843	Ally Financial, Inc., Series G, 7.000%, 144A		49,662,512

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		REITs - Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%	$	2,502,715
		REITs - Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		9,633,399
		Total Non-Convertible Preferred Stocks (Identified Cost $109,179,445)		160,290,988
		Total Preferred Stocks (Identified Cost $530,609,579)		625,221,957
	Common Stocks – 4.2%
		Biotechnology – 0.4%
	1,409,794	Vertex Pharmaceuticals, Inc.(e)		73,295,190
		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(e)		16,660,562
	2,766	Rock-Tenn Co., Class A		183,496
				16,844,058
		Diversified Telecommunication Services – 0.1%
	269,619	FairPoint Communications, Inc.(e)		2,483,191
	403,884	Hawaiian Telcom Holdco, Inc.(e)		10,299,042
				12,782,233
		Electronic Equipment, Instruments & Components – 0.1%
	630,490	Corning, Inc.		11,443,393
		Media – 0.0%
	4,746	Dex One Corp.(e)		12,008
	79,727	SuperMedia, Inc.(e)		298,976
				310,984
		Oil, Gas & Consumable Fuels – 0.2%
	1,026,979	Chesapeake Energy Corp.		30,491,007
	313,333	Repsol YPF SA, Sponsored ADR		10,891,455
				41,382,462
		Pharmaceuticals – 1.3%
	3,372,358	Bristol-Myers Squibb Co.		97,663,488
	3,384,721	Valeant Pharmaceuticals International, Inc.		175,870,103
				273,533,591
		Semiconductors & Semiconductor Equipment – 1.7%
	16,210,621	Intel Corp.		359,227,361
		Software – 0.3%
	2,568,090	Microsoft Corp.		66,770,340
		Total Common Stocks (Identified Cost $603,274,816)		855,589,612
	Closed End Investment Companies – 0.1%
	748,015	Highland Credit Strategies Fund		5,744,755
	337,212	Morgan Stanley Emerging Markets Debt Fund, Inc.		3,581,191

Shares		Description	Value (†)
	Closed End Investment Companies – continued
	1,930,296	Western Asset High Income Opportunity Fund, Inc.	$	12,180,168
	224,955	Western Asset Managed High Income Fund, Inc.		1,381,224
		Total Closed End Investment Companies (Identified Cost $27,800,945)		22,887,338
Principal Amount (‡)
	Short-Term Investments – 8.7%
$	1,902,739	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2010 at 0.000% to be repurchased at $1,902,739 on 7/01/2011 collateralized by $1,905,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $1,941,459 including accrued interest(j)		1,902,739
	1,789,822,209	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $1,789,822,209 on 7/01/2011 collateralized by $174,000,000 Federal Home Loan Mortgage Corp., 4.750% due 11/17/2015 valued at $197,707,500; $100,000,000 Federal Home Loan Mortgage Corp., 1.750% due 11/17/2015 valued at $100,250,000; $45,785,000 Federal National Mortgage Association, 4.375% due 10/15/2015 valued at $51,393,663; $47,000,000 Federal National Mortgage Association, 1.625% due 10/26/2015 valued at $47,176,250; $113,615,000 Federal National Mortgage Association, 1.600% due 11/23/2015 valued at $113,472,981; $174,215,000 Federal National Mortgage Association, 4.375% due 10/15/2015 valued at $195,556,338; $70,000,000 Federal National Mortgage Association, 2.000% due 8/18/2015 valued at $72,275,000; $242,170,000 Federal National Mortgage Association, 1.500% due 4/27/2015 valued at $242,170,000; $88,000,000 Federal Farm Credit Bank, 1.750% due 3/16/2015 valued at $88,440,000; $200,000,000 Federal Home Loan Bank, 2.000% due 12/09/2014 valued at $201,500,000;$134,350,000 Federal National Mortgage Association, 4.625% due 10/15/2014 valued at $150,975,813; $100,000,000 Federal Home Loan Mortgage Corp., 2.875% due 2/09/2015 valued at $106,875,000; $257,830,000 Federal National Mortgage Association, 1.500% due 4/27/2015 valued at $257,830,000 including accrued interest(j)		1,789,822,209
		Total Short-Term Investments (Identified Cost $1,791,724,948)		1,791,724,948
		Total Investments – 98.6% (Identified Cost $18,196,070,112)(a)		20,365,554,181
		Other assets less liabilities – 1.4%		299,013,626
		Net Assets – 100.0%	$	20,664,567,807

(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Futures contracts are valued at their most recent settlement price.
	Investments in other open-end investment companies are valued at their net asset value each day.
	Senior loans shall be priced at bid 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.
	Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
	The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
	The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††)	Amount shown represents units. One unit represents a principal amount of 25.
(†††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
	At June 30, 2011, the net unrealized appreciation on investments based on a cost of $18,259,042,342 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	$	2,505,076,266
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(398,564,427	)
Net unrealized appreciation	$	2,106,511,839

	At September 30, 2010, the Fund had a capital loss carryforward of $740,497,037 of which $73,277,381 expires on September 30, 2017 and $667,219,656 expires on September 30, 2018. At September 30, 2010 post-October capital loss deferrals were $182,708,157. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
	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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.
(b)	Variable rate security. Rate as of June 30, 2011 is disclosed.
(c)	Illiquid security. At June 30, 2011, the value of these securities amounted to $486,113,684 or 2.4% 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)	All or a portion of interest payment is paid-in-kind.
(h)	Position is unsettled. Contract rate was not determined at June 30, 2011 and does not take effect until settlement date.
(i)	Fair valued security by the Fund’s investment adviser. At June 30, 2011, the value of this security amounted to $9,376,875 or less than 0.1% of net assets.

(j)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $2,010,834,350 or 9.7% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs 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

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	3,312,883	$	970,909,715	$	—	$	974,222,598
All Other Non-Convertible Bonds*		—		14,175,623,068		—		14,175,623,068
Total Non-Convertible Bonds		3,312,883		15,146,532,783		—		15,149,845,666
Convertible Bonds*		—		1,581,024,876		—		1,581,024,876
Municipals*		—		270,032,021		—		270,032,021
Total Bonds and Notes		3,312,883		16,997,589,680		—		17,000,902,563
Senior Loans*		—		69,227,763		—		69,227,763
Preferred Stocks
Convertible Preferred Stocks
Automotive		251,851,643		—		—		251,851,643
Banking		39,085,968		15,126,952		—		54,212,920
Construction Machinery		—		11,920,524		—		11,920,524
Consumer Products		—		12,939,852		—		12,939,852
Electric		17,072,383		—		9,376,875		26,449,258
Independent Energy		30,707,978		—		—		30,707,978
Pipelines		12,669,724		3,464,063		—		16,133,787
REITs - Healthcare		8,867,447		—		—		8,867,447
Technology		51,847,560		—		—		51,847,560
Total Convertible Preferred Stocks		412,102,703		43,451,391		9,376,875		464,930,969
Non-Convertible Preferred Stocks
Banking		48,521,100		—		—		48,521,100
Electric		1,165,496		648,960		—		1,814,456
Government Sponsored		—		40,861,875		—		40,861,875
Home Construction		179,501		—		—		179,501
Non-Captive Consumer		7,115,430		—		—		7,115,430
Non-Captive Diversified		—		49,662,512		—		49,662,512
REITs - Office Property		—		2,502,715		—		2,502,715
REITs - Warehouse/Industrials		9,633,399		—		—		9,633,399
Total Non-Convertible Preferred Stocks		66,614,926		93,676,062		—		160,290,988
Total Preferred Stocks		478,717,629		137,127,453		9,376,875		625,221,957
Common Stocks*		855,589,612		—		—		855,589,612
Closed End Investment Companies		22,887,338		—		—		22,887,338
Short-Term Investments		—		1,791,724,948		—		1,791,724,948
Total	$	1,360,507,462	$	18,995,669,844	$	9,376,875	$	20,365,554,181

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

Preferred stocks valued at $30,667,500 were transferred from Level 2 to Level 1 during the period ended June 30, 2011. At September 30, 2010, this security was valued at original purchase price due to a market quotation not being readily available; at June 30, 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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	50,705,608	$	—	$	—	$	—	$	—	$	—	$	—	$	(50,705,608	)	$	—	$	—
Preferred Stocks
Convertible Preferred Stocks
Electric		7,293,125		—		—		2,083,750		—		—		—		—			9,376,875		2,083,750
Total	$	57,998,733	$	—	$	—	$	2,083,750	$	—	$	—	$	—	$	(50,705,608	)	$	9,376,875	$	2,083,750

Debt securities valued at $50,705,608 were transferred from Level 3 to Level 2 during the period ended June 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	14.9	%
Non-Captive Diversified	7.7
Banking	6.5
Non-Captive Consumer	4.7
Wirelines	4.7
Automotive	4.4
Technology	4.2
Sovereigns	4.0
Electric	3.1
Healthcare	2.6
Pipelines	2.5
Airlines	2.1
Supranational	2.1
Other Investments, less than 2% each	26.4
Short-Term Investments	8.7
Total Investments	98.6
Other assets less liabilities	1.4
Net Assets	100.0	%

Currency Exposure at June 30, 2011 (Unaudited)

United States Dollar	68.1	%
Canadian Dollar	8.8
New Zealand Dollar	4.2
Norwegian Krone	3.4
Euro	3.3
Australian Dollar	2.7
Indonesian Rupiah	2.6
Other, less than 2% each	5.5
Total Investments	98.6
Other assets less liabilities	1.4
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 84.2% of Net Assets
	Non-Convertible Bonds – 74.9%
		ABS Other – 0.1%
$	725,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029	$	694,548
		Aerospace & Defense – 0.0%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		181,125
		Airlines – 0.7%
	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		560,019
	227,918	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		229,627
	49,951	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		50,012
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		71,121
	1,427,237	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,471,909
	347,874	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 12/17/2016		368,746
	548,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		584,305
	1,098,391	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,085,112
	1,651,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,651,000
				6,078,095
		Automotive – 2.8%
	1,000,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		980,000
	2,400,000	Cummins, Inc., 7.125%, 3/01/2028		2,690,803
	300,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		442,223
	200,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		300,181
	765,000	Ford Motor Co., 6.375%, 2/01/2029		730,475
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,081,555
	165,000	Ford Motor Co., 6.625%, 2/15/2028		161,831
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,146,957
	690,000	Ford Motor Co., 7.125%, 11/15/2025		681,810
	9,250,000	Ford Motor Co., 7.450%, 7/16/2031		10,486,142

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	1,645,000	Ford Motor Co., 7.500%, 8/01/2026	$	1,665,928
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		696,702
	565,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		635,335
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		358,125
				25,058,067
		Banking – 5.3%
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,929,107
	2,385,000	BAC Capital Trust VI, 5.625%, 3/08/2035		2,054,752
	500,000	Bank of America Corp., 4.850%, 11/15/2014		503,237
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,234,503
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		4,013,679
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		252,324
	135,000	Citigroup, Inc., 5.850%, 12/11/2034		133,483
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		3,121,152
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,161,992
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		764,037
	200,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		267,501
	1,470,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		1,469,975
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,018,821
	21,194,634,240	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		2,370,695
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		116,588
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		2,088,508
	600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		562,559
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		1,343,868
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		289,698
	595,000	Morgan Stanley, 4.750%, 4/01/2014		620,220
	7,000,000	Morgan Stanley, 5.500%, 7/24/2020		7,085,337
	6,700,000	Morgan Stanley, 5.750%, 1/25/2021		6,779,254

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	370,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017	$	391,284
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		4,478,828
	625,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		671,904
	350,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		587,145
				47,310,451
		Building Materials – 1.0%
	860,000	Masco Corp., 4.800%, 6/15/2015		854,511
	240,000	Masco Corp., 5.850%, 3/15/2017		238,796
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,670,842
	305,000	Masco Corp., 6.500%, 8/15/2032		273,405
	325,000	Masco Corp., 7.750%, 8/01/2029		322,820
	805,000	Owens Corning, Inc., 6.500%, 12/01/2016		875,906
	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,076,929
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,478,400
				8,791,609
		Chemicals – 1.2%
	3,440,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		4,264,967
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		124,729
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,592,345
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		4,309,900
	55,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		50,600
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		832,600
				11,175,141
		Collateralized Mortgage Obligations – 0.1%
	1,161,327	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.750%, 4/25/2035(c)		1,118,170
		Commercial Mortgage-Backed Securities – 0.1%
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		101,265
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,062,122
				1,163,387

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – 0.1%
$	965,000	Toro Co., 6.625%, 5/01/2037(b)	$	961,213
		Distributors – 0.1%
	1,000,000	ONEOK, Inc., 6.000%, 6/15/2035		991,302
		Diversified Manufacturing – 0.2%
	245,000	Textron, Inc., 5.600%, 12/01/2017		262,601
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,516,618
				1,779,219
		Electric – 3.8%
	730,000	AES Corp. (The), 7.750%, 3/01/2014		788,400
	2,985,249	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,167,737
	4,126,072	Bruce Mansfield Unit, 6.850%, 6/01/2034		4,423,426
	380,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		262,200
	810,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		546,750
	3,000,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,570,166
	1,589,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		1,797,663
	2,890,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		3,067,619
	275,000	Enersis SA, 7.375%, 1/15/2014		306,210
	4,000,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		4,693,540
	3,517,985	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A		3,749,574
	695,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(e)		271,050
	185,437	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		185,706
	1,073,800	Quezon Power Philippines LC, 8.860%, 6/15/2017		1,165,073
	2,865,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		2,814,862
	765,000	TXU Corp., Series P, 5.550%, 11/15/2014		604,350
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		757,500
	1,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		820,750
	450,000	White Pine Hydro LLC, 6.310%, 7/10/2017(b)		477,644
	670,000	White Pine Hydro LLC, 6.960%, 7/10/2037(b)		639,133

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	1,280,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)	$	1,226,189
				34,335,542
		Entertainment – 0.5%
	2,065,000	Time Warner, Inc., 6.625%, 5/15/2029		2,250,549
	730,000	Time Warner, Inc., 7.625%, 4/15/2031		875,838
	1,155,000	Time Warner, Inc., 7.700%, 5/01/2032		1,394,490
				4,520,877
		Food & Beverage – 0.5%
	1,540,000	Corn Products International, Inc., 6.625%, 4/15/2037		1,665,490
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		3,003,815
				4,669,305
		Government Guaranteed – 0.2%
	1,620,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		1,704,416
		Government Owned - No Guarantee – 0.9%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,292,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		2,068,358
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,477,236
				7,837,594
		Healthcare – 2.5%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		449,168
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		315,145
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		489,951
	860,000	Boston Scientific Corp., 7.000%, 11/15/2035		921,040
	455,000	HCA, Inc., 5.750%, 3/15/2014		461,256
	2,345,000	HCA, Inc., 6.250%, 2/15/2013		2,427,075
	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		119,888
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,075,287

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	820,000	HCA, Inc., 7.190%, 11/15/2015	$	826,150
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,390,187
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,303,200
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,487,100
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,208,900
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,724,900
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		393,450
	335,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A		333,325
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016(b)		335,932
	1,075,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		897,625
				22,198,454
		Home Construction – 0.9%
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		70,150
	155,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		134,075
	115,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		99,187
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,670,250
	1,152,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,152,000
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,057,600
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,617,000
				7,800,262
		Independent Energy – 1.1%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,635,646
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,195,230
	1,235,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		1,288,656
	900,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		950,625
	1,465,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,534,646
				9,604,803
		Integrated Energy – 0.1%
	806,955	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		859,407

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – 1.5%
$	615,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018	$	643,521
	175,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		182,772
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,418,000
	500,000	Hartford Life Insurance Co., 5.360%, 9/15/2011(c)		499,620
	1,000,000	MetLife, Inc., 6.400%, 12/15/2066		975,000
	3,385,000	MetLife, Inc., 10.750%, 8/01/2069		4,764,388
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,175,983
	1,000,000	Protective Life Secured Trust, 4.890%, 9/10/2014(c)		1,021,670
				13,680,954
		Local Authorities – 5.1%
	5,390,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		5,835,447
	845,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		914,782
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,636,683
	672,508	Province of Alberta, 5.930%, 9/16/2016, (CAD)		778,748
	11,700,000	Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		11,658,754
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		21,785,197
				45,609,611
		Lodging – 0.0%
	150,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		153,000
		Media Cable – 0.2%
	26,000	CSC Holdings LLC, 6.750%, 4/15/2012		26,748
	170,000	CSC Holdings LLC, 7.875%, 2/15/2018		185,725
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,593,321
				1,805,794
		Media Non-Cable – 0.4%
	1,220,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		1,223,050
	2,630,000	News America, Inc., 6.150%, 3/01/2037		2,664,137
				3,887,187

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Metals & Mining – 0.7%
$	1,500,000		Alcoa, Inc., 5.720%, 2/23/2019	$	1,560,192
	300,000		Alcoa, Inc., 5.870%, 2/23/2022		307,415
	4,660,000		Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		4,333,800
					6,201,407
			Non-Captive Consumer – 3.5%
	300,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		202,500
	3,905,000		Residential Capital LLC, 9.625%, 5/15/2015		3,875,713
	31,725	(††)	SLM Corp., 6.000%, 12/15/2043		700,091
	760,000		SLM Corp., MTN, 5.125%, 8/27/2012		779,821
	1,665,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		1,731,600
	200,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		201,000
	145,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		137,260
	2,920,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		3,000,925
	235,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		244,665
	2,575,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,162,387
	7,986,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,765,537
	300,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		267,750
	800,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		796,000
	700,000		Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		696,500
	595,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		544,425
	1,805,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		1,782,438
	1,000,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		1,000,000
	2,100,000		Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,882,125
	2,800,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,569,000
					31,339,737
			Non-Captive Diversified – 6.2%
	1,305,000		Ally Financial, Inc., 6.000%, 12/15/2011		1,321,312
	224,000		Ally Financial, Inc., 6.875%, 8/28/2012		231,280

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	682,000	Ally Financial, Inc., 7.500%, 12/31/2013	$	728,887
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,377,375
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,562,200
	181,000	Ally Financial, Inc., 8.000%, 11/01/2031		195,932
	6,055,000	Ally Financial, Inc., 8.300%, 2/12/2015		6,766,462
	728,228	CIT Group, Inc., 7.000%, 5/01/2014		737,331
	1,305,836	CIT Group, Inc., 7.000%, 5/01/2015		1,307,468
	346,610	CIT Group, Inc., 7.000%, 5/01/2016		345,310
	3,046,961	CIT Group, Inc., 7.000%, 5/01/2017		3,039,344
	830,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		902,415
	35,000	General Electric Capital Corp., 5.625%, 5/01/2018		38,280
	170,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		171,967
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,165,878
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,797,867
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,245,106
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,987,681
	5,820,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,686,530
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,248,350
	1,015,000	International Lease Finance Corp., 8.250%, 12/15/2020		1,096,200
	3,045,000	International Lease Finance Corp., 8.625%, 9/15/2015		3,300,019
	85,000	iStar Financial, Inc., 5.500%, 6/15/2012		84,363
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		192,937
	905,000	iStar Financial, Inc., 5.875%, 3/15/2016		780,562
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		27,150
	2,495,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,544,900
	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		178,913
	1,245,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		1,164,075
				55,226,094

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – 0.1%
$	420,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017	$	441,000
	490,000	Allis-Chalmers Energy, Inc., 9.000%, 1/15/2014		500,413
	235,000	Parker Drilling Co., 9.125%, 4/01/2018		247,925
				1,189,338
		Packaging – 0.2%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,160,000
		Paper – 1.7%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,238,955
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,269,604
	6,005,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		6,912,109
	91,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		108,066
	1,045,000	Westvaco Corp., 7.950%, 2/15/2031		1,130,050
	1,080,000	Westvaco Corp., 8.200%, 1/15/2030		1,169,881
				14,828,665
		Pharmaceuticals – 0.0%
	335,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		348,400
		Pipelines – 1.5%
	1,740,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		1,825,018
	925,000	El Paso Corp., 6.950%, 6/01/2028		1,000,095
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		291,764
	1,550,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		1,777,824
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		370,055
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,371,467
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		270,407
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,997,438
	3,850,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		4,065,939
				12,970,007
		Property & Casualty Insurance – 1.5%
	80,000	Axis Capital Holdings Ltd., 5.750%, 12/01/2014		86,445

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021	$	3,543,389
	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		2,852,461
	180,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		178,584
	1,545,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		919,275
	1,425,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		1,334,434
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,218,985
	1,430,000	XL Group PLC, 6.250%, 5/15/2027		1,447,257
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,171,831
				13,752,661
		Property Trust – 0.4%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,356,619
		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		355,000
		REITs - Apartments – 0.2%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,646,723
	70,000	ERP Operating LP, 5.125%, 3/15/2016		76,313
				1,723,036
		REITs - Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		230,346
		REITs - Office Property – 0.5%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,802,857
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		551,120
				4,353,977
		REITs - Regional Malls – 0.1%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		226,493
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		333,077
				559,570
		REITs - Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		198,233

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			REITs - Single Tenant – continued
$	815,000		Realty Income Corp., 6.750%, 8/15/2019	$	931,771
					1,130,004
			REITs - Warehouse/Industrials – 0.0%
	100,000		ProLogis LP, 5.625%, 11/15/2015		105,734
	80,000		ProLogis LP, 5.750%, 4/01/2016		86,441
					192,175
			Retailers – 0.9%
	1,025,000		Dillard’s, Inc., 7.750%, 7/15/2026		994,250
	1,100,000		Foot Locker, Inc., 8.500%, 1/15/2022		1,124,750
	1,079,000		J.C. Penney Corp., Inc., 6.375%, 10/15/2036		965,705
	575,000		J.C. Penney Corp., Inc., 7.125%, 11/15/2023		598,000
	3,240,000		Toys R Us, Inc., 7.375%, 10/15/2018		3,146,850
	750,000		Toys R Us, Inc., 7.875%, 4/15/2013		791,250
					7,620,805
			Sovereigns – 3.8%
	2,915,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		397,497
	33,387,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		4,448,104
	7,590,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		820,276
	578,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		5,147,559
	125,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		1,144,796
	305,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,760,791
	501,000	(†††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		4,517,524
	14,885,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		10,396,085
	625,000		Republic of Brazil, 12.500%, 1/05/2022, (BRL)		500,593
	176,105,000		Republic of Iceland, 4.250%, 8/24/2012, (ISK)		1,079,746
	116,515,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		708,208
	212,600,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		1,395,463
	158,945,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		959,214
					34,275,856

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – 1.0%
$	25,000	American Stores Co., 8.000%, 6/01/2026	$	22,750
	6,515,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,391,162
	1,470,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,293,600
	565,000	New Albertson’s, Inc., 8.000%, 5/01/2031		481,663
	5,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,525
	1,745,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,321,837
				8,515,537
		Supranational – 3.5%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,161,604
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		14,027,664
				31,189,268
		Technology – 1.5%
	5,215,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		6,006,366
	935,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		841,500
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		71,800
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,808,123
	130,000	Avnet, Inc., 6.625%, 9/15/2016		147,204
	450,000	Corning, Inc., 6.850%, 3/01/2029		497,027
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,367,172
	740,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		771,450
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		184,630
	150,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		113,250
	984,300	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,176,966
				12,985,488
		Tobacco – 0.5%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,833,196
	810,000	Reynolds American, Inc., 7.250%, 6/15/2037		872,911
				4,706,107

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Transportation Services – 0.4%
$	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)	$	1,650,000
	988,256	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		948,726
	895,741	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		770,338
	309,578	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017		303,386
				3,672,450
		Treasuries – 12.7%
	175,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		181,472
	8,525,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		8,847,721
	19,910,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		20,800,577
	2,860,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		3,072,472
	18,145,000	Canadian Government, 3.750%, 9/01/2011, (CAD)		18,897,177
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		8,126,448
	9,615,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		10,939,137
	269,774	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		150,759
	100,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		61,414
	100,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		71,003
	4,460,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		2,945,376
	7,050,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		6,587,037
	3,100,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		2,820,904
	375,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		343,354
	6,125,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		5,415,901
	5,520,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,832,671
	56,415,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		11,156,736
	9,425,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		1,895,331
	19,715,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		3,915,477
	1,625,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,351,190
	375,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		329,298

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	475,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)	$	413,430
				113,154,885
		Utility Other – 0.0%
	200,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		219,000
		Wireless – 1.3%
	1,745,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		1,742,819
	4,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		4,635,000
	165,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		166,031
	2,607,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,470,132
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		1,050,600
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		324,750
	898,000	Sprint Nextel Corp., 6.000%, 12/01/2016		896,878
				11,286,210
		Wirelines – 3.2%
	355,000	AT&T Corp., 6.500%, 3/15/2029		377,390
	355,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		346,658
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		212,877
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		790,576
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		616,150
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		3,835,648
	235,000	Embarq Corp., 7.082%, 6/01/2016		261,231
	200,000	Embarq Corp., 7.995%, 6/01/2036		204,922
	350,000	GTE Corp., 6.940%, 4/15/2028		401,834
	985,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,004,700
	323,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		332,286
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		144,200
	700,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		710,573
	1,450,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,682,174

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	3,354,575
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,880,775
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		374,529
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		792,437
	790,000	Qwest Corp., 6.875%, 9/15/2033		761,362
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,744,400
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,262,700
	1,330,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		1,128,727
	1,320,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		1,177,101
				28,397,825
		Total Non-Convertible Bonds (Identified Cost $590,239,987)		669,910,000
	Convertible Bonds – 8.5%
		Airlines – 0.5%
	4,785,000	AMR Corp., 6.250%, 10/15/2014		4,641,450
		Automotive – 0.6%
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		5,012,719
		Diversified Manufacturing – 0.7%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,230,350
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		532,312
				5,762,662
		Electric – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		721,875
		Healthcare – 0.2%
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		1,693,863
		Independent Energy – 0.2%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,418,281
	675,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		710,438
				2,128,719

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Life Insurance – 1.5%
$	13,630,000	Old Republic International Corp., 3.750%, 3/15/2018	$	13,493,700
		Media Non-Cable – 0.0%
	447,246	Liberty Media LLC, 3.500%, 1/15/2031		241,513
		Metals & Mining – 0.3%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		280,237
	1,540,000	United States Steel Corp., 4.000%, 5/15/2014		2,446,675
				2,726,912
		Non-Captive Diversified – 0.0%
	380,000	iStar Financial, Inc., 0.805%, 10/01/2012(c)		342,000
		Pharmaceuticals – 0.2%
	175,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		275,625
	205,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		298,275
	1,065,000	Nektar Therapeutics, 3.250%, 9/28/2012		1,062,338
				1,636,238
		Technology – 3.2%
	4,815,000	Ciena Corp., 0.875%, 6/15/2017		4,074,694
	2,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		3,301,750
	8,417,000	Intel Corp., 2.950%, 12/15/2035		8,701,074
	7,000,000	Intel Corp., 3.250%, 8/01/2039		8,540,000
	3,585,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,773,212
	520,000	Micron Technology, Inc., 1.875%, 6/01/2014		507,000
				28,897,730
		Textile – 0.0%
	41,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		40,641
		Wirelines – 1.0%
	820,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		817,950
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		4,833,600

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Wirelines – continued
$	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)	$	3,164,100
				8,815,650
		Total Convertible Bonds (Identified Cost $66,432,534)		76,155,672
	Municipals – 0.8%
		Michigan – 0.2%
	2,365,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		1,718,030
		Virginia – 0.6%
	7,725,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		5,159,991
		Total Municipals (Identified Cost $10,070,778)		6,878,021
		Total Bonds and Notes (Identified Cost $666,743,299)		752,943,693
	Senior Loans – 0.1%
		Media Non-Cable – 0.1%
	566,760	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)		338,509
		Wireless – 0.0%
	241,769	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(c)(f)		248,166
		Total Senior Loans (Identified Cost $979,584)		586,675
Shares
	Preferred Stocks – 3.7%
	Convertible Preferred Stocks – 3.0%
		Automotive – 1.2%
	170,450	General Motors Co., Series B, 4.750%		8,307,733
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%		2,269,574
				10,577,307
		Banking – 0.6%
	2,844	Bank of America Corp., Series L, 7.250%		2,847,413
	55,743	Sovereign Capital Trust IV, 4.375%		2,759,279
				5,606,692
		Construction Machinery – 0.2%
	30,199	United Rentals Trust I, 6.500%		1,366,505

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Consumer Products – 0.1%
	25,075	Newell Financial Trust I, 5.250%	$	1,178,525
		Electric – 0.1%
	10,000	AES Trust III, 6.750%		492,600
		Independent Energy – 0.0%
	775	Chesapeake Energy Corp., 4.500%		71,106
		Pipelines – 0.4%
	72,200	El Paso Energy Capital Trust I, 4.750%		3,214,344
		REITs - Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		381,174
		Technology – 0.4%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,812,031
		Total Convertible Preferred Stocks (Identified Cost $22,706,954)		26,700,284
	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.1%
	5,000	Bank of America Corp., 6.375%		114,050
	20,975	Countrywide Capital IV, 6.750%		519,131
				633,181
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		7,003
	2,876	Entergy New Orleans, Inc., 4.750%		229,451
	150	MDU Resources Group, Inc., 5.100%		15,080
	4,670	Union Electric Co., 4.500%		368,930
	100	Xcel Energy, Inc., Series D, 4.110%		8,200
				628,664
		Government Sponsored – 0.3%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(g)		3,225,937
		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,192,501

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Non-Captive Diversified – 0.1%
	1,121	Ally Financial, Inc., Series G, 7.000%, 144A	$	1,053,530
		Total Non-Convertible Preferred Stocks (Identified Cost $5,234,580)		6,733,813
		Total Preferred Stocks (Identified Cost $27,941,534)		33,434,097
	Common Stocks – 3.8%
		Biotechnology – 0.7%
	127,420	Vertex Pharmaceuticals, Inc.(e)		6,624,566
		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(e)		912,461
	136	Rock-Tenn Co., Class A		9,022
				921,483
		Diversified Telecommunication Services – 0.0%
	8,050	Hawaiian Telcom Holdco, Inc.(e)		205,275
		Electronic Equipment, Instruments & Components – 0.4%
	205,167	Corning, Inc.		3,723,781
		Media – 0.0%
	3,027	SuperMedia, Inc.(e)		11,351
		Oil, Gas & Consumable Fuels – 0.2%
	54,259	Chesapeake Energy Corp.		1,610,950
		Pharmaceuticals – 1.2%
	160,000	Bristol-Myers Squibb Co.		4,633,600
	107,459	Valeant Pharmaceuticals International, Inc.		5,583,569
				10,217,169
		Semiconductors & Semiconductor Equipment – 1.2%
	476,725	Intel Corp.		10,564,226
		Total Common Stocks (Identified Cost $22,794,298)		33,878,801
Principal Amount
	Short-Term Investments – 6.8%
$	25,363	Repurchase Agreement with Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $25,363 on 7/01/2011 collateralized by $30,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $30,574 including accrued interest(h)		25,363
	61,222,095	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $61,222,095 on 7/01/2011 collateralized by $53,545,000 Federal National Mortgage Association, 5.000% due 2/13/2017 valued at $62,446,856 including accrued interest(h)		61,222,095
		Total Short-Term Investments (Identified Cost $61,247,458)		61,247,458

Total Investments – 98.6% (Identified Cost $779,706,173)(a)		882,090,724
Other assets less liabilities – 1.4%		12,128,604
Net Assets – 100.0%	$	894,219,328

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker.

Futures contracts are valued at their most recent settlement price.

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

Senior loans shall be priced at bid 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.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $781,607,718 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	$	115,472,618
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,989,612	)
Net unrealized appreciation	$	100,483,006

At September 30, 2010, the Fund had a capital loss carryforward of $9,332,109 of which $129,506 expires on September 30, 2017 and $9,202,603 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Illiquid security. At June 30, 2011, the value of these securities amounted to $21,044,206 or 2.4% of net assets.

(c) Variable rate security. Rate as of June 30, 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) All or a portion of interest payment is paid-in-kind.

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

(h) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $81,511,140 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

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	700,091	$	30,639,646	$	—	$	31,339,737
All Other Non-Convertible Bonds*				638,570,263		—		638,570,263
Total Non-Convertible Bonds		700,091		669,209,909		—		669,910,000
Convertible Bonds*		—		76,155,672		—		76,155,672
Municipals*		—		6,878,021		—		6,878,021
Total Bonds and Notes		700,091		752,243,602		—		752,943,693
Senior Loans*		—		586,675		—		586,675
Preferred Stocks
Convertible Preferred Stocks
Automotive		10,577,307		—		—		10,577,307
Banking		2,847,413		2,759,279		—		5,606,692
Construction Machinery		—		1,366,505		—		1,366,505
Consumer Products		—		1,178,525		—		1,178,525
Electric		492,600		—		—		492,600
Independent Energy		71,106		—		—		71,106
Pipelines		3,214,344		—		—		3,214,344
REITs - Healthcare		381,174		—		—		381,174
Technology		3,812,031		—		—		3,812,031
Total Convertible Preferred Stocks		21,395,975		5,304,309		—		26,700,284
Non-Convertible Preferred Stocks
Banking		633,181		—		—		633,181
Electric		377,130		251,534		—		628,664
Government Sponsored		—		3,225,937		—		3,225,937
Non-Captive Consumer		1,192,501		—		—		1,192,501
Non-Captive Diversified		—		1,053,530		—		1,053,530
Total Non-Convertible Preferred Stocks		2,202,812		4,531,001		—		6,733,813
Total Preferred Stocks		23,598,787		9,835,310		—		33,434,097
Common Stocks*		33,878,801		—		—		33,878,801
Short-Term Investments		—		61,247,458		—		61,247,458
Total	$	58,177,679	$	823,913,045	$	—	$	882,090,724

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

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	12.7	%
Non-Captive Diversified	6.3
Banking	6.0
Technology	5.1
Local Authorities	5.1
Automotive	4.6
Wirelines	4.2
Electric	4.1
Sovereigns	3.8
Non-Captive Consumer	3.6
Supranational	3.5
Life Insurance	3.0
Healthcare	2.7
Other Investments, less than 2% each	27.1
Short-Term Investments	6.8
Total Investments	98.6
Other assets less liabilities	1.4
Net Assets	100.0	%

Currency Exposure at June 30, 2011 (Unaudited)

United States Dollar	68.7	%
Canadian Dollar	12.2
New Zealand Dollar	4.0
Euro	2.8
Australian Dollar	2.1
Other, less than 2% each	8.8
Total Investments	98.6
Other assets less liabilities	1.4
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Global Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 95.3% of Net Assets
	Non-Convertible Bonds – 94.5%
		Argentina – 1.1%
$	13,126,676	Argentina Government International Bond, 8.280%, 12/31/2033	$	11,584,292
	6,675,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		7,075,500
	7,522,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		7,296,340
				25,956,132
		Australia – 1.9%
	5,180,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		4,942,580
	16,503,218	Australia Government Bond, 3.000%, 9/20/2025, (AUD)		19,221,685
	6,841,917	New South Wales Treasury Corp., 2.750%, 11/20/2025, (AUD)		7,238,470
	2,700,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		2,923,137
	6,000,000	SMART Trust, Series 2011-1USA, Class A3B, 1.039%, 10/14/2014, 144A(b)		6,010,368
	5,625,000	Telstra Corp. Ltd., 4.800%, 10/12/2021, 144A		5,643,619
				45,979,859
		Bermuda – 0.3%
	6,905,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		7,159,857
		Brazil – 1.3%
	7,000,000	Banco Nacional de Desenvolvimento Economico e Social, 6.500%, 6/10/2019, 144A		7,892,500
	10,800,539	Banco Votorantim SA, 6.250%, 5/16/2016, 144A, (BRL)		7,036,407
	4,500,000	Itau Unibanco Holding SA, 6.200%, 12/21/2021, 144A		4,578,750
	4,000,000	Telemar Norte Leste SA, 5.125%, 12/15/2017, 144A, (EUR)		5,704,889
	7,444,000	Telemar Norte Leste SA, 5.500%, 10/23/2020, 144A		7,350,950
				32,563,496
		Canada – 7.2%
	4,440,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,890,744
	160,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		174,669
	3,180,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,643,523
	3,090,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		3,173,173

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Canada – continued
	54,335,000	Canadian Government, 3.000%, 12/01/2015, (CAD)	$	58,151,886
	10,595,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)		11,644,668
	5,212,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,404,116
	14,540,000	Province of British Columbia Canada, 2.850%, 6/15/2015		15,250,337
	6,700,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		9,974,157
	766,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		9,623,502
	11,000,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		16,200,221
	13,150,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		19,675,076
	1,550,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,750,667
	9,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,408,689
	6,500,000	Videotron Ltee, 6.875%, 7/15/2021, 144A, (CAD)		6,699,964
				175,665,392
		Cayman Islands – 2.1%
	3,800,000	ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A		3,733,751
	14,500,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.186%, 9/20/2016, 144A(b)		14,405,141
	5,500,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,445,000
	3,600,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		3,654,000
	1,170,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		1,221,246
	7,300,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		7,701,500
	6,716,000	Vale Overseas Ltd., 6.875%, 11/21/2036		7,292,139
	6,700,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		7,102,000
				50,554,777
		Colombia – 0.7%
	9,200,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		5,592,810
	17,600,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		10,384,895
				15,977,705
		Denmark – 1.1%
	100,000,000	Denmark Government Bond, 4.000%, 11/15/2015, (DKK)		20,725,668

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Denmark – continued
	3,970,000	Kingdom of Denmark, EMTN, 1.750%, 10/05/2015, (EUR)	$	5,611,762
				26,337,430
		Finland – 2.1%
	24,215,000	Finland Government Bond, 3.125%, 9/15/2014, (EUR)		36,232,043
	10,070,000	Finland Government Bond, 3.875%, 9/15/2017, (EUR)		15,431,873
				51,663,916
		France – 0.8%
	7,362,000	AXA SA, 7.125%, 12/15/2020, (GBP)		12,727,108
	5,000,000	Lafarge SA, EMTN, 5.375%, 11/29/2018, (EUR)		7,267,432
	465,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		622,748
				20,617,288
		Germany – 6.4%
	21,855,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		32,599,441
	42,665,000	Bundesrepublik Deutschland, 3.750%, 7/04/2013, (EUR)(c)		64,472,914
	8,650,000	Bundesrepublik Deutschland, Series 6, 3.750%, 1/04/2017, (EUR)		13,398,027
	1,140,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		15,681,461
	20,500,000	Republic of Germany, 1.250%, 9/16/2011, (EUR)		29,525,917
				155,677,760
		India – 0.4%
	5,000,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		4,973,395
	5,700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		5,557,500
				10,530,895
		Indonesia – 0.3%
	42,900,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		6,223,494
		Italy – 2.2%
	4,850,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		6,757,432
	33,530,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 9/01/2020, (EUR)		46,314,387
				53,071,819
		Japan – 13.4%
	400,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		5,269,153

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Japan – continued
$	5,630,000	eAccess Ltd., 8.250%, 4/01/2018, 144A	$	5,615,925
	3,100,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		39,464,977
	1,200,000,000	Japan Finance Organization for Municipal Enterprises, 1.550%, 2/21/2012, (JPY)		15,031,847
	7,100,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		89,390,592
	1,270,000,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		15,987,487
	9,816,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		126,622,681
	454,000,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		6,019,999
	1,300,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		16,710,018
	572,000,000	Japan Government Two Year Bond, 0.200%, 2/15/2013, (JPY)		7,108,673
				327,221,352
		Jersey – 0.3%
	4,550,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		7,954,423
		Korea – 0.6%
	485,000,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,744,202
	3,400,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		3,491,953
				14,236,155
		Lithuania – 0.2%
	5,000,000	Lithuania Government International Bond, 6.125%, 3/09/2021, 144A		5,312,500
		Luxembourg – 0.6%
	4,200,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		4,246,704
	5,800,000	Gazprom Via Gaz Capital SA, 5.092%, 11/29/2015, 144A		6,048,240
	4,127,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		3,680,223
	1,007,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		949,418
				14,924,585
		Mexico – 3.5%
	3,160,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		3,002,000
	4,715,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		4,604,198
	5,300,000	BBVA Bancomer SA, 7.250%, 4/22/2020, 144A		5,565,000
	3,450,000	Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		3,691,500

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Mexico – continued
$	8,400,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015	$	8,589,000
	1,500,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		12,313,042
	2,027,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		18,568,599
	1,735,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		16,402,176
	1,373,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		12,428,086
					85,163,601
			Netherlands – 1.9%
	10,000,000		Allianz Finance II BV, EMTN, 4.750%, 7/22/2019, (EUR)		15,160,097
	2,450,000		EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		3,142,592
	1,600,000		EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,448,495
	750,000		EDP Finance BV, Series 12, EMTN, 4.625%, 6/13/2016, (EUR)		968,747
	12,995,000		Kingdom of Netherlands, 5.500%, 1/15/2028, (EUR)(c)		22,869,733
	1,000,000		OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		1,450,150
					46,039,814
			New Zealand – 1.0%
	26,500,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		23,200,325
			Norway – 3.0%
	139,050,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		27,498,789
	223,125,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)(c)		44,955,315
					72,454,104
			Philippines – 0.4%
	395,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		8,887,158
			Poland – 1.3%
	5,900,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		7,197,193
	65,000,000		Poland Government International Bond, 5.000%, 10/24/2013, (PLN)		23,763,107
					30,960,300
			Singapore – 1.8%
	27,845,000		Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		23,131,934

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Singapore – continued
	24,355,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)	$	20,526,469
				43,658,403
		South Africa – 0.9%
	8,495,000	Edcon Proprietary Ltd., 4.721%, 6/15/2014, 144A, (EUR)(b)		10,779,144
	12,000,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		12,385,056
				23,164,200
		Spain – 2.0%
	32,990,000	Spain Government Bond, 5.500%, 4/30/2021, (EUR)		48,080,596
		Supranationals – 3.7%
	1,700,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		23,167,365
	17,470,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		21,584,483
	90,681,660,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		9,544,547
	285,470,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)		23,948,122
	503,700,000	Inter-American Development Bank, EMTN, 4.750%, 1/10/2014, (INR)		11,160,782
				89,405,299
		Sweden – 0.9%
	135,000,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)		22,974,246
		Switzerland – 0.6%
	14,000,000	Credit Suisse of New York, MTN, 4.375%, 8/05/2020		13,688,598
		Turkey – 0.3%
	8,500,000	Akbank TAS, 5.125%, 7/22/2015, 144A		8,457,500
		United Arab Emirates – 1.9%
	6,800,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		7,658,500
	4,948,160	Dolphin Energy Ltd., 5.888%, 6/15/2019, 144A		5,331,642
	29,110,000	DP World Ltd., 6.850%, 7/02/2037, 144A		27,800,050
	5,900,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		6,121,250
				46,911,442
		United Kingdom – 5.8%
	9,500,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		10,058,514

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – continued
$	5,500,000	Barclays Bank PLC, EMTN, 6.050%, 12/04/2017	$	5,823,350
	950,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		1,555,091
	7,100,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		11,045,776
	4,300,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,162,413
	4,800,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,527,763
	6,500,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		11,343,015
	13,240,000	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)		21,963,536
	15,075,000	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)		26,941,453
	14,800,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		26,495,352
	4,000,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		6,693,159
	10,800,000	Vedanta Resources PLC, 6.750%, 6/07/2016, 144A		10,758,960
				141,368,382
		United States – 21.5%
	4,044,530	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		4,291,773
	5,655,000	Avnet, Inc., 5.875%, 6/15/2020		5,971,341
	19,360,000	Bank of America Corp., 5.625%, 7/01/2020		19,989,432
	300,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		326,932
	200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		211,242
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		108,445
	6,390,000	Cameron International Corp., 5.950%, 6/01/2041		6,419,873
	6,350,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 1.822%, 8/17/2017, (EUR)(b)		8,814,301
	2,254,684	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		2,395,028
	10,900,000	Citigroup, Inc., 5.500%, 2/15/2017		11,463,650
	675,593	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		676,404
	199,443	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		200,341
	3,788,068	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,896,785
	900,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.799%, 9/15/2039(b)		952,516
	3,000,000	Crown Castle Towers LLC, 3.214%, 8/15/2035, 144A		3,046,161

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	6,300,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A	$	6,584,546
	3,401,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,710,896
	4,000,000	CSX Corp., 6.150%, 5/01/2037		4,283,232
	6,259,555	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		6,509,937
	1,615,479	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,641,649
	5,890,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		5,947,104
	12,790,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		12,768,519
	2,650,000	Ford Motor Credit Co. LLC, 5.750%, 2/01/2021		2,646,738
	1,860,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		2,009,096
	480,000	Frontier Communications Corp., 6.625%, 3/15/2015		500,400
	5,200,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		5,219,828
	888,000,000	General Electric Capital Corp., EMTN, 1.000%, 3/21/2012, (JPY)		11,068,779
	4,540,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		5,044,594
	1,805,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		2,280,439
	9,000,000	Goldman Sachs Group, Inc. (The), 3.625%, 2/07/2016		9,097,722
	1,250,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		1,893,078
	7,496,957	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		7,564,859
	2,840,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		3,047,462
	700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		750,887
	2,000,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.800%, 8/10/2045(b)		2,147,201
	10,800,000	Hana Bank, 4.000%, 11/03/2016, 144A		10,893,960
	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
	635,000	HCA, Inc., 7.690%, 6/15/2025		593,725
	624,000	HCA, Inc., MTN, 7.580%, 9/15/2025		580,320
	5,000,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B1, 4.940%, 3/25/2016, 144A		5,239,455
	5,700,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,638,212

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	4,435,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	4,750,027
	1,875,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		2,078,484
	7,105,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,960,541
	26,740,000,000	JPMorgan Chase Bank NA, EMTN, Zero Coupon, 10/17/2011, 144A, (IDR)		3,072,660
	1,900,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(b)		2,049,147
	300,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.870%, 6/15/2038(b)		331,440
	4,510,524	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		4,655,055
	5,200,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 1.632%, 3/19/2018, (EUR)(b)		7,018,293
	5,521,397	Merrill Auto Trust Securitization, Series 2008-1, Class A4A, 6.150%, 4/15/2015		5,624,792
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,062,123
	2,070,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		3,505,404
	9,200,000	Morgan Stanley, 5.500%, 7/24/2020		9,312,157
	200,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.279%, 1/11/2043(b)		227,796
	892,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		992,108
	3,730,000	News America, Inc., 6.150%, 3/01/2037		3,778,415
	5,080,000	NII Capital Corp., 7.625%, 4/01/2021		5,308,600
	5,995,000	Nissan Master Owner Trust Receivables, Series 2010-AA, Class A, 1.337%, 1/15/2015, 144A(b)		6,059,578
	7,740,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		8,125,351
	6,890,000	ProLogis LP, 6.625%, 5/15/2018		7,617,763
	5,770,000	Prudential Financial, Inc., 5.375%, 6/21/2020		6,078,707
	3,410,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,486,725
	2,635,000	Qwest Corp., 6.875%, 9/15/2033		2,539,481
	5,165,000	Qwest Corp., 7.250%, 10/15/2035		5,113,350
	5,285,000	Qwest Corp., 7.500%, 6/15/2023		5,291,606
	8,985,000	Rowan Cos., Inc., 7.875%, 8/01/2019		10,677,307
	8,300,000	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		8,292,530
	3,053,851	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		3,100,105

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	9,150,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)	$	13,299,918
	12,310,715	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		12,311,200
	79,520,000	U.S. Treasury Note, 0.625%, 2/28/2013		79,827,504
	10,710,000	U.S. Treasury Note, 1.000%, 7/31/2011(e)		10,718,365
	23,920,000	U.S. Treasury Note, 1.375%, 11/30/2015		23,802,266
	11,600,000	U.S. Treasury Note, 2.375%, 2/28/2015		12,118,404
	8,820,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		8,379,000
	2,000,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		1,940,000
	300,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		323,992
	5,250,000	Wachovia Bank NA, 6.000%, 11/15/2017		5,856,611
	2,427,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		3,308,039
	1,950,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,500,228
	9,465,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,011,319
	8,655,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,937,075
	4,800,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		7,053,191
	3,200,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		4,552,714
				522,188,033
		Uruguay – 1.0%
	197,528,980	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		10,736,222
	226,115,477	Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU)		13,798,003
				24,534,225
		Total Non-Convertible Bonds (Identified Cost $2,151,515,807)		2,298,765,061
	Convertible Bonds – 0.3%
		United States – 0.3%
	5,375,000	Ciena Corp., 0.875%, 6/15/2017		4,548,594
	3,820,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		3,705,400
		Total Convertible Bonds (Identified Cost $6,867,983)		8,253,994

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 0.5%
		United States – 0.5%
$	5,360,000	California Statewide Communities Development Authority, Series A, 4.750%, 4/01/2033	$	4,857,768
	5,895,000	California Statewide Communities Development Authority, Series B, 5.250%, 11/15/2048		5,555,389
	1,930,000	City of Rochester MN, Series C, 4.500%, 11/15/2038		2,087,681
		Total Municipals (Identified Cost $11,716,089)		12,500,838
		Total Bonds and Notes (Identified Cost $2,170,099,879)		2,319,519,893
	Short-Term Investments – 0.7%
	17,633,467	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $17,633,467 on 7/01/2011 collateralized by $17,990,000 Federal Home Loan Bank, 0.250% due 06/29/2012 valued at $17,990,000 including accrued interest(g) (Identified Cost $17,633,467)		17,633,467
		Total Investments – 96.0% (Identified Cost $2,187,733,346)(a)		2,337,153,360
		Other assets less liabilities – 4.0%		96,519,730
		Net Assets – 100.0%	$	2,433,673,090

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $2,194,504,123 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	$	150,124,706
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,475,469	)
Net unrealized appreciation	$	142,649,237

At September 30, 2010, the Fund had a capital loss carryforward of $65,247,241 of which $1,046,616 expires on September 30, 2014, $5,497,643 expires on September 30, 2015, $3,309,847 expires on September 30, 2016, $21,329,772 expires on September 30, 2017 and $34,063,363 expires on September 30, 2018. At September 30, 2010 post-October capital loss deferrals were $18,054,311. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Variable rate security. Rate as of June 30, 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 June 30, 2011, the value of this security amounted to $8,125,351 or 0.3% of net assets.

(e) All or a portion of this security has been pledged as collateral 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.

(g) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $445,506,640 or 18.3% of net assets.
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
COP	Colombian Peso
DKK	Danish Krone
EUR	Euro
GBP	British Pound
IDR	Indonesian Rupiah
INR	Indian Rupee
JPY	Japanese Yen
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippine Peso
PLN	Polish Zloty
SEK	Swedish Krona
SGD	Singapore Dollar
UYU	Uruguayan Peso

Forward Foreign Currency Contracts

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

At June 30, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		08/29/2011	Australian Dollar		25,500,000	$	27,160,810	$	(654,325	)
Sell2		09/27/2011	British Pound		15,200,000		24,370,352		(113,736	)
Sell1		09/07/2011	Canadian Dollar		22,580,000		23,375,117		(199,504	)
Buy3		09/20/2011	Malaysian Ringgit		69,000,000		22,721,544		103,042
Buy2		07/13/2011	Singapore Dollar		29,000,000		23,609,967		530,901
Buy2		09/14/2011	South Korean Won		43,930,000,000		40,969,528		666,775
Buy1		09/14/2011	South Korean Won		23,100,000,000		21,543,275		358,389
Buy5		09/14/2011	South Korean Won		21,500,000,000		20,051,101		332,662
Sell4		09/21/2011	Swiss Franc		22,190,000		26,406,239		137,776
Buy1		08/02/2011	Turkish Lira		36,500,000		22,356,809		(1,334,644	)
Total								$	(172,664	)

At June 30, 2011, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency		Receive5/In Exchange  For		Unrealized Appreciation (Depreciation)
09/22/2011	British Pound	14,687,189	Euro	16,520,000	$	353,601

¹  Counterparty is Credit Suisse.

²  Counterparty is Barclays.

³  Counterparty is JPMorgan Chase.

⁴  Counterparty is Morgan Stanley.

⁵  Counterparty is UBS AG.

Futures Contracts

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

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund, depending on the price of the fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise such as liquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation/ (Depreciation)
30 Year U.S. Treasury Bond	09/21/2011		560	$	68,897,500	$	405,850

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	19,519,704	$	26,460,155	$	45,979,859
Canada		—		170,261,276		5,404,116		175,665,392
Supranationals		—		78,244,517		11,160,782		89,405,299
All Other Non-Convertible Bonds*		—		1,987,714,511		—		1,987,714,511
Total Non-Convertible Bonds		—		2,255,740,008		43,025,053		2,298,765,061
Convertible Bonds*		—		8,253,994		—		8,253,994
Municipals*		—		12,500,838		—		12,500,838
Total Bonds and Notes		—		2,276,494,840		43,025,053		2,319,519,893
Short-Term Investments		—		17,633,467		—		17,633,467
Total Investments		—		2,294,128,307		43,025,053		2,337,153,360
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,483,146		—		2,483,146
Futures Contracts (unrealized appreciation)		405,850		—		—		405,850
Total	$	405,850	$	2,296,611,453	$	43,025,053	$	2,340,042,356

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(2,302,209	)	$	—	$	(2,302,209	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	394,013	$	(358,735	)	$	2,480,619	$	30,494,000	$	(6,549,742	)	$	—	$	—	$	26,460,155	$	2,480,619
Canada		5,065,604		—		—			338,512		—		—			—		—		5,404,116		338,512
Supranationals		—		6,331		—			36,165		11,118,286		—			—		—		11,160,782		36,165
Total	$	5,065,604	$	400,344	$	(358,735	)	$	2,855,296	$	41,612,286	$	(6,549,742	)	$	—	$	—	$	43,025,053	$	2,855,296

Derivatives

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

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2011, the Fund used futures contracts in accordance with this objective.

The 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 June 30, 2011, the fair value of derivative positions subject to credit-risk-related contingent features that are in a net liability position (unrealized depreciation) by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
Credit Suisse	$	(1,830,084	)	$	1,479,000

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty.

As of June 30, 2011, the maximum amount of loss that the 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 $2,483,146 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $2,011,021.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of June 30, 2011:

Asset Derivatives	Foreign Exchange Contracts			Interest Rate Contracts
Forwards	$	2,483,146		$	—
Futures		—			405,850
Liability Derivatives	Foreign Exchange Contracts
Forwards	$	(2,302,209	)

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

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	44.5	%
Banking	6.8
Sovereigns	5.6
Supranational	3.7
Government Guaranteed	3.0
Local Authorities	3.0
ABS Car Loan	2.7
Wirelines	2.6
Government Owned - No Guarantee	2.0
Other Investments, less than 2% each	21.4
Short-Term Investments	0.7
Total Investments	96.0
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	4.0
Net Assets	100.0	%

Currency Exposure at June 30, 2011 (Unaudited)

United States Dollar	33.4	%
Euro	18.7
Japanese Yen	15.6
British Pound	5.7
Canadian Dollar	4.3
Norwegian Krone	2.9
Mexican Peso	2.5
Other, less than 2% each	12.9
Total Investments	96.0
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	4.0
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles High Income Opportunities Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 90.0% of Net Assets
	Non-Convertible Bonds – 77.6%
		ABS Home Equity – 0.8%
$	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	66,184
	75,000	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.706%, 3/25/2035(b)		48,509
	125,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.636%, 6/25/2035(b)		97,713
	225,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.686%, 7/25/2035(b)		162,860
	98,800	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.836%, 12/26/2034(b)		78,238
	123,865	Structured Asset Securities Corp., Series 2007-EQ1, Class A2, 0.276%, 3/25/2037(b)		83,159
				536,663
		ABS Other – 0.1%
	56,106	Diamond Resorts Owner Trust, Series 2009-1, Class B, 12.000%, 3/20/2026, 144A		53,302
		Aerospace & Defense – 1.3%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		915,975
		Airlines – 2.5%
	20,294	American Airlines Pass Through Trust, Series 1993-A6, 8.040%, 9/16/2011		20,294
	88,340	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		89,003
	38,192	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		38,143
	84,427	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		83,685
	99,555	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		98,430
	6,244	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		6,251
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		26,044
	196,224	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		204,073
	589,535	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		599,085
	198,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		211,117
	352,134	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		352,134
				1,728,259
		Automotive – 3.1%
	139,000	Cummins, Inc., 6.750%, 2/15/2027		149,962

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	165,000	Ford Motor Co., 6.625%, 2/15/2028	$	161,832
	35,000	Ford Motor Co., 7.125%, 11/15/2025		34,585
	775,000	Ford Motor Co., 7.450%, 7/16/2031		878,569
	110,000	Ford Motor Co., 7.500%, 8/01/2026		111,399
	225,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		253,009
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		305,600
	200,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		222,000
				2,116,956
		Building Materials – 1.6%
	205,000	Masco Corp., 6.500%, 8/15/2032		183,764
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		144,094
	130,000	Owens Corning, Inc., 7.000%, 12/01/2036		131,707
	720,000	USG Corp., 6.300%, 11/15/2016		633,600
	30,000	USG Corp., 9.750%, 1/15/2018		29,550
				1,122,715
		Chemicals – 2.0%
	60,000	Georgia Gulf Corp., 9.000%, 1/15/2017, 144A		63,900
	675,000	Hercules, Inc., 6.500%, 6/30/2029		570,375
	160,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		164,000
	110,000	Koppers, Inc., 7.875%, 12/01/2019		117,425
	132,000	LBI Escrow Corp., 8.000%, 11/01/2017, 144A		146,850
	150,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		152,621
	160,000	Momentive Performance Materials, Inc., 9.000%, 1/15/2021		163,200
				1,378,371
		Collateralized Mortgage Obligations – 3.7%
	143,204	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.446%, 1/25/2036(b)		85,478
	89,530	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.230%, 10/25/2034(b)		70,462
	137,611	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.896%, 9/25/2045(b)		112,605
	166,657	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.396%, 5/25/2035(b)		103,564

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
$	186,984	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.526%, 3/25/2035(b)	$	111,927
	156,060	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.752%, 11/25/2035(b)		144,744
	59,890	Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.046%, 9/25/2034(b)		39,420
	67,825	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.633%, 3/25/2035(b)		55,776
	208,239	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.486%, 7/25/2035(b)		134,844
	74,460	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.942%, 4/25/2035(b)		58,832
	122,770	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.509%, 2/25/2036(b)		84,416
	241,814	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.686%, 1/25/2036(b)		159,186
	251,813	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		200,635
	106,453	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.306%, 7/25/2037(b)(c)		44,194
	214,226	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.386%, 10/25/2046(b)		143,157
	104,867	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.631%, 3/25/2035(b)		91,128
	303,034	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.346%, 1/25/2047(b)		174,270
	197,411	Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1, 4.867%, 11/25/2037(b)		138,887
	365,908	Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, 0.366%, 11/25/2036(b)		186,649
	211,355	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.859%, 9/25/2046(b)		162,539
	311,667	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.426%, 1/25/2047(b)		124,120
	24,594	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.743%, 3/25/2035(b)		21,658
	83,365	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.750%, 4/25/2035(b)		80,267
				2,528,758
		Commercial Mortgage-Backed Securities – 0.5%
	196,291	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.891%, 6/19/2035(b)		171,833
	25,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		22,859
	237,754	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		142,413
				337,105
		Construction Machinery – 0.5%
	200,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		199,000

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – continued
$	140,000	Terex Corp., 8.000%, 11/15/2017	$	143,500
				342,500
		Consumer Products – 0.2%
	120,000	Visant Corp., 10.000%, 10/01/2017		124,200
		Diversified Manufacturing – 0.4%
	249,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		271,111
		Electric – 4.8%
	20,000	AES Corp. (The), 8.000%, 10/15/2017		21,200
	325,000	AES Corp. (The), 8.000%, 6/01/2020		346,125
	49,300	CE Generation LLC, 7.416%, 12/15/2018		50,894
	300,000	Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A		308,625
	525,000	Edison Mission Energy, 7.625%, 5/15/2027		385,875
	460,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)(g)		179,400
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		258,720
	345,000	RRI Energy, Inc., 7.875%, 6/15/2017		346,725
	160,000	TXU Corp., Series P, 5.550%, 11/15/2014		126,400
	1,415,000	TXU Corp., Series Q, 6.500%, 11/15/2024		707,500
	515,000	TXU Corp., Series R, 6.550%, 11/15/2034		252,350
	365,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(d)		349,655
				3,333,469
		Food & Beverage – 1.0%
	50,000	ARAMARK Holdings Corp., 8.625%, 5/01/2016, 144A(e)		50,875
	185,000	Blue Merger Sub, Inc., 7.625%, 2/15/2019, 144A		186,850
	40,000	Dean Foods Co., 6.900%, 10/15/2017		39,200
	300,000	Dean Foods Co., 7.000%, 6/01/2016		297,000
	110,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		114,818
				688,743
		Gaming – 1.1%
	220,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		198,550

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Gaming – continued
$	290,000	MGM Resorts International, 7.500%, 6/01/2016	$	275,500
	145,000	MGM Resorts International, 7.625%, 1/15/2017		139,563
	115,000	MGM Resorts International, 9.000%, 3/15/2020		125,925
				739,538
		Government Owned - No Guarantee – 0.8%
	600,000	DP World Ltd., 6.850%, 7/02/2037, 144A		573,000
		Healthcare – 6.1%
	630,000	CDRT Merger Sub, Inc., 8.125%, 6/01/2019, 144A		630,000
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021, 144A		5,187
	720,000	HCA, Inc., 6.500%, 2/15/2016		732,600
	430,000	HCA, Inc., 7.050%, 12/01/2027		373,025
	30,000	HCA, Inc., 7.500%, 12/15/2023		28,275
	1,240,000	HCA, Inc., 7.500%, 11/06/2033		1,122,200
	260,000	HCA, Inc., 7.690%, 6/15/2025		243,100
	40,000	HCA, Inc., 8.360%, 4/15/2024		39,800
	200,000	HCA, Inc., MTN, 7.580%, 9/15/2025		186,000
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		18,300
	1,015,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		847,525
				4,226,012
		Home Construction – 2.0%
	290,000	KB Home, 7.250%, 6/15/2018		262,088
	215,000	Lennar Corp., 6.950%, 6/01/2018		208,550
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		561,600
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		387,750
				1,419,988
		Hybrid ARMs – 0.1%
	169,919	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.156%, 4/25/2035(b)		80,371
		Independent Energy – 3.8%
	260,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		280,718

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	1,320,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028	$	1,382,753
	335,000	QEP Resources, Inc., 6.875%, 3/01/2021		353,425
	620,000	Swift Energy Co., 7.125%, 6/01/2017		627,750
				2,644,646
		Industrial Other – 0.5%
	305,000	Chart Industries, Inc., 9.125%, 10/15/2015		318,344
		Life Insurance – 0.6%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		404,262
		Lodging – 0.6%
	42,000	Felcor Lodging LP, 10.000%, 10/01/2014		47,145
	50,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		51,000
	315,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		338,625
				436,770
		Media Cable – 1.0%
	640,000	CSC Holdings LLC, 7.625%, 7/15/2018		692,800
		Media Non-Cable – 0.9%
	395,000	Intelsat SA, 11.250%, 2/04/2017		424,131
	185,000	RR Donnelley & Sons Co., 7.250%, 5/15/2018		185,000
				609,131
		Metals & Mining – 1.8%
	330,000	ArcelorMittal, 7.000%, 10/15/2039		333,661
	80,000	United States Steel Corp., 6.050%, 6/01/2017		79,400
	275,000	United States Steel Corp., 6.650%, 6/01/2037		241,313
	600,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		604,500
				1,258,874
		Non-Captive Consumer – 3.6%
	235,000	Residential Capital LLC, 9.625%, 5/15/2015		233,237
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		61,530
	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		713,798

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	306,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018	$	335,870
	200,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		199,000
	40,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		36,600
	180,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		177,750
	500,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		448,125
	300,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		275,250
				2,481,160
		Non-Captive Diversified – 2.5%
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		62,700
	331,000	Ally Financial, Inc., 8.000%, 11/01/2031		358,307
	95,000	Ally Financial, Inc., 8.300%, 2/12/2015		106,163
	675,000	CIT Group, Inc., 7.000%, 5/01/2017		673,312
	120,000	International Lease Finance Corp., 8.250%, 12/15/2020		129,600
	130,000	iStar Financial, Inc., 5.150%, 3/01/2012		129,512
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		64,313
	190,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		177,650
				1,701,557
		Oil Field Services – 2.4%
	680,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		680,000
	550,000	OGX Petroleo e Gas Participacoes SA, 8.500%, 6/01/2018, 144A		565,675
	130,000	Parker Drilling Co., 9.125%, 4/01/2018		137,150
	235,000	Pioneer Drilling Co., 9.875%, 3/15/2018		251,450
				1,634,275
		Packaging – 0.1%
	100,000	Reynolds Group Holdings Ltd., 8.250%, 2/15/2021, 144A		93,500
		Paper – 1.0%
	190,000	Westvaco Corp., 7.950%, 2/15/2031		205,464
	455,000	Westvaco Corp., 8.200%, 1/15/2030		492,866
				698,330

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – 1.5%
$	35,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A	$	34,300
	305,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		289,750
	150,000	Valeant Pharmaceuticals International, 6.875%, 12/01/2018, 144A		147,000
	150,000	Valeant Pharmaceuticals International, 7.000%, 10/01/2020, 144A		145,125
	435,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		421,950
				1,038,125
		Refining – 1.4%
	310,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		319,300
	500,000	Petroplus Finance Ltd., 6.750%, 5/01/2014, 144A		490,000
	150,000	Petroplus Finance Ltd., 7.000%, 5/01/2017, 144A		141,000
				950,300
		REITs - Shopping Centers – 0.3%
	190,000	Developers Diversified Realty Corp., 7.875%, 9/01/2020		217,848
		Retailers – 3.3%
	155,000	Dillard’s, Inc., 6.625%, 1/15/2018		155,000
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		441,600
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		178,500
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		73,500
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		286,300
	180,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		197,064
	985,000	Toys R Us, Inc., 7.375%, 10/15/2018		956,681
				2,288,645
		Supermarkets – 1.0%
	70,000	American Stores Co., 8.000%, 6/01/2026		63,700
	220,000	New Albertson’s, Inc., 7.750%, 6/15/2026		193,600
	605,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		458,288
				715,588
		Technology – 6.7%
	125,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		128,750

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	190,000	Advanced Micro Devices, Inc., 8.125%, 12/15/2017	$	198,550
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,718,000
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		260,275
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		149,350
	555,000	First Data Corp., 8.250%, 1/15/2021, 144A		543,900
	850,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(f)		641,750
				4,640,575
		Textile – 0.5%
	425,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		325,125
		Transportation Services – 0.8%
	185,000	APL Ltd., 8.000%, 1/15/2024(d)		122,100
	22,589	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		21,685
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)		277,751
	155,000	Overseas Shipholding Group, 7.500%, 2/15/2024		130,200
				551,736
		Wireless – 2.3%
	520,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		519,350
	170,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		170,000
	65,000	NII Capital Corp., 7.625%, 4/01/2021		67,925
	125,000	NII Capital Corp., 8.875%, 12/15/2019		137,969
	746,000	Sprint Capital Corp., 6.875%, 11/15/2028		706,835
				1,602,079
		Wirelines – 8.4%
	765,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		726,750
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		307,500
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		178,200
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		194,750
	200,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		199,500
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		14,212

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	80,000	Frontier Communications Corp., 7.125%, 3/15/2019	$	82,000
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		294,125
	805,000	Frontier Communications Corp., 7.875%, 1/15/2027		784,875
	790,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		805,800
	539,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		554,496
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		458,400
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		337,076
	190,000	Qwest Corp., 6.875%, 9/15/2033		183,112
	10,000	Qwest Corp., 7.250%, 9/15/2025		10,350
	375,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		353,557
	290,000	Telecom Italia Capital SA, 7.721%, 6/04/2038		288,408
				5,773,111
		Total Non-Convertible Bonds (Identified Cost $52,394,608)		53,593,817
	Convertible Bonds – 12.4%
		Automotive – 2.0%
	75,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		71,625
	655,000	Ford Motor Co., 4.250%, 11/15/2016		1,122,506
	115,000	Navistar International Corp., 3.000%, 10/15/2014		150,506
				1,344,637
		Diversified Manufacturing – 1.1%
	430,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		423,550
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		344,437
				767,987
		Electric – 0.7%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		476,437
		Healthcare – 1.1%
	450,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(h)		436,500
	50,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2016), 2.000%, 12/15/2037(h)		57,125
	165,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		176,550

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Healthcare – continued
$	55,000	Omnicare, Inc., 3.750%, 12/15/2025	$	73,356
				743,531
		Home Construction – 0.0%
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		30,113
		Independent Energy – 0.4%
	150,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		135,938
	135,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		142,087
				278,025
		Media Non-Cable – 0.1%
	150,437	Liberty Media LLC, 3.500%, 1/15/2031		81,236
		Metals & Mining – 0.4%
	230,000	Peabody Energy Corp., 4.750%, 12/15/2066		281,175
		Non-Captive Diversified – 0.0%
	5,000	iStar Financial, Inc., 0.805%, 10/01/2012(b)		4,500
		Pharmaceuticals – 1.2%
	380,000	Amylin Pharmaceuticals, Inc., 3.000%, 6/15/2014		343,900
	325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		472,875
				816,775
		Technology – 3.0%
	5,000	Ciena Corp., 0.250%, 5/01/2013		4,869
	565,000	Ciena Corp., 0.875%, 6/15/2017		478,131
	290,000	Ciena Corp., 3.750%, 10/15/2018, 144A		340,750
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		35,738
	435,000	Intel Corp., 2.950%, 12/15/2035		449,681
	440,000	Intel Corp., 3.250%, 8/01/2039		536,800
	220,000	Micron Technology, Inc., 1.875%, 6/01/2014		214,500
				2,060,469
		Textile – 0.1%
	50,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		52,563

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Wirelines – 2.3%
$	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(d)	$	1,612,260
		Total Convertible Bonds (Identified Cost $6,604,062)		8,549,708
		Total Bonds and Notes (Identified Cost $58,998,670)		62,143,525
	Senior Loans – 0.2%
		Media Non-Cable – 0.2%
	181,970	Tribune Company, Term Loan X, 5.000%, 6/04/2009(b)(f)(i)		121,352
		Wireless – 0.0%
	30,539	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(e)		31,347
		Total Senior Loans (Identified Cost $234,962)		152,699
Shares
	Preferred Stocks – 5.3%
	Convertible Preferred Stocks – 3.8%
		Automotive – 2.3%
	25,250	General Motors Co., Series B, 4.750%		1,230,685
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		354,856
				1,585,541
		Banking – 0.0%
	100	Sovereign Capital Trust IV, 4.375%		4,950
		Consumer Products – 0.4%
	5,724	Newell Financial Trust I, 5.250%		269,028
		Electric – 0.6%
	7,975	AES Trust III, 6.750%		392,848
		Pipelines – 0.5%
	8,050	El Paso Energy Capital Trust I, 4.750%		358,386
		Total Convertible Preferred Stocks (Identified Cost $2,486,182)		2,610,753
	Non-Convertible Preferred Stocks – 1.5%
		Non-Captive Diversified – 1.5%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		284,091

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Non-Captive Diversified – continued
	803	Ally Financial, Inc., Series G, 7.000%, 144A	$	754,669
		Total Non-Convertible Preferred Stocks (Identified Cost $722,540)		1,038,760
		Total Preferred Stocks (Identified Cost $3,208,722)		3,649,513
	Common Stocks – 0.5%
		Diversified Telecommunication Services – 0.1%
	940	FairPoint Communications, Inc.(g)		8,657
	1,017	Hawaiian Telcom Holdco, Inc.(g)		25,934
				34,591
		Media – 0.0%
	321	Dex One Corp.(g)		812
		Oil, Gas & Consumable Fuels – 0.4%
	9,278	Chesapeake Energy Corp.		275,464
		Total Common Stocks (Identified Cost $510,909)		310,867
	Warrants – 0.0%
	1,603	FairPoint Communications, Inc., Expiration on 1/24/2018(d)(g)(j) (Identified Cost $0)		—
Principal Amount
	Short-Term Investments – 2.9%
$	2,002,898	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $2,002,898 on 7/01/2011 collateralized by $2,020,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $2,047,775 including accrued interest(k) (Identified Cost $2,002,898)		2,002,898
		Total Investments – 98.9% (Identified Cost $64,956,161)(a)		68,259,502
		Other assets less liabilities – 1.1%		761,901
		Net Assets – 100.0%	$	69,021,403

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

Senior loans shall be priced at bid 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.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $64,986,087 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	$	5,632,442
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,359,027	)
Net unrealized appreciation	$	3,273,415

At September 30, 2010, the Fund had a capital loss carryforward of $6,037,260 of which $811,815 expires on September 30, 2017 and $5,225,445 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Variable rate security. Rate as of June 30, 2011 is disclosed.

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

(d) Illiquid security. At June 30, 2011, the value of these securities amounted to $2,263,415 or 3.3% of net assets.

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

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

(g) Non-income producing security.

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

(i) Issuer has filed for bankruptcy.

(j) Fair valued security by the Fund’s investment adviser. At June 30, 2011, the value of this security amounted to $0.

(k) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $12,585,167 or 18.2% of net assets.

ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	2,484,564	$	44,194	$	2,528,758
All Other Non-Convertible Bonds*		—		51,065,059		—		51,065,059
Total Non-Convertible Bonds		—		53,549,623		44,194		53,593,817
Convertible Bonds*		—		8,549,708		—		8,549,708
Total Bonds and Notes		—		62,099,331		44,194		62,143,525
Senior Loans*		—		152,699		—		152,699
Preferred Stocks
Convertible Preferred Stocks
Automotive		1,585,541		—		—		1,585,541
Banking		—		4,950		—		4,950
Consumer Products		—		269,028		—		269,028
Electric		392,848		—		—		392,848
Pipelines		358,386		—		—		358,386
Total Convertible Preferred Stocks		2,336,775		273,978		—		2,610,753
Non-Convertible Preferred Stocks*		284,091		754,669		—		1,038,760
Total Preferred Stocks		2,620,866		1,028,647		—		3,649,513
Common Stocks*		310,867		—		—		310,867
Warrants		—		—		—		—
Short-Term Investments		—		2,002,898		—		2,002,898
Total	$	2,931,733	$	65,283,575	$	44,194	$	68,259,502

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011.

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	—	$	—	$	1,746	$	42,448	$	—	$	—	$	—	$	44,194	$	1,746

Industry Summary at June 30, 2011 (Unaudited)

Wirelines	10.7	%
Technology	9.7
Automotive	7.4
Healthcare	7.2
Electric	6.1
Independent Energy	4.2
Non-Captive Diversified	4.0
Collateralized Mortgage Obligations	3.7
Non-Captive Consumer	3.6
Retailers	3.3
Pharmaceuticals	2.7
Airlines	2.5
Oil Field Services	2.4
Wireless	2.3
Metals & Mining	2.2
Home Construction	2.0
Chemicals	2.0
Other Investments, less than 2% each	20.0
Short-Term Investments	2.9
Total Investments	98.9
Other assets less liabilities	1.1
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 97.7% of Net Assets
		Automotive – 0.3%
$	60,000	Ford Motor Co., 7.450%, 7/16/2031	$	68,018
		Banking – 0.4%
	90,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		89,998
		Building Materials – 0.1%
	10,000	Masco Corp., 7.125%, 3/15/2020		10,236
		Chemicals – 0.1%
	25,000	CF Industries, Inc., 6.875%, 5/01/2018		28,344
		Collateralized Mortgage Obligations – 0.1%
	30,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		29,944
		Food & Beverage – 0.6%
	40,000	Bottling Group LLC, 5.125%, 1/15/2019		44,301
	75,000	Dean Foods Co., 6.900%, 10/15/2017		73,500
				117,801
		Healthcare – 0.1%
	15,000	McKesson Corp., 6.000%, 3/01/2041		16,023
		Independent Energy – 0.1%
	15,000	SM Energy Co., 6.625%, 2/15/2019, 144A		15,038
		Life Insurance – 0.3%
	60,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		66,070
		Lodging – 0.2%
	50,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		50,625
		Media Non-Cable – 0.1%
	30,000	CBS Corp., 5.500%, 5/15/2033		27,775
		Metals & Mining – 0.6%
	85,000	Alcoa, Inc., 5.950%, 2/01/2037		80,940
	55,000	United States Steel Corp., 6.650%, 6/01/2037		48,262
				129,202

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
			Paper – 0.4%
$	70,000		Georgia-Pacific LLC, 7.700%, 6/15/2015	$	80,307
			Pharmaceuticals – 0.0%
	10,000		Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		9,800
			Pipelines – 0.2%
	3,000		Colorado Interstate Gas Co., 5.950%, 3/15/2015		3,333
	30,000		Southern Natural Gas Co., 7.350%, 2/15/2031		34,939
					38,272
			Sovereigns – 0.7%
	15,000	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		137,376
			Technology – 0.6%
	105,000		Agilent Technologies, Inc., 6.500%, 11/01/2017		120,934
			Tobacco – 0.9%
	130,000		Altria Group, Inc., 9.950%, 11/10/2038		182,656
			Treasuries – 89.5%
	960,630		U.S. Treasury Inflation Indexed Bond, 1.750%, 1/15/2028		1,005,209
	198,259		U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026		216,629
	681,423		U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040		741,526
	405,586		U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025		466,170
	373,528		U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027		425,939
	1,526,506		U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		2,019,401
	683,560		U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021		709,835
	212,498		U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/2014		225,430
	857,852		U.S. Treasury Inflation Indexed Note, 1.375%, 1/15/2020		919,912
	376,835		U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		408,749
	1,459,729		U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018		1,605,246
	1,738,492		U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013		1,847,148
	1,294,742		U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015		1,427,656
	930,951		U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014		1,002,955
	1,431,480		U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014		1,561,096

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Treasuries – continued
$	945,980	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016	$	1,051,368
	975,634	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017		1,112,984
	679,192	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016		777,251
	857,095	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017		997,042
	345,000	U.S. Treasury STRIPS, Zero Coupon, 5/15/2040		88,556
				18,610,102
		Wireless – 0.4%
	10,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		9,988
	85,000	Sprint Capital Corp., 6.875%, 11/15/2028		80,537
				90,525
		Wirelines – 2.0%
	91,000	AT&T, Inc., 5.350%, 9/01/2040		86,256
	30,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		32,917
	5,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,458
	15,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		17,186
	35,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		35,942
	70,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		73,454
	155,000	Embarq Corp., 7.995%, 6/01/2036		158,815
				410,028
		Total Bonds and Notes (Identified Cost $19,415,750)		20,329,074
	Short-Term Investments – 1.1%
	231,072	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $231,072 on 7/01/2011 collateralized by $235,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $238,231 including accrued interest(b) (Identified Cost $231,072)		231,072
		Total Investments – 98.8% (Identified Cost $19,646,822)(a)		20,560,146
		Other assets less liabilities – 1.2%		245,210
		Net Assets – 100.0%	$	20,805,356

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

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

Futures contracts are valued at their most recent settlement price.

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

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

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $19,809,644 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	$	806,647
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(56,145	)
Net unrealized appreciation	$	750,502

At September 30, 2010, the Fund had a capital loss carryforward of $523,334 of which $19,853 expires on September 30, 2014; $155,005 expires on September 30, 2015; $110,122 expires on September 30, 2017 and $238,354 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $96,366 or 0.5% of net assets.

MTN Medium Term Note

STRIPS	Separate Trading of Registered Interest and Principal of Securities
CAD	Canadian Dollar
MXN	Mexican Peso

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Bonds and Notes	$		$	20,329,074	$		$	20,329,074
Short-Term Investments		—		231,072		—		231,072
Total	$	—	$	20,560,146	$	—	$	20,560,146

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

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	89.5	%
Wirelines	2.0
Other Investments, less than 2% each	6.2
Short-Term Investments	1.1
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Institutional High Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 85.2% of Net Assets
	Non-Convertible Bonds – 65.2%
		Aerospace & Defense – 0.6%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)	$	144,460
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,251,125
	500,000	Ducommun, Inc., 9.750%, 7/15/2018, 144A		513,750
				2,909,335
		Airlines – 2.6%
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		1,059,607
	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		364,767
	134,869	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		135,031
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		63,107
	382,815	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		389,016
	441,413	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		455,230
	1,773,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A		1,861,650
	585,000	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		573,300
	4,355,000	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014		4,355,000
	1,685,000	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,685,000
	695,000	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		695,000
				11,642,952
		Automotive – 1.7%
	600,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		588,000
	500,000	Cummins, Inc., 6.750%, 2/15/2027		539,432
	15,000	Ford Motor Co., 6.375%, 2/01/2029		14,323
	20,000	Ford Motor Co., 6.500%, 8/01/2018		21,001
	95,000	Ford Motor Co., 6.625%, 2/15/2028		93,176
	1,945,000	Ford Motor Co., 6.625%, 10/01/2028		1,906,816
	230,000	Ford Motor Co., 7.125%, 11/15/2025		227,270

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	1,905,000	Ford Motor Co., 7.450%, 7/16/2031	$	2,159,578
	40,000	Ford Motor Co., 7.500%, 8/01/2026		40,509
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		1,995,950
				7,586,055
		Banking – 0.5%
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		816,116
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,276,310
				2,092,426
		Building Materials – 1.7%
	440,000	Masco Corp., 5.850%, 3/15/2017		437,792
	750,000	Masco Corp., 6.125%, 10/03/2016		770,435
	670,000	Masco Corp., 6.500%, 8/15/2032		600,594
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,241,092
	4,595,000	USG Corp., 6.300%, 11/15/2016		4,043,600
	620,000	USG Corp., 9.750%, 1/15/2018		610,700
				7,704,213
		Chemicals – 2.7%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,571,335
	475,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		494,000
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		1,500,240
	430,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		395,600
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		2,429,720
	5,327,000	Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(b)		4,780,982
				12,171,877
		Collateralized Mortgage Obligations – 0.3%
	538,642	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.681%, 4/25/2037(c)		410,611
	722,457	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		634,768
	192,490	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.609%, 7/25/2047(c)		110,557
				1,155,936

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – 0.3%
$	555,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040	$	588,327
	87,237	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.732%, 4/25/2035(c)		76,509
	415,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(c)		447,577
	205,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		219,801
				1,332,214
		Construction Machinery – 0.5%
	1,200,000	Terex Corp., 8.000%, 11/15/2017		1,230,000
	965,000	United Rentals North America, Inc., 10.875%, 6/15/2016		1,079,594
				2,309,594
		Consumer Cyclical Services – 0.0%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		124,875
	90,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		73,800
				198,675
		Consumer Products – 0.3%
	945,000	Acco Brands Corp., 7.625%, 8/15/2015		940,275
	400,000	Visant Corp., 10.000%, 10/01/2017		414,000
				1,354,275
		Electric – 2.8%
	560,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		568,400
	308,126	AES Ironwood LLC, 8.857%, 11/30/2025		312,748
	100,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		69,000
	490,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		330,750
	1,500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		1,091,250
	720,000	Edison Mission Energy, 7.625%, 5/15/2027		529,200
	287,056	Midwest Generation LLC, Series B, 8.560%, 1/02/2016		294,232
	1,685,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(e)		657,150
	663,750	Quezon Power Philippines LC, 8.860%, 6/15/2017		720,169
	1,025,000	RRI Energy, Inc., 7.875%, 6/15/2017		1,030,125

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	2,845,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A	$	2,795,212
	2,390,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A, 10.250%, 11/01/2015		1,445,950
	920,000	TXU Corp., Series P, 5.550%, 11/15/2014		726,800
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		757,500
	420,000	TXU Corp., Series R, 6.550%, 11/15/2034		205,800
	1,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)		957,960
				12,492,246
		Government Owned - No Guarantee – 0.8%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		382,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,034,179
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,988,693
	560,000	Petroleos de Venezuela SA, 5.375%, 4/12/2027		282,800
				3,687,672
		Healthcare – 4.1%
	1,135,000	Gentiva Health Services, Inc., 11.500%, 9/01/2018		1,197,425
	30,000	HCA, Inc., 6.250%, 2/15/2013		31,050
	550,000	HCA, Inc., 6.500%, 2/15/2016		559,625
	1,020,000	HCA, Inc., 7.050%, 12/01/2027		884,850
	965,000	HCA, Inc., 7.190%, 11/15/2015		972,237
	865,000	HCA, Inc., 7.500%, 12/15/2023		815,263
	4,240,000	HCA, Inc., 7.500%, 11/06/2033		3,837,200
	1,370,000	HCA, Inc., 7.690%, 6/15/2025		1,280,950
	375,000	HCA, Inc., 8.360%, 4/15/2024		373,125
	600,000	HCA, Inc., MTN, 7.580%, 9/15/2025		558,000
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,418,250
	685,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A		681,575
	6,874,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		5,739,790
	300,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		328,125
				18,677,465

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – 0.7%
$	185,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015	$	134,588
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		651,480
	425,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		367,625
	272,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		234,600
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		469,987
	1,260,000	KB Home, 7.250%, 6/15/2018		1,138,725
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		312,000
				3,309,005
		Independent Energy – 0.2%
	920,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		963,737
		Industrial Other – 2.1%
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		9,384,905
		Life Insurance – 0.6%
	1,810,000	MetLife, Inc., 10.750%, 8/01/2069		2,547,575
		Local Authorities – 3.9%
	12,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		13,406,275
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,281,885
				17,688,160
		Media Non-Cable – 1.6%
	3,265,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		3,191,537
	4,150,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021, 144A		3,973,625
				7,165,162
		Metals & Mining – 3.8%
	9,080,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		8,444,400
	4,740,000	United States Steel Corp., 6.050%, 6/01/2017		4,704,450
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,772,550
	2,035,000	United States Steel Corp., 7.000%, 2/01/2018		2,055,350
				16,976,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – 3.8%
$	700,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A	$	472,500
	4,350,000	Residential Capital LLC, 9.625%, 5/15/2015		4,317,375
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		108,861
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,820,917
	2,020,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,217,178
	1,250,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		1,711,808
	900,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		803,250
	525,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		480,375
	2,395,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,365,063
	800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		734,000
				17,031,327
		Non-Captive Diversified – 3.6%
	585,000	Ally Financial, Inc., 8.000%, 12/31/2018		625,950
	208,000	Ally Financial, Inc., 8.000%, 11/01/2031		225,160
	894,866	CIT Group, Inc., 7.000%, 5/01/2015		895,985
	2,021,450	CIT Group, Inc., 7.000%, 5/01/2016		2,013,870
	5,013,031	CIT Group, Inc., 7.000%, 5/01/2017		5,000,498
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		216,706
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,632,205
	490,000	International Lease Finance Corp., 8.250%, 12/15/2020		529,200
	65,000	iStar Financial, Inc., 5.500%, 6/15/2012		64,513
	555,000	iStar Financial, Inc., 5.850%, 3/15/2017		475,912
	1,335,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,151,437
	20,000	iStar Financial, Inc., 6.050%, 4/15/2015		18,100
	1,770,000	iStar Financial, Inc., 8.625%, 6/01/2013		1,805,400
	120,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		110,100
	565,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		528,275
				16,293,311

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – 0.0%
$	210,000	Parker Drilling Co., 9.125%, 4/01/2018	$	221,550
		Packaging – 0.4%
	1,555,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		1,679,400
		Paper – 2.4%
	1,390,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,544,490
	255,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		288,096
	3,620,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		4,166,833
	865,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		1,027,225
	2,930,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		3,701,765
				10,728,409
		Pipelines – 0.8%
	1,430,000	El Paso Corp., 6.950%, 6/01/2028		1,546,093
	1,055,000	El Paso Corp., 7.420%, 2/15/2037		1,172,500
	1,000,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		970,000
				3,688,593
		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		559,300
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,096,022
				3,655,322
		Railroads – 0.1%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		222,940
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		28,875
				251,815
		REITs - Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		512,867
		Retailers – 3.2%
	430,000	Dillard’s, Inc., 6.625%, 1/15/2018		430,000
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		414,000
	750,000	Dillard’s, Inc., 7.130%, 8/01/2018		765,000

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Retailers – continued
$	1,895,000		Dillard’s, Inc., 7.750%, 7/15/2026	$	1,838,150
	125,000		Dillard’s, Inc., 7.750%, 5/15/2027		120,000
	170,000		Dillard’s, Inc., 7.875%, 1/01/2023		166,600
	1,679,000		Foot Locker, Inc., 8.500%, 1/15/2022		1,716,777
	3,494,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,631,856
	295,000		Macy’s Retail Holdings, Inc., 7.000%, 2/15/2028		332,429
	5,185,000		Toys R Us, Inc., 7.375%, 10/15/2018		5,035,931
					14,450,743
			Sovereigns – 2.9%
	1,881,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		256,498
	24,214,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,225,998
	6,561,000,000		Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		884,889
	4,897,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		529,235
	208,681	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		1,858,474
	95,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		859,918
	180,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		1,623,062
	4,170,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		2,912,440
	23,500,000		Republic of Iceland, 4.250%, 8/24/2012, (ISK)		144,085
	23,345,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		141,897
	49,000,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		321,626
	31,845,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		192,181
					12,950,303
			Supermarkets – 2.6%
	110,000		American Stores Co., 8.000%, 6/01/2026		100,100
	1,865,000		American Stores Co., Series B, MTN, 7.100%, 3/20/2028		1,494,331
	3,095,000		New Albertson’s, Inc., 7.450%, 8/01/2029		2,561,113
	620,000		New Albertson’s, Inc., 7.750%, 6/15/2026		545,600
	5,405,000		New Albertson’s, Inc., 8.000%, 5/01/2031		4,607,762

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
$	2,515,000	New Albertson’s, Inc., 8.700%, 5/01/2030	$	2,276,075
	370,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		280,275
				11,865,256
		Supranational – 0.2%
	1,639,380,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		172,550
	8,600,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		886,426
				1,058,976
		Technology – 2.9%
	90,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		92,700
	7,840,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		7,056,000
	3,655,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,280,362
	960,000	Eastman Kodak Co., 7.250%, 11/15/2013		907,200
	60,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		62,550
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		13,347
	2,250,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		1,698,750
				13,110,909
		Textile – 0.1%
	890,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		680,850
		Transportation Services – 1.0%
	2,685,000	APL Ltd., 8.000%, 1/15/2024(b)		1,772,100
	1,454,148	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,395,983
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)		231,459
	268,722	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		231,101
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)		307,647
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(e)		33,889
	740,000	Teekay Corp., 8.500%, 1/15/2020		764,050
				4,736,229
		Treasuries – 1.8%
	203,707	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		113,838

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	50,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)	$	30,707
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		35,502
	2,160,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,426,460
	3,225,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,013,219
	850,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		773,473
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		160,232
	2,050,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,812,669
	750,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		623,626
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		153,672
	225,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		195,835
				8,339,233
		Wireless – 1.1%
	4,035,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,823,162
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		865,200
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		232,738
				4,921,100
		Wirelines – 5.6%
	410,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		400,365
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		311,850
	760,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		722,000
	3,180,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,100,500
	2,330,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,388,250
	1,590,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,621,800
	1,081,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		1,112,079
	145,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		149,350
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,460,585
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		764,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,482,064

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031	$	5,451,970
	1,936,000	Qwest Corp., 6.875%, 9/15/2033		1,865,820
	1,500,000	Qwest Corp., 7.200%, 11/10/2026		1,470,000
	645,000	Qwest Corp., 7.250%, 9/15/2025		667,575
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,392,930
	985,000	Qwest Corp., 7.500%, 6/15/2023		986,231
				25,347,369
		Total Non-Convertible Bonds (Identified Cost $261,236,409)		294,873,791
	Convertible Bonds – 19.9%
		Airlines – 0.5%
	2,065,000	AMR Corp., 6.250%, 10/15/2014		2,003,050
	175,000	UAL Corp., 4.500%, 6/30/2021		175,228
				2,178,278
		Automotive – 1.4%
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		6,049,537
		Diversified Manufacturing – 1.4%
	3,765,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		3,708,525
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,416,281
				6,124,806
		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		360,938
		Healthcare – 2.7%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		4,218,594
	2,470,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		2,395,900
	345,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		355,781
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		920,200
	3,833,000	Omnicare, Inc., 3.250%, 12/15/2035		3,665,306
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		813,588
				12,369,369

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Independent Energy – 1.3%
$	5,045,000	Chesapeake Energy Corp., 2.250%, 12/15/2038	$	4,572,031
	1,340,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,410,350
				5,982,381
		Life Insurance – 1.2%
	5,428,000	Old Republic International Corp., 3.750%, 3/15/2018		5,373,720
		Media Non-Cable – 0.0%
	60,988	Liberty Media LLC, 3.500%, 1/15/2031		32,934
		Metals & Mining – 1.1%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,490,625
	2,280,000	United States Steel Corp., 4.000%, 5/15/2014		3,622,350
				5,112,975
		Pharmaceuticals – 2.3%
	2,215,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		3,488,625
	3,325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		4,837,875
	2,091,000	Nektar Therapeutics, 3.250%, 9/28/2012		2,085,772
				10,412,272
		Technology – 6.2%
	540,000	Ciena Corp., 0.250%, 5/01/2013		525,825
	7,835,000	Ciena Corp., 0.875%, 6/15/2017		6,630,369
	3,420,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,018,500
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		208,469
	3,920,000	Eastman Kodak Co., 7.000%, 4/01/2017		3,420,200
	5,750,000	Intel Corp., 3.250%, 8/01/2039		7,015,000
	3,020,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,178,550
	240,000	Micron Technology, Inc., 1.875%, 6/01/2014		234,000
	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014		2,925,562
				28,156,475
		Textile – 0.3%
	10,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		9,913

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Textile – continued
$	1,345,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A	$	1,413,931
				1,423,844
		Wirelines – 1.4%
	830,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		827,925
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		3,513,900
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		1,892,100
				6,233,925
		Total Convertible Bonds (Identified Cost $69,579,148)		89,811,454
	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)		539,374
		Total Bonds and Notes (Identified Cost $331,355,557)		385,224,619
	Senior Loans – 0.5%
		Media Non-Cable – 0.4%
	2,014,054	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(c)		1,673,094
	179,875	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)		107,434
				1,780,528
		Wireless – 0.0%
	78,893	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(c)(g)		80,980
		Wirelines – 0.1%
	340,000	FairPoint Communications, Inc., New Term Loan B, 1/22/2016(h)		304,603
	205,983	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(c)		184,538
				489,141
		Total Senior Loans (Identified Cost $2,735,558)		2,350,649
Shares
	Common Stocks – 7.2%
		Automobiles – 1.4%
	465,000	Ford Motor Co.(e)		6,412,350
		Biotechnology – 1.9%
	165,617	Vertex Pharmaceuticals, Inc.(e)		8,610,428

Shares		Description	Value (†)
	Common Stocks – continued
		Containers & Packaging – 0.3%
	40,621	Owens-Illinois, Inc.(e)	$	1,048,428
	1,772	Rock-Tenn Co., Class A		117,554
				1,165,982
		Diversified Telecommunication Services – 0.1%
	22,208	FairPoint Communications, Inc.(e)		204,536
	2,627	Hawaiian Telcom Holdco, Inc.(e)		66,988
				271,524
		Electronic Equipment, Instruments & Components – 0.3%
	69,766	Corning, Inc.		1,266,253
		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		80,011
		Household Durables – 0.0%
	6,775	KB Home		66,260
		Media – 0.0%
	849	Dex One Corp.(e)		2,148
	961	SuperMedia, Inc.(e)		3,604
				5,752
		Oil, Gas & Consumable Fuels – 0.1%
	2,846	Chesapeake Energy Corp.		84,498
	5,965	Repsol YPF SA, Sponsored ADR		207,343
				291,841
		Pharmaceuticals – 1.8%
	64,900	Bristol-Myers Squibb Co.		1,879,504
	117,041	Valeant Pharmaceuticals International, Inc.		6,081,450
				7,960,954
		REITs - Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		157,903
	32,565	Associated Estates Realty Corp.		529,181
				687,084
		REITs - Shopping Centers – 0.0%
	7,868	Developers Diversified Realty Corp.		110,939
		Semiconductors & Semiconductor Equipment – 1.2%
	245,350	Intel Corp.		5,436,956
		Total Common Stocks (Identified Cost $22,027,298)		32,366,334
	Preferred Stocks – 3.4%
	Convertible Preferred Stocks – 2.8%
		Automotive – 1.2%
	86,000	General Motors Co., Series B, 4.750%		4,191,640
	20,345	Goodyear Tire & Rubber Co. (The), 5.875%		1,131,589
				5,323,229

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Banking – 0.2%
	14,200	Sovereign Capital Trust IV, 4.375%	$	702,900
	138	Wells Fargo & Co., Series L, Class A, 7.500%		146,280
				849,180
		Construction Machinery – 0.1%
	14,328	United Rentals Trust I, 6.500%		648,342
		Consumer Products – 0.1%
	4,550	Newell Financial Trust I, 5.250%		213,850
		Electric – 0.2%
	17,119	AES Trust III, 6.750%		843,282
	4,150	CMS Energy Trust I, 7.750%(b)(i)		186,750
				1,030,032
		Home Construction – 0.0%
	11,000	Hovnanian Enterprises, Inc., 7.250%		176,550
		Pipelines – 0.3%
	29,700	El Paso Energy Capital Trust I, 4.750%		1,322,244
		Technology – 0.7%
	3,260	Lucent Technologies Capital Trust I, 7.750%		3,207,025
		Total Convertible Preferred Stocks (Identified Cost $11,522,370)		12,770,452
	Non-Convertible Preferred Stocks – 0.6%
		Banking – 0.3%
	18,000	Bank of America Corp., 6.375%		410,580
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		664,637
	7,075	Countrywide Capital IV, 6.750%		175,106
				1,250,323
		Home Construction – 0.1%
	59,994	Hovnanian Enterprises, Inc., 7.625%(e)		292,771
		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		592,687
		Non-Captive Diversified – 0.1%
	448	Ally Financial, Inc., Series G, 7.000%, 144A		421,036

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%	$	191,691
		Total Non-Convertible Preferred Stocks (Identified Cost $2,413,574)		2,748,508
		Total Preferred Stocks (Identified Cost $13,935,944)		15,518,960
	Closed End Investment Companies – 0.1%
	27,262	Highland Credit Strategies Fund (Identified Cost $396,584)		209,372
	Warrants – 0.0%
	33,185	FairPoint Communications, Inc., Expiration on 1/24/2018(b)(e)(i) (Identified Cost $0)		—
Principal Amount
	Short-Term Investments – 0.0%
$	35,071	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2011 at 0.000% to be repurchased at $35,071 on 7/01/2011 collateralized by $40,000 U.S. Treasury Note, 1.3750% due 5/15/2013 valued at $40,766 including accrued interest(j)		35,071
	126,923	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $126,923 on 7/01/2011 collateralized by $130,000 Federal National Mortgage Association, 2.250% due 3/15/2016 valued at $133,054 including accrued interest(j)		126,923
		Total Short-Term Investments (Identified Cost $161,994)		161,994
		Total Investments – 96.4% (Identified Cost $370,612,935)(a)		435,831,928
		Other assets less liabilities – 3.6%		16,269,644
		Net Assets – 100.0%	$	452,101,572

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker.

Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $370,744,948 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	$	76,149,858
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,062,878	)
Net unrealized appreciation	$	65,086,980

(b) Illiquid security. At June 30, 2011, the value of these securities amounted to $14,012,757 or 3.1% of net assets.

(c) Variable rate security. Rate as of June 30, 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) All or a portion of interest payment is paid-in-kind.

(h) Position is unsettled. Contract rate was not determined at June 30, 2011 and does not take effect until settlement date.

(i) Fair valued security by the Fund’s investment adviser. At June 30, 2011, the value of these securities amounted to $186,750 representing less than 0.1% of net assets.

(j) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $69,189,340 or 15.3% 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
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

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*
Non-Convertible Bonds	$	—	$	294,873,791	$	—	$	294,873,791
Convertible Bonds		—		89,811,454		—		89,811,454
Municipals		—		539,374		—		539,374
Total Bonds and Notes		—		385,224,619		—		385,224,619
Senior Loans*		—		2,350,649		—		2,350,649
Common Stocks*		32,366,334		—		—		32,366,334
Preferred Stocks
Convertible Preferred Stocks Automotive		5,323,229		—		—		5,323,229
Banking		146,280		702,900		—		849,180
Construction Machinery		—		648,342		—		648,342
Consumer Products		—		213,850		—		213,850
Electric		843,282		—		186,750		1,030,032
Home Construction		176,550		—		—		176,550
Pipelines		1,322,244		—		—		1,322,244
Technology		3,207,025		—		—		3,207,025
Total Convertible Preferred Stocks		11,018,610		1,565,092		186,750		12,770,452
Non-Convertible Preferred Stocks*		2,327,472		421,036		—		2,748,508
Total Preferred Stocks		13,346,082		1,986,128		186,750		15,518,960
Closed End Investment Companies		209,372		—		—		209,372
Warrants		—		—		—		—
Short-Term Investments		—		161,994		—		161,994
Total Investments	$	45,921,788	$	389,723,390	$	186,750	$	435,831,928

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

Preferred stocks valued at $598,125 were transferred from Level 2 to Level 1 during the period ended June 30, 2011. At September 30, 2010, this security was valued at original purchase price due to a market quotation not being readily available; at June 30, 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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	971,693	$	—	$	—	$	—	$	—	$	—	$	—	$	(971,693	)	$	—	$	—
Preferred Stocks
Convertible Preferred Stocks
Electric		145,250		—		—		41,500		—		—		—		—			186,750		41,500
Total	$	1,116,943	$	—	$	—	$	41,500	$	—	$	—	$	—	$	(971,693	)	$	186,750	$	41,500

Debt securities valued at $971,693 were transferred from Level 3 to Level 2 during the period ended June 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Industry Summary at June 30, 2011 (Unaudited)

Technology	9.8	%
Wirelines	7.1
Healthcare	6.8
Metals & Mining	4.9
Automotive	4.3
Pharmaceuticals	4.1
Local Authorities	3.9
Non-Captive Consumer	3.9
Non-Captive Diversified	3.7
Retailers	3.2
Electric	3.1
Airlines	3.1
Sovereigns	2.9
Chemicals	2.7
Supermarkets	2.6
Paper	2.4
Industrial Other	2.1
Media Non-Cable	2.0
Other Investments, less than 2% each	23.8
Total Investments	96.4
Other assets less liabilities	3.6
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 98.3% of Net Assets
		ABS Car Loan – 3.9%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	339,381
	150,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		150,615
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		129,102
	310,000	BMW Vehicle Lease Trust, Series 2011-1, Class A3, 1.060%, 2/20/2014		311,162
	280,000	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		281,402
	260,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		261,024
	225,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		226,159
	320,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		320,437
	270,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		270,440
				2,289,722
		ABS Credit Card – 2.0%
	260,000	BA Credit Card Trust, Series 2008-A5, Class A5, 1.387%, 12/16/2013(b)		260,117
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.407%, 3/15/2017(b)		59,969
	315,000	Chase Issuance Trust, Series 2007-A16, Class A16, 0.547%, 6/16/2014(b)		315,601
	150,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.237%, 10/16/2014(b)		149,858
	140,000	MBNA Credit Card Master Note Trust, Series 2004-A3, Class A3, 0.447%, 8/16/2021(b)		138,834
	210,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		225,275
				1,149,654
		ABS Home Equity – 0.1%
	79,341	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		74,768
		ABS Other – 0.4%
	209,375	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		210,989
		ABS Student Loan – 1.6%
	450,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.135%, 7/25/2025		438,336
	525,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.274%, 7/25/2025(b)		521,824
				960,160
		Aerospace & Defense – 1.1%
	285,000	Goodrich Corp., 4.875%, 3/01/2020		300,747

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Aerospace & Defense – continued
$	355,000	Raytheon Co., 3.125%, 10/15/2020	$	333,270
				634,017
		Airlines – 0.3%
	182,292	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		198,698
		Automotive – 0.4%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		251,139
		Banking – 5.9%
	85,000	American Express Co., 5.500%, 9/12/2016		94,751
	330,000	American Express Co., 6.150%, 8/28/2017		376,057
	460,000	Bank of America Corp., 5.650%, 5/01/2018		484,992
	250,000	Barclays Bank PLC, 5.000%, 9/22/2016		268,935
	375,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		445,309
	550,000	Citigroup, Inc., 6.010%, 1/15/2015		605,241
	205,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		223,774
	475,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		523,257
	100,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		107,505
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		40,199
	265,000	Wells Fargo & Co., 3.625%, 4/15/2015		277,031
				3,447,051
		Building Materials – 0.1%
	30,000	Masco Corp., 7.125%, 3/15/2020		30,709
		Chemicals – 0.2%
	130,000	Eastman Chemical Co., 4.500%, 1/15/2021		130,418
		Collateralized Mortgage Obligations – 5.2%
	130,044	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.652%, 7/25/2021(b)		97,764
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		733,637
	435,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018		434,695
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		139,738
	437,314	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.635%, 10/07/2020(b)		438,137

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,164,242	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.745%, 12/08/2020(b)	$	1,170,878
				3,014,849
		Commercial Mortgage-Backed Securities – 12.0%
	375,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A4, 5.414%, 9/10/2047		400,751
	327,147	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049(b)		330,101
	255,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		273,117
	250,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		271,112
	45,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		48,842
	265,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		281,176
	140,000	Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.815%, 12/10/2049(b)		153,773
	250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		261,173
	400,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		423,245
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		381,617
	165,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.881%, 7/10/2038(b)		183,190
	175,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		187,784
	470,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.800%, 8/10/2045(b)		504,592
	200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		213,752
	85,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4, 5.741%, 2/12/2049(b)		92,252
	410,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(b)		442,184
	210,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		225,162
	320,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.430%, 2/12/2039(b)		349,218
	210,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.902%, 6/12/2046(b)		231,875
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		251,723
	144,845	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.752%, 8/12/2041(b)		146,063
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		429,215
	475,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.879%, 6/11/2049(b)		519,330

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043	$	442,219
				7,043,466
		Construction Machinery – 0.7%
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		325,942
	90,000	John Deere Capital Corp., MTN, 4.500%, 4/03/2013		95,728
				421,670
		Consumer Cyclical Services – 0.1%
	30,000	Expedia, Inc., 5.950%, 8/15/2020		29,175
		Consumer Products – 0.6%
	325,000	Koninklijke (Royal) Philips Electronics NV, 4.625%, 3/11/2013		342,928
		Distributors – 0.2%
	90,000	EQT Corp., 8.125%, 6/01/2019		110,094
		Diversified Manufacturing – 1.1%
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		93,335
	300,000	Tyco International Finance SA, 3.750%, 1/15/2018		303,000
	220,000	Tyco International Finance SA, 4.125%, 10/15/2014		234,023
				630,358
		Electric – 3.0%
	260,000	Carolina Power & Light Co., 5.250%, 12/15/2015		293,296
	5,000	Carolina Power & Light Co., 6.500%, 7/15/2012		5,294
	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		301,425
	150,000	Duke Energy Corp., 5.625%, 11/30/2012		159,739
	180,000	Duke Energy Corp., 5.650%, 6/15/2013		195,199
	140,000	NextEra Energy Capital Holdings, Inc., 0.668%, 11/09/2012(b)		140,398
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		296,462
	115,000	Southern Co., 0.674%, 10/21/2011(b)		115,127
	205,000	Virginia Electric and Power Co., 5.100%, 11/30/2012		217,113
				1,724,053
		Entertainment – 0.8%
	265,000	Time Warner, Inc., 5.875%, 11/15/2016		302,906

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Entertainment – continued
$	145,000	Walt Disney Co., 5.700%, 7/15/2011	$	145,209
				448,115
		Environmental – 0.2%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		102,981
		Food & Beverage – 1.3%
	100,000	HJ Heinz Finance Co., 6.000%, 3/15/2012		103,791
	300,000	Kellogg Co., 5.125%, 12/03/2012		318,003
	270,000	Kraft Foods, Inc., 6.125%, 8/23/2018		309,637
				731,431
		Government Owned - No Guarantee – 0.3%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		174,581
		Health Insurance – 1.3%
	275,000	UnitedHealth Group, Inc., 4.875%, 2/15/2013		290,798
	260,000	WellPoint, Inc., 4.350%, 8/15/2020		262,544
	165,000	WellPoint, Inc., 5.250%, 1/15/2016		184,014
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		38,928
				776,284
		Healthcare – 1.3%
	285,000	Express Scripts, Inc., 3.125%, 5/15/2016		286,756
	20,000	Express Scripts, Inc., 6.250%, 6/15/2014		22,523
	335,000	McKesson Corp., 3.250%, 3/01/2016		345,396
	105,000	McKesson Corp., 6.500%, 2/15/2014		118,032
				772,707
		Hybrid ARMs – 0.3%
	143,511	FHLMC, 2.572%, 1/01/2035(b)		150,270
		Independent Energy – 1.3%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		112,559
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		126,097
	260,000	Devon Energy Corp., 5.625%, 1/15/2014		288,131
	150,000	Encana Corp., 6.500%, 5/15/2019		176,191

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Independent Energy – continued
$	55,000	XTO Energy, Inc., 4.900%, 2/01/2014	$	60,294
				763,272
		Integrated Energy – 1.0%
	285,000	BP Capital Markets PLC, 3.125%, 10/01/2015		292,608
	70,000	Hess Corp., 7.000%, 2/15/2014		79,501
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		190,541
				562,650
		Life Insurance – 0.9%
	130,000	American International Group, Inc., 3.650%, 1/15/2014		132,482
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,591
	255,000	MetLife, Inc., 4.750%, 2/08/2021		259,951
	70,000	Unum Group, 5.625%, 9/15/2020		73,302
				497,326
		Lodging – 0.0%
	15,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		15,489
		Media Cable – 2.2%
	335,000	Comcast Corp., 4.950%, 6/15/2016		367,743
	100,000	Cox Communications, Inc., 4.625%, 6/01/2013		106,184
	215,000	Cox Communications, Inc., 5.450%, 12/15/2014		239,624
	290,000	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.000%, 3/01/2021		300,364
	250,000	Time Warner Cable, Inc., 8.250%, 2/14/2014		290,787
				1,304,702
		Media Non-Cable – 0.3%
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		191,414
		Metals & Mining – 1.1%
	260,000	Alcoa, Inc., 6.150%, 8/15/2020		275,440
	235,000	ArcelorMittal, 9.850%, 6/01/2019		297,917
	70,000	Teck Resources Ltd., 3.150%, 1/15/2017		70,045
				643,402
		Mortgage Related – 5.3%
	367,721	FHLMC, 4.000%, 6/01/2025		383,543

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	885,194	FHLMC, 4.500%, with various maturities from 2019 to 2025(c)	$	938,961
	2,041	FHLMC, 5.500%, 3/01/2013		2,207
	3,091	FHLMC, 6.000%, 11/01/2012		3,186
	2,582	FHLMC, 6.500%, 1/01/2024		2,933
	287	FHLMC, 8.000%, 7/01/2025		341
	715,555	FNMA, 4.000%, 4/01/2024		747,125
	357,357	FNMA, 4.500%, 4/01/2024		379,713
	590,744	FNMA, 5.500%, with various maturities from 2017 to 2020(c)		641,921
	3,700	FNMA, 6.000%, 9/01/2021		4,055
	1,094	FNMA, 7.500%, 6/01/2016		1,210
	1,648	FNMA, 8.000%, 6/01/2015		1,783
	6,843	GNMA, 6.500%, 12/15/2023		7,811
	1,652	GNMA, 8.500%, 9/15/2022		1,789
	3,859	GNMA, 9.500%, 1/15/2019		4,601
				3,121,179
		Non-Captive Consumer – 0.4%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		233,438
		Non-Captive Diversified – 1.0%
	550,000	General Electric Capital Corp., MTN, 5.500%, 1/08/2020		588,994
		Oil Field Services – 1.2%
	305,000	Cameron International Corp., 1.183%, 6/02/2014(b)		306,226
	285,000	Ensco PLC, 3.250%, 3/15/2016		289,376
	115,000	Rowan Cos., Inc., 5.000%, 9/01/2017		123,042
				718,644
		Pharmaceuticals – 1.0%
	275,000	Eli Lilly & Co., 4.200%, 3/06/2014		296,899
	270,000	Schering-Plough Corp., 5.300%, 12/01/2013		298,548
				595,447
		Pipelines – 1.8%
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		313,403

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Pipelines – continued
$	245,000	NiSource Finance Corp., 6.125%, 3/01/2022	$	269,916
	175,000	Questar Corp., 2.750%, 2/01/2016		177,315
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		293,386
				1,054,020
		Property & Casualty Insurance – 0.3%
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		158,028
	15,000	Willis North America, Inc., 7.000%, 9/29/2019		16,620
				174,648
		Railroads – 1.7%
	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014		398,433
	245,000	CSX Corp., 3.700%, 10/30/2020		235,642
	30,000	CSX Corp., 6.150%, 5/01/2037		32,124
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		298,714
				964,913
		REITs - Apartments – 0.4%
	250,000	ERP Operating LP, 6.625%, 3/15/2012		259,788
		REITs - Shopping Centers – 0.5%
	280,000	Federal Realty Investment Trust, 5.400%, 12/01/2013		302,912
		Retailers – 0.2%
	130,000	Macy’s Retail Holdings, Inc., 5.350%, 3/15/2012		133,294
		Supermarkets – 0.2%
	50,000	Kroger Co. (The), 6.200%, 6/15/2012		52,521
	65,000	Kroger Co. (The), 6.750%, 4/15/2012		67,964
				120,485
		Technology – 3.4%
	265,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		305,213
	580,000	Cisco Systems, Inc., 2.900%, 11/17/2014		610,094
	95,000	Corning, Inc., 4.250%, 8/15/2020		95,367
	160,000	Equifax, Inc., 7.000%, 7/01/2037		171,665
	290,000	Hewlett-Packard Co., 0.654%, 5/30/2014(b)		291,341

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Technology – continued
$	230,000	IBM International Group Capital, 5.050%, 10/22/2012	$	243,500
	275,000	Oracle Corp., 4.950%, 4/15/2013		295,034
				2,012,214
		Tobacco – 1.1%
	205,000	Altria Group, Inc., 9.700%, 11/10/2018		269,395
	365,000	Philip Morris International, Inc., 2.500%, 5/16/2016		365,543
				634,938
		Transportation Services – 0.5%
	300,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		302,992
		Treasuries – 23.8%
	595,000	U.S. Treasury Bond, 4.250%, 11/15/2040		581,612
	225,000	U.S. Treasury Bond, 4.375%, 11/15/2039		225,106
	2,415,000	U.S. Treasury Note, 1.125%, 12/15/2012		2,442,263
	2,105,000	U.S. Treasury Note, 1.750%, 4/15/2013		2,154,510
	1,210,000	U.S. Treasury Note, 1.750%, 5/31/2016		1,211,888
	250,000	U.S. Treasury Note, 1.875%, 6/30/2015		255,859
	200,000	U.S. Treasury Note, 2.500%, 4/30/2015		209,750
	565,000	U.S. Treasury Note, 2.750%, 2/15/2019		570,429
	3,185,000	U.S. Treasury Note, 3.125%, 5/15/2021		3,176,050
	140,000	U.S. Treasury Note, 3.625%, 2/15/2020		148,105
	1,775,000	U.S. Treasury Note, 4.250%, 8/15/2014		1,961,790
	980,000	U.S. Treasury Note, 4.875%, 7/31/2011		983,904
				13,921,266
		Wireless – 1.3%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		261,990
	5,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		4,994
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		169,787
	330,000	Vodafone Group PLC, 5.350%, 2/27/2012		340,037
				776,808

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Wirelines – 3.0%
$	515,000	AT&T, Inc., 5.800%, 2/15/2019	$	581,101
	255,000	Embarq Corp., 7.995%, 6/01/2036		261,276
	260,000	Qwest Corp., 6.875%, 9/15/2033		250,575
	200,000	Telecom Italia Capital SA, 4.950%, 9/30/2014		208,534
	435,000	Verizon Communications, Inc., 1.950%, 3/28/2014		442,080
				1,743,566
		Total Bonds and Notes (Identified Cost $55,904,498)		57,488,088
	Short-Term Investments – 1.2%
	685,224	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $685,224 on 7/01/2011 collateralized by $690,000 Federal Home Loan Mortgage Corp., 3.00% due 8/11/2017 valued at $699,488 including accrued interest(d) (Identified Cost $685,224)		685,224
		Total Investments – 99.5% (Identified Cost $56,589,722)(a)		58,173,312
		Other assets less liabilities – 0.5%		320,244
		Net Assets – 100.0%	$	58,493,556

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Futures contracts are valued at their most recent settlement price.

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

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

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $56,861,422 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	$	1,573,919
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(262,029	)
Net unrealized appreciation	$	1,311,890

At September 30, 2010, the Fund had a capital loss carryforward of $766,597 of which $83,490 expires on September 30, 2015, $222,423 expires on September 30, 2016 and $460,684 expires on September 30, 2017. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Variable rate security. Rate as of June 30, 2011 is disclosed.

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

(d) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $432,094 or 0.7% 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

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	2,580,154	$	434,695	$	3,014,849
All Other Bonds and Notes*		—		54,473,239		—		54,473,239
Total Bonds and Notes		—		57,053,393		434,695		57,488,088
Short-Term Investments		—		685,224		—		685,224
Total	$	—	$	57,738,617	$	434,695	$	58,173,312

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
ABS Car Loan	$	160,000	$	—	$	—	$	—		$	—	$	—	$	—	$	(160,000	)	$	—	$	—
Collateralized Mortgage Obligations		—		—		—		(4,649	)		439,344		—		—		—			434,695		(4,649	)
Total	$	160,000	$	—	$	—	$	(4,649	)	$	439,344	$	—	$	—	$	(160,000	)	$	434,695	$	(4,649	)

Debt securities valued at $160,000 were transferred from Level 3 to Level 2 during the period ended June 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	23.8	%
Commercial Mortgage-Backed Securities	12.0
Banking	5.9
Mortgage Related	5.3
Collateralized Mortgage Obligations	5.2
ABS Car Loan	3.9
Technology	3.4
Wirelines	3.0
Electric	3.0
Media Cable	2.2
ABS Credit Card	2.0
Other Investments, less than 2% each	28.6
Short-Term Investments	1.2
Total Investments	99.5
Other assets less liabilities	0.5
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 89.7% of Net Assets
	Non-Convertible Bonds – 84.6%
		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	$	1,099,081
		ABS Other – 2.4%
	2,500,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		2,394,992
	879,744	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		893,069
	3,331,628	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		3,480,031
	938,550	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		968,263
	3,400,000	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		3,400,000
				11,136,355
		Airlines – 4.6%
	323,243	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		373,346
	338,154	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		364,767
	1,036,984	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,066,745
	4,696,853	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		5,377,896
	1,871,965	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,902,291
	5,010,681	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		5,461,642
	2,198,950	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 7/02/2018		2,291,130
	3,455,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		3,744,550
	861,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 10/22/2023		861,000
				21,443,367
		Automotive – 0.9%
	1,930,000	Cummins, Inc., 5.650%, 3/01/2098		1,588,977
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,544,728
				4,133,705
		Banking – 8.3%
	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018		3,012,115
	1,045,000	BAC Capital Trust VI, 5.625%, 3/08/2035		900,300
	230,000	Bank of America Corp., 5.420%, 3/15/2017		234,636

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)	$	2,557,675
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		84,108
	85,000	Citigroup, Inc., 5.850%, 12/11/2034		84,045
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		173,920
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,417,048
	2,420,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,419,959
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		898,401
	60,000	JPMorgan Chase & Co., 4.750%, 5/01/2013		63,872
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		582,940
	7,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		812,197
	2,870,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		2,690,906
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		248,766
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,641,622
	4,800,000	Morgan Stanley, 5.500%, 7/24/2020		4,858,517
	3,400,000	Morgan Stanley, 5.750%, 1/25/2021		3,440,219
	260,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		274,956
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		2,184,794
	1,400,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,436,609
	695,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		747,158
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		424,603
	825,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		829,097
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		333,017
	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		4,950,828
				38,302,308
		Brokerage – 2.2%
	2,955,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		3,110,613
	2,645,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(b)		2,889,046
	755,000	Jefferies Group, Inc., 6.250%, 1/15/2036		704,148

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – continued
$	2,835,000	Jefferies Group, Inc., 8.500%, 7/15/2019	$	3,352,915
				10,056,722
		Building Materials – 1.7%
	1,175,000	Masco Corp., 4.800%, 6/15/2015		1,167,501
	730,000	Masco Corp., 5.850%, 3/15/2017		726,337
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,741,184
	200,000	Masco Corp., 6.500%, 8/15/2032		179,282
	375,000	Masco Corp., 7.750%, 8/01/2029		372,485
	1,235,000	Owens Corning, Inc., 6.500%, 12/01/2016		1,343,781
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,284,622
				7,815,192
		Chemicals – 1.4%
	4,450,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		5,517,181
	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		997,124
				6,514,305
		Collateralized Mortgage Obligations – 0.3%
	675,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		733,388
	280,034	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.495%, 7/25/2035(c)		256,248
	189,938	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.787%, 10/25/2035(c)		180,952
				1,170,588
		Commercial Mortgage-Backed Securities – 6.3%
	160,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.195%, 9/10/2047(c)		174,573
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		653,864
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		393,905
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		633,727
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(c)		441,371
	58,416	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		58,371
	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		1,119,400
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.751%, 6/10/2046(c)		531,718

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	3,525,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(c)	$	3,729,850
	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.799%, 9/15/2039(c)		2,148,453
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		726,133
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,409,747
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,609,575
	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		858,086
	350,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		379,276
	1,180,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		1,285,396
	1,100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.880%, 4/15/2045(c)		1,220,837
	4,055,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(c)		4,373,311
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,506,440
	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		513,790
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.870%, 6/15/2038(c)		419,824
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		424,189
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.902%, 6/12/2046(c)		259,479
	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		378,771
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		458,470
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		268,259
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.279%, 1/11/2043(c)		911,183
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		215,995
				29,103,993
		Consumer Products – 0.3%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		637,667
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		902,359
				1,540,026
		Distributors – 1.3%
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,669,786

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Distributors – continued
$	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018	$	2,436,264
				6,106,050
		Diversified Manufacturing – 0.4%
	700,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		1,017,480
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		881,632
				1,899,112
		Electric – 1.9%
	2,800,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		2,866,441
	1,503,034	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,611,354
	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		1,295,707
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		604,622
	10,000	Commonwealth Edison Co., 4.750%, 12/01/2011(b)		9,996
	1,600,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,370,755
	1,000,000	Endesa SA/Cayman Islands, 7.875%, 2/01/2027		1,131,317
				8,890,192
		Financial Other – 1.6%
	4,165,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,108,981
	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		3,222,967
				7,331,948
		Food & Beverage – 0.1%
	500,000	Corn Products International, Inc., 6.625%, 4/15/2037		540,744
		Government Guaranteed – 0.7%
	840,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		883,771
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		2,575,926
				3,459,697
		Government Owned - No Guarantee – 2.0%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,888,831
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,297,500
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,034,179

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Owned - No Guarantee – continued
	10,400,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)	$	1,238,468
				9,458,978
		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		23,530
		Healthcare – 0.5%
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		925,582
	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		86,750
	190,000	HCA, Inc., 7.190%, 11/15/2015		191,425
	75,000	HCA, Inc., 7.500%, 12/15/2023		70,687
	175,000	HCA, Inc., 7.690%, 6/15/2025		163,625
	305,000	HCA, Inc., 8.360%, 4/15/2024		303,475
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		9,300
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		279,075
				2,182,782
		Home Construction – 1.1%
	1,116,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,116,000
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,605,200
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,200,375
				4,921,575
		Hybrid ARMs – 0.0%
	136,353	FNMA, 5.556%, 9/01/2036(c)		144,462
	78,778	FNMA, 5.960%, 2/01/2037(c)		84,085
				228,547
		Independent Energy – 0.4%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,369,869
	575,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		599,982
				1,969,851

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Industrial Other – 0.3%
$	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020	$	1,236,624
		Life Insurance – 1.7%
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		408,087
	110,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		114,886
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		528,907
	2,355,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,394,566
	1,095,000	MetLife, Inc., 6.400%, 12/15/2066		1,067,625
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,176,841
				7,690,912
		Local Authorities – 3.5%
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		4,072,975
	4,360,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		4,720,324
	685,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		741,569
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,333,349
	302,908	Province of Alberta, 5.930%, 9/16/2016, (CAD)		350,760
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		1,054,732
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		879,964
				16,153,673
		Lodging – 0.7%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,571,729
	1,660,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		1,840,737
				3,412,466
		Media Non-Cable – 0.1%
	240,000	News America, Inc., 8.150%, 10/17/2036		300,315
		Mortgage Related – 0.0%
	23,907	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		26,464
	3,849	FHLMC, 10.000%, with various maturities in 2018(d)		4,396
	13,729	FNMA, 6.000%, 12/01/2018		15,041

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Mortgage Related – continued
$	46,561	GNMA, 10.000%, with various maturities in 2018(d)	$	53,444
				99,345
		Non-Captive Consumer – 2.2%
	470,000	SLM Corp., MTN, 5.050%, 11/14/2014		469,965
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		241,200
	995,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		1,022,575
	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,087,492
	2,385,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,617,807
	45,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		44,775
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,165,125
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,316,762
				9,965,701
		Non-Captive Diversified – 3.9%
	97,000	Ally Financial, Inc., 8.000%, 12/31/2018		103,790
	94,517	CIT Group, Inc., 7.000%, 5/01/2014		95,698
	169,485	CIT Group, Inc., 7.000%, 5/01/2015		169,697
	282,478	CIT Group, Inc., 7.000%, 5/01/2016		281,419
	395,473	CIT Group, Inc., 7.000%, 5/01/2017		394,484
	670,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		728,455
	65,000	General Electric Capital Corp., 5.625%, 5/01/2018		71,092
	300,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		303,470
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		407,407
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,973,749
	655,000	General Electric Capital Corp., Series A, MTN, 0.578%, 5/13/2024(c)		577,385
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,900,152
	3,725,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,639,575
	3,683,000	International Lease Finance Corp., 6.375%, 3/25/2013		3,793,490
	25,000	International Lease Finance Corp., 8.625%, 9/15/2015		27,094

Principal Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	315,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014	$	315,000
				17,781,957
		Oil Field Services – 0.3%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,295,299
	165,000	Weatherford International Ltd., 6.500%, 8/01/2036		170,201
	105,000	Weatherford International Ltd., 6.800%, 6/15/2037		111,535
				1,577,035
		Paper – 0.5%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,666,716
	230,000	Mead Corp. (The), 7.550%, 3/01/2047		229,513
	200,000	Westvaco Corp., 8.200%, 1/15/2030		216,645
				2,112,874
		Pharmaceuticals – 0.0%
	170,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		176,800
		Pipelines – 1.4%
	635,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		666,027
	350,000	El Paso Corp., 6.950%, 6/01/2028		378,415
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		246,703
	800,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		843,980
	965,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		1,081,074
	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,203,396
	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		920,688
				6,340,283
		Property & Casualty Insurance – 2.2%
	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		1,827,947
	2,465,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		2,445,610
	60,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		35,700
	800,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		749,156
	150,000	Progressive Corp., 7.000%, 10/01/2013		166,370

Principal Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A	$	228,120
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		891,979
	2,015,000	XL Group PLC, 6.250%, 5/15/2027		2,039,317
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,646,758
				10,030,957
		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		134,900
		REITs - Apartments – 0.1%
	30,000	ERP Operating LP, 5.125%, 3/15/2016		32,706
	180,000	ERP Operating LP, 5.750%, 6/15/2017		199,554
				232,260
		REITs - Office Property – 0.3%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		87,297
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,247,272
				1,334,569
		REITs - Shopping Centers – 0.6%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,063,496
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,477,954
				2,541,450
		REITs - Single Tenant – 0.1%
	95,000	Realty Income Corp., 5.750%, 1/15/2021		101,795
	405,000	Realty Income Corp., 6.750%, 8/15/2019		463,028
				564,823
		REITs - Warehouse/Industrials – 0.3%
	55,000	ProLogis LP, 5.625%, 11/15/2015		58,154
	240,000	ProLogis LP, 5.625%, 11/15/2016		256,279
	265,000	ProLogis LP, 5.750%, 4/01/2016		286,336
	785,000	ProLogis LP, 7.375%, 10/30/2019		895,143
				1,495,912

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Restaurants – 0.1%
$	610,000		Darden Restaurants, Inc., 6.000%, 8/15/2035	$	613,911
			Retailers – 0.7%
	118,000		J.C. Penney Corp., Inc., 6.375%, 10/15/2036		105,610
	2,803,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		2,913,592
					3,019,202
			Sovereigns – 2.2%
	262,000	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		2,333,323
	140,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,267,249
	227,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		2,046,862
	3,100,000		Republic of Croatia, 6.750%, 11/05/2019, 144A		3,348,000
	42,740,000		Republic of Iceland, 4.250%, 8/24/2012, (ISK)		262,050
	27,385,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		166,453
	101,800,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		668,194
	37,360,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		225,463
					10,317,594
			Supranational – 2.4%
	4,000,000		European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		2,573,415
	45,300,000,000		Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,531,320
	4,375,000		Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		3,804,511
					10,909,246
			Technology – 2.1%
	210,000		Corning, Inc., 6.850%, 3/01/2029		231,946
	810,000		Corning, Inc., 7.000%, 5/15/2024		952,179
	3,565,000		Corning, Inc., 7.250%, 8/15/2036		4,148,059
	3,550,000		Ingram Micro, Inc., 5.250%, 9/01/2017		3,721,220
	49,000		Motorola Solutions, Inc., 6.625%, 11/15/2037		54,499
	425,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		508,189
					9,616,092

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Tobacco – 0.2%
$	735,000	Reynolds American, Inc., 6.750%, 6/15/2017	$	848,614
	195,000	Reynolds American, Inc., 7.250%, 6/15/2037		210,145
				1,058,759
		Transportation Services – 0.7%
	100,000	APL Ltd., 8.000%, 1/15/2024(b)		66,000
	2,258,871	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		2,168,516
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		1,012,230
				3,246,746
		Treasuries – 15.4%
	135,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		140,110
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		34,750,606
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,117,258
	7,935,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		8,527,050
	159,662	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		89,225
	40,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		24,566
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		35,502
	2,410,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,591,560
	1,850,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		1,728,513
	975,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		887,220
	100,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		91,561
	1,675,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,481,083
	5,460,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,780,142
	23,620,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		4,671,136
	54,560,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		10,835,830
	400,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		332,600
	100,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		87,813
				71,171,775
		Wireless – 0.3%
	510,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		509,362

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
$	70,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015	$	70,000
	35,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		35,219
	234,000	Sprint Capital Corp., 6.875%, 11/15/2028		221,715
	120,000	Sprint Capital Corp., 6.900%, 5/01/2019		123,600
	366,000	Sprint Nextel Corp., 6.000%, 12/01/2016		365,543
				1,325,439
		Wirelines – 3.7%
	1,310,000	AT&T Corp., 6.500%, 3/15/2029		1,392,622
	2,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		1,868,882
	2,010,000	CenturyLink, Inc., 6.450%, 6/15/2021		1,987,024
	245,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		231,307
	2,265,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,178,658
	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		507,500
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,770,781
	195,000	Qwest Corp., 7.500%, 6/15/2023		195,244
	1,880,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		1,595,494
	290,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		270,323
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,494,805
	600,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		690,105
	695,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		682,523
				16,865,268
		Total Non-Convertible Bonds (Identified Cost $335,865,059)		390,655,536
	Convertible Bonds – 4.2%
		Automotive – 0.4%
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,773,731
		Life Insurance – 1.8%
	8,230,000	Old Republic International Corp., 3.750%, 3/15/2018		8,147,700

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		REITs - Apartments – 0.0%
$	180,000	ERP Operating LP, 3.850%, 8/15/2026	$	184,266
		Technology – 2.0%
	3,505,000	Intel Corp., 2.950%, 12/15/2035		3,623,294
	4,700,000	Intel Corp., 3.250%, 8/01/2039		5,734,000
				9,357,294
		Total Convertible Bonds (Identified Cost $17,562,241)		19,462,991
	Municipals – 0.9%
		Illinois – 0.2%
	1,105,000	State of Illinois, 5.100%, 6/01/2033		940,046
		Michigan – 0.2%
	1,040,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		755,498
		Ohio – 0.1%
	750,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(b)		545,872
		Virginia – 0.4%
	2,815,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		1,880,307
		Total Municipals (Identified Cost $5,407,709)		4,121,723
		Total Bonds and Notes (Identified Cost $358,835,009)		414,240,250
Shares
	Preferred Stocks – 1.6%
	Convertible Preferred Stocks – 0.8%
		Banking – 0.5%
	940	Bank of America Corp., Series L, 7.250%		941,128
	25,000	Sovereign Capital Trust IV, 4.375%		1,237,500
				2,178,628
		Consumer Products – 0.3%
	33,050	Newell Financial Trust I, 5.250%		1,553,350
		Total Convertible Preferred Stocks (Identified Cost $2,578,145)		3,731,978

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – 0.8%
		Electric – 0.1%
	263	Connecticut Light & Power Co., 2.200%	$	10,232
	150	MDU Resources Group, Inc., 5.100%		15,080
	100	San Diego Gas & Electric Co., 4.500%		1,825
	3,160	Union Electric Co., 4.500%		249,640
				276,777
		Government Sponsored – 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(e)		3,225,937
		Non-Captive Diversified – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		151,310
		Total Non-Convertible Preferred Stocks (Identified Cost $3,228,421)		3,654,024
		Total Preferred Stocks (Identified Cost $5,806,566)		7,386,002
	Common Stocks – 0.1%
		Biotechnology – 0.1%
	13,708	Vertex Pharmaceuticals, Inc.(f) (Identified Cost $302,522)		712,679
Principal Amount (‡)
	Short-Term Investments – 7.9%
$	36,283,741	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $36,283,741 on 7/01/2011 collateralized by $36,510,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $37,012,013 including accrued interest(g) (Identified Cost $36,283,741)		36,283,741
		Total Investments – 99.3% (Identified Cost $401,227,838)(a)		458,622,672
		Other assets less liabilities – 0.7%		3,308,364
		Net Assets – 100.0%	$	461,931,036

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

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

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

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

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $403,263,679 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	$	59,527,933
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,168,940	)
Net unrealized appreciation	$	55,358,993

(b) Illiquid security. At June 30, 2011, the value of these securities amounted to $6,365,727 or 1.4% of net assets.

(c) Variable rate security. Rate as of June 30, 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) Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(f) Non-income producing security.

(g) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of Rule 144A holdings amounted to $71,138,708 or 15.4% 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
REMIC	Real Estate Mortgage Investment Conduit
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
IDR	Indonesian Rupiah
ISK	Icelandic Krona
KRW	South Korean Won
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	7,736,355	$	3,400,000	$	11,136,355
All Other Non-Convertible Bonds*		—		379,519,181		—		379,519,181
Total Non-Convertible bonds		—		387,255,536		3,400,000		390,655,536
Convertible Bonds*		—		19,462,991		—		19,462,991
Municipals*		—		4,121,723		—		4,121,723
Total Bonds and Notes		—		410,840,250		3,400,000		414,240,250
Preferred Stocks
Convertible Preferred Stocks
Banking		941,128		1,237,500		—		2,178,628
Consumer Products		—		1,553,350		—		1,553,350
Total Convertible Preferred Stocks		941,128		2,790,850		—		3,731,978
Non-Convertible Preferred Stocks
Electric		251,465		25,312		—		276,777
All Other Non-Convertible Preferred Stocks*		—		3,377,247		—		3,377,247
Total Non-Convertible Preferred Stocks		251,465		3,402,559		—		3,654,024
Total Preferred Stocks		1,192,593		6,193,409		—		7,386,002
Common Stocks*		712,679		—		—		712,679
Short-Term Investments		—		36,283,741		—		36,283,741
Total	$	1,905,272	$	453,317,400	$	3,400,000	$	458,622,672

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	—	$	—	$	3,400,000	$	—	$	—	$	—	$	3,400,000	$	—

Industry Summary at June 30, 2011 (Unaudited)

Treasuries	15.4	%
Banking	8.8
Commercial Mortgage-Backed Securities	6.3
Airlines	4.6
Technology	4.1
Non-Captive Diversified	3.9
Wirelines	3.7
Local Authorities	3.5
Life Insurance	3.5
ABS Other	2.4
Supranational	2.4
Sovereigns	2.2
Brokerage	2.2
Property & Casualty Insurance	2.2
Non-Captive Consumer	2.2
Government Owned - No Guarantee	2.0
Electric	2.0
Other Investments, less than 2% each	20.0
Short-Term Investments	7.9
Total Investments	99.3
Other assets less liabilities	0.7
Net Assets	100.0	%

Currency Exposure at June 30, 2011 (Unaudited)

United States Dollar	71.7	%
Canadian Dollar	9.7
New Zealand Dollar	4.7
Australian Dollar	3.5
Norwegian Krone	3.4
Other, less than 2% each	6.3
Total Investments	99.3
Other assets less liabilities	0.7
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Securitized Asset Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 118.5% 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	$	5,297,236
	7,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016		7,344,814
	2,900,000	AmeriCredit Automobile Receivables Trust, Series 2010-4, Class A3, 1.270%, 4/08/2015		2,908,526
	2,455,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		2,465,055
	1,784,625	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.637%, 8/15/2018, 144A(b)		1,795,915
	2,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2009-1A, Class A, 9.310%, 10/20/2013, 144A		3,032,885
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,556,226
	578,061	Capital One Auto Finance Trust, Series 2007-C, Class A4, 5.230%, 7/15/2014		590,453
	1,382,289	CarMax Auto Owner Trust, Series 2009-2, Class A3, 1.740%, 4/15/2014		1,393,068
	691,436	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		734,475
	7,740,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		7,815,040
	9,000,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		9,034,317
	4,790,000	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 2/15/2015		4,802,154
	2,740,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A		2,863,136
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,498,107
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,703,681
	5,600,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		5,628,854
	1,305,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		1,359,757
	5,755,000	Navistar Financial Dealer Note Master Trust, Series 2010-1, Class A, 1.836%, 1/26/2015, 144A(b)		5,790,994
	9,590,000	Nissan Auto Lease Trust, Series 2010-B, Class A3, 1.120%, 12/15/2013		9,635,144
	5,350,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		5,357,310
	8,671,289	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A		8,682,129
	3,500,000	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		3,496,850
	9,940,000	Volkswagen Auto Lease Trust, Series 2010-A, Class A3, 0.990%, 11/20/2013		9,962,362
				110,748,488
		ABS Credit Card – 6.9%
	2,670,000	Capital One Multi-Asset Execution Trust, Series 2007-A5, Class A5, 0.227%, 7/15/2020(b)		2,608,840

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Credit Card – continued
$	2,300,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.437%, 4/15/2019(b)	$	2,242,354
	1,750,000	Chase Issuance Trust, Series 2007-C1, Class C1, 0.647%, 4/15/2019(b)		1,687,907
	1,150,000	Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2, 0.656%, 3/24/2017(b)		1,123,971
	4,215,000	Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8, 5.650%, 9/20/2019		4,840,350
	11,410,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 2.937%, 8/15/2018, 144A(b)		11,994,906
	1,335,000	GE Capital Credit Card Master Note Trust, Series 2007-2, Class B, 0.367%, 3/15/2015(b)		1,328,592
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		3,036,683
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,392,207
	2,070,000	MBNA Credit Card Master Note Trust, Series 2004-A3, Class A3, 0.447%, 8/16/2021(b)		2,052,758
	1,520,000	World Financial Network Credit Card Master Trust, Series 2006-A, Class A, 0.317%, 2/15/2017, 144A(b)		1,500,284
	9,695,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,254,594
				48,063,446
		ABS Home Equity – 0.4%
	584,776	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		551,070
	93,501	Countrywide Asset-Backed Certificates, Series 2006-S3, Class A1, 0.296%, 6/25/2021(b)		92,317
	1,505,972	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		859,006
	2,115,210	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.336%, 7/25/2036(b)		1,417,386
				2,919,779
		ABS Other – 3.5%
	903,304	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		910,267
	6,588,502	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		6,587,378
	1,103,250	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		1,138,601
	3,452,027	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026, 144A(c)		3,503,808
	1,435,472	Sierra Receivables Funding Co., Series 2007-1A, Class A2, 0.336%, 3/20/2019, 144A(b)		1,368,681
	368,811	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		374,397
	1,110,213	Sierra Receivables Funding Co., Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		1,136,827
	1,912,118	Sierra Receivables Funding Co., Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		1,946,992
	2,009,519	Sierra Receivables Funding Co., Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		2,035,890

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
$	5,400,000	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.685%, 7/15/2041, 144A(b)	$	5,400,000
				24,402,841
		ABS Student Loan – 2.9%
	4,900,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.208%, 7/01/2024(b)		4,845,119
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.274%, 7/25/2025(b)		15,470,832
				20,315,951
		Collateralized Mortgage Obligations – 23.7%
	1,018,926	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		604,643
	654,807	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.652%, 7/25/2021(b)		492,270
	483,630	Countrywide Home Loans, Series 2004-HYB5, Class 6A2, 3.046%, 4/20/2035(b)		157,816
	6,500,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019(d)		7,184,438
	2,797,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(d)		3,038,942
	10,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(d)		11,064,419
	7,433,929	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.513%, 6/15/2048(b)(d)		7,557,720
	6,486,352	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		871,545
	2,437,774	Federal National Mortgage Association, REMIC, Series 2004-1, Class CK, 5.500%, 11/25/2031(d)		2,499,782
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(d)		11,073,799
	3,518,527	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 5.769%, 3/25/2039(b)(d)		3,666,415
	12,395,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(d)		12,816,868
	8,966,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(d)		9,072,807
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(d)		16,848,198
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2046(d)		26,689,501
	3,920,582	First Horizon Alternative Mortgage Securities, Series 2006-AA3, Class A1, 2.343%, 6/25/2036(b)		2,122,497
	692,007	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.495%, 7/25/2035(b)		633,228
	3,670,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		3,663,144
	5,934,984	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.635%, 10/07/2020(b)		5,946,142
	30,976,476	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.745%, 12/08/2020(b)		31,153,042
	402,809	Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		320,494
	1,642,463	Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,470,241

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	87,332	Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021	$	78,500
	8,251,483	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 4.761%, 11/25/2036(b)		6,344,021
	524,921	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.787%, 10/25/2035(b)		500,085
				165,870,557
		Commercial Mortgage-Backed Securities – 29.3%
	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.195%, 9/10/2047(b)		206,214
	350,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.731%, 5/10/2045(b)		387,337
	376,943	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046		377,026
	6,017,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		6,444,488
	50,496	Bank of America-First Union NB Commercial Mortgage, Series 2001-3, Class A2, 5.464%, 4/11/2037		50,470
	97,505	Bear Stearns Commercial Mortgage Securities, Series 2005-T18, Class A2, 4.556%, 2/13/2042		97,692
	2,725,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,878,179
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		1,301,339
	7,500,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		8,140,270
	8,870,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		9,411,449
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.751%, 6/10/2046(b)		276,936
	4,860,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.820%, 6/15/2038(b)		5,340,719
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,484,629
	5,688,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		6,018,550
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.800%, 9/15/2039(b)		5,291,757
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		11,833,321
	1,508,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.207%, 2/15/2041(b)		1,624,238
	6,600,000	Extended Stay America Trust, Series 2010-ESHA, Class B, 4.221%, 11/05/2027, 144A		6,679,256
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		14,700,784
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		9,380,727
	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		135,205

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	741,326	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A2, 4.475%, 7/10/2039	$	740,857
	1,815,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		1,934,692
	308,167	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		308,086
	6,730,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		7,313,877
	7,500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		8,127,340
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.800%, 8/10/2045(b)		13,420,004
	7,500,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		8,221,678
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,420,030
	2,580,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4, 5.741%, 2/12/2049(b)		2,800,127
	7,585,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		8,132,634
	275,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030		277,878
	2,440,000	LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4, 5.661%, 3/15/2039		2,669,262
	7,500,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038		8,073,660
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.430%, 2/12/2039(b)		1,091,305
	250,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.902%, 6/12/2046(b)		276,041
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A4, 5.414%, 7/12/2046		1,077,474
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		4,962,040
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		7,992,472
	1,330,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		1,439,330
	392,142	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.752%, 8/12/2041(b)		395,440
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		9,796,831
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.879%, 6/11/2049(b)		8,069,844
	23,878	Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A2, 4.380%, 10/15/2041		23,990
	7,600,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045		8,254,157
				204,879,635
		Hybrid ARMs – 2.8%
	211,373	FHLMC, 2.572%, 1/01/2035(b)(d)		221,327

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	3,194,864	FHLMC, 5.926%, 2/01/2037(b)(d)	$	3,392,329
	2,216,974	FHLMC, 6.013%, 11/01/2036(b)(d)		2,379,997
	9,620,388	FNMA, 5.204%, 8/01/2038(b)		10,298,239
	1,325,930	FNMA, 5.556%, 9/01/2036(b)(d)		1,404,789
	1,513,788	FNMA, 5.960%, 2/01/2037(b)(d)		1,615,759
				19,312,440
		Mortgage Related – 33.2%
	14,194,844	FHLMC, 4.500%, with various maturities from 2031 to 2041(d)(f)		14,781,646
	19,563,202	FHLMC, 5.000%, with various maturities from 2022 to 2040(d)(f)		20,927,554
	23,153,815	FHLMC, 5.500%, with various maturities from 2038 to 2040(d)(f)		25,060,088
	7,495,745	FHLMC, 6.000%, with various maturities from 2036 to 2037(d)(f)		8,274,149
	72,522	FHLMC, 6.500%, 1/01/2038(d)		81,777
	12,450,000	FHLMC (TBA), 4.500%, 7/01/2026(g)		13,173,656
	33,000,000	FHLMC (TBA), 5.000%, 7/01/2041(g)		35,010,954
	34,000,000	FHLMC (TBA), 5.500%, 7/01/2041(g)		36,725,304
	20,000,000	FHLMC (TBA), 6.000%, 7/01/2041(g)		21,965,620
	4,881,310	FNMA, 4.500%, with various maturities from 2031 to 2035(d)(f)		5,103,243
	1,790,586	FNMA, 5.000%, 4/01/2040(d)		1,906,144
	10,289,531	FNMA, 5.500%, with various maturities from 2034 to 2038(d)(f)		11,197,083
	6,679,942	FNMA, 6.000%, with various maturities from 2034 to 2037(d)(f)		7,380,724
	17,492	FNMA, 7.000%, 12/01/2037(d)		20,131
	26,700,000	FNMA (TBA), 5.000%, 7/01/2041(g)		28,368,750
	1,295,000	FNMA (TBA), 6.000%, 7/01/2041(g)		1,422,477
	58,248	GNMA, 6.000%, 6/15/2036(d)		65,013
	254,561	GNMA, 6.500%, 9/15/2036(d)		289,961
				231,754,274
		Total Bonds and Notes (Identified Cost $802,337,508)		828,267,411
	Short-Term Investments – 1.1%
	7,436,203	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $7,436,203 on 7/01/2011 collateralized by $7,585,000 Federal Home Loan Bank, 0.250% due 06/29/2012 valued at $7,585,000 including accrued interest(h)		7,436,203

Principal Amount		Description	Value (†)
	Short-Term Investments – continued
$	500,000	U.S. Treasury Bill, 0.050%, 9/01/2011(i)(j)	$	499,985
		Total Short-Term Investments (Identified Cost $7,936,136)		7,936,188
		Total Investments – 119.6% (Identified Cost $810,273,644)(a)		836,203,599
		Other assets less liabilities – (19.6)%		(136,972,132	)
		Net Assets – 100.0%	$	699,231,467

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

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

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

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $810,273,644 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	$	32,653,123
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,723,168	)
Net unrealized appreciation	$	25,929,955

At September 30, 2010, the Fund had a capital loss carryforward of $1,367,506 which expires on September 30, 2018. At September 30, 2010 post-October capital loss deferrals were $239,014. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Variable rate security. Rate as of June 30, 2011 is disclosed.

(c) Illiquid security. At June 30, 2011, the value of this security amounted to $3,503,808 or 0.5% of net assets.

(d) All or a portion of this security has been designated to cover the Fund’s obligations under open futures contracts or 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. The Fund 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 Fund 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 Fund takes delivery of the security. No interest accrues to the Fund until the transaction settles. When the Fund enters 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 Fund’s commitment.

Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund 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.

(h) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

(i) All or a portion of this security has been pledged as initial margin for open futures contracts.

(j) Interest rate represents discount rate at time of purchase; not a coupon 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 June 30, 2011, the value of Rule 144A holdings amounted to $100,707,458 or 14.4% 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
REMIC	Real Estate Mortgage Investment Conduit
TBA	To Be Announced

Futures Contracts

The Fund 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 the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund, depending on the price of the fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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

At June 30, 2011, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		09/30/2011		125	$	14,899,414	$	(46,125	)
10 Year U.S. Treasury Note		09/21/2011		85		10,397,891		(10,779	)
Total							$	(56,904	)

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Home Equity	$	—	$	2,060,773	$	859,006	$	2,919,779
ABS Other		—		15,499,033		8,903,808		24,402,841
Collateralized Mortgage Obligations		—		149,022,359		16,848,198		165,870,557
All Other Bonds and Notes*		—		635,074,234		—		635,074,234
Total Bonds and Notes		—		801,656,399		26,611,012		828,267,411
Short-Term Investments		—		7,936,188		—		7,936,188
Total	$	—	$	809,592,587	$	26,611,012	$	836,203,599

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(56,904	)	$	—	$	—	$	(56,904	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2011:

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 June 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2011
Bonds and Notes
ABS Home Equity	$	345,569	$	—	$	4	$	863,830		$	—	$	(350,397	)	$	—	$	—	$	859,006	$	551,035
ABS Other		4,588,503		—		—		51,781			5,400,000		(1,136,476	)		—		—		8,903,808		51,781
Collateralized Mortgage Obligations				—		—		(180,166	)		17,028,364		—			—		—		16,848,198		(180,166	)
Total	$	4,934,072	$	—	$	4	$	735,445		$	22,428,364	$	(1,486,873	)	$	—	$	—	$	26,611,012	$	422,650

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2011, the Fund used futures contracts in accordance with this objective. Details of the Fund’s investment in interest rate contracts, as of June 30, 2011, are reflected in the table above.

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

Industry Summary at June 30, 2011 (Unaudited)

Mortgage Related	33.2	%
Commercial Mortgage-Backed Securities	29.3
Collateralized Mortgage Obligations	23.7
ABS Car Loan	15.8
ABS Credit Card	6.9
ABS Other	3.5
ABS Student Loan	2.9
Hybrid ARMs	2.8
ABS Home Equity	0.4
Short-Term Investments	1.1
Total Investments	119.6
Other assets less liabilities (including open futures contracts)	(19.6	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2011 (Unaudited)

Loomis Sayles Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks – 97.1% of Net Assets
		Air Freight & Logistics – 0.8%
	153,880	Atlas Air Worldwide Holdings, Inc.(b)	$	9,157,399
		Auto Components – 1.6%
	565,945	Dana Holding Corp.(b)		10,356,794
	172,744	Tenneco, Inc.(b)		7,612,828
				17,969,622
		Building Products – 0.8%
	108,256	Armstrong World Industries, Inc.		4,932,143
	376,559	Griffon Corp.(b)		3,795,715
				8,727,858
		Capital Markets – 1.6%
	777,711	Fifth Street Finance Corp.		9,021,447
	252,874	Stifel Financial Corp.(b)		9,068,062
				18,089,509
		Chemicals – 5.0%
	473,609	Chemtura Corp.(b)		8,619,684
	541,390	Ferro Corp.(b)		7,276,282
	230,016	Koppers Holdings, Inc.		8,724,507
	80,553	Minerals Technologies, Inc.		5,339,858
	244,931	Olin Corp.		5,550,136
	421,127	Omnova Solutions, Inc.(b)		2,931,044
	263,186	WR Grace & Co.(b)		12,009,177
	285,865	Zep, Inc.		5,402,849
				55,853,537
		Commercial Banks – 7.4%
	618,248	Cathay General Bancorp		10,133,085
	181,773	City National Corp.		9,861,185
	495,700	CVB Financial Corp.		4,585,225
	556,621	First Financial Bancorp		9,290,005
	147,328	IBERIABANK Corp.		8,491,986
	379,315	Pinnacle Financial Partners, Inc.(b)		5,902,141
	2,273,275	Popular, Inc.(b)		6,274,239
	183,036	Prosperity Bancshares, Inc.		8,020,638
	180,927	Signature Bank(b)		10,349,024
	299,455	Wintrust Financial Corp.		9,636,462
				82,543,990
		Commercial Services & Supplies – 3.9%
	351,957	KAR Auction Services, Inc.(b)		6,655,507
	250,132	McGrath Rentcorp		7,023,706
	567,866	Rollins, Inc.		11,573,109
	444,373	Standard Parking Corp.(b)		7,096,637
	113,083	Team, Inc.(b)		2,728,693
	247,808	Waste Connections, Inc.		7,862,948
				42,940,600

Shares		Description	Value (†)
	Common Stocks – continued
		Communications Equipment – 2.7%
	135,839	ADTRAN, Inc.	$	5,258,328
	1,491,938	Brocade Communications Systems, Inc.(b)		9,637,919
	853,097	Harmonic, Inc.(b)		6,167,891
	205,280	NETGEAR, Inc.(b)		8,974,842
				30,038,980
		Construction & Engineering – 0.5%
	223,305	MYR Group, Inc.(b)		5,225,337
		Consumer Finance – 2.2%
	200,778	Cash America International, Inc.		11,619,023
	569,222	Dollar Financial Corp.(b)		12,323,656
				23,942,679
		Containers & Packaging – 0.5%
	189,587	Temple-Inland, Inc.		5,638,317
		Distributors – 0.3%
	109,064	Core-Mark Holding Co., Inc.(b)		3,893,585
		Diversified Financial Services – 1.4%
	383,813	MarketAxess Holdings, Inc.		9,618,354
	311,941	PHH Corp.(b)		6,401,029
				16,019,383
		Electric Utilities – 2.2%
	178,898	ALLETE, Inc.		7,341,974
	131,699	ITC Holdings Corp.		9,452,037
	224,693	UIL Holdings Corp.		7,268,819
				24,062,830
		Electrical Equipment – 3.2%
	189,632	AZZ, Inc.		8,685,146
	237,228	EnerSys(b)		8,165,388
	356,610	II-VI, Inc.(b)		9,129,216
	169,536	Thomas & Betts Corp.(b)		9,129,513
				35,109,263
		Electronic Equipment, Instruments & Components – 4.5%
	231,931	Cognex Corp.		8,217,315
	359,931	GSI Group, Inc.(b)		4,337,169
	131,288	Littelfuse, Inc.		7,709,231
	537,821	Methode Electronics, Inc.		6,244,102
	77,161	Rofin-Sinar Technologies, Inc.(b)		2,635,048
	122,746	Rogers Corp.(b)		5,670,865
	278,194	ScanSource, Inc.(b)		10,426,711
	265,820	TTM Technologies, Inc.(b)		4,258,437
				49,498,878
		Energy Equipment & Services – 2.8%
	191,015	Dresser-Rand Group, Inc.(b)		10,267,056
	289,873	Helix Energy Solutions Group, Inc.(b)		4,800,297
	62,355	Lufkin Industries, Inc.		5,365,648

Shares		Description	Value (†)
	Common Stocks – continued
		Energy Equipment & Services – continued
	267,504	Oceaneering International, Inc.	$	10,833,912
				31,266,913
		Food & Staples Retailing – 0.7%
	410,633	Spartan Stores, Inc.		8,019,663
		Food Products – 2.9%
	167,748	Corn Products International, Inc.		9,273,109
	521,295	Darling International, Inc.(b)		9,226,922
	186,239	Fresh Del Monte Produce, Inc.		4,966,994
	168,066	J & J Snack Foods Corp.		8,378,090
				31,845,115
		Gas Utilities – 1.1%
	401,155	UGI Corp.		12,792,833
		Health Care Equipment & Supplies – 1.8%
	205,365	Alere, Inc.(b)		7,520,466
	155,947	SurModics, Inc.(b)		1,731,012
	112,062	Teleflex, Inc.		6,842,506
	85,911	West Pharmaceutical Services, Inc.		3,759,465
				19,853,449
		Health Care Providers & Services – 2.3%
	103,792	MEDNAX, Inc.(b)		7,492,744
	271,045	Vanguard Health Systems, Inc.(b)		4,653,843
	250,035	WellCare Health Plans, Inc.(b)		12,854,299
				25,000,886
		Hotels, Restaurants & Leisure – 1.8%
	128,319	Bob Evans Farms, Inc.		4,487,315
	473,802	Isle of Capri Casinos, Inc.(b)		4,193,148
	95,722	Six Flags Entertainment Corp.		3,584,789
	222,622	Wyndham Worldwide Corp.		7,491,230
				19,756,482
		Household Durables – 1.2%
	197,326	Jarden Corp.		6,809,720
	405,244	La-Z-Boy, Inc.(b)		3,999,759
	117,495	Leggett & Platt, Inc.		2,864,528
				13,674,007
		Industrial Conglomerates – 0.6%
	128,257	Raven Industries, Inc.		7,145,197
		Insurance – 3.7%
	446,540	Employers Holdings, Inc.		7,488,476
	299,373	HCC Insurance Holdings, Inc.		9,430,249
	496,165	Old Republic International Corp.		5,829,939
	123,616	ProAssurance Corp.(b)		8,653,120
	156,558	Reinsurance Group of America, Inc., Class A		9,528,120
				40,929,904
		Internet & Catalog Retail – 0.4%
	127,655	HSN, Inc.(b)		4,202,403

Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – 0.9%
	193,225	IAC/InterActiveCorp(b)	$	7,375,398
	265,125	Perficient, Inc.(b)		2,720,183
				10,095,581
		IT Services – 1.1%
	234,247	Wright Express Corp.(b)		12,197,241
		Life Sciences Tools & Services – 0.4%
	155,622	Pharmaceutical Product Development, Inc.		4,176,894
		Machinery – 5.3%
	334,348	Actuant Corp., Class A		8,970,557
	113,729	Alamo Group, Inc.		2,695,377
	439,916	Albany International Corp., Class A		11,609,383
	402,453	Altra Holdings, Inc.(b)		9,654,847
	308,158	Commercial Vehicle Group, Inc.(b)		4,372,762
	283,740	John Bean Technologies Corp.		5,481,857
	42,038	Middleby Corp. (The)(b)		3,953,254
	114,839	RBC Bearings, Inc.(b)		4,336,321
	422,279	Wabash National Corp.(b)		3,956,754
	49,107	Wabtec Corp.		3,227,312
				58,258,424
		Marine – 0.6%
	113,347	Kirby Corp.(b)		6,423,374
		Media – 3.0%
	163,892	Arbitron, Inc.		6,773,656
	211,322	John Wiley & Sons, Inc., Class A		10,990,857
	149,604	Liberty Media-Starz, Series A(b)		11,256,205
	145,558	Madison Square Garden, Inc., Class A(b)		4,007,212
				33,027,930
		Metals & Mining – 2.0%
	102,828	Haynes International, Inc.		6,368,138
	560,885	Horsehead Holding Corp.(b)		7,470,988
	166,083	Reliance Steel & Aluminum Co.		8,246,021
				22,085,147
		Multiline Retail – 0.6%
	486,031	Fred’s, Inc. Class A		7,013,427
		Oil, Gas & Consumable Fuels – 3.5%
	172,522	Berry Petroleum Co., Class A		9,166,094
	328,277	Cloud Peak Energy, Inc.(b)		6,992,300
	196,077	Comstock Resources, Inc.(b)		5,645,057
	506,035	Energy Partners Ltd.(b)		7,494,378
	429,633	Magnum Hunter Resources Corp.(b)		2,904,319
	95,743	Rosetta Resources, Inc.(b)		4,934,594
	62,297	SemGroup Corp., Class A(b)		1,599,164
				38,735,906
		Paper & Forest Products – 0.3%
	67,695	Deltic Timber Corp.		3,634,545

Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 0.2%
	296,279	Obagi Medical Products, Inc.(b)	$	2,793,911
		REITs - Apartments – 3.2%
	332,085	American Campus Communities, Inc.		11,795,659
	124,279	Home Properties, Inc.		7,566,106
	133,984	Mid-America Apartment Communities, Inc.		9,039,901
	309,208	UDR, Inc.		7,591,056
				35,992,722
		REITs - Diversified – 1.4%
	364,429	DuPont Fabros Technology, Inc.		9,183,611
	185,220	Potlatch Corp.		6,532,709
				15,716,320
		REITs - Healthcare – 0.5%
	240,189	Omega Healthcare Investors, Inc.		5,046,371
		REITs - Hotels – 0.8%
	1,507,233	Hersha Hospitality Trust		8,395,288
		REITs - Office Property – 0.9%
	532,268	BioMed Realty Trust, Inc.		10,240,836
		REITs - Single Tenant – 0.6%
	290,796	National Retail Properties, Inc.		7,127,410
		REITs - Storage – 1.2%
	132,469	Sovran Self Storage, Inc.		5,431,229
	707,732	U-Store-It Trust		7,445,341
				12,876,570
		Road & Rail – 1.6%
	95,839	Genesee & Wyoming, Inc., Class A(b)		5,619,999
	218,510	Old Dominion Freight Line, Inc.(b)		8,150,423
	306,604	Vitran Corp., Inc.(b)		3,893,871
				17,664,293
		Semiconductors & Semiconductor Equipment – 1.7%
	575,368	PMC-Sierra, Inc.(b)		4,355,536
	229,594	Semtech Corp.(b)		6,277,100
	373,453	Teradyne, Inc.(b)		5,527,104
	249,714	TriQuint Semiconductor, Inc.(b)		2,544,586
				18,704,326
		Software – 2.1%
	269,346	Monotype Imaging Holdings, Inc.(b)		3,805,859
	320,750	Progress Software Corp.(b)		7,739,697
	257,832	Radiant Systems, Inc.(b)		5,388,689
	295,115	SS&C Technologies Holdings, Inc.(b)		5,863,935
				22,798,180
		Specialty Retail – 3.3%
	127,599	Destination Maternity Corp.		2,549,428
	169,583	Genesco, Inc.(b)		8,835,274
	1,077,563	Hot Topic, Inc.		8,017,069

Shares		Description	Value (†)
	Common Stocks – continued
		Specialty Retail – continued
	724,741	PEP Boys-Manny Moe & Jack	$	7,921,419
	515,951	Sally Beauty Holdings, Inc.(b)		8,822,762
				36,145,952
		Textiles, Apparel & Luxury Goods – 1.0%
	160,273	Kenneth Cole Productions, Inc., Class A(b)		2,001,810
	418,305	Movado Group, Inc.		7,157,199
	41,046	Vera Bradley, Inc.(b)		1,567,957
				10,726,966
		Thrifts & Mortgage Finance – 1.5%
	216,184	BankUnited, Inc.		5,737,523
	503,218	Capitol Federal Financial, Inc.		5,917,844
	358,162	First Niagara Financial Group, Inc.		4,727,738
				16,383,105
		Trading Companies & Distributors – 1.0%
	378,654	H&E Equipment Services, Inc.(b)		5,297,370
	299,808	Rush Enterprises, Inc., Class A(b)		5,705,346
				11,002,716
		Water Utilities – 0.5%
	272,189	Middlesex Water Co.		5,057,272
		Total Common Stocks (Identified Cost $807,665,980)		1,075,519,326
	Closed End Investment Companies – 0.8%
	555,653	Ares Capital Corp. (Identified Cost $7,457,601)		8,929,343
Principal Amount
	Short-Term Investments – 2.1%
$	22,995,381	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2011 at 0.000% to be repurchased at $22,995,381 on 7/01/2011 collateralized by $23,140,000 Federal Home Loan Mortgage Corp., 3.000% due 8/11/2017 valued at $23,458,175 including accrued interest(c) (Identified Cost $22,995,381)		22,995,381
		Total Investments – 100.0% (Identified Cost $838,118,962)(a)		1,107,444,050
		Other assets less liabilities – 0.0%		(58,058	)
		Net Assets – 100.0%	$	1,107,385,992

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and equity securities for which market quotations are not readily available are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

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

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

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2011, the net unrealized appreciation on investments based on a cost of $838,121,636 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	$	280,846,951
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,524,537	)
Net unrealized appreciation	$	269,322,414

At September 30, 2010, the Fund had a capital loss carryforward of $146,637,446 of which $88,137,321 expires on September 30, 2017 and $58,500,125 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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 June 30, 2011 limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after effective date of the Act must be 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 June 30, 2011, if any, may expire unused.

(b) Non-income producing security.

(c) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

  REITs Real Estate Investment Trusts

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels list 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	1,075,519,326	$	—	$	—	$	1,075,519,326
Closed End Investment Companies		8,929,343		—		—		8,929,343
Short-Term Investments		—		22,995,381		—		22,995,381
Total	$	1,084,448,669	$	22,995,381	$	—	$	1,107,444,050

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

Industry Summary at June 30, 2011 (Unaudited)

Commercial Banks	7.4	%
Machinery	5.3
Chemicals	5.0
Electronic Equipment, Instruments & Components	4.5
Commercial Services & Supplies	3.9
Insurance	3.7
Oil, Gas & Consumable Fuels	3.5
Specialty Retail	3.3
REITs - Apartments	3.2
Electrical Equipment	3.2
Media	3.0
Food Products	2.9
Energy Equipment & Services	2.8
Communications Equipment	2.7
Health Care Providers & Services	2.3
Electric Utilities	2.2
Consumer Finance	2.2
Software	2.1
Metals & Mining	2.0
Other Investments, less than 2% each	32.7
Short-Term Investments	2.1
Total Investments	100.0
Other assets less liabilities	—
Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS

(a)(1)	Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.
(a)(2)	Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Loomis Sayles Funds I
By:	/s/    ROBERT J. BLANDING
Name:	Robert J. Blanding
Title:	President and Chief Executive Officer
Date:	August 23, 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:	August 23, 2011
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	August 23, 2011