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.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: June 30, 2012

ITEM 1. SCHEDULE OF INVESTMENTS

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

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 86.6% of Net Assets
	Non-Convertible Bonds – 77.6%
		ABS Car Loan – 0.0%
$	3,474,333	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.384%, 8/20/2013, 144A(b)	$	3,471,303
	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		6,331,598
				9,802,901
		Aerospace & Defense – 0.2%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,517,238
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,732,320
	5,200,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		4,612,124
	3,800,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,871,706
	15,300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		12,404,674
				35,138,062
		Airlines – 2.0%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		48,971,614
	58,434	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		58,364
	2,462,482	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		2,493,263
	1,465,877	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,465,877
	2,647,651	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,647,651
	6,535,199	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		6,469,847
	2,942,762	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		2,942,762
	2,448,699	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,693,569
	2,350,412	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,556,073
	2,999,592	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,048,485
	2,739,895	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,945,387
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,508,203
	16,143,351	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		17,515,535
	25,495,229	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		26,013,802
	22,505,398	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		25,768,681

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	26,714,212	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021	$	30,120,274
	5,915,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		5,974,150
	2,703,060	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,905,790
	4,076,328	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,122,391
	30,321,795	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		30,928,231
	2,496,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		2,636,400
	3,296,670	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,362,603
	20,350,919	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		20,554,428
	2,000,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		2,032,682
	40,565,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		41,630,805
	24,655,093	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		25,764,572
	12,216,567	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		13,942,768
	24,484,438	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		25,096,549
	18,800,060	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		19,928,063
	20,905,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		21,401,494
	10,803,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		11,073,075
	8,520,000	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		8,541,300
				417,114,688
		Automotive – 1.7%
	385,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		405,694
	3,700,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		3,801,750
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,935,044
	6,550,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		8,537,690
	2,590,000	Ford Motor Co., 6.375%, 2/01/2029		2,810,072
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,950,430
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,732,272
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		73,045,238
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		3,087,200

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	122,204,000	Ford Motor Co., 7.450%, 7/16/2031	$	153,060,510
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,832,800
	55,235,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		61,387,019
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		8,014,660
	8,755,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		8,744,056
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,723,848
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,227,250
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		7,056,000
				350,351,533
		Banking – 8.6%
	6,000,000	ABN Amro Bank NV, (fixed rate to 3/10/2016, variable rate thereafter), 4.310%, 3/29/2049, (EUR)		5,011,377
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		129,975,900
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		37,290,138
	2,682,000	Bank of America Corp., 5.420%, 3/15/2017		2,777,037
	1,400,000	Bank of America Corp., 5.490%, 3/15/2019		1,425,757
	1,065,000	Bank of America Corp., 5.650%, 5/01/2018		1,138,797
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		7,867,266
	3,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		3,131,420
	33,133,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		38,960,465
	12,823,000	Bank of America NA, 5.300%, 3/15/2017		13,350,410
	1,670,000	Barclays Bank PLC, (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP)		1,569,283
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		76,924,828
	16,060,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		10,731,028
	3,260,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		3,432,043
	12,028,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		14,079,818
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		29,710,311
	30,900,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		28,741,385
	13,100,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		12,184,859

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	35,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)	$	33,781,879
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		18,981,000
	39,980,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		34,382,800
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		14,519,395
	42,420,000	Citigroup, Inc., 5.000%, 9/15/2014		43,483,342
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		4,787,223
	1,445,000	Citigroup, Inc., 5.850%, 12/11/2034		1,551,085
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		34,969,875
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		13,229,181
	43,650,000	Citigroup, Inc., 6.125%, 5/15/2018		48,738,455
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		8,660,395
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		31,917,229
	72,120,000	Citigroup, Inc., 6.375%, 8/12/2014		77,200,277
	4,900,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		5,255,302
	87,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		92,112,903
	13,455,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017		13,847,711
	10,860,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/08/2022		11,047,150
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		877,786
	61,880,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		60,645,680
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,184,604
	6,365,000	HBOS PLC, 6.000%, 11/01/2033, 144A		4,982,140
	65,355,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		61,659,436
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		10,987,050
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		33,885,453
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		29,340,005
	14,000,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		8,400,000
	4,745,000	Lloyds Banking Group PLC, (fixed rate to 5/21/2037, variable rate thereafter), 6.657%, 1/29/2049, 144A		3,131,700

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	83,493,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A	$	82,236,597
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		4,965,543
	9,600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		9,925,334
	36,435,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		34,331,352
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		51,487,179
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 1.211%, 9/14/2018, (EUR)(b)		1,478,302
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		5,676,822
	8,660,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		9,689,986
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,429,220
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,142,867
	2,900,000	Morgan Stanley, 0.947%, 10/15/2015(b)		2,583,459
	1,770,000	Morgan Stanley, 3.450%, 11/02/2015		1,713,969
	6,270,000	Morgan Stanley, 3.800%, 4/29/2016		6,074,389
	24,355,000	Morgan Stanley, 5.500%, 7/24/2020		23,828,104
	4,100,000	Morgan Stanley, 5.750%, 1/25/2021		4,042,772
	149,700,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		159,428,876
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,250,093
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		124,902,077
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		14,778,315
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		9,501,120
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		12,233,146
	18,000,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(b)		15,687,504
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,006,720
	19,400,000	Morgan Stanley, Series F, MTN, 7.250%, 5/26/2015, (AUD)		20,062,393
	6,100,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		9,738,612
	3,800,000	RBS Capital Trust A, 2.753.%, 12/29/2049, (EUR)(b)		2,524,671
	2,819,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		1,819,396

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	4,680,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049	$	2,737,800
	5,958,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		3,902,490
	3,060,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		1,805,400
	3,999,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		2,722,673
	2,925,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		1,945,125
	1,300,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,408,488
	11,450,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		13,379,426
	3,200,000	Royal Bank of Scotland PLC (The), EMTN (fixed rate to 9/22/2016, variable rate therafter), 4.625%, 9/22/2021, (EUR)		2,917,330
	950,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		925,282
	2,200,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		2,522,532
	2,269,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		2,094,809
	1,800,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,557,364
	3,070,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		2,975,973
	6,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		5,428,992
	12,900,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		12,651,828
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		2,675,854
				1,811,051,362
		Brokerage – 0.7%
	13,130,000	Jefferies Group, Inc., 3.875%, 11/09/2015		12,900,225
	19,787,000	Jefferies Group, Inc., 5.125%, 4/13/2018		19,193,390
	28,050,000	Jefferies Group, Inc., 6.250%, 1/15/2036		25,245,000
	22,718,000	Jefferies Group, Inc., 6.450%, 6/08/2027		21,582,100
	58,180,000	Jefferies Group, Inc., 6.875%, 4/15/2021		58,506,215
	4,430,000	Jefferies Group, Inc., 8.500%, 7/15/2019		4,806,550
				142,233,480
		Building Materials – 1.0%
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,937,017

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	3,285,000	Masco Corp., 5.850%, 3/15/2017	$	3,443,465
	19,873,000	Masco Corp., 6.125%, 10/03/2016		21,208,466
	15,272,000	Masco Corp., 6.500%, 8/15/2032		14,680,347
	23,972,000	Masco Corp., 7.125%, 3/15/2020		26,449,746
	9,733,000	Masco Corp., 7.750%, 8/01/2029		10,197,576
	18,360,000	Owens Corning, Inc., 6.500%, 12/01/2016		20,414,870
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		54,391,289
	35,870,000	USG Corp., 6.300%, 11/15/2016		34,345,525
	17,605,000	USG Corp., 9.750%, 1/15/2018		18,485,250
				208,553,551
		Chemicals – 0.7%
	51,205,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		70,615,638
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		19,096,980
	2,915,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		2,973,300
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,049,880
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		11,198,266
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		24,222,120
	3,486,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		3,067,680
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		9,609,250
				147,833,114
		Collateralized Mortgage Obligations – 0.2%
	2,051,369	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 6.403%, 4/25/2037(b)		1,418,368
	4,174,451	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.863%, 4/25/2035(b)		3,766,599
	8,830,135	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.390%, 7/25/2047(b)		5,369,596
	24,928,382	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.685%, 4/25/2035(b)		23,011,364
				33,565,927
		Commercial Mortgage-Backed Securities – 0.0%
	11,810,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AM, 5.869%, 9/15/2040		10,022,663

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – 0.5%
$	60,172,000	Case New Holland, Inc., 7.750%, 9/01/2013	$	63,932,750
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,131,402
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		28,625,446
	6,815,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		7,138,712
				101,828,310
		Consumer Cyclical Services – 0.1%
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		932,500
	6,175,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		5,125,250
	14,305,000	Western Union Co. (The), 6.200%, 11/17/2036		15,225,870
	1,575,000	Western Union Co. (The), 6.200%, 6/21/2040		1,713,101
				22,996,721
		Consumer Products – 0.0%
	7,210,000	Snap-on, Inc., 6.700%, 3/01/2019		8,716,371
		Distributors – 0.0%
	3,805,000	ONEOK, Inc., 6.000%, 6/15/2035		4,152,332
		Diversified Manufacturing – 0.4%
	8,473,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		8,769,555
	1,435,000	Textron Financial Corp., 5.400%, 4/28/2013		1,474,029
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		5,456,100
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		583,159
	19,900,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		25,465,489
	7,145,000	Textron, Inc., 5.600%, 12/01/2017		7,870,132
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		40,745,717
				90,364,181
		Electric – 2.7%
	4,875,000	AES Corp. (The), 7.750%, 3/01/2014		5,289,375
	11,618,099	AES Ironwood LLC, 8.857%, 11/30/2025		13,389,859
	1,278,605	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,355,322
	71,324,475	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		80,177,269

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	3,105,000	Ameren Illinois Co., 6.250%, 4/01/2018	$	3,674,355
	88,809,040	Bruce Mansfield Unit, 6.850%, 6/01/2034		92,977,736
	3,977,308	CE Generation LLC, 7.416%, 12/15/2018		3,982,280
	34,290,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		38,766,422
	5,295,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(d)		3,547,650
	11,835,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		7,929,450
	3,504,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(d)		2,347,680
	23,200,000	Edison Mission Energy, 7.625%, 5/15/2027		12,644,000
	64,585,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		51,443,050
	23,041,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		20,043,804
	4,150,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		4,577,456
	2,750,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		3,019,062
	250,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		293,282
	3,700,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		5,128,362
	9,663,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		11,898,361
	6,900,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		5,416,900
	7,425,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		7,926,188
	4,250,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,976,159
	25,460,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		29,255,984
	23,245,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		3,719,200
	178,554	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		187,211
	23,535,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		16,062,637
	70,980,000	TXU Corp., Series P, 5.550%, 11/15/2014		50,928,150
	140,586,000	TXU Corp., Series Q, 6.500%, 11/15/2024		67,129,815
	9,406,000	TXU Corp., Series R, 6.550%, 11/15/2034		4,303,245
	9,175,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)(e)		7,248,250
	14,695,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)(e)		9,551,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	5,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)(e)	$	1,200,000
				570,390,264
		Financial Other – 0.6%
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		71,483,044
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		51,234,218
				122,717,262
		Food & Beverage – 0.0%
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		6,792,449
		Gaming – 0.3%
	1,625,000	MGM Resorts International, 6.625%, 7/15/2015		1,673,750
	1,730,000	MGM Resorts International, 6.875%, 4/01/2016		1,738,650
	1,415,000	MGM Resorts International, 7.500%, 6/01/2016		1,464,525
	3,545,000	MGM Resorts International, 7.625%, 1/15/2017		3,660,212
	54,170,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		57,961,900
				66,499,037
		Government Guaranteed – 0.5%
	29,556,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		30,046,271
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		84,482,867
				114,529,138
		Government Owned - No Guarantee – 0.6%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		33,910,988
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		16,049,666
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		74,232,257
	17,955,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		10,099,688
				134,292,599
		Healthcare – 2.0%
	7,100,000	Boston Scientific Corp., 5.125%, 1/12/2017		7,869,015
	3,725,000	Boston Scientific Corp., 5.450%, 6/15/2014		3,992,060
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		18,378,351
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,326,509

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	13,400,000	HCA, Inc., 5.750%, 3/15/2014	$	14,019,750
	12,860,000	HCA, Inc., 5.875%, 3/15/2022		13,438,700
	7,800,000	HCA, Inc., 6.250%, 2/15/2013		7,975,500
	17,380,000	HCA, Inc., 6.375%, 1/15/2015		18,466,250
	50,875,000	HCA, Inc., 6.500%, 2/15/2016		54,817,812
	3,045,000	HCA, Inc., 6.750%, 7/15/2013		3,174,413
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		24,483,600
	20,287,000	HCA, Inc., 7.190%, 11/15/2015		21,402,785
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		26,096,015
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		24,810,938
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		67,857,212
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		45,658,760
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		20,937,420
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		11,699,240
	4,710,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		5,142,317
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		28,982,805
				427,529,452
		Home Construction – 0.5%
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		11,668,477
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		12,621,850
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,080,750
	210,000	KB Home, 5.875%, 1/15/2015		207,900
	2,835,000	KB Home, 8.000%, 3/15/2020		2,891,700
	6,007,000	Pulte Group, Inc., 5.200%, 2/15/2015		6,187,210
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		52,284,000
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		14,223,000
				101,164,887

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – 0.2%
$	9,585,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017	$	11,134,262
	2,500,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		3,037,198
	2,035,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		2,014,650
	1,545,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,521,825
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,128,692
	8,782,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		10,789,618
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,905,750
				41,531,995
		Industrial Other – 0.1%
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,676,265
		Life Insurance – 1.9%
	12,600,000	American International Group, Inc., 6.250%, 3/15/2087		11,655,000
	99,895,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		108,386,075
	8,400,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		12,234,772
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,528,538
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		32,132,026
	7,075,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		7,680,514
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		4,154,323
	6,655,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		8,636,799
	51,550,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		40,209,000
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,262,005
	13,250,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		13,365,162
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,461,325
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,486,750
	22,550,000	MetLife, Inc., 6.400%, 12/15/2066		22,105,224
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		14,219,563
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		65,379,711

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A	$	13,285,845
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		6,258,245
	9,965,000	Unum Group, 7.125%, 9/30/2016		11,493,332
				393,934,209
		Local Authorities – 1.8%
	19,650,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		20,618,381
	125,985,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		143,984,515
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		107,872,185
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,179,948
	11,222,271	Province of Alberta, 5.930%, 9/16/2016, (CAD)		12,220,933
	1,490,000	Province of Ontario, 5.000%, 3/08/2014, (CAD)		1,553,663
	83,490,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		90,230,452
				377,660,077
		Lodging – 0.0%
	8,450,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		9,395,217
		Media Cable – 0.3%
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		40,775,350
	26,541,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		32,331,795
				73,107,145
		Media Non-Cable – 0.2%
	665,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		684,950
	42,100,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		41,258,000
				41,942,950
		Metals & Mining – 0.8%
	8,557,000	Alcoa, Inc., 5.720%, 2/23/2019		9,068,940
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		5,077,192
	3,000,000	Alcoa, Inc., 5.900%, 2/01/2027		2,968,098
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,976,409
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,877,810

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Metals & Mining – continued
$	9,473,000		ArcelorMittal, 6.125%, 6/01/2018	$	9,605,120
	18,430,000		ArcelorMittal, 6.750%, 3/01/2041		17,202,396
	3,635,000		ArcelorMittal, 7.000%, 10/15/2039		3,528,320
	15,650,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		13,263,375
	11,965,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		11,585,519
	11,175,000		United States Steel Corp., 6.050%, 6/01/2017		10,867,687
	9,625,000		United States Steel Corp., 6.650%, 6/01/2037		7,507,500
	23,520,000		United States Steel Corp., 7.000%, 2/01/2018		23,226,000
	37,725,000		United States Steel Corp., 7.500%, 3/15/2022		36,216,000
					158,970,366
			Mortgage Related – 0.0%
	154,211		FHLMC, 5.000%, 12/01/2031		166,253
			Non-Captive Consumer – 4.4%
	3,100,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		1,550,000
	78,933,000		Residential Capital LLC, 9.625%, 5/15/2015(d)		76,170,345
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		3,241,324
	27,880,000		SLM Corp., MTN, 5.050%, 11/14/2014		28,715,118
	4,875,000		SLM Corp., MTN, 5.125%, 8/27/2012		4,893,262
	8,000,000		SLM Corp., MTN, 7.250%, 1/25/2022		8,460,000
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,222,850
	5,285,000		SLM Corp., Series A, MTN, 0.766%, 1/27/2014(b)		5,048,517
	76,745,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		79,047,350
	57,166,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		57,691,413
	23,623,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		22,500,860
	28,262,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		28,791,460
	29,550,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		30,583,157
	45,279,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		38,260,755
	140,870,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		157,774,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
	38,381,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)	$	46,404,853
	4,690,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		3,740,275
	11,370,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		11,270,512
	4,955,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,125,037
	23,472,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		22,533,120
	4,800,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		4,782,000
	935,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		738,650
	351,315,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		280,391,528
				918,936,786
		Non-Captive Diversified – 4.8%
	4,145,000	Aircastle Ltd., 7.625%, 4/15/2020		4,207,175
	30,190,000	Ally Financial, Inc., 6.750%, 12/01/2014		31,774,975
	23,588,000	Ally Financial, Inc., 7.500%, 12/31/2013		25,003,280
	50,810,000	Ally Financial, Inc., 7.500%, 9/15/2020		57,097,737
	44,981,000	Ally Financial, Inc., 8.000%, 12/31/2018		49,816,457
	40,627,000	Ally Financial, Inc., 8.000%, 11/01/2031		47,635,157
	62,225,000	Ally Financial, Inc., 8.300%, 2/12/2015		67,825,250
	45,800,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		38,245,310
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		77,399,099
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		72,184,911
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.767%, 5/13/2024(b)		18,797,839
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		225,324,654
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		368,100
	9,475,000	International Lease Finance Corp., 5.875%, 4/01/2019		9,484,181
	16,380,000	International Lease Finance Corp., 6.250%, 5/15/2019		16,687,125
	13,466,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,752,153
	17,700,000	International Lease Finance Corp., 8.250%, 12/15/2020		20,269,562
	35,950,000	International Lease Finance Corp., 8.625%, 9/15/2015		39,724,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	7,645,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013	$	7,826,569
	3,545,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,633,625
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		29,965,288
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		26,223,943
	12,655,000	iStar Financial, Inc., 6.050%, 4/15/2015		11,800,788
	46,795,000	iStar Financial, Inc., 8.625%, 6/01/2013		46,795,000
	9,690,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		9,132,825
	60,205,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		58,173,081
				1,009,148,834
		Oil Field Services – 1.1%
	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018		18,008,628
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		174,442,006
	4,497,000	Parker Drilling Co., 9.125%, 4/01/2018		4,755,578
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,825,130
				225,031,342
		Packaging – 0.2%
	3,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A (EUR)		4,507,866
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		21,230,855
	4,451,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A		4,228,450
	1,100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019, 144A		1,097,250
				31,064,421
		Paper – 1.6%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		35,913,989
	32,327,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		41,189,318
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		546,020
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		114,391,855
	4,784,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		6,389,984
	16,307,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		22,989,446

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – continued
$	4,447,000	International Paper Co., 6.875%, 11/01/2023	$	5,152,459
	10,392,000	International Paper Co., 8.700%, 6/15/2038		14,666,624
	24,586,000	Westvaco Corp., 7.950%, 2/15/2031		28,090,218
	36,799,000	Westvaco Corp., 8.200%, 1/15/2030		43,686,411
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,467,085
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		15,676,127
				333,159,536
		Pipelines – 1.9%
	9,050,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		10,731,228
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,122,376
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,232,795
	11,435,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		12,148,292
	22,725,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		27,124,901
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,491,655
	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		34,566,125
	53,020,224	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		56,717,854
	116,405,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		116,405,000
	1,585,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		1,513,675
	12,375,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		13,272,187
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		66,593,267
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,480,548
	28,845,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		33,534,995
	5,470,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		4,704,200
	5,572,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		3,872,540
				401,511,638
		Property & Casualty Insurance – 0.6%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		24,125,478
	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,744,682

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	$	17,212,042
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,780,000
	46,522,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		54,420,691
	12,885,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		6,957,900
	3,375,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		3,295,796
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,785,375
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		7,225,596
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,352,222
				134,899,782
		Property Trust – 0.4%
	68,360,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		80,656,118
		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		6,514,080
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		63,300
				6,577,380
		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,972,495
		REITs - Apartments – 0.3%
	2,565,000	Camden Property Trust, 5.000%, 6/15/2015		2,764,539
	40,075,000	Camden Property Trust, 5.700%, 5/15/2017		44,989,718
	4,680,000	ERP Operating LP, 5.125%, 3/15/2016		5,159,344
	3,000,000	ERP Operating LP, 5.375%, 8/01/2016		3,360,195
				56,273,796
		REITs - Diversified – 0.0%
	5,720,000	Duke Realty LP, 5.950%, 2/15/2017		6,324,307
		REITs - Office Property – 0.3%
	57,890,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		62,118,691
	5,640,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		6,485,402
				68,604,093

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs - Regional Malls – 0.1%
$	9,032,000	Simon Property Group LP, 5.750%, 12/01/2015	$	10,091,490
	1,690,000	Simon Property Group LP, 6.125%, 5/30/2018		1,999,677
				12,091,167
		REITs - Warehouse/Industrials – 0.1%
	6,022,000	ProLogis LP, 5.625%, 11/15/2015		6,563,059
	6,110,000	ProLogis LP, 5.625%, 11/15/2016		6,715,959
	6,375,000	ProLogis LP, 5.750%, 4/01/2016		6,961,793
	2,332,000	ProLogis LP, 6.625%, 5/15/2018		2,689,787
	1,595,000	ProLogis LP, 6.875%, 3/15/2020		1,907,689
	3,020,000	ProLogis LP, 7.375%, 10/30/2019		3,658,854
				28,497,141
		Retailers – 0.9%
	1,920,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,999,200
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,504,500
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,855,275
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,190,977
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		987,500
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022		15,464,029
	5,160,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,676,250
	50,232,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		37,925,160
	2,798,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		2,598,643
	375,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		314,063
	5,580,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,066,425
	28,445,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		33,606,089
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,538,343
	2,098,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,480,967
	1,485,000	Macy’s Retail Holdings, Inc., 7.875%, 7/15/2015		1,737,484
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,770,994

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – continued
$	39,965,000	Toys R Us, Inc., 7.375%, 10/15/2018	$	32,471,562
	11,255,000	Toys R Us, Inc., 7.875%, 4/15/2013		11,480,100
				188,667,561
		Sovereigns – 2.3%
	126,665,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		32,211,064
	10,000,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		1,309,432
	25,000,000,000	Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,524,264
	88,974,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		12,134,879
	498,832,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		67,990,124
	317,658,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		46,149,341
	378,003,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		39,329,014
	258,350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		140,204,879
	98,690,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		61,051,693
	10,025,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		6,070,653
	26,800,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		26,899,696
	3,868,460,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		18,858,459
	4,616,100,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		23,392,368
				479,125,866
		Supermarkets – 0.6%
	3,675,000	American Stores Co., 7.900%, 5/01/2017		3,569,344
	13,145,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		9,628,712
	100,590,000	New Albertson’s, Inc., 7.450%, 8/01/2029		73,933,650
	20,550,000	New Albertson’s, Inc., 7.750%, 6/15/2026		16,234,500
	13,925,000	New Albertson’s, Inc., 8.000%, 5/01/2031		10,791,875
	3,880,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,162,200
	17,575,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		12,126,750
				129,447,031
		Supranational – 2.0%
	8,660,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		4,543,773

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – continued
	11,505,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)	$	5,879,379
	837,962,640,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		84,014,843
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		20,213,228
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		76,850,378
	345,270,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		34,580,302
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		165,307,256
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		31,893,902
				423,283,061
		Technology – 1.3%
	1,940,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		2,134,000
	33,106,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		39,754,943
	1,000,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,284,482
	13,050,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		16,101,895
	98,567,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		67,025,560
	5,166,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,487,050
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		3,053,938
	12,555,000	Avnet, Inc., 5.875%, 3/15/2014		13,292,782
	50,915,000	Avnet, Inc., 6.000%, 9/01/2015		55,875,139
	15,245,000	Avnet, Inc., 6.625%, 9/15/2016		17,374,086
	10,821,000	Corning, Inc., 6.850%, 3/01/2029		12,973,059
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,973,432
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		18,405,532
	143,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		146,932
	2,080,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		2,194,400
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,064,848
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,646,263
	2,955,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		3,206,175
	4,048,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		4,906,743

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	40,000	Xerox Corp., 6.350%, 5/15/2018	$	46,634
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		717,028
				274,664,921
		Tobacco – 0.5%
	71,085,000	Reynolds American, Inc., 6.750%, 6/15/2017		85,342,519
	17,990,000	Reynolds American, Inc., 7.250%, 6/15/2037		21,740,141
				107,082,660
		Transportation Services – 0.4%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(c)		14,380,890
	18,013,426	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		17,112,755
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(g)		5,241,620
	9,406,304	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		9,406,304
	86,213	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014		86,213
	9,132,615	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		7,854,049
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)		11,924,398
	5,037,043	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		4,885,931
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(f)(g)		161,376
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,224,549
				74,278,085
		Treasuries – 20.5%
	164,160,000	Canadian Government, 1.750%, 3/01/2013, (CAD)		162,062,248
	587,055,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		577,673,422
	509,785,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		520,625,630
	201,175,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		209,628,262
	414,487,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		416,412,669
	246,645,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		278,502,202
	297,760,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		340,000,916
	170,925,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		197,962,749
	122,055,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		137,389,530

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	38,075,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)	$	43,870,268
	161,275,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		185,702,325
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,136,793
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,210,574
	1,045,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,244,063
	28,585,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		259,089,340
	33,000,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		30,449,197
	230,690,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		190,494,668
	668,075,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		126,513,829
	319,620,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		59,118,940
	2,599,880,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		455,541,160
	30,535,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		24,808,176
	2,030,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,258,792
	9,000,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,909,092
	21,275,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		17,274,115
	8,742,110,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		44,175,374
	15,000,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		12,160,189
					4,302,214,523
			Wireless – 0.9%
	48,009,000		Nextel Communications, Inc., 7.375%, 8/01/2015		48,069,011
	48,625,000		Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		48,685,782
	1,503,000		Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		1,508,636
	41,804,000		Sprint Capital Corp., 6.875%, 11/15/2028		33,652,220
	38,286,000		Sprint Capital Corp., 6.900%, 5/01/2019		35,988,840
	8,390,000		Sprint Capital Corp., 8.750%, 3/15/2032		7,634,900
	15,252,000		Sprint Nextel Corp., 6.000%, 12/01/2016		14,603,790
					190,143,179

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – 3.8%
$	8,395,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A	$	5,540,700
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,841,709
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,683,007
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		36,241,756
	3,940,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		4,782,912
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		111,783,877
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,817,519
	4,400,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		4,249,128
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		822,500
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		9,124,537
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,706,000
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		697,150
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,771,787
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,691,798
	10,655,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		11,187,750
	68,090,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		70,813,600
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		3,828,600
	950,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		723,739
	24,010,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		21,539,061
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		44,604,081
	940,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		1,110,939
	1,000,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,088,456
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		32,273,076
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,845,470
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,465,351
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		39,801,695
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		37,834,875

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,505,000	Qwest Corp., 7.200%, 11/10/2026	$	1,520,050
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		11,653,857
	2,890,000	Qwest Corp., 7.500%, 6/15/2023		2,905,895
	45,767,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		35,126,172
	28,320,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		22,231,200
	4,300,000	Telecom Italia Capital S.p.A., EMTN, 5.875%, 5/19/2023, (GBP)		5,612,059
	1,100,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		947,522
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,828,665
	36,465,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		31,880,875
	5,845,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		6,903,550
	3,900,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		4,428,799
	17,000,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		22,930,250
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		48,942,569
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		29,648,751
	8,685,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		8,988,567
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,556,257
	7,860,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		8,587,105
				795,563,216
		Total Non-Convertible Bonds (Identified Cost $15,149,133,643)		16,331,243,700
	Convertible Bonds – 7.9%
		Airlines – 0.0%
	6,445,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		6,191,389
		Automotive – 1.3%
	5,645,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		4,134,963
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		253,737,550
	12,335,000	Navistar International Corp., 3.000%, 10/15/2014		11,502,387
				269,374,900

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Diversified Manufacturing – 0.3%
$	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A	$	42,382,900
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		23,706,491
				66,089,391
		Electric – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,701,250
		Healthcare – 0.4%
	32,436,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		31,706,190
	3,180,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		2,945,475
	285,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		286,781
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,682,563
	2,144,000	Omnicare, Inc., 3.250%, 12/15/2035		2,039,480
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		39,215,437
				78,875,926
		Home Construction – 0.3%
	47,320,000	Lennar Corp., 3.250%, 11/15/2021, 144A		71,275,750
		Independent Energy – 0.4%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		22,304,062
	46,073,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		39,450,006
	18,146,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		16,580,908
				78,334,976
		Life Insurance – 0.3%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		65,623,500
		Media Non-Cable – 0.0%
	7,706,318	Liberty Media LLC, 3.500%, 1/15/2031		3,371,514
		Metals & Mining – 0.1%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,311,475
	16,535,000	United States Steel Corp., 4.000%, 5/15/2014		16,741,688
				18,053,163

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – 1.0%
$	45,735,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012	$	45,735,000
	126,055,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		150,478,156
	9,615,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		12,559,594
				208,772,750
		REITs - Warehouse/Industrials – 0.1%
	28,230,000	ProLogis LP, 3.250%, 3/15/2015		31,017,713
		Technology – 3.0%
	6,480,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		6,390,900
	49,074,000	Ciena Corp., 0.875%, 6/15/2017		41,958,270
	14,150,000	Ciena Corp., 3.750%, 10/15/2018, 144A		15,741,875
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		9,699,900
	11,651,000	Intel Corp., 2.950%, 12/15/2035		13,180,194
	343,275,000	Intel Corp., 3.250%, 8/01/2039		462,133,969
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,582,931
	3,545,000	Micron Technology, Inc., 1.875%, 6/01/2014		3,474,100
	61,535,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		54,996,906
	22,580,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		20,801,825
				629,960,870
		Wirelines – 0.7%
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		77,045,235
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		58,525,125
	1,350,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,610,190
				137,180,550
		Total Convertible Bonds (Identified Cost $1,389,880,322)		1,665,823,642
	Municipals – 1.1%
		California – 0.0%
	5,425,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028		4,445,679

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		California – continued
$	2,165,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028	$	2,015,853
				6,461,532
		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		6,954,493
		Illinois – 0.3%
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		2,495,949
	69,245,000	State of Illinois, 5.100%, 6/01/2033		65,450,374
				67,946,323
		Michigan – 0.1%
	20,480,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		15,175,065
		Ohio – 0.1%
	10,390,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		7,952,922
		Virginia – 0.6%
	178,970,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		114,417,311
		Total Municipals (Identified Cost $275,314,848)		218,907,646
		Total Bonds and Notes (Identified Cost $16,814,328,813)		18,215,974,988
	Senior Loans – 1.8%
		Automotive – 0.1%
	24,603,338	TI Group Automotive Systems, L.L.C., New Term Loan, 6.750%, 3/14/2018(b)		24,008,675
		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.741%, 10/10/2014(b)		4,340,465
		Food & Beverage – 0.1%
	20,328,259	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(b)		20,379,079
		Media Non-Cable – 0.1%
	40,070,654	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		22,727,674
		Non-Captive Consumer – 0.1%
	26,685,000	Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(b)		26,448,571

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Non-Captive Diversified – 1.1%
$	107,801,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(b)	$	107,935,751
	124,000,000	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		123,535,000
				231,470,751
		Wireless – 0.1%
	29,185,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(b)		29,002,594
		Wirelines – 0.2%
	37,113,025	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		32,817,192
		Total Senior Loans (Identified Cost $407,648,818)		391,195,001
Shares
	Common Stocks – 5.2%
		Biotechnology – 0.4%
	1,409,794	Vertex Pharmaceuticals, Inc.(f)		78,835,680
		Chemicals – 0.4%
	750,000	PPG Industries, Inc.		79,590,000
		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(f)		12,374,389
	2,766	Rock-Tenn Co., Class A		150,885
				12,525,274
		Diversified Telecommunication Services – 0.2%
	269,619	FairPoint Communications, Inc.(f)		1,658,157
	403,884	Hawaiian Telcom Holdco, Inc.(f)		7,879,777
	2,629,337	Telefonica S.A., Sponsored ADR		34,444,314
				43,982,248
		Electronic Equipment, Instruments & Components – 0.0%
	630,490	Corning, Inc.		8,152,236
		Media – 0.0%
	4,746	Dex One Corp.(f)		4,438
	79,727	SuperMedia, Inc.(f)		199,317
				203,755
		Oil, Gas & Consumable Fuels – 0.4%
	1,026,979	Chesapeake Energy Corp.		19,101,810
	813,333	Repsol YPF S.A., Sponsored ADR		12,997,061
	750,000	Royal Dutch Shell PLC, ADR		50,572,500
				82,671,371
		Pharmaceuticals – 1.3%
	3,372,358	Bristol-Myers Squibb Co.(f)		121,236,270
	3,384,721	Valeant Pharmaceuticals International, Inc.(f)		151,601,654
				272,837,924

Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – 2.0%
	16,210,621	Intel Corp.	$	432,013,049
		Software – 0.4%
	2,568,090	Microsoft Corp.		78,557,873
		Total Common Stocks (Identified Cost $764,164,730)		1,089,369,410
	Preferred Stocks – 2.6%
	Convertible Preferred Stocks – 1.8%
		Automotive – 0.9%
	4,308,050	General Motors Co., Series B, 4.750%		143,027,260
	964,435	Goodyear Tire & Rubber Co. (The), 5.875%		41,663,592
				184,690,852
		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		25,177,425
	305,595	Sovereign Capital Trust IV, 4.375%		15,508,946
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		14,043,375
				54,729,746
		Construction Machinery – 0.0%
	166,574	United Rentals Trust I, 6.500%		8,453,631
		Consumer Products – 0.1%
	301,866	Newell Financial Trust I, 5.250%		15,168,766
		Electric – 0.1%
	346,577	AES Trust III, 6.750%		17,089,712
		Independent Energy – 0.1%
	87,351	Chesapeake Energy Corp., 4.500%		7,009,918
	144,600	SandRidge Energy, Inc., 8.500%		15,571,612
				22,581,530
		Pipelines – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		16,497,211
	25,000	Williams Cos., Inc., 5.500%		4,057,813
				20,555,024
		REITs - Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		9,296,100

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Technology – 0.2%
	58,899	Lucent Technologies Capital Trust I, 7.750%	$	39,756,825
		Total Convertible Preferred Stocks (Identified Cost $424,684,081)		372,322,186
	Non-Convertible Preferred Stocks – 0.8%
		Banking – 0.2%
	53,000	Bank of America Corp., 6.375%		1,293,200
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		33,476,643
	534,725	Countrywide Capital IV, 6.750%		13,132,846
				47,902,689
		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		119,285
	100	Entergy Arkansas, Inc., 4.320%		8,900
	5,000	Entergy Mississippi, Inc., 4.360%		439,375
	665	Entergy New Orleans, Inc., 4.360%		59,123
	200	Entergy New Orleans, Inc., 4.750%		19,100
	49	MDU Resources Group, Inc., 5.100%		4,892
	50,100	Southern California Edison Co., 4.780%		1,265,025
				1,915,700
		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(h)		39,757,500
		Home Construction – 0.0%
	41,783	Hovnanian Enterprises, Inc., 7.625%(f)		255,712
		Independent Energy – 0.0%
	14,400	Chesapeake Energy Corp., 5.000%		1,076,400
		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		6,881,794
		Non-Captive Diversified – 0.3%
	65,854	Ally Financial, Inc., Series G, 7.000%, 144A		58,669,743
		REITs - Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,772,908

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		REITs - Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%	$	10,055,917
		Total Non-Convertible Preferred Stocks (Identified Cost $120,948,810)		169,288,363
		Total Preferred Stocks (Identified Cost $545,632,891)		541,610,549
	Closed End Investment Companies – 0.0%
	285,720	Morgan Stanley Emerging Markets Debt Fund, Inc.		3,162,921
	680,008	NexPoint Credit Strategies Fund		4,270,450
		Total Closed End Investment Companies (Identified Cost $12,368,390)		7,433,371
Principal Amount
	Short-Term Investments – 2.5%
$	2,394,004	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $2,394,004 on 7/02/2012 collateralized by $2,375,000 U.S. Treasury Note, 1.750%, due 3/31/2014 valued at $2,443,854 including accrued interest(i)		2,394,004
	516,753,211	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $516,753,211 on 7/02/2012 collateralized by $12,045,000 Federal Home Loan Bank Discount Note, 8/29/2012 valued at $12,038,978; $2,765,000 Federal Home Loan Mortgage Corp. Discount Note, 9/04/2012 valued at $2,763,618; $10,350,000 U.S. Treasury Bond, 4.625% due 2/15/2040 valued at $14,492,877; $26,915,000 U.S. Treasury Note, 2.750% due 2/15/2019 valued at $30,111,156; $330,640,000 U.S. Treasury Note, 2.625% due 4/30/2018 valued at $363,801,869; $93,050,000 U.S. Treasury Note, 2.375% due 5/31/2018 valued at $100,959,250; $2,870,000 U.S. Treasury Note, 1.000% due 8/31/2016 valued at $2,923,813 including accrued interest(i)		516,753,211
		Total Short-Term Investments (Identified Cost $519,147,215)		519,147,215
		Total Investments – 98.7% (Identified Cost $19,063,290,857)(a)		20,764,730,534
		Other assets less liabilities – 1.3%		273,751,592
		Net Assets – 100.0%	$	21,038,482,126

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

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

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $19,155,274,711 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	$	2,345,345,442
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(735,889,619	)
Net unrealized appreciation	$	1,609,455,823

At September 30, 2011, the Fund had a capital loss carryforward of $628,747,521 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c) Illiquid security. At June 30, 2012, the value of these securities amounted to $447,965,018 or 2.1% of net assets.

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

(e) Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of these securities amounted to $18,000,000 or 0.1% of net assets.

(f) Non-income producing security.

(g) Maturity has been extended under the terms of a plan of reorganization.

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

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $2,328,941,784 or 11.1% of net assets.

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

ABS Asset-Backed Securities

AGMC Assured Guaranty Municipal 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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	1,779,134,133	$	31,917,229	$	1,811,051,362
Construction Machinery		—		99,696,908		2,131,402		101,828,310
Electric		—		552,390,264		18,000,000		570,390,264
Non-Captive Consumer		3,241,324		915,695,462		—		918,936,786
Sovereigns		—		446,914,802		32,211,064		479,125,866
All Other Non-Convertible Bonds*		—		12,449,911,112		—		12,449,911,112
Total Non-Convertible Bonds		3,241,324		16,243,742,681		84,259,695		16,331,243,700
Convertible Bonds*		—		1,665,823,642		—		1,665,823,642
Municipals*		—		218,907,646		—		218,907,646
Total Bonds and Notes		3,241,324		18,128,473,969		84,259,695		18,215,974,988
Senior Loans*		—		391,195,001		—		391,195,001
Common Stocks*		1,089,369,410		—		—		1,089,369,410
Preferred Stocks
Convertible Preferred Stocks
Banking		39,220,800		15,508,946		—		54,729,746
Construction Machinery		—		8,453,631		—		8,453,631
Consumer Products		—		15,168,766		—		15,168,766
Independent Energy		7,009,918		15,571,612		—		22,581,530
Pipelines		16,497,211		4,057,813		—		20,555,024
All Other Convertible Preferred Stocks*		250,833,489		—		—		250,833,489
Total Convertible Preferred Stocks		313,561,418		58,760,768		—		372,322,186
Non-Convertible Preferred Stocks Electric		1,265,025		650,675		—		1,915,700

Government Sponsored		—		39,757,500		—		39,757,500
Non-Captive Diversified		—		58,669,743		—		58,669,743
REITs - Office Property		—		2,772,908		—		2,772,908
All Other Non-Convertible Preferred Stocks*		66,172,512		—		—		66,172,512
Total Non-Convertible Preferred Stocks		67,437,537		101,850,826		—		169,288,363
Total Preferred Stocks		380,998,955		160,611,594		—		541,610,549
Closed End Investment Companies		7,433,371		—		—		7,433,371
Short-Term Investments		—		519,147,215		—		519,147,215
Total	$	1,481,043,060	$	19,199,427,779	$	84,259,695	$	20,764,730,534

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

A preferred stock valued at $10,537,480 was transferred from Level 1 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policy; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Net Purchases		Net Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depre- ciation) from Investments Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—		$	494,315		$	31,422,914	$	—		$	—	$	—		$	31,917,229	$	494,315
Construction Machinery		—		52		—			(173,983	)		—		—			2,305,333		—			2,131,402		(173,983	)
Consumer Cyclical Services		5,032,625		—		—			—			—		—			—		(5,032,625	)		—		—
Electric		—		—		—			(12,585,433	)		—		—			30,585,433		—			18,000,000		(12,585,433	)
Sovereigns		—		11,382,814		—			(68,925,526	)		44,100		—			89,709,676		—			32,211,064		(68,925,526	)
Technology		910,000		44,969		(2,133,583	)		2,371,227			—		(1,192,613	)		—		—			—		—
Treasuries		1,072,828		29,021		(1,337,634	)		839,582			—		(603,797	)		—		—			—		—
Preferred Stocks
Convertible Preferred Stocks
Electric		9,376,875		—		359,347			682,528			—		(10,418,750	)		—		—			—		—
Independent Energy		14,460,000		—		—			—			—		—			—		(14,460,000	)		—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		31,705,800		—		—			—			—		—			—		(31,705,800	)		—		—
Total	$	62,558,128	$	11,456,856	$	(3,111,870	)	$	(77,297,290	)	$	31,467,014	$	(12,215,160	)		122,600,442	$	(51,198,425	)	$	84,259,695	$	(81,190,627	)

Debt securities valued at $92,015,009 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

Debt securities valued at $30,585,433 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

A debt security valued at $5,032,625 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Preferred stocks valued at $46,165,800 were transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	20.5	%
Banking	9.1
Non-Captive Diversified	6.2
Wirelines	4.7
Non-Captive Consumer	4.5
Technology	4.5
Automotive	4.0
Electric	2.8
Healthcare	2.4
Pharmaceuticals	2.3
Sovereigns	2.3
Life Insurance	2.2
Semiconductors & Semiconductor Equipment	2.0
Airlines	2.0
Supranational	2.0
Pipelines	2.0
Other Investments, less than 2% each	22.7
Short-Term Investments	2.5
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)

United States Dollar	63.0	%
Canadian Dollar	13.3
Euro	4.5
New Zealand Dollar	4.4
Australian Dollar	3.8
Norwegian Krone	3.1
Indonesian Rupiah	2.1
Other, less than 2% each	4.5
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

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

Loomis Sayles Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 88.4% of Net Assets
	Non-Convertible Bonds – 79.2%
		ABS Other – 0.1%
$	710,384	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029	$	718,312
		Aerospace & Defense – 0.2%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		175,875
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		532,168
	400,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		302,285
	1,500,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,216,144
				2,226,472
		Airlines – 0.8%
	102,517	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		103,799
	44,271	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		44,993
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		72,041
	275,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		277,750
	1,277,955	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,303,514
	266,712	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		284,049
	484,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		511,225
	1,009,113	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,054,523
	1,624,478	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,721,947
	1,420,000	US Airways Pass Through Trust, Series 2012-1, Class C, 9.125%, 10/01/2015		1,423,550
	1,010,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,033,988
	540,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		553,500
				8,384,879
		Automotive – 2.4%
	2,200,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,260,500
	200,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		260,693
	765,000	Ford Motor Co., 6.375%, 2/01/2029		830,002
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,163,900

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	165,000	Ford Motor Co., 6.625%, 2/15/2028	$	183,221
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,757,219
	690,000	Ford Motor Co., 7.125%, 11/15/2025		783,150
	9,250,000	Ford Motor Co., 7.450%, 7/16/2031		11,585,625
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,908,200
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		716,839
	565,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		668,257
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		355,313
				25,472,919
		Banking – 9.5%
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,928,042
	500,000	Bank of America Corp., 4.850%, 11/15/2014		489,451
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		1,934,956
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,133,451
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,642,205
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,118,321
	250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		167,046
	535,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		626,264
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		1,425,218
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		1,348,706
	1,750,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		1,627,748
	2,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		2,772,087
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		855,000
	1,525,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		1,311,500
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		1,159,343
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		3,926,007
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		243,418
	135,000	Citigroup, Inc., 5.850%, 12/11/2034		144,911

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033	$	3,211,174
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,216,764
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		781,944
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		11,326,500
	200,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		214,502
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		4,062,320
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,012,522
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		5,755,069
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		103,508
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,985,414
	1,700,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		1,757,611
	5,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,276,673
	50,000	Merrill Lynch & Co., Inc., EMTN, 1.211%, 9/14/2018, (EUR)(c)		46,197
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		1,161,617
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		285,768
	200,000	Morgan Stanley, 0.947%, 10/15/2015(c)		178,170
	130,000	Morgan Stanley, 3.450%, 11/02/2015		125,885
	465,000	Morgan Stanley, 3.800%, 4/29/2016		450,493
	7,300,000	Morgan Stanley, 5.500%, 7/24/2020		7,142,072
	7,400,000	Morgan Stanley, 5.750%, 1/25/2021		7,296,711
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		5,218,447
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		80,360
	200,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		195,884
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		4,358,285
	1,600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		1,654,630
	300,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		296,910
	900,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(c)		784,375

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	625,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017	$	641,976
	300,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		478,948
	185,000	RBS Capital Trust A, 2.753%, 12/29/2049, (EUR)(c)		122,912
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		54,173
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		759,531
	150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		136,750
	300,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		292,194
	200,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		229,321
	800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		738,584
	700,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		605,641
	150,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/10/2013, (EUR)		145,406
	600,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/22/2013, (EUR)		588,457
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,778,310
				102,405,682
		Brokerage – 0.9%
	1,495,000	Jefferies Group, Inc., 3.875%, 11/09/2015		1,468,837
	1,245,000	Jefferies Group, Inc., 5.125%, 4/13/2018		1,207,650
	2,700,000	Jefferies Group, Inc., 6.250%, 1/15/2036		2,430,000
	1,800,000	Jefferies Group, Inc., 6.450%, 6/08/2027		1,710,000
	2,530,000	Jefferies Group, Inc., 6.875%, 4/15/2021		2,544,186
				9,360,673
		Building Materials – 1.1%
	860,000	Masco Corp., 4.800%, 6/15/2015		883,629
	240,000	Masco Corp., 5.850%, 3/15/2017		251,577
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,774,720
	800,000	Masco Corp., 6.500%, 8/15/2032		769,007
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,555,738
	815,000	Masco Corp., 7.750%, 8/01/2029		853,902

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	805,000	Owens Corning, Inc., 6.500%, 12/01/2016	$	895,096
	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,178,627
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,608,600
				11,770,896
		Chemicals – 1.1%
	3,440,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		4,744,025
	275,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		280,500
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		121,033
	620,000	Methanex Corp., 5.250%, 3/01/2022		643,256
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,658,806
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(b)		4,087,200
	55,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(b)		48,400
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(b)		769,250
				12,352,470
		Collateralized Mortgage Obligations – 0.1%
	993,620	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.617%, 4/25/2035(c)		917,210
		Commercial Mortgage-Backed Securities – 0.2%
	570,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AM, 5.869%, 9/15/2040		483,736
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		102,558
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,088,838
				1,675,132
		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(b)		1,021,959
	1,155,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		1,209,863
				2,231,822
		Distributors – 0.1%
	1,000,000	ONEOK, Inc., 6.000%, 6/15/2035		1,091,283
		Diversified Manufacturing – 0.9%
	245,000	Textron, Inc., 5.600%, 12/01/2017		269,865

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Diversified Manufacturing – continued
$	6,855,000	Textron, Inc., 5.950%, 9/21/2021	$	7,768,634
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,518,313
				9,556,812
		Electric – 4.0%
	730,000	AES Corp. (The), 7.750%, 3/01/2014		792,050
	2,928,050	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,291,480
	3,935,866	Bruce Mansfield Unit, 6.850%, 6/01/2034		4,120,615
	380,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(d)		254,600
	810,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		542,700
	7,205,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		5,738,905
	5,555,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		4,832,400
	100,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		110,300
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		1,663,252
	1,589,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,956,587
	3,500,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		2,747,703
	2,890,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		3,085,075
	275,000	Enersis S.A., 7.375%, 1/15/2014		294,314
	4,000,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,683,444
	3,256,600	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)		3,315,447
	675,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(d)		108,000
	2,865,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		1,955,362
	765,000	TXU Corp., Series P, 5.550%, 11/15/2014		548,888
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		723,413
	1,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		766,312
	450,000	White Pine Hydro LLC, 6.310%, 7/10/2017(b)(g)		355,500
	670,000	White Pine Hydro LLC, 6.960%, 7/10/2037(b)(g)		435,500
	1,280,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)(g)		307,200
				42,629,047

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Food & Beverage – 0.3%
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)	$	2,908,017
		Gaming – 0.4%
	410,000	MGM Resorts International, 6.625%, 7/15/2015		422,300
	435,000	MGM Resorts International, 6.875%, 4/01/2016		437,175
	350,000	MGM Resorts International, 7.500%, 6/01/2016		362,250
	895,000	MGM Resorts International, 7.625%, 1/15/2017		924,087
	2,525,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		2,701,750
				4,847,562
		Government Guaranteed – 0.2%
	1,620,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		1,646,872
		Government Owned - No Guarantee – 0.7%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,358,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,888,443
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,135,289
				7,381,732
		Healthcare – 2.0%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		471,033
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		310,791
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		500,973
	455,000	HCA, Inc., 5.750%, 3/15/2014		476,044
	610,000	HCA, Inc., 5.875%, 3/15/2022		637,450
	2,345,000	HCA, Inc., 6.250%, 2/15/2013		2,397,762
	410,000	HCA, Inc., 6.375%, 1/15/2015		435,625
	115,000	HCA, Inc., 6.750%, 7/15/2013		119,887
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,190,500
	820,000	HCA, Inc., 7.190%, 11/15/2015		865,100
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,417,844
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,350,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	2,660,000	HCA, Inc., 7.690%, 6/15/2025	$	2,560,250
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,253,300
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,798,150
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		404,200
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016(b)		349,372
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,504,312
				22,042,593
		Home Construction – 0.8%
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		188,325
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		75,325
	835,000	KB Home, 8.000%, 3/15/2020		851,700
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,785,000
	1,152,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,186,560
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,136,000
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,617,000
				8,839,910
		Independent Energy – 1.4%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,665,333
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,224,529
	100,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		99,000
	975,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		960,375
	300,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		255,000
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		6,088,987
	1,465,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,799,908
				15,093,132
		Life Insurance – 2.7%
	2,300,000	American International Group, Inc., 6.250%, 3/15/2087		2,127,500
	10,165,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		11,029,025

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	615,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018	$	679,897
	175,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		189,977
	3,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		2,652,000
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		201,738
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,478,631
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,780,750
	1,000,000	MetLife, Inc., 6.400%, 12/15/2066		980,276
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,558,213
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,285,865
	1,000,000	Protective Life Secured Trust, 4.030%, 9/10/2014(c)		1,011,250
				28,975,122
		Local Authorities – 4.7%
	4,505,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		4,727,013
	5,500,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		6,285,787
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,817,330
	565,743	Province of Alberta, 5.930%, 9/16/2016, (CAD)		616,089
	11,700,000	Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		11,336,853
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		21,676,060
	830,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		897,009
				50,356,141
		Lodging – 0.0%
	150,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		152,250
		Media Cable – 0.2%
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,778,734
		Media Non-Cable – 0.5%
	730,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		751,900
	2,630,000	News America, Inc., 6.150%, 3/01/2037		2,979,908
	1,960,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		1,920,800
				5,652,608

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Metals & Mining – 2.0%
$	1,100,000		Alcoa, Inc., 5.720%, 2/23/2019	$	1,165,810
	300,000		Alcoa, Inc., 5.870%, 2/23/2022		308,644
	400,000		Alcoa, Inc., 5.900%, 2/01/2027		395,746
	855,000		ArcelorMittal, 5.500%, 3/01/2021		809,272
	2,295,000		ArcelorMittal, 6.125%, 6/01/2018		2,327,008
	6,630,000		ArcelorMittal, 6.750%, 3/01/2041		6,188,382
	3,300,000		ArcelorMittal, 7.000%, 10/15/2039		3,203,152
	6,945,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		5,885,888
	1,760,000		United States Steel Corp., 7.500%, 3/15/2022		1,689,600
					21,973,502
			Non-Captive Consumer – 2.9%
	300,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		150,000
	3,569,000		Residential Capital LLC, 9.625%, 5/15/2015(d)		3,444,085
	31,725	(††)	SLM Corp., 6.000%, 12/15/2043		684,969
	760,000		SLM Corp., MTN, 5.125%, 8/27/2012		762,847
	35,000		SLM Corp., Series A, MTN, 0.766%, 1/27/2014(c)		33,434
	1,665,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		1,714,950
	200,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		201,838
	145,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		138,112
	2,920,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		2,974,703
	200,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		206,993
	3,990,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,371,550
	7,986,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,944,320
	300,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		239,250
	1,050,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		1,040,812
	595,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		495,338
	1,805,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		1,732,800
	1,000,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		996,250

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017	$	1,659,000
	3,255,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,597,881
				31,389,132
		Non-Captive Diversified – 4.9%
	224,000	Ally Financial, Inc., 6.875%, 8/28/2012		225,120
	682,000	Ally Financial, Inc., 7.500%, 12/31/2013		722,920
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,556,531
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,616,950
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,343,685
	5,195,000	Ally Financial, Inc., 8.300%, 2/12/2015		5,662,550
	1,630,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		1,788,866
	35,000	General Electric Capital Corp., 5.625%, 5/01/2018		40,234
	170,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		195,161
	2,390,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		1,995,771
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,156,879
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,602,523
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,243,202
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,782,841
	295,000	International Lease Finance Corp., 5.875%, 4/01/2019		295,286
	6,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		6,194,000
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,407,762
	635,000	International Lease Finance Corp., 8.250%, 12/15/2020		727,185
	3,045,000	International Lease Finance Corp., 8.625%, 9/15/2015		3,364,725
	790,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		808,762
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		198,563
	1,410,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,272,525
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		27,975
	2,495,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,495,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014	$	183,788
	1,245,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		1,202,981
				53,111,785
		Oil Field Services – 0.0%
	235,000	Parker Drilling Co., 9.125%, 4/01/2018		248,513
		Packaging – 0.2%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,277,500
		Paper – 1.5%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,471,287
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,687,378
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,850,256
	1,045,000	Westvaco Corp., 7.950%, 2/15/2031		1,193,943
	1,080,000	Westvaco Corp., 8.200%, 1/15/2030		1,282,136
				16,485,000
		Pipelines – 1.4%
	575,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		681,818
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		280,594
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,682,997
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		379,666
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,431,082
	755,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		721,025
	5,890,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		6,317,025
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		279,140
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,075,229
	1,285,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		1,105,100
				14,953,676
		Property & Casualty Insurance – 1.3%
	80,000	Axis Capital Holdings Ltd., 5.750%, 12/01/2014		84,768
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		3,898,791

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020	$	3,068,383
	1,545,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		834,300
	1,425,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		1,391,558
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,264,959
	1,430,000	XL Group PLC, 6.250%, 5/15/2027		1,571,498
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,265,295
				14,379,552
		Property Trust – 0.3%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,492,424
		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		410,000
		REITs - Apartments – 0.2%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,678,344
	70,000	ERP Operating LP, 5.125%, 3/15/2016		77,169
				1,755,513
		REITs - Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		232,186
		REITs - Office Property – 0.4%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,739,569
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		546,199
				4,285,768
		REITs - Regional Malls – 0.1%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		230,234
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		330,033
				560,267
		REITs - Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		206,802
	815,000	Realty Income Corp., 6.750%, 8/15/2019		960,211
				1,167,013

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs - Warehouse/Industrials – 0.0%
$	100,000	ProLogis LP, 5.625%, 11/15/2015	$	108,985
	80,000	ProLogis LP, 5.750%, 4/01/2016		87,363
				196,348
		Retailers – 0.7%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,026,281
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,192,125
	1,079,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		814,645
	575,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		534,031
	70,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		58,625
	3,505,000	Toys R Us, Inc., 7.375%, 10/15/2018		2,847,813
	750,000	Toys R Us, Inc., 7.875%, 4/15/2013		765,000
				7,238,520
		Sovereigns – 2.1%
	1,787,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		243,723
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		4,550,603
	7,590,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		789,695
	10,850,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		5,888,225
	14,885,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		9,208,172
	91,890,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		447,957
	212,600,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		1,077,363
				22,205,738
		Supermarkets – 0.9%
	125,000	American Stores Co., 7.900%, 5/01/2017		121,406
	25,000	American Stores Co., 8.000%, 6/01/2026		20,875
	6,955,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,111,925
	1,470,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,161,300
	2,840,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,201,000
	205,000	New Albertson’s, Inc., 8.700%, 5/01/2030		167,075

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
$	1,745,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	1,204,050
				9,987,631
		Supranational – 2.9%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,554,556
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		13,554,908
				31,109,464
		Technology – 0.9%
	2,650,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		3,182,221
	980,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		666,400
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		54,000
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,805,256
	130,000	Avnet, Inc., 6.625%, 9/15/2016		148,156
	450,000	Corning, Inc., 6.850%, 3/01/2029		539,495
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,451,512
	247,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		253,792
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		175,890
	150,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		162,750
	926,400	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,122,926
				9,562,398
		Tobacco – 0.5%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,985,893
	810,000	Reynolds American, Inc., 7.250%, 6/15/2037		978,850
				4,964,743
		Transportation Services – 0.3%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)		1,712,500
	676,891	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		643,047
	666,777	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		573,428
	214,507	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		208,071
				3,137,046

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – 16.0%
	8,525,000		Canadian Government, 1.750%, 3/01/2013, (CAD)	$	8,416,062
	19,910,000		Canadian Government, 2.000%, 9/01/2012, (CAD)		19,591,823
	26,805,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		27,375,011
	13,195,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		13,749,447
	2,860,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		2,873,287
	7,385,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		8,338,863
	9,615,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		10,979,006
	7,050,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		8,165,203
	3,100,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		3,489,472
	450,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		518,493
	6,710,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		7,726,322
	205,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		221,945
	205,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		236,350
	200,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		238,098
	305,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,764,398
	56,415,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		10,683,348
	9,425,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		1,743,308
	27,350,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		4,792,164
	1,275,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,035,874
	250,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		155,024
	375,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		329,546
	1,325,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,075,826
	359,880,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		1,818,535
	35,000,000		U.S. Treasury Note, 0.250%, 5/31/2014		34,956,250
					171,273,655
			Wireless – 1.0%
	1,510,000		Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		1,511,888
	4,870,000		Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		4,876,087

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
$	53,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013	$	53,199
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,114,735
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		958,800
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		273,000
	898,000	Sprint Nextel Corp., 6.000%, 12/01/2016		859,835
				10,647,544
		Wirelines – 3.1%
	355,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		234,300
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		230,420
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		874,499
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		697,493
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		4,037,435
	200,000	Embarq Corp., 7.995%, 6/01/2036		208,919
	1,960,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		2,058,000
	985,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,024,400
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		151,200
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		152,366
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		807,378
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,753,994
	550,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		598,651
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,512,680
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,946,492
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		361,876
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		763,145
	790,000	Qwest Corp., 6.875%, 9/15/2033		786,050
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,797,800
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,338,767
	1,480,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,135,900

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033	$	1,095,075
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		908,472
	1,300,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		1,753,490
				33,228,802
		Total Non-Convertible Bonds (Identified Cost $778,373,372)		850,742,002
	Convertible Bonds – 8.6%
		Airlines – 0.0%
	470,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		451,506
		Automotive – 0.4%
	135,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		98,887
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		4,065,750
				4,164,637
		Diversified Manufacturing – 0.5%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,071,050
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		502,987
				5,574,037
		Electric – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		850,625
		Gaming – 0.0%
	235,000	MGM Resorts International, 4.250%, 4/15/2015		238,231
		Healthcare – 0.2%
	210,000	Hologic, Inc., (accretes to principal after 3/1/2018), 2.000%, 3/01/2042(f)		194,513
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		1,668,462
				1,862,975
		Independent Energy – 0.4%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,257,869
	2,400,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		2,055,000
	900,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		822,375
				4,135,244

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Life Insurance – 1.5%
$	17,935,000	Old Republic International Corp., 3.750%, 3/15/2018	$	16,141,500
		Media Non-Cable – 0.0%
	342,365	Liberty Media LLC, 3.500%, 1/15/2031		149,785
		Metals & Mining – 0.2%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		245,575
	1,540,000	United States Steel Corp., 4.000%, 5/15/2014		1,559,250
				1,804,825
		Pharmaceuticals – 1.1%
	175,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		175,000
	7,925,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		9,460,469
	1,370,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,789,562
				11,425,031
		Technology – 3.6%
	3,600,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		3,550,500
	5,195,000	Ciena Corp., 0.875%, 6/15/2017		4,441,725
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		3,843,688
	8,417,000	Intel Corp., 2.950%, 12/15/2035		9,521,731
	7,000,000	Intel Corp., 3.250%, 8/01/2039		9,423,750
	600,000	Micron Technology, Inc., 1.875%, 6/01/2014		588,000
	7,185,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		6,421,594
	1,385,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		1,275,931
				39,066,919
		Wirelines – 0.6%
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		3,632,800
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		2,378,050
				6,010,850
		Total Convertible Bonds (Identified Cost $85,067,575)		91,876,165

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 0.6%
		Michigan – 0.2%
$	2,340,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)	$	1,733,870
		Virginia – 0.4%
	7,725,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		4,938,670
		Total Municipals (Identified Cost $10,045,982)		6,672,540
		Total Bonds and Notes (Identified Cost $873,486,929)		949,290,707
	Senior Loans – 0.0%
		Media Non-Cable – 0.0%
	500,890	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c) (Identified Cost $496,324)		284,100
Shares
	Preferred Stocks – 3.2%
	Convertible Preferred Stocks – 2.5%
		Automotive – 0.9%
	248,530	General Motors Co., Series B, 4.750%		8,251,196
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%		1,762,776
				10,013,972
		Banking – 0.5%
	2,844	Bank of America Corp., Series L, 7.250%		2,772,900
	55,743	Sovereign Capital Trust IV, 4.375%		2,828,957
				5,601,857
		Construction Machinery – 0.1%
	19,095	United Rentals Trust I, 6.500%		969,071
		Consumer Products – 0.1%
	27,675	Newell Financial Trust I, 5.250%		1,390,669
		Electric – 0.1%
	10,000	AES Trust III, 6.750%		493,100
		Independent Energy – 0.0%
	775	Chesapeake Energy Corp., 4.500%		62,194

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Pipelines – 0.5%
	96,065	El Paso Energy Capital Trust I, 4.750%	$	4,865,692
		REITs - Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		399,600
		Technology – 0.3%
	3,875	Lucent Technologies Capital Trust I, 7.750%		2,615,625
		Total Convertible Preferred Stocks (Identified Cost $26,406,794)		26,411,780
	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.1%
	5,000	Bank of America Corp., 6.375%		122,000
	20,975	Countrywide Capital IV, 6.750%		515,146
				637,146
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		8,002
	2,876	Entergy New Orleans, Inc., 4.750%		274,658
	12	MDU Resources Group, Inc., 5.100%		1,198
	4,670	Union Electric Co., 4.500%		425,904
				709,762
		Government Sponsored – 0.2%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		3,138,750
		Independent Energy – 0.0%
	750	Chesapeake Energy Corp., 5.000%		56,062
		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,153,345
		Non-Captive Diversified – 0.2%
	2,571	Ally Financial, Inc., Series G, 7.000%, 144A		2,290,520
		Total Non-Convertible Preferred Stocks (Identified Cost $6,495,883)		7,985,585
		Total Preferred Stocks (Identified Cost $32,902,677)		34,397,365

Shares		Description	Value (†)
	Common Stocks – 4.9%
		Biotechnology – 0.7%
	127,420	Vertex Pharmaceuticals, Inc.(e)	$	7,125,326
		Chemicals – 0.6%
	62,529	PPG Industries, Inc.		6,635,577
		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(e)		677,717
	136	Rock-Tenn Co., Class A		7,419
				685,136
		Diversified Telecommunication Services – 0.3%
	8,050	Hawaiian Telcom Holdco, Inc.(e)		157,056
	241,163	Telefonica S.A., Sponsored ADR		3,159,235
				3,316,291
		Electronic Equipment, Instruments & Components – 0.2%
	205,167	Corning, Inc.		2,652,809
		Media – 0.0%
	3,027	SuperMedia, Inc.(e)		7,568
		Oil, Gas & Consumable Fuels – 0.8%
	54,259	Chesapeake Energy Corp.		1,009,217
	164,530	Repsol YPF S.A., Sponsored ADR		2,629,190
	70,051	Royal Dutch Shell PLC, ADR		4,723,539
				8,361,946
		Pharmaceuticals – 1.0%
	160,000	Bristol-Myers Squibb Co.		5,752,000
	107,459	Valeant Pharmaceuticals International, Inc.(e)		4,813,089
				10,565,089
		Semiconductors & Semiconductor Equipment – 1.2%
	476,725	Intel Corp.		12,704,721
		Total Common Stocks (Identified Cost $40,230,372)		52,054,463
Principal Amount (‡)
	Short-Term Investments – 2.3%
$	14,486	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $14,486 on 7/02/2012 collateralized by $15,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $15,435 including accrued interest(h)		14,486
	24,011,935	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $24,011,935 on 7/02/2012 collateralized by $24,505,000 Federal Home Loan Bank Discount Note, due 8/29/2012 valued at $24,492,748 including accrued interest(h)		24,011,935
		Total Short-Term Investments (Identified Cost $24,026,421)		24,026,421
		Total Investments – 98.8% (Identified Cost $971,142,723)(a)		1,060,053,056
		Other assets less liabilities – 1.2%		13,410,349
		Net Assets – 100.0%	$	1,073,463,405

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 25.

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $972,920,030 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	$	117,471,758
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(30,338,732	)
Net unrealized appreciation	$	87,133,026

(b) Illiquid security. At June 30, 2012, the value of these securities amounted to $25,847,136 or 2.4% of net assets.

(c) Variable rate security. Rate as of June 30, 2012 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) Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of these securities amounted to $1,098,200 or 0.1% of net assets.

(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, 2012, the value of Rule 144A holdings amounted to $128,559,056 or 12.0% 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

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

MBIA Municipal Bond Investors Assurance Corp.

MTN Medium Term Note

REITs Real Estate Investment Trusts

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ISK Icelandic Krona

KRW South Korean Won

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

SGD Singapore Dollar

Fair Value Measurements

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

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	91,079,182	$	11,326,500	**	$	102,405,682
Electric		—		41,530,847		1,098,200	***		42,629,047
Non-Captive Consumer		684,969		30,704,163		—			31,389,132
All Other Non-Convertible Bonds*		—		674,318,141		—			674,318,141
Total Non-Convertible Bonds		684,969		837,632,333		12,424,700			850,742,002
Convertible Bonds*		—		91,876,165		—			91,876,165
Municipals*		—		6,672,540		—			6,672,540
Total Bonds and Notes		684,969		936,181,038		12,424,700			949,290,707
Senior Loans*		—		284,100		—			284,100
Preferred Stocks
Convertible Preferred Stocks
Banking		2,772,900		2,828,957		—			5,601,857
Construction Machinery		—		969,071		—			969,071
Consumer Products		—		1,390,669		—			1,390,669
All Other Convertible Preferred Stocks*		18,450,183		—		—			18,450,183
Total Convertible Preferred Stocks		21,223,083		5,188,697		—			26,411,780
Non-Convertible Preferred Stocks
Electric		425,904		283,858		—			709,762
Government Sponsored		—		3,138,750		—			3,138,750
Non-Captive Diversified		—		2,290,520		—			2,290,520
All Other Non-Convertible Preferred Stocks*		1,846,553		—		—			1,846,553
Total Non-Convertible Preferred Stocks		2,272,457		5,713,128		—			7,985,585
Total Preferred Stocks		23,495,540		10,901,825		—			34,397,365
Common Stocks*		52,054,463		—		—			52,054,463
Short-Term Investments		—		24,026,421		—			24,026,421
Total	$	76,234,972	$	971,393,384	$	12,424,700		$	1,060,053,056

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

** Valued using broker-dealer bid quotations.

*** Fair valued by the Fund’s investment adviser.

A preferred stock valued at $1,207,960 was transferred from Level 1 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—		$	175,418		$	11,151,082	$	—		$	—	$	—		$	11,326,500	$	175,418
Electric		—		—		—			(1,350,984	)		—		—			2,449,184		—			1,098,200		(1,350,984	)
Treasuries		55,017		1,488		(68,596	)		43,055			—		(30,964	)		—		—			—		—
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		672,600		—		—			—			—		—			—		(672,600	)		—		—
Total	$	727,617	$	1,488	$	(68,596	)	$	(1,132,511	)	$	11,151,082	$	(30,964	)	$	2,449,184	$	(672,600	)	$	12,424,700	$	(1,175,566	)

Debt securities valued at $2,449,184 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities.

A preferred stock valued at $672,600 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	16.0	%
Banking	10.1
Non-Captive Diversified	5.1
Technology	4.8
Local Authorities	4.7
Electric	4.3
Life Insurance	4.2
Automotive	3.7
Wirelines	3.7
Non-Captive Consumer	3.0
Supranational	2.9
Healthcare	2.2
Metals & Mining	2.2
Sovereigns	2.1
Pharmaceuticals	2.1
Other Investments, less than 2% each	25.4
Short-Term Investments	2.3
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)

United States Dollar	69.1	%
Canadian Dollar	12.3
New Zealand Dollar	4.1
Euro	3.0
Australian Dollar	3.0
Other, less than 2% each	7.3
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

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

Loomis Sayles Global Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 96.3% of Net Assets
	Non-Convertible Bonds – 96.0%
		Argentina – 0.4%
$	5,460,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A	$	4,641,000
	6,402,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		4,449,390
				9,090,390
		Australia – 2.3%
	4,705,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		4,680,868
	15,487,908	Australia Government Bond, 3.000%, 9/20/2025, (AUD)		20,123,872
	6,421,291	New South Wales Treasury Corp., 2.750%, 11/20/2025, (AUD)		7,143,515
	5,858,700	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		6,695,734
	6,600,000	SMART Trust/Australia, Series 2012-1USA, Class A3A, 1.500%, 5/14/2016, 144A		6,604,620
	4,700,000	SMART Trust/Australia, Series 2012-1USA, Class A4A, 2.010%, 12/14/2017, 144A		4,715,510
	7,600,000	Westpac Banking Corp., 2.450%, 11/28/2016, 144A		7,816,600
				57,780,719
		Belgium – 1.0%
	18,130,000	Belgium Government Bond, 3.500%, 6/28/2017, (EUR)		24,363,703
		Brazil – 2.2%
	10,299,307	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		5,364,268
	2,598,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		2,669,445
	5,400,000	Itau Unibanco Holding S.A., 5.650%, 3/19/2022, 144A		5,420,520
	4,087,000	Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		4,250,480
	1,000,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		780,000
	6,498,380	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		6,807,053
	12,535,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		6,537,422
	5,400,000	Petrobras International Finance Co., EMTN, 6.250%, 12/14/2026, (GBP)		8,899,359
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		3,798,855
	3,300,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		4,279,102

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brazil – continued
$	6,100,000	Vale Overseas Ltd., 6.875%, 11/21/2036	$	7,075,720
				55,882,224
		Canada – 7.6%
	4,033,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,289,890
	82,289,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(b)		85,746,738
	4,734,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,735,860
	11,300,000	Province of Alberta Canada, 1.000%, 6/21/2017, 144A		11,337,708
	10,025,000	Province of British Columbia Canada, 1.200%, 4/25/2017		10,123,005
	16,500,000	Province of Manitoba Canada, 1.750%, 5/30/2019		16,583,474
	6,086,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		8,798,492
	696,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		8,777,079
	9,992,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		13,745,477
	11,944,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		16,199,784
	1,408,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,486,345
	8,629,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		8,931,324
				190,755,176
		China – 0.1%
	1,400,000	Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A		1,445,037
		Colombia – 0.2%
	5,200,000	Transportadora de Gas Internacional S.A. E.S.P., 5.700%, 3/20/2022, 144A		5,395,000
		Czech Republic – 0.4%
	10,600,000	CEZ AS, 4.250%, 4/03/2022, 144A		10,860,442
		Denmark – 0.5%
	41,563,550	Kingdom of Denmark, 4.000%, 11/15/2015, (DKK)		7,969,301
	3,179,000	TDC A/S, EMTN, 4.375%, 2/23/2018, (EUR)		4,431,584
				12,400,885
		France – 1.2%
	4,687,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		7,540,947
	6,600,000	Danone S.A., 3.000%, 6/15/2022, 144A		6,622,460

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		France – continued
	1,700,000	Klepierre, EMTN, 4.000%, 4/13/2017, (EUR)	$	2,234,769
	422,000	Lafarge S.A., EMTN, 4.750%, 3/23/2020, (EUR)		516,027
	4,542,000	Lafarge S.A., EMTN, 6.625%, 11/29/2018, (EUR)		5,891,595
	6,676,000	Pernod-Ricard S.A., 4.450%, 1/15/2022, 144A		6,917,351
				29,723,149
		Germany – 9.6%
	63,774,209	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		92,649,922
	34,540,000	Bundesrepublik Deutschland, 3.750%, 1/04/2017, (EUR)		49,919,397
	7,000,000	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)		11,593,820
	47,250,000	Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)		70,325,306
	1,035,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		14,826,390
				239,314,835
		India – 0.3%
	1,980,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		1,860,345
	5,177,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		4,607,530
				6,467,875
		Italy – 2.8%
	1,785,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		1,705,144
	2,300,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		2,650,201
	4,405,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		4,335,162
	17,770,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		17,220,350
	20,900,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)		25,437,288
	15,177,000	Republic of Italy, 6.875%, 9/27/2023		15,395,549
	3,749,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		2,942,965
	915,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		775,463
				70,462,122
		Japan – 14.8%
	360,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		4,823,284
	5,114,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		4,653,740

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Japan – continued
	2,816,000,000		Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)	$	35,809,719
	7,918,500,000		Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)(b)		100,232,846
	1,923,550,000		Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		25,155,828
	11,336,100,000		Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		150,092,176
	1,540,000,000		Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		21,111,399
	2,066,450,000		Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		27,877,286
					369,756,278
			Korea – 2.0%
	440,500,000		Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,458,673
	9,810,000		Hana Bank, 4.000%, 11/03/2016, 144A		10,274,533
	13,171,000		Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.243%, 9/20/2016, 144A(c)		12,956,774
	3,088,000		Hyundai Steel Co., 4.625%, 4/21/2016, 144A		3,209,473
	8,538,000		Korea Finance Corp., 4.625%, 11/16/2021		9,256,353
	5,000,000		Korea National Oil Corp., 3.125%, 4/03/2017, 144A		5,098,605
					51,254,411
			Latvia – 0.3%
	7,500,000		Republic of Latvia, 5.250%, 2/22/2017, 144A		7,743,750
			Lithuania – 0.2%
	4,542,000		Lithuania Government International Bond, 6.125%, 3/09/2021, 144A		4,996,200
			Luxembourg – 0.1%
	2,725,000		ArcelorMittal, 6.125%, 6/01/2018		2,763,006
			Mexico – 3.7%
	2,870,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		1,879,850
	4,283,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		2,826,780
	3,134,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		3,259,360
	7,630,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		7,744,450
	3,622,486	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		29,370,495
	1,000,065	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		8,904,834

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Mexico – continued
	1,247,129	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)	$	11,303,478
	2,968,403	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		26,921,996
					92,211,243
			Namibia – 0.1%
	3,588,000		Namibia International Bonds, 5.500%, 11/03/2021, 144A		3,731,520
			Netherlands – 0.8%
	5,400,000		ABN Amro Bank N.V., 4.250%, 2/02/2017, 144A		5,498,010
	6,150,000		Allianz Finance II BV, EMTN, 4.750%, 7/22/2019, (EUR)		8,754,373
	681,000		EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		751,144
	2,900,000		EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		4,019,527
	300,000		Enel Finance International, EMTN, 5.750%, 9/14/2040, (GBP)		337,659
					19,360,713
			New Zealand – 0.9%
	24,516,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		23,595,308
			Norway – 2.0%
	3,625,000		Eksportfinans ASA, 2.000%, 9/15/2015		3,244,179
	32,562,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		6,166,289
	202,670,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)(b)		40,208,632
					49,619,100
			Philippines – 0.4%
	359,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		9,084,698
			Poland – 0.5%
	5,360,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		5,886,033
	5,390,000		Poland Government International Bond, 5.000%, 3/23/2022		5,883,185
					11,769,218
			Singapore – 1.1%
	20,163,000		Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		16,079,943
	4,919,000		Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		3,963,151

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Singapore – continued
	8,565,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)	$	7,223,829
				27,266,923
		South Africa – 0.8%
	7,716,000	Edcon Proprietary Ltd., 3.912%, 6/15/2014, 144A, (EUR)(c)		8,874,061
	10,900,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		11,363,686
				20,237,747
		Spain – 0.2%
	3,111,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		2,719,907
	1,817,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		2,146,065
				4,865,972
		Supranationals – 0.7%
	15,870,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		18,185,182
		Turkey – 0.4%
	6,177,000	Akbank TAS, 5.125%, 7/22/2015, 144A		6,293,128
	3,633,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		3,751,072
				10,044,200
		United Arab Emirates – 1.4%
	6,177,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		7,327,466
	4,500,000	Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A		5,012,100
	11,640,000	DP World Ltd., 6.850%, 7/02/2037, 144A		11,436,300
	5,359,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		5,781,021
	4,996,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,333,230
				34,890,117
		United Kingdom – 6.5%
	8,629,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		8,719,113
	4,078,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		5,179,781
	6,449,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		11,219,837
	3,906,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,071,224
	4,360,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,294,391

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – continued
	12,640,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)	$	20,677,474
	24,526,209	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)		46,114,457
	8,065,917	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		15,574,540
	12,693,827	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)		24,759,114
	10,695,599	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		22,198,324
				162,808,255
		United States – 29.7%
	3,603,391	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		4,050,644
	5,550,000	American International Group, Inc., 4.875%, 6/01/2022		5,678,882
	5,137,000	Avnet, Inc., 5.875%, 6/15/2020		5,661,945
	13,640,000	Bank of America Corp., 5.625%, 7/01/2020		14,603,461
	725,167	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		780,478
	4,510,000	Boston Properties LP, 3.850%, 2/01/2023		4,552,367
	3,860,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		3,850,350
	5,804,000	Cameron International Corp., 5.950%, 6/01/2041		6,586,617
	7,267,000	Capital One Financial Corp., 4.750%, 7/15/2021		7,929,605
	5,750,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 1.240%, 8/17/2017, (EUR)(c)		6,909,326
	9,901,000	Citigroup, Inc., 5.500%, 2/15/2017		10,345,951
	543,871	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		552,736
	181,095	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		184,264
	3,313,304	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,594,935
	6,975,000	Corning, Inc., 4.700%, 3/15/2037		7,226,623
	3,542,463	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.663%, 3/15/2039(c)		3,895,668
	5,722,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		5,997,509
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,575,876
	5,309,373	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		5,707,576
	1,302,387	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,317,104
	7,562,000	Dolpin Subsidiary II, Inc., 6.500%, 10/15/2016, 144A		8,166,960

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	5,350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	5,490,297
	6,000,000	Enterprise Fleet Financing LLC, Series 2012-1, Class A2, 1.140%, 11/20/2017, 144A		6,001,765
	11,617,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		11,725,038
	28,385,000	FNMA, (TBA), 2.500%, 8/01/2027(d)		29,183,328
	5,575,000	FNMA, (TBA), 3.000%, 8/01/2027(d)		5,830,230
	22,620,000	FNMA, (TBA), 3.000%, 8/01/2042(d)		23,136,020
	77,550,000	FNMA, (TBA), 3.500%, 8/01/2042(d)		81,294,215
	5,000,000	Ford Motor Credit Co. LLC, 2.750%, 5/15/2015		5,040,570
	4,723,000	Ford Motor Credit Co. LLC, 4.207%, 4/15/2016, 144A		4,904,259
	5,230,000	Fresenius Medical Care US Finance II Inc, 5.625%, 7/31/2019, 144A		5,452,275
	4,607,877	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		4,624,632
	4,668,785	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		5,173,723
	707,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		784,296
	8,327,514	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(c)		9,241,992
	1,095,000	HCA, Inc., 6.375%, 1/15/2015		1,163,438
	2,216,000	HCA, Inc., 6.500%, 2/15/2016		2,387,740
	577,000	HCA, Inc., 7.690%, 6/15/2025		555,363
	567,000	HCA, Inc., MTN, 7.580%, 9/15/2025		541,485
	5,177,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,260,396
	7,644,000	Hyatt Hotels Corp., 5.375%, 8/15/2021		8,397,790
	5,800,000	Hyundai Capital America, 4.000%, 6/08/2017, 144A		6,000,871
	4,028,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		4,416,533
	4,201,000	International Paper Co., 6.000%, 11/15/2041		4,736,291
	6,454,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,807,227
	3,633,000	Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A		3,778,320
	4,723,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 1.050%, 3/19/2018, (EUR)(c)		5,533,062
	5,250,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		4,256,506

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	4,482,579	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 5.846%, 6/12/2050(c)	$	4,980,481
	2,797,638	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		3,028,278
	2,874,845	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		3,164,083
	8,649,000	NII Capital Corp., 7.625%, 4/01/2021		7,416,517
	3,097,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,049,625
	4,165,212	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		4,165,212
	4,000,000	Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017		4,000,000
	7,644,000	SLM Corp., MTN, 8.000%, 3/25/2020		8,370,180
	2,725,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		3,052,000
	1,400,000	Tennessee Gas Pipeline Co., 7.500%, 4/01/2017		1,670,882
	5,600,000	Tennessee Gas Pipeline Co., 8.000%, 2/01/2016		6,587,560
	8,300,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		10,621,284
	10,792,050	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		11,226,894
	15,000,000	U.S. Treasury Bond, 4.375%, 5/15/2041		20,034,375
	5,990,000	U.S. Treasury Note, 0.625%, 2/28/2013(e)		6,007,317
	67,340,000	U.S. Treasury Note, 0.875%, 2/28/2017		67,923,972
	169,970,000	U.S. Treasury Note, 1.500%, 7/31/2016		176,091,640
	8,011,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		7,850,780
	1,817,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		1,821,542
	1,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		1,240,973
	6,405,000	WEA Finance LLC, 4.625%, 5/10/2021, 144A		6,768,990
	2,205,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		3,590,462
	1,750,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,541,511
	6,272,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		6,638,235
	4,360,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		5,558,837
	2,907,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		3,671,827
				743,959,996

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Uruguay – 0.8%
	193,846,828	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)	$	8,903,190
	247,453,425	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		12,427,880
				21,331,070
		Total Non-Convertible Bonds (Identified Cost $2,333,812,052)		2,403,416,464
	Convertible Bonds – 0.1%
		United States – 0.1%
	4,882,000	Ciena Corp., 0.875%, 6/15/2017 (Identified Cost $3,987,124)		4,174,110
	Municipals – 0.2%
		United States – 0.2%
	4,870,000	California Statewide Communities Development Authority, Series A, 4.750%, 4/01/2033 (Identified Cost $4,061,752)		4,971,101
		Total Bonds and Notes (Identified Cost $2,341,860,928)		2,412,561,675
	Short-Term Investments – 7.7%
	52,862,656	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2011 at 0.000% to be repurchased at $52,862,656 on 7/02/2011 collateralized by $40,370,000 Federal National Mortgage Association, 0.375% due 12/28/2012 valued at $40,410,370; $13,445,000 Federal National Mortgage Association, 1.000% due 12/27/2012 valued at $13,512,225 including accrued interest(f)		52,862,656
	139,375,000	U.S. Treasury Bills, 0.115%, 11/08/2012(g)		139,316,323
		Total Short-Term Investments (Identified Cost $192,179,945)		192,178,979
		Total Investments – 104.0% (Identified Cost $2,534,040,873)(a)		2,604,740,654
		Other assets less liabilities – (4.0)%		(101,353,892	)
		Net Assets – 100.0%	$	2,503,386,762

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

Futures contracts are valued at their most recent settlement price.

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

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

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

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, 2012, the net unrealized appreciation on investments based on a cost of $2,541,628,035 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	$	93,823,733
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(30,711,114	)
Net unrealized appreciation	$	63,112,619

At September 30, 2011, the Fund had a short-term capital loss carryforward of $46,558,960 of which $12,495,597 expires on September 30, 2017 and $34,063,363 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

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

(d) 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. 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. No interest accrues to the Fund until the transaction settles.

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 the 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.

(e) All or a portion of this security has been pledged as collateral for open forward foreign currency contracts and/or as initial margin for open futures contracts.

(f) 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.

(g) 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, 2012, the value of Rule 144A holdings amounted to $397,625,726 or 15.9% of net assets.

EMTN Euro Medium Term Note

FNMA Federal National Mortgage Association

MTN Medium Term Note

TBA To Be Announced

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CHF Swiss Franc

DKK Danish Krone

EUR Euro

GBP British Pound

JPY Japanese Yen

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

PHP Philippine Peso

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

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

Contract to Buy/Sell	Delivery Date	Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell1	8/29/2012	Australian Dollar		29,320,000	$	29,849,540	$	(1,187,481	)
Sell2	9/28/2012	British Pound		13,800,000		21,607,927		54,761
Sell1	9/07/2012	Canadian Dollar		37,810,000		37,083,634		(433,607	)
Buy3	9/21/2012	Malaysian Ringgit		62,652,000		19,635,201		(80,325	)
Sell2	7/31/2012	New Zealand Dollar		27,310,000		21,820,079		332,974
Buy2	7/11/2012	Singapore Dollar		12,520,000		9,883,540		(124,054	)
Buy2	9/10/2012	South Korean Won		31,476,000,000		27,357,351		790,842
Buy1	9/10/2012	South Korean Won		24,975,000,000		21,707,010		645,279
Sell4	9/19/2012	Swiss Franc		9,760,000		10,303,386		(120,172	)
Total							$	(121,783	)

Settlement Date	Deliver/Units of Currency			Receive5/Units of  Currency			Unrealized Appreciation (Depreciation)
09/12/2012		Norwegian Krone	140,000,000		Euro	18,346,219	$	(241,509	)

¹ Counterparty is Credit Suisse AG.

² Counterparty is Barclays Bank PLC.

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

⁴ Counterparty is UBS AG.

⁵ Counterparty is Deutsche Bank 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 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 have standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced.

At June 30, 2012, open futures contracts purchased were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		9/19/2012		93	$	15,516,469	$	233,056

At June 30, 2012, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/28/2012		444	$	55,042,125	$	(97,937	)
10 Year U.S. Treasury Note		9/19/2012		288		38,412,000		(170,452	)
30 Year U.S. Treasury Bond		9/19/2012		400		59,187,500		(328,857	)
Total							$	(597,246	)

Fair Value Measurements

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

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	30,513,332	$	27,267,387	**	$	57,780,719
Canada		—		186,019,316		4,735,860	**		190,755,176
United States		—		739,959,996		4,000,000	**		743,959,996
All Other Non-Convertible Bonds*		—		1,410,920,573		—			1,410,920,573
Total Non-Convertible Bonds		—		2,367,413,217		36,003,247			2,403,416,464
Convertible Bonds*		—		4,174,110		—			4,174,110
Municipals*		—		4,971,101		—			4,971,101
Total Bonds and Notes		—		2,376,558,428		36,003,247			2,412,561,675
Short-Term Investments		—		192,178,979		—			192,178,979
Total Investments		—		2,568,737,407		36,003,247			2,604,740,654
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,823,856		—			1,823,856
Futures Contracts (unrealized appreciation)		233,056		—		—			233,056
Total	$	233,056	$	2,570,561,263	$	36,003,247		$	2,606,797,566

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,187,148	)	$	—	$	(2,187,148	)
Futures Contracts (unrealized depreciation)		(597,246	)		—			—		(597,246	)
Total	$	(597,246	)	$	(2,187,148	)	$	—	$	(2,784,394	)

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

** Valued using broker-dealer bid quotations.

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

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Australia	$	25,602,840	$	431,881	$	266,557		$	3,411,821	$	—	$	(2,445,712	)	$	—	$	—	$	27,267,387	$	3,517,405
Canada		4,973,757		—		2,896			227,536		—		(468,329	)		—		—		4,735,860		218,253
Supranationals		10,487,450		5,431		(1,604,887	)		640,526		—		(9,528,520	)		—		—		—		—
United States		—		—		—			970		3,999,030		—			—		—		4,000,000		970
Total	$	41,064,047	$	437,312	$	(1,335,434	)	$	4,280,853	$	3,999,030	$	(12,442,561	)	$	—	$	—	$	36,003,247	$	3,736,628

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 exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is 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 hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the period ended June 30, 2012, the Fund used futures contracts to manage duration.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
Credit Suisse AG	$	(975,809	)	$	191,552
Deutsche Bank AG		(241,509	)		184,532
JP Morgan Chase Bank, N.A.		(80,325	)		186,538
UBS AG		(120,172	)		—

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

As of June 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $1,823,856 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $1,054,523. These amounts do not take into account the value of collateral received by the Fund in the amount of $1,061,048.

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

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

Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	—		$	1,823,856
Futures (unrealized appreciation)		233,056			—
Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	—		$	(2,187,148	)
Futures (unrealized depreciation)		(597,246	)		—

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	52.4	%
Mortgage Related	5.6
Banking	4.9
Local Authorities	3.9
Sovereigns	2.6
Government Guaranteed	2.5
Government Owned - No Guarantee	2.4
Commercial Mortgage-Backed Securities	2.3
ABS Car Loan	2.1
Other Investments, less than 2% each	17.6
Short-Term Investments	7.7
Total Investments	104.0
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	(4.0	)
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)

United States Dollar	49.3	%
Euro	16.1
Japanese Yen	15.5
British Pound	7.1
Canadian Dollar	4.2
Mexican Peso	3.1
Other, less than 2% each	8.7
Total Investments	104.0
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, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 89.9% of Net Assets
	Non-Convertible Bonds – 76.6%
		ABS Home Equity – 0.8%
$	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	64,762
	179,991	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.318%, 7/19/2035(b)		155,080
	73,752	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.765%, 3/25/2035(b)		54,777
	125,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.695%, 6/25/2035(b)		76,389
	225,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.745%, 7/25/2035(b)		166,367
	63,495	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.895%, 12/26/2034(b)		46,874
				564,249
		ABS Other – 0.4%
	36,941	Diamond Resorts Owner Trust, Series 2009-1, Class B, 12.000%, 3/20/2026, 144A		39,493
	229,208	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		229,168
				268,661
		Aerospace & Defense – 1.9%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		889,425
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		151,142
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		243,229
				1,283,796
		Airlines – 2.7%
	39,735	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		40,232
	26,779	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		26,779
	77,123	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		77,123
	75,147	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		74,396
	5,534	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		5,624
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		26,381
	183,234	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		196,976
	523,129	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		529,040
	175,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		184,844
	296,733	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		299,700

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	400,000	US Airways Pass Through Trust, Series 2012-1, Class C, 9.125%, 10/01/2015	$	401,000
				1,862,095
		Automotive – 1.5%
	139,000	Cummins, Inc., 6.750%, 2/15/2027		172,437
	165,000	Ford Motor Co., 6.625%, 2/15/2028		183,221
	35,000	Ford Motor Co., 7.125%, 11/15/2025		39,725
	110,000	Ford Motor Co., 7.500%, 8/01/2026		127,600
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		303,200
	200,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		228,500
				1,054,683
		Banking – 1.5%
	50,000	HBOS PLC, 6.000%, 11/01/2033, 144A		39,137
	700,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		660,418
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		347,159
				1,046,714
		Brokerage – 0.9%
	140,000	Jefferies Group, Inc., 6.250%, 1/15/2036		126,000
	515,000	Jefferies Group, Inc., 6.450%, 6/08/2027		489,250
	20,000	Jefferies Group, Inc., 6.875%, 4/15/2021		20,112
				635,362
		Building Materials – 2.0%
	205,000	Masco Corp., 6.500%, 8/15/2032		197,058
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		149,350
	295,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		289,100
	720,000	USG Corp., 6.300%, 11/15/2016		689,400
	30,000	USG Corp., 9.750%, 1/15/2018		31,500
				1,356,408
		Chemicals – 1.8%
	675,000	Hercules, Inc., 6.500%, 6/30/2029		553,500
	15,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		12,938

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Chemicals – continued
$	235,000	JM Huber Corp., 9.875%, 11/01/2019, 144A	$	252,625
	110,000	Koppers, Inc., 7.875%, 12/01/2019		118,525
	150,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		158,991
	160,000	Momentive Performance Materials, Inc., 9.000%, 1/15/2021		121,200
				1,217,779
		Collateralized Mortgage Obligations – 2.4%
	131,855	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.505%, 1/25/2036(b)		84,611
	76,965	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.569%, 10/25/2034(b)		55,207
	128,869	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.237%, 9/25/2045(b)		103,301
	154,802	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.455%, 5/25/2035(b)		89,321
	152,455	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.904%, 4/25/2035(b)		71,821
	164,970	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.585%, 3/25/2035(b)		89,892
	214,568	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.745%, 1/25/2036(b)		128,812
	225,284	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		172,266
	85,247	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.365%, 7/25/2037(b)(c)		39,947
	277,904	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.405%, 1/25/2047(b)		140,870
	207,416	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		130,635
	127,892	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, 2.763%, 6/25/2034(b)		116,853
	190,282	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.640%, 9/25/2046(b)		144,348
	242,103	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.107%, 8/25/2046(b)		108,060
	263,849	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.485%, 1/25/2047(b)		104,511
	21,089	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.614%, 3/25/2035(b)		19,509
	71,326	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.685%, 4/25/2035(b)		65,841
				1,665,805
		Commercial Mortgage-Backed Securities – 0.9%
	181,341	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.156%, 6/19/2035(b)		169,427
	90,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.790%, 8/10/2045(b)		80,556

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	250,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class AM, 5.856%, 9/12/2049	$	229,254
	170,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048		170,335
				649,572
		Construction Machinery – 1.0%
	200,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		213,000
	140,000	Terex Corp., 8.000%, 11/15/2017		145,250
	95,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		99,513
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		211,000
				668,763
		Consumer Cyclical Services – 0.4%
	40,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		33,200
	225,000	ServiceMaster Co. (The), 8.000%, 2/15/2020		244,969
				278,169
		Consumer Products – 0.5%
	340,000	Visant Corp., 10.000%, 10/01/2017		337,450
		Diversified Manufacturing – 0.4%
	249,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		257,715
		Electric – 3.2%
	44,840	CE Generation LLC, 7.416%, 12/15/2018		44,896
	525,000	Edison Mission Energy, 7.625%, 5/15/2027		286,125
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		235,517
	440,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)(e)		70,400
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		264,000
	345,000	RRI Energy, Inc., 7.875%, 6/15/2017		320,850
	1,415,000	TXU Corp., Series Q, 6.500%, 11/15/2024		675,662
	515,000	TXU Corp., Series R, 6.550%, 11/15/2034		235,613
	365,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(e)(f)		87,600
				2,220,663

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Food & Beverage – 0.3%
$	50,000	ARAMARK Holdings Corp., 8.625%, 5/01/2016, 144A(g)	$	51,188
	185,000	Del Monte Corp., 7.625%, 2/15/2019		186,619
				237,807
		Gaming – 2.4%
	450,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		307,688
	200,000	MGM Resorts International, 6.625%, 7/15/2015		206,000
	480,000	MGM Resorts International, 7.500%, 6/01/2016		496,800
	630,000	MGM Resorts International, 7.625%, 1/15/2017		650,475
				1,660,963
		Government Owned - No Guarantee – 0.6%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		393,000
		Healthcare – 5.2%
	630,000	Emergency Medical Services Corp., 8.125%, 6/01/2019		657,562
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021		5,363
	430,000	HCA, Inc., 7.050%, 12/01/2027		387,000
	30,000	HCA, Inc., 7.500%, 12/15/2023		28,838
	1,240,000	HCA, Inc., 7.500%, 11/06/2033		1,162,500
	260,000	HCA, Inc., 7.690%, 6/15/2025		250,250
	40,000	HCA, Inc., 8.360%, 4/15/2024		40,600
	200,000	HCA, Inc., MTN, 7.580%, 9/15/2025		191,000
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		18,800
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		826,312
				3,568,225
		Home Construction – 3.7%
	10,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		8,825
	40,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		34,900
	200,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A		206,000
	390,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		409,500
	355,000	KB Home, 7.250%, 6/15/2018		353,225

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	305,000	KB Home, 8.000%, 3/15/2020	$	311,100
	215,000	Lennar Corp., 6.950%, 6/01/2018		229,513
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		576,000
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		387,750
				2,516,813
		Independent Energy – 2.4%
	5,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		4,950
	145,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		142,825
	200,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		172,500
	750,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		667,500
	260,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		305,977
	380,000	SandRidge Energy, Inc., 8.125%, 10/15/2022, 144A		383,800
				1,677,552
		Life Insurance – 0.6%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		401,450
		Lodging – 0.1%
	42,000	Felcor Lodging LP, 10.000%, 10/01/2014		47,880
		Media Cable – 1.0%
	640,000	CSC Holdings LLC, 7.625%, 7/15/2018		715,200
		Media Non-Cable – 2.6%
	395,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		337,725
	205,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020, 144A		200,387
	985,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		1,014,550
	185,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		176,213
	85,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		83,300
				1,812,175
		Metals & Mining – 2.9%
	25,000	ArcelorMittal, 6.125%, 6/01/2018		25,349

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	70,000	ArcelorMittal, 6.750%, 3/01/2041	$	65,337
	600,000	ArcelorMittal, 7.000%, 10/15/2039		582,391
	480,000	Arch Coal, Inc., 7.250%, 6/15/2021		402,000
	80,000	United States Steel Corp., 6.050%, 6/01/2017		77,800
	370,000	United States Steel Corp., 6.650%, 6/01/2037		288,600
	600,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		559,500
				2,000,977
		Non-Captive Consumer – 4.3%
	620,000	Residential Capital LLC, 9.625%, 5/15/2015(d)		598,300
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		61,912
	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		718,250
	306,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		342,720
	200,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		198,250
	40,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		33,300
	180,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		172,800
	500,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		395,000
	500,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		399,060
				2,919,592
		Non-Captive Diversified – 2.9%
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		30,450
	50,000	Ally Financial, Inc., 6.750%, 12/01/2014		52,625
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		67,425
	401,000	Ally Financial, Inc., 8.000%, 11/01/2031		470,172
	95,000	Ally Financial, Inc., 8.300%, 2/12/2015		103,550
	395,000	CIT Group, Inc., 5.000%, 5/15/2017		406,850
	170,000	International Lease Finance Corp., 5.875%, 4/01/2019		170,165
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		45,844
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		80,162

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	255,000	International Lease Finance Corp., 8.625%, 1/15/2022	$	295,308
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		66,188
	190,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		183,587
				1,972,326
		Oil Field Services – 1.2%
	680,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		671,500
	130,000	Parker Drilling Co., 9.125%, 4/01/2018		137,475
				808,975
		Packaging – 0.7%
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A		380,000
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019, 144A		103,750
				483,750
		Paper – 0.8%
	455,000	Westvaco Corp., 8.200%, 1/15/2030		540,159
		Pharmaceuticals – 1.0%
	320,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		313,600
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		375,938
				689,538
		Pipelines – 0.7%
	200,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		191,000
	255,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		273,488
				464,488
		Refining – 0.5%
	310,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019		310,775
	15,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019		15,038
				325,813
		REITs - Shopping Centers – 0.3%
	190,000	Developers Diversified Realty Corp., 7.875%, 9/01/2020		227,185

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – 3.5%
$	155,000	Dillard’s, Inc., 6.625%, 1/15/2018	$	161,394
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		462,000
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		186,594
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		78,094
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		303,450
	200,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		151,000
	175,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		146,562
	180,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		197,899
	875,000	Toys R Us, Inc., 7.375%, 10/15/2018		710,937
				2,397,930
		Supermarkets – 1.0%
	70,000	American Stores Co., 8.000%, 6/01/2026		58,450
	220,000	New Albertson’s, Inc., 7.750%, 6/15/2026		173,800
	605,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		417,450
				649,700
		Technology – 5.5%
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,053,600
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		195,750
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		153,338
	680,000	First Data Corp., 8.250%, 1/15/2021, 144A		680,000
	615,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		667,275
				3,749,963
		Textile – 0.7%
	480,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		355,200
	125,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		120,000
				475,200
		Transportation Services – 0.7%
	185,000	APL Ltd., 8.000%, 1/15/2024(e)		126,725
	15,472	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		14,698

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Transportation Services – continued
$	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(h)(k)	$	277,751
	155,000	Overseas Shipholding Group, 7.500%, 2/15/2024		87,575
				506,749
		Wireless – 2.4%
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		175,500
	220,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		220,275
	470,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		470,588
	851,000	Sprint Capital Corp., 6.875%, 11/15/2028		685,055
	10,000	Sprint Capital Corp., 6.900%, 5/01/2019		9,400
	105,000	Sprint Capital Corp., 8.750%, 3/15/2032		95,550
				1,656,368
		Wirelines – 6.3%
	765,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		501,075
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		180,950
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		197,312
	200,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		182,000
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		13,125
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		260,812
	465,000	Frontier Communications Corp., 7.875%, 1/15/2027		409,200
	790,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		821,600
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		462,778
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		325,688
	190,000	Qwest Corp., 6.875%, 9/15/2033		189,050
	10,000	Qwest Corp., 7.250%, 9/15/2025		10,974
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		317,812
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		253,750
	150,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		129,208

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036	$	65,572
				4,320,906
		Total Non-Convertible Bonds (Identified Cost $53,697,400)		52,588,568
	Convertible Bonds – 13.3%
		Automotive – 1.7%
	75,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		54,937
	765,000	Ford Motor Co., 4.250%, 11/15/2016		1,063,350
	40,000	Navistar International Corp., 3.000%, 10/15/2014		37,300
				1,155,587
		Construction Machinery – 0.2%
	125,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		136,875
		Diversified Manufacturing – 1.2%
	515,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		491,825
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		325,463
				817,288
		Electric – 0.8%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		561,413
		Home Construction – 0.9%
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		37,650
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		23,119
	350,000	Lennar Corp., 3.250%, 11/15/2021, 144A		527,187
				587,956
		Independent Energy – 0.3%
	175,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		149,844
	35,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		31,981
				181,825
		Media Non-Cable – 0.1%
	115,159	Liberty Media LLC, 3.500%, 1/15/2031		50,382
		Metals & Mining – 0.4%
	255,000	Peabody Energy Corp., 4.750%, 12/15/2066		206,869

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Metals & Mining – continued
$	95,000	Steel Dynamics, Inc., 5.125%, 6/15/2014	$	99,275
				306,144
		Pharmaceuticals – 1.2%
	125,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		125,000
	580,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		692,375
				817,375
		Technology – 4.4%
	635,000	Ciena Corp., 0.875%, 6/15/2017		542,925
	520,000	Ciena Corp., 3.750%, 10/15/2018, 144A		578,500
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		33,525
	425,000	Intel Corp., 2.950%, 12/15/2035		480,781
	440,000	Intel Corp., 3.250%, 8/01/2039		592,350
	680,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		607,750
	140,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		128,975
	60,000	SanDisk Corp., 1.500%, 8/15/2017		61,725
				3,026,531
		Textile – 0.3%
	235,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		226,481
		Wireless – 0.0%
	40,000	Clearwire Communications LLC/Clearwire Finance, Inc., 8.250%, 12/01/2040, 144A		24,900
		Wirelines – 1.8%
	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(e)		1,211,730
		Total Convertible Bonds (Identified Cost $7,778,997)		9,104,487
		Total Bonds and Notes (Identified Cost $61,476,397)		61,693,055
	Senior Loans – 0.2%
		Media Non-Cable – 0.2%
	181,970	Tribune Company, Term Loan X, 5.000%, 6/04/2009(d)(j) (Identified Cost $181,970)		119,190

Shares		Description	Value (†)
	Preferred Stocks – 5.0%
	Convertible Preferred Stocks – 3.6%
		Automotive – 2.0%
	32,200	General Motors Co., Series B, 4.750%	$	1,069,040
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		275,616
				1,344,656
		Consumer Products – 0.4%
	5,724	Newell Financial Trust I, 5.250%		287,631
		Electric – 0.6%
	7,975	AES Trust III, 6.750%		393,247
		Pipelines – 0.6%
	8,050	El Paso Energy Capital Trust I, 4.750%		407,733
		Total Convertible Preferred Stocks (Identified Cost $2,749,735)		2,433,267
	Non-Convertible Preferred Stocks – 1.4%
		Non-Captive Diversified – 1.4%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		260,482
	803	Ally Financial, Inc., Series G, 7.000%, 144A		715,398
		Total Non-Convertible Preferred Stocks (Identified Cost $722,540)		975,880
		Total Preferred Stocks (Identified Cost $3,472,275)		3,409,147
	Common Stocks – 0.7%
		Diversified Telecommunication Services – 0.4%
	1,017	Hawaiian Telcom Holdco, Inc.(k)		19,842
	16,842	Telefonica S.A., Sponsored ADR		220,630
				240,472
		Household Durables – 0.3%
	23,775	KB Home		232,995
		Total Common Stocks (Identified Cost $453,998)		473,467
	Warrants – 0.0%
	1,603	FairPoint Communications, Inc., Expiration on 1/24/2018(e)(f)(k) (Identified Cost $0)		—
Principal Amount
	Short-Term Investments – 3.0%
$	2,084,226	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $2,084,226 on 7/02/2012 collateralized by $2,120,000 Federal National Mortgage Association, 1.000% due 12/27/2012 valued at $2,130,600 including accrued interest(l) (Identified Cost $2,084,226)		2,084,226

Total Investments – 98.8% (Identified Cost $67,668,866)(a)		67,779,085
Other assets less liabilities – 1.2%		848,370
Net Assets – 100.0%	$	68,627,455

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day.

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

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

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

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $67,707,684 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	$	4,895,208
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,823,807	)
Net unrealized appreciation	$	71,401

At September 30, 2011, the Fund had a short-term capital loss carryforward of $4,658,255 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

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

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

(e) Illiquid security. At June 30, 2012, the value of these securities amounted to $1,496,455 or 2.2% of net assets.

(f) Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of this security amounted to $87,600 or 0.1% of net assets.

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

(h) Maturity has been extended under the terms of a plan of reorganization.

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

(j) Issuer has filed for bankruptcy.

(k) Non-income producing security.

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $15,115,180 or 22.0% 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

GMTN Global Medium Term Note

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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Electric	$	—	$	2,133,063	$	87,600	$	2,220,663
All Other Non-Convertible Bonds*		—		50,367,905		—		50,367,905
Total Non-Convertible Bonds		—		52,500,968		87,600		52,588,568
Convertible Bonds*		—		9,104,487		—		9,104,487
Total Bonds and Notes		—		61,605,455		87,600		61,693,055
Senior Loans*		—		119,190		—		119,190
Preferred Stocks
Convertible Preferred Stocks
Consumer Products		—		287,631		—		287,631
All Other Convertible Preferred Stocks*		2,145,636		—		—		2,145,636
Total Convertible Preferred Stocks		2,145,636		287,631		—		2,433,267
Non-Convertible Preferred Stocks*		260,482		715,398		—		975,880
Total Preferred Stocks		2,406,118		1,003,029		—		3,409,147
Common Stocks*		473,467		—		—		473,467
Warrants**		—		—		—		—
Short-Term Investments		—		2,084,226		—		2,084,226
Total	$	2,879,585	$	64,811,900	$	87,600	$	67,779,085

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

** Fair valued at zero using Level 2 inputs.

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Electric	$	—	$	—	$	—	$	(266,468	)	$	—	$	—	$	354,068	$	—		$	87,600	$	(266,468	)
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		481,800		—		—		—			—		—		—		(481,800	)		—		—
Warrants***		—		—		—		—			—		—		—		—			—		—
Total	$	481,800	$	—	$	—	$	(266,468	)	$	—	$	—	$	354,068	$	(481,800	)	$	87,600	$	(266,468	)

*** Fair valued at zero using Level 2 inputs.

A debt security valued at $354,068 was transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

A preferred stock valued at $481,800 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Technology	9.9	%
Wirelines	8.1
Healthcare	5.2
Automotive	5.2
Electric	4.6
Home Construction	4.6
Non-Captive Diversified	4.3
Non-Captive Consumer	4.3
Retailers	3.5
Metals & Mining	3.3
Media Non-Cable	2.9
Airlines	2.7
Independent Energy	2.7
Wireless	2.4
Collateralized Mortgage Obligations	2.4
Gaming	2.4
Pharmaceuticals	2.2
Building Materials	2.0
Other Investments, less than 2% each	23.1
Short-Term Investments	3.0
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

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

Loomis Sayles Inflation Protected Securities Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 85.9% of Net Assets
		Airlines – 0.5%
$	130,000	Continental Airlines, Inc., 6.750%, 9/15/2015, 144A	$	133,575
		Non-Captive Diversified – 0.5%
	130,000	International Lease Finance Corp., Series R, MTN, 6.625%, 11/15/2013		134,225
		Pipelines – 0.0%
	3,000	Colorado Interstate Gas Co., 5.950%, 3/15/2015		3,179
		Treasuries – 84.5%
	8,771,801	U.S. Treasury Inflation Indexed Bond, 0.125%, 4/15/2017		9,259,732
	6,856,090	U.S. Treasury Inflation Indexed Bond, 0.125%, 1/15/2022		7,254,066
	790,892	U.S. Treasury Inflation Indexed Bond, 0.500%, 4/15/2015		821,168
	1,601,937	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040		2,273,749
	3,316,447	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029		4,602,347
				24,211,062
		Wireless – 0.4%
	130,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		130,162
		Total Bonds and Notes (Identified Cost $24,392,193)		24,612,203
Shares
	Preferred Stocks – 0.4%
		Diversified Manufacturing – 0.4%
	2,100	United Technologies Corp., 7.500% (Identified Cost $105,000)		110,649
Principal Amount
	Short-Term Investments – 13.7%
$	2,103,810	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $2,103,810 on 7/02/2012 collateralized by $2,150,000 Federal Home Loan Mortgage Corp. Discount Note, due 9/04/2012 valued at $2,148,925 including accrued interest(b)		2,103,810
	1,830,000	U.S. Treasury Bill, 0.081%, 9/06/2012(c)		1,829,773
		Total Short-Term Investments (Identified Cost $3,933,536)		3,933,583

Total Investments – 100.0% (Identified Cost $28,430,729)(a)		28,656,435
Other assets less liabilities – 0.0%		2,676
Net Assets – 100.0%	$	28,659,111

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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, 2012, the net unrealized appreciation on investments based on a cost of $28,476,368 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	$	264,021
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(83,954	)
Net unrealized appreciation	$	180,067

At September 30, 2011, the Fund had a short-term capital loss carryforward of $398,203 of which $49,727 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.

(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.

(c) 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, 2012, the value of Rule 144A holdings amounted to $133,575 or 0.5% of net assets.

MTN  Medium Term Note

Fair Value Measurements

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

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

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

• Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	24,612,203	$	—	$	24,612,203
Preferred Stocks*		110,649		—		—		110,649
Short-Term Investments		—		3,933,583		—		3,933,583
Total	$	110,649	$	28,545,786	$	—	$	28,656,435

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

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	84.5	%
Other Investments, less than 2% each	1.8
Short-Term Investments	13.7
Total Investments	100.0
Other assets less liabilities	0.0
Net Assets	100.0	%

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

Loomis Sayles Institutional High Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 84.5% of Net Assets
	Non-Convertible Bonds – 69.1%
		Aerospace & Defense – 1.1%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	135,647
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,185,875
	500,000	Ducommun, Inc., 9.750%, 7/15/2018		526,250
	600,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		453,427
	4,800,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		3,891,663
				7,192,862
		Airlines – 3.1%
	4,110,000	Air Canada, 9.250%, 8/01/2015, 144A		4,017,525
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		938,464
	555,000	Air Canada, 12.000%, 2/01/2016, 144A		489,787
	336,037	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		365,441
	119,532	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		121,481
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		63,924
	339,694	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		343,533
	395,244	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		403,149
	1,576,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A		1,625,250
	514,434	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		527,295
	4,045,505	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		4,146,642
	1,657,906	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,740,802
	683,814	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		700,909
	310,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		317,750
	3,485,000	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		3,493,712
				19,295,664
		Automotive – 1.6%
	600,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		616,500
	500,000	Cummins, Inc., 6.750%, 2/15/2027		620,278

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	15,000	Ford Motor Co., 6.375%, 2/01/2029	$	16,275
	95,000	Ford Motor Co., 6.625%, 2/15/2028		105,491
	1,945,000	Ford Motor Co., 6.625%, 10/01/2028		2,187,421
	230,000	Ford Motor Co., 7.125%, 11/15/2025		261,050
	1,905,000	Ford Motor Co., 7.450%, 7/16/2031		2,386,012
	40,000	Ford Motor Co., 7.500%, 8/01/2026		46,400
	1,655,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		1,652,931
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		1,980,275
				9,872,633
		Banking – 5.2%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		953,137
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,612,970
	7,110,000	HBOS PLC, 6.000%, 11/01/2033, 144A		5,565,281
	9,495,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		8,958,096
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		724,557
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,213,308
	1,700,000	Lloyds Banking Group PLC, (fixed rate to10/1/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		1,020,000
	500,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		471,132
	5,300,000	Morgan Stanley, 5.750%, 1/25/2021		5,226,023
	475,000	RBS Capital Trust A, 2.753%, 12/29/2049, (EUR)(d)		315,584
	80,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		51,632
	135,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		78,975
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		104,800
	85,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		50,150
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,038,717
	115,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		78,296
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		56,525

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	435,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)	$	421,677
	350,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		343,267
				32,284,127
		Brokerage – 0.8%
	1,495,000	Jefferies Group, Inc., 3.875%, 11/09/2015		1,468,838
	945,000	Jefferies Group, Inc., 5.125%, 4/13/2018		916,650
	1,565,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,408,500
	1,095,000	Jefferies Group, Inc., 6.450%, 6/08/2027		1,040,250
	165,000	Jefferies Group, Inc., 6.875%, 4/15/2021		165,925
				5,000,163
		Building Materials – 1.4%
	440,000	Masco Corp., 5.850%, 3/15/2017		461,225
	750,000	Masco Corp., 6.125%, 10/03/2016		800,400
	670,000	Masco Corp., 6.500%, 8/15/2032		644,044
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,301,863
	4,695,000	USG Corp., 6.300%, 11/15/2016		4,495,462
	745,000	USG Corp., 9.750%, 1/15/2018		782,250
				8,485,244
		Chemicals – 2.3%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,495,260
	3,687,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,760,740
	30,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		25,875
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(b)		1,422,720
	555,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(b)		488,400
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(b)		2,244,850
	5,682,777	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(b)(c)		3,977,944
				14,415,789
		Collateralized Mortgage Obligations – 0.2%
	511,127	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 6.403%, 4/25/2037(d)		353,406

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
$	623,613	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037	$	533,301
	76,988	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.863%, 4/25/2035(d)		69,466
	173,205	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.390%, 7/25/2047(d)		105,326
				1,061,499
		Commercial Mortgage-Backed Securities – 0.1%
	340,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AM, 5.869%, 9/15/2040		288,544
	205,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		229,369
				517,913
		Construction Machinery – 1.0%
	250,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		266,250
	1,200,000	Terex Corp., 8.000%, 11/15/2017		1,245,000
	1,995,000	United Rentals North America, Inc., 8.375%, 9/15/2020		2,099,737
	965,000	United Rentals North America, Inc., 10.875%, 6/15/2016		1,084,419
	1,410,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		1,476,975
				6,172,381
		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		125,888
	1,902,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		1,578,660
				1,704,548
		Consumer Products – 0.1%
	400,000	Visant Corp., 10.000%, 10/01/2017		397,000
		Diversified Manufacturing – 0.3%
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,035,800
		Electric – 1.1%
	560,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		623,000
	293,624	AES Ironwood LLC, 8.857%, 11/30/2025		338,402
	100,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(e)		67,000
	490,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(e)		328,300
	720,000	Edison Mission Energy, 7.625%, 5/15/2027		392,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A	$	876,169
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		869,919
	225,710	Midwest Generation LLC, Series B, 8.560%, 1/02/2016		215,553
	1,645,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(e)		263,200
	1,025,000	RRI Energy, Inc., 7.875%, 6/15/2017		953,250
	920,000	TXU Corp., Series P, 5.550%, 11/15/2014		660,100
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		723,413
	420,000	TXU Corp., Series R, 6.550%, 11/15/2034		192,150
	1,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)(f)		240,000
				6,742,856
		Food & Beverage – 0.1%
	350,000	Chiquita Brands International, Inc., 7.500%, 11/01/2014		347,375
		Gaming – 0.3%
	755,000	MGM Resorts International, 6.625%, 7/15/2015		777,650
	655,000	MGM Resorts International, 6.875%, 4/01/2016		658,275
	80,000	MGM Resorts International, 7.500%, 6/01/2016		82,800
	585,000	MGM Resorts International, 7.625%, 1/15/2017		604,013
				2,122,738
		Government Guaranteed – 0.7%
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,317,210
		Government Owned - No Guarantee – 0.6%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		393,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		944,221
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,793,128
	700,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		393,750
				3,524,099
		Government Sponsored – 0.7%
	3,440,000	Eksportfinans ASA, 2.000%, 9/15/2015		3,078,614

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Sponsored – continued
$	1,250,000	Eksportfinans ASA, 2.375%, 5/25/2016	$	1,111,089
				4,189,703
		Healthcare – 3.4%
	3,450,000	CHS/Community Health Systems, Inc., 8.000%, 11/15/2019		3,674,250
	550,000	HCA, Inc., 5.875%, 3/15/2022		574,750
	30,000	HCA, Inc., 6.250%, 2/15/2013		30,675
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		958,500
	965,000	HCA, Inc., 7.190%, 11/15/2015		1,018,075
	865,000	HCA, Inc., 7.500%, 12/15/2023		831,481
	4,290,000	HCA, Inc., 7.500%, 11/06/2033		4,021,875
	1,375,000	HCA, Inc., 7.690%, 6/15/2025		1,323,438
	375,000	HCA, Inc., 8.360%, 4/15/2024		380,625
	600,000	HCA, Inc., MTN, 7.580%, 9/15/2025		573,000
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,457,000
	7,644,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		6,478,290
				21,321,959
		Home Construction – 3.1%
	1,641,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		1,448,182
	3,131,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		2,731,797
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		615,195
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		699,540
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		494,525
	985,000	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016		938,213
	52,000	KB Home, 5.875%, 1/15/2015		51,480
	1,510,000	KB Home, 6.250%, 6/15/2015		1,494,900
	2,145,000	KB Home, 7.250%, 6/15/2018		2,134,275
	3,005,000	KB Home, 8.000%, 3/15/2020		3,065,100
	2,540,000	KB Home, 9.100%, 9/15/2017		2,654,300

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	400,000	Pulte Group, Inc., 6.000%, 2/15/2035	$	320,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,029,500
	870,000	Pulte Group, Inc., 7.875%, 6/15/2032		826,500
				19,503,507
		Independent Energy – 0.9%
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		182,232
	60,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		59,400
	45,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		44,325
	6,195,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		5,265,750
				5,551,707
		Industrial Other – 1.2%
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		7,639,230
		Life Insurance – 2.3%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,480,000
	6,535,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		7,090,475
	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		3,432,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		343,000
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,138,175
				14,483,650
		Local Authorities – 2.5%
	2,245,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		2,355,637
	12,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		13,339,114
				15,694,751
		Media Non-Cable – 1.4%
	3,395,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		2,902,725
	1,400,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		1,387,750
	415,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		427,450
	480,000	R.R. Donnelley & Sons Co., 6.125%, 1/15/2017		453,600
	550,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		523,875

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Non-Cable – continued
$	141,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020	$	131,835
	3,230,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		3,165,400
				8,992,635
		Metals & Mining – 3.4%
	377,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		363,805
	10,690,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		9,059,775
	4,740,000	United States Steel Corp., 6.050%, 6/01/2017		4,609,650
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,575,600
	2,035,000	United States Steel Corp., 7.000%, 2/01/2018		2,009,562
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,532,800
				21,151,192
		Non-Captive Consumer – 3.3%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		500,000
	4,040,000	Residential Capital LLC, 9.625%, 5/15/2015(e)		3,898,600
	875,000	SLM Corp., MTN, 7.250%, 1/25/2022		925,312
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		109,537
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,844,750
	2,020,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,262,400
	1,450,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		1,753,134
	1,540,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,228,150
	250,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		247,813
	525,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		437,062
	2,895,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,779,200
	3,630,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,897,176
				20,883,134
		Non-Captive Diversified – 2.6%
	3,225,000	Ally Financial, Inc., 5.500%, 2/15/2017		3,275,765
	585,000	Ally Financial, Inc., 8.000%, 12/31/2018		647,888
	562,000	Ally Financial, Inc., 8.000%, 11/01/2031		658,945

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
	970,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)	$	809,999
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		215,033
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,564,704
	115,000	International Lease Finance Corp., 5.875%, 4/01/2019		115,111
	200,000	International Lease Finance Corp., 6.250%, 5/15/2019		203,750
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		343,552
	790,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		808,763
	1,110,000	iStar Financial, Inc., 5.850%, 3/15/2017		979,575
	1,335,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,204,837
	944,000	iStar Financial, Inc., 6.050%, 4/15/2015		880,280
	2,940,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,940,000
	120,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		113,100
	565,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		545,931
				16,307,233
		Oil Field Services – 0.0%
	210,000	Parker Drilling Co., 9.125%, 4/01/2018		222,075
		Packaging – 1.0%
	1,555,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		1,770,756
	3,450,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A		3,277,500
	600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019, 144A		598,500
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		489,600
				6,136,356
		Paper – 1.8%
	1,390,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,704,758
	255,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		324,907
	3,620,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		4,702,619
	525,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		701,242

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – continued
$	2,930,000	Georgia-Pacific LLC, 8.875%, 5/15/2031	$	4,130,685
				11,564,211
		Pharmaceuticals – 0.0%
	80,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		80,200
		Pipelines – 0.3%
	1,580,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		1,358,800
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		695,000
				2,053,800
		Property & Casualty Insurance – 0.7%
	1,870,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		1,009,800
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,112,182
				4,121,982
		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		257,480
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		30,000
				287,480
		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		504,332
		Retailers – 2.7%
	430,000	Dillard’s, Inc., 6.625%, 1/15/2018		447,737
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		433,125
	750,000	Dillard’s, Inc., 7.130%, 8/01/2018		799,687
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,897,369
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		123,438
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		177,013
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,819,616
	230,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		173,650
	280,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		234,500
	3,494,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		4,127,955

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – continued
$	295,000	Macy’s Retail Holdings, Inc., 7.000%, 2/15/2028	$	348,582
	7,385,000	Toys R Us, Inc., 7.375%, 10/15/2018		6,000,312
				16,582,984
		Sovereigns – 1.2%
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		157,254
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,300,335
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		953,182
	4,897,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		509,504
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		2,579,649
	12,260,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		59,767
	49,000,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		248,311
				7,808,002
		Supermarkets – 2.8%
	600,000	American Stores Co., 7.900%, 5/01/2017		582,750
	360,000	American Stores Co., 8.000%, 6/01/2026		300,600
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		1,366,113
	3,705,000	New Albertson’s, Inc., 7.450%, 8/01/2029		2,723,175
	2,025,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,599,750
	9,055,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,017,625
	3,980,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,243,700
	940,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		648,600
				17,482,313
		Supranational – 0.2%
	1,639,380,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		164,365
	8,600,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		861,328
				1,025,693
		Technology – 1.8%
	90,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		99,000
	650,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		802,010

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	8,685,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029	$	5,905,800
	4,210,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		2,841,750
	20,000		Freescale Semiconductor, Inc., 8.875%, 12/15/2014		20,550
	12,000		Motorola Solutions, Inc., 6.625%, 11/15/2037		12,715
	1,635,000		Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		1,773,975
					11,455,800
			Textile – 0.8%
	3,235,000		Jones Group, Inc. (The), 6.125%, 11/15/2034		2,393,900
	2,835,000		Jones Group/Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		2,721,600
					5,115,500
			Transportation Services – 0.9%
	3,285,000		APL Ltd., 8.000%, 1/15/2024(b)		2,250,225
	995,997		Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		946,197
	289,324		Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)(h)		231,459
	200,033		Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		172,028
	399,542		Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(g)		303,652
	40,344		Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(g)(h)		32,275
	1,247,000		Overseas Shipholding Group, 7.500%, 2/15/2024		704,555
	740,000		Teekay Corp., 8.500%, 1/15/2020		751,100
					5,391,491
			Treasuries – 2.3%
	3,225,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,735,146
	850,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		956,791
	175,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		201,636
	4,405,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		5,072,198
	95,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		861,042
	6,355,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		1,113,499
	590,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		479,346

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	560,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)	$	347,253
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		153,788
	1,425,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,157,021
	66,455,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		335,808
				14,413,528
		Wireless – 1.1%
	2,725,000	NII Capital Corp., 7.625%, 4/01/2021		2,336,688
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,288,425
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		789,600
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		195,650
				6,610,363
		Wirelines – 6.3%
	410,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		270,600
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		316,663
	5,540,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		5,332,250
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		406,875
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,828,880
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		947,100
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,483,000
	3,055,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		3,135,194
	890,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		934,500
	1,590,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,653,600
	145,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		156,600
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		190,458
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		807,378
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,166,699
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		236,370
	1,100,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,197,301

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	1,529,424
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		771,297
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,431,994
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,250,436
	1,936,000	Qwest Corp., 6.875%, 9/15/2033		1,926,320
	1,500,000	Qwest Corp., 7.200%, 11/10/2026		1,515,000
	645,000	Qwest Corp., 7.250%, 9/15/2025		707,791
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,417,552
	985,000	Qwest Corp., 7.500%, 6/15/2023		990,418
				39,603,700
		Total Non-Convertible Bonds (Identified Cost $402,352,096)		431,668,412
	Convertible Bonds – 15.3%
		Airlines – 0.3%
	1,705,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,637,908
		Automotive – 1.4%
	1,090,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		798,425
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		4,906,700
	2,955,000	Navistar International Corp., 3.000%, 10/15/2014		2,755,537
				8,460,662
		Brokerage – 0.1%
	1,050,000	Jefferies Group, Inc., 3.875%, 11/01/2029		948,937
		Diversified Manufacturing – 0.9%
	3,765,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		3,595,575
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,283,169
				5,878,744
		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		425,313
		Gaming – 0.0%
	130,000	MGM Resorts International, 4.250%, 4/15/2015		131,788

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Healthcare – 2.0%
$	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A	$	3,495,406
	2,470,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(i)		2,414,425
	1,325,000	Hologic, Inc., (accretes to principal after 3/1/2018), 2.000%, 3/01/2042(i)		1,227,281
	660,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		589,050
	345,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		347,156
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		919,125
	2,646,000	Omnicare, Inc., 3.250%, 12/15/2035		2,517,008
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		801,388
				12,310,839
		Home Construction – 0.5%
	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A		3,456,844
		Independent Energy – 1.1%
	5,045,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,054,918
	2,415,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		2,067,844
	625,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		571,094
				6,693,856
		Life Insurance – 0.9%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		5,879,700
		Media Non-Cable – 0.0%
	46,686	Liberty Media LLC, 3.500%, 1/15/2031		20,425
		Metals & Mining – 0.6%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,306,250
	2,280,000	United States Steel Corp., 4.000%, 5/15/2014		2,308,500
				3,614,750
		Pharmaceuticals – 1.4%
	2,940,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		2,940,000
	4,805,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		5,735,969
				8,675,969

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – 4.8%
$	740,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025	$	729,825
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		6,750,225
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,605,750
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		195,563
	5,750,000	Intel Corp., 3.250%, 8/01/2039		7,740,937
	280,000	Micron Technology, Inc., 1.875%, 6/01/2014		274,400
	5,360,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		4,790,500
	1,880,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		1,731,950
	230,000	SanDisk Corp., 1.500%, 8/15/2017		236,613
	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014		2,741,812
				29,797,575
		Textile – 0.5%
	3,080,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		2,968,350
		Wirelines – 0.7%
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		2,640,950
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		1,422,050
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		477,093
				4,540,093
		Total Convertible Bonds (Identified Cost $84,004,822)		95,441,753
	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)		669,416
		Total Bonds and Notes (Identified Cost $486,896,918)		527,779,581
	Senior Loans – 1.6%
		Automotive – 0.2%
	997,500	TI Group Automotive Systems, LLC, New Term Loan, 6.750%, 3/14/2018(d)		973,390
		Food & Beverage – 0.1%
	575,521	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(d)		576,960

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Media Non-Cable – 0.0%
$	154,372	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(d)	$	87,558
		Non-Captive Consumer – 0.5%
	2,890,000	Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(d)		2,864,394
		Non-Captive Diversified – 0.6%
	4,000,000	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(d)		3,985,000
		Wireless – 0.1%
	825,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(d)		819,844
		Wirelines – 0.1%
	767,128	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(d)		678,333
		Total Senior Loans (Identified Cost $10,047,097)		9,985,479
Shares
	Common Stocks – 7.1%
		Automobiles – 0.7%
	465,000	Ford Motor Co.		4,459,350
		Biotechnology – 1.5%
	165,617	Vertex Pharmaceuticals, Inc.(g)		9,261,303
		Chemicals – 1.3%
	156,958	Dow Chemical Co. (The)		4,944,177
	30,167	PPG Industries, Inc.		3,201,322
				8,145,499
		Containers & Packaging – 0.1%
	40,621	Owens-Illinois, Inc.(g)		778,704
	1,772	Rock-Tenn Co., Class A		96,663
				875,367
		Diversified Telecommunication Services – 0.3%
	22,208	FairPoint Communications, Inc.(g)		136,579
	2,627	Hawaiian Telcom Holdco, Inc.(g)		51,253
	117,962	Telefonica S.A., Sponsored ADR		1,545,302
				1,733,134
		Electronic Equipment, Instruments & Components – 0.2%
	69,766	Corning, Inc.		902,074
		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		80,383
		Household Durables – 0.0%
	6,775	KB Home		66,395

Shares		Description	Value (†)
	Common Stocks – continued
		Media – 0.0%
	849	Dex One Corp.(g)	$	794
	961	SuperMedia, Inc.(g)		2,402
				3,196
		Oil, Gas & Consumable Fuels – 0.6%
	2,846	Chesapeake Energy Corp.		52,936
	79,377	Repsol YPF S.A., Sponsored ADR		1,268,444
	33,796	Royal Dutch Shell PLC, ADR		2,278,864
				3,600,244
		Pharmaceuticals – 1.2%
	64,900	Bristol-Myers Squibb Co.		2,333,155
	117,041	Valeant Pharmaceuticals International, Inc.(g)		5,242,267
				7,575,422
		REITs - Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		167,180
	32,565	Associated Estates Realty Corp.		486,847
				654,027
		REITs - Shopping Centers – 0.0%
	7,868	DDR Corp.		115,188
		Semiconductors & Semiconductor Equipment – 1.1%
	245,350	Intel Corp.		6,538,578
		Total Common Stocks (Identified Cost $34,562,975)		44,010,160
	Preferred Stocks – 3.2%
	Convertible Preferred Stocks – 2.2%
		Automotive – 0.9%
	141,670	General Motors Co., Series B, 4.750%		4,703,444
	20,395	Goodyear Tire & Rubber Co. (The), 5.875%		881,064
				5,584,508
		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		155,250
		Construction Machinery – 0.1%
	17,160	United Rentals Trust I, 6.500%		870,870
		Consumer Products – 0.2%
	26,350	Newell Financial Trust I, 5.250%		1,324,088
		Electric – 0.1%
	17,119	AES Trust III, 6.750%		844,138

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Home Construction – 0.0%
	11,000	Hovnanian Enterprises, Inc., 7.250%	$	178,750
		Pipelines – 0.5%
	54,200	El Paso Energy Capital Trust I, 4.750%		2,745,230
		Technology – 0.4%
	3,260	Lucent Technologies Capital Trust I, 7.750%		2,200,500
		Total Convertible Preferred Stocks (Identified Cost $15,404,432)		13,903,334
	Non-Convertible Preferred Stocks – 1.0%
		Banking – 0.2%
	18,000	Bank of America Corp., 6.375%		439,200
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		652,913
	7,075	Countrywide Capital IV, 6.750%		173,762
				1,265,875
		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(g)		592,948
		Independent Energy – 0.0%
	400	Chesapeake Energy Corp., 5.000%		29,900
		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		573,226
		Non-Captive Diversified – 0.6%
	4,153	Ally Financial, Inc., Series G, 7.000%, 144A		3,699,934
		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		200,099
		Total Non-Convertible Preferred Stocks (Identified Cost $5,401,515)		6,361,982
		Total Preferred Stocks (Identified Cost $20,805,947)		20,265,316
	Warrants – 0.0%
	33,185	FairPoint Communications, Inc., Expiration on 1/24/2018(b)(f)(g) (Identified Cost $0)		—

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 3.0%
$	49,564	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $49,564 on 7/02/2012 collateralized by $50,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $51,450 including accrued interest(j)	$	49,564
	18,737,661	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $18,737,661 on 7/02/2012 collateralized by $19,090,000 Federal Home Loan Bank, 0.370% due 5/01/2013 valued at $19,113,863 including accrued interest(j)		18,737,661
		Total Short-Term Investments (Identified Cost $18,787,225)		18,787,225
		Total Investments – 99.4% (Identified Cost $571,100,162)(a)		620,827,761
		Other assets less liabilities – 0.6%		3,751,817
		Net Assets – 100.0%	$	624,579,578

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day.

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

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

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

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

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $571,371,683 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	$	75,326,333
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(25,870,255	)
Net unrealized appreciation	$	49,456,078

(b) Illiquid security. At June 30, 2012, the value of these securities amounted to $15,237,819 or 2.4% of net assets.

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

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

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

(f) Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of these securities amounted to $240,000 or less than 0.1% of net assets.

(g) Non-income producing security.

(h) Maturity has been extended under the terms of a plan of reorganization.

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

(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, 2012, the value of Rule 144A holdings amounted to $121,993,505 or 19.5% of net assets.

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

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

MTN Medium Term Note

REITs Real Estate Investment Trusts

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

IDR Indonesian Rupiah

ISK Icelandic Krona

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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	28,671,157	$	3,612,970	$	32,284,127
Chemicals		—		10,437,845		3,977,944		14,415,789
Electric		—		6,502,856		240,000		6,742,856
All Other Non-Convertible Bonds*		—		378,225,640		—		378,225,640
Total Non-Convertible Bonds		—		423,837,498		7,830,914		431,668,412
Convertible Bonds*		—		95,441,753		—		95,441,753
Municipals*		—		669,416		—		669,416
Total Bonds and Notes		—		519,948,667		7,830,914		527,779,581
Senior Loans*		—		9,985,479		—		9,985,479
Common Stocks*		44,010,160		—		—		44,010,160
Preferred Stocks

Convertible Preferred Stocks
Construction Machinery		—		870,870		—		870,870
Consumer Products		—		1,324,088		—		1,324,088
All Other Convertible Preferred Stocks*		11,708,376		—		—		11,708,376
Total Convertible Preferred Stocks		11,708,376		2,194,958		—		13,903,334
Non-Convertible Preferred Stocks*		2,662,048		3,699,934				6,361,982
Total Preferred Stocks		14,370,424		5,894,892		—		20,265,316
Warrants**		—		—		—		—
Short-Term Investments		—		18,787,225		—		18,787,225
Total	$	58,380,584	$	554,616,263	$	7,830,914	$	620,827,761

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

** Fair valued at zero using Level 2 inputs.

A preferred stock valued at $573,120 was transferred from Level 1 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—		$	55,956		$	3,557,014	$	—		$	—	$	—		$	3,612,970	$	55,956
Chemicals		—		9,783		—			(1,291,163	)		5,259,324		—			—		—			3,977,944		(1,291,163	)
Consumer Cyclical Services		73,350		—		—			—			—		—			—		(73,350	)		—		—
Electric		—		—		—			(730,050	)		—		—			970,050		—			240,000		(730,050	)
Technology		347,500		19,868		(794,781	)		882,838			—		(455,425	)		—		—			—		—
Treasuries		27,508		744		(34,299	)		21,528			—		(15,481	)		—		—			—		—
Preferred Stocks
Convertible Preferred Stocks Electric		186,750		—		77,422			12,328			621,000		(897,500	)		—		—			—		—
Non-Convertible Preferred Stocks Non-Captive Diversified		268,800		—		—			—			—		—			—		(268,800	)		—		—
Total	$	903,908	$	30,395	$	(751,658	)	$	(1,048,563	)	$	9,437,338	$	(1,368,406	)	$	970,050	$	(342,150	)	$	7,830,914	$	(1,965,257	)

A debt security ($73,350) and a preferred stock ($268,800) valued at $342,150 were transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities; at June 30, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $970,050 was transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Wirelines	7.1	%
Technology	7.0
Banking	5.4
Healthcare	5.4
Automotive	4.1
Metals & Mining	4.0
Non-Captive Consumer	3.9
Non-Captive Diversified	3.8
Home Construction	3.7
Chemicals	3.6
Airlines	3.4
Life Insurance	3.2
Supermarkets	2.8
Retailers	2.7
Pharmaceuticals	2.6
Local Authorities	2.5
Treasuries	2.3
Independent Energy	2.0
Other Investments, less than 2% each	26.9
Short-Term Investments	3.0
Total Investments	99.4
Other assets less liabilities	0.6
Net Assets	100.0	%

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

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 97.9% of Net Assets
		ABS Car Loan – 5.3%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	341,074
	150,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		150,841
	180,000	AmeriCredit Automobile Receivables Trust, Series 2012-2, Class A2, 0.760%, 10/08/2015		180,175
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		129,737
	310,000	BMW Vehicle Lease Trust, Series 2011-1, Class A3, 1.060%, 2/20/2014		310,962
	280,000	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		281,582
	620,000	CarMax Auto Owner Trust, Series 2012-2, Class A3, 0.840%, 3/15/2017		620,550
	126,969	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 1/15/2015, 144A		126,969
	260,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		262,416
	200,000	Honda Auto Receivables Owner Trust, Series 2012-2, Class A3, 0.700%, 2/16/2016		200,258
	225,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		229,451
	420,000	Nissan Master Owner Trust Receivables, Series 2012-A, Class A, 0.712%, 5/15/2017(b)		420,843
	320,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		321,370
	270,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		270,988
	110,000	World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3, 0.930%, 11/16/2015		110,105
				3,957,321
		ABS Credit Card – 1.2%
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.462%, 3/15/2017(b)		60,113
	210,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		221,966
	560,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		585,916
				867,995
		ABS Home Equity – 0.1%
	62,842	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		59,817
		ABS Student Loan – 3.3%
	1,358,924	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.844%, 9/20/2022(b)		1,358,924
	450,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.266%, 7/25/2025(b)		448,308

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Student Loan – continued
$	650,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.466%, 7/25/2025(b)	$	655,629
				2,462,861
		Aerospace & Defense – 1.3%
	285,000	Goodrich Corp., 4.875%, 3/01/2020		326,754
	240,000	L-3 Communications Corp., 3.950%, 11/15/2016		254,891
	355,000	Raytheon Co., 3.125%, 10/15/2020		372,575
				954,220
		Airlines – 0.2%
	160,151	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 12/17/2021		181,772
		Automotive – 1.3%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		250,750
	305,000	Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		372,533
	315,000	Toyota Motor Credit Corp., MTN, 2.000%, 9/15/2016		320,076
				943,359
		Banking – 6.7%
	310,000	Bank of America Corp., 5.650%, 5/01/2018		331,481
	210,000	Bank of New York Mellon Corp. (The), 1.969%, 6/20/2017		212,464
	495,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		591,786
	365,000	Capital One Financial Corp., 2.125%, 7/15/2014		368,107
	270,000	Citigroup, Inc., 6.010%, 1/15/2015		290,094
	370,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		401,110
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		315,662
	430,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		481,143
	205,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		222,989
	750,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		784,176
	100,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		102,716
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		38,654
	330,000	U.S. Bancorp, MTN, 2.200%, 11/15/2016		340,348
	170,000	U.S. Bancorp, Series T, MTN, 1.650%, 5/15/2017		171,241

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	340,000	Wells Fargo & Co., 3.676%, 6/15/2016	$	361,896
				5,013,867
		Building Materials – 0.0%
	30,000	Masco Corp., 7.125%, 3/15/2020		33,101
		Chemicals – 0.3%
	200,000	Eastman Chemical Co., 4.500%, 1/15/2021		219,112
	25,000	Methanex Corp., 5.250%, 3/01/2022		25,938
				245,050
		Collateralized Mortgage Obligations – 6.9%
	106,011	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.271%, 7/25/2021(b)		96,033
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		813,096
	355,000	FHLMC Multifamily Structured Pass Through Certificates, Series K501, Class A2, 1.655%, 11/25/2016		361,731
	435,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018		468,194
	420,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		435,986
	1,035,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		1,055,676
	360,000	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		366,138
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		149,275
	353,001	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.696%, 10/07/2020(b)		353,718
	1,083,967	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.806%, 12/08/2020(b)		1,088,541
				5,188,388
		Commercial Mortgage-Backed Securities – 6.1%
	40,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		45,625
	400,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(b)		428,308
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		386,101
	110,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		120,406
	325,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		360,149
	375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		415,998
	330,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		366,239
	410,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.815%, 6/15/2049(b)		450,100

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	210,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049	$	234,963
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		258,055
	475,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		521,520
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		440,244
	510,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		550,345
				4,578,053
		Construction Machinery – 0.5%
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		314,919
	65,000	John Deere Capital Corp., 2.250%, 4/17/2019		66,437
				381,356
		Diversified Manufacturing – 0.5%
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		99,696
	220,000	Tyco International Finance S.A., 4.125%, 10/15/2014		237,433
				337,129
		Electric – 3.2%
	260,000	Carolina Power & Light Co., 5.250%, 12/15/2015		295,859
	5,000	Carolina Power & Light Co., 6.500%, 7/15/2012		5,008
	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		317,211
	375,000	Dominion Resources, Inc., 1.950%, 8/15/2016		382,138
	150,000	Duke Energy Corp., 5.625%, 11/30/2012		153,030
	180,000	Duke Energy Corp., 5.650%, 6/15/2013		188,128
	140,000	NextEra Energy Capital Holdings, Inc., 0.866%, 11/09/2012(b)		139,863
	215,000	NextEra Energy Capital Holdings, Inc., 1.611%, 6/01/2014		215,583
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		287,189
	375,000	Southern Co., 1.950%, 9/01/2016		384,045
				2,368,054
		Entertainment – 0.8%
	330,000	Time Warner, Inc., 4.875%, 3/15/2020		371,494
	225,000	Viacom, Inc., 3.125%, 6/15/2022		225,284
				596,778

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Environmental – 0.1%
$	90,000	Waste Management, Inc., 6.375%, 3/11/2015	$	101,205
		Food & Beverage – 1.2%
	455,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		488,083
	270,000	Kraft Foods, Inc., 6.125%, 8/23/2018		328,564
	80,000	Tyson Foods, Inc., 4.500%, 6/15/2022		82,400
				899,047
		Government Owned - No Guarantee – 0.2%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		181,738
		Health Insurance – 0.4%
	275,000	UnitedHealth Group, Inc., 4.875%, 2/15/2013		281,994
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		37,651
				319,645
		Healthcare – 2.0%
	75,000	Baxter International, Inc., 1.850%, 1/15/2017		76,638
	400,000	Express Scripts, Inc., 3.125%, 5/15/2016		416,469
	20,000	Express Scripts, Inc., 6.250%, 6/15/2014		21,868
	425,000	McKesson Corp., 3.250%, 3/01/2016		456,207
	105,000	McKesson Corp., 6.500%, 2/15/2014		114,443
	375,000	Stryker Corp., 2.000%, 9/30/2016		384,204
				1,469,829
		Hybrid ARMs – 0.8%
	128,027	FHLMC, 2.379%, 1/01/2035(b)		133,931
	451,213	FNMA, 2.825%, 4/01/2037(b)		483,241
				617,172
		Independent Energy – 2.2%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		113,478
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		127,780
	330,000	Canadian Natural Resources Ltd., 1.450%, 11/14/2014		334,023
	215,000	Encana Corp., 6.500%, 5/15/2019		256,050
	155,000	EQT Corp., 8.125%, 6/01/2019		185,886

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Independent Energy – continued
$	70,000	Hess Corp., 7.000%, 2/15/2014	$	76,557
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		120,175
	375,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		381,328
	55,000	XTO Energy, Inc., 4.900%, 2/01/2014		58,744
				1,654,021
		Integrated Energy – 1.1%
	255,000	Total Capital International, S.A., 1.550%, 6/28/2017		255,597
	340,000	Total Capital S.A., 4.450%, 6/24/2020		388,427
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		182,403
				826,427
		Life Insurance – 1.0%
	85,000	Aflac, Inc., 2.650%, 2/15/2017		86,964
	125,000	American International Group, Inc., 4.875%, 9/15/2016		132,592
	190,000	American International Group, Inc., 4.875%, 6/01/2022		194,412
	220,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		238,829
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,607
	70,000	Unum Group, 5.625%, 9/15/2020		75,293
				759,697
		Lodging – 0.0%
	15,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		16,678
		Media Cable – 1.1%
	100,000	Cox Communications, Inc., 4.625%, 6/01/2013		103,509
	295,000	Cox Communications, Inc., 5.450%, 12/15/2014		324,615
	390,000	Time Warner Cable, Inc., 4.000%, 9/01/2021		409,832
				837,956
		Media Non-Cable – 0.2%
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		183,116
		Metals & Mining – 0.8%
	110,000	Alcoa, Inc., 6.150%, 8/15/2020		115,796
	315,000	ArcelorMittal, 9.850%, 6/01/2019		374,862

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Metals & Mining – continued
$	110,000	Teck Resources Ltd., 3.150%, 1/15/2017	$	113,467
				604,125
		Mortgage Related – 4.5%
	388,227	FHLMC, 2.674%, 5/01/2036(b)		415,681
	504,253	FHLMC, 4.500%, with various maturities from 2019 to 2024(c)		536,222
	513	FHLMC, 6.000%, 11/01/2012		519
	2,030	FHLMC, 6.500%, 1/01/2024		2,292
	219	FHLMC, 8.000%, 7/01/2025		265
	193,881	FNMA, 3.000%, with various maturities in 2027(c)		203,473
	184,270	FNMA, 4.000%, 4/01/2024		196,087
	216,871	FNMA, 4.500%, 4/01/2024		232,608
	2,318	FNMA, 6.000%, 9/01/2021		2,549
	739	FNMA, 7.500%, 6/01/2016		795
	1,030	FNMA, 8.000%, 6/01/2015		1,099
	340,000	GNMA, 4.514%, 5/20/2062		380,290
	325,000	GNMA, 4.520%, 5/20/2062		363,350
	347,586	GNMA, 4.528%, 3/20/2062		387,619
	338,761	GNMA, 4.560%, 3/20/2062		377,687
	250,000	GNMA, 4.700%, 5/01/2062		280,430
	5,684	GNMA, 6.500%, 12/15/2023		6,492
	1,494	GNMA, 8.500%, 9/15/2022		1,724
	3,307	GNMA, 9.500%, 1/15/2019		3,878
				3,393,060
		Non-Captive Consumer – 0.3%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		236,250
		Non-Captive Diversified – 1.0%
	645,000	General Electric Capital Corp., 5.625%, 5/01/2018		741,453
		Oil Field Services – 1.7%
	305,000	Cameron International Corp., 1.397%, 6/02/2014(b)		304,554

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Oil Field Services – continued
$	355,000	Ensco PLC, 3.250%, 3/15/2016	$	372,780
	285,000	Nabors Industries, Inc., 9.250%, 1/15/2019		370,021
	175,000	Rowan Cos., Inc., 5.000%, 9/01/2017		188,380
				1,235,735
		Pharmaceuticals – 0.9%
	275,000	Eli Lilly & Co., 4.200%, 3/06/2014		291,675
	355,000	GlaxoSmithKline Capital PLC, 0.750%, 5/08/2015		354,959
				646,634
		Pipelines – 1.4%
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		302,355
	245,000	NiSource Finance Corp., 6.125%, 3/01/2022		287,418
	175,000	Questar Corp., 2.750%, 2/01/2016		181,829
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		286,732
				1,058,334
		Property & Casualty Insurance – 0.4%
	105,000	Berkshire Halthaway Finance Corp., 3.000%, 5/15/2022		106,253
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		162,039
	15,000	Willis North America, Inc., 7.000%, 9/29/2019		17,383
				285,675
		Railroads – 1.9%
	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014		383,741
	420,000	Canadian National Railway Co., 1.450%, 12/15/2016		422,330
	245,000	CSX Corp., 3.700%, 10/30/2020		258,275
	30,000	CSX Corp., 6.150%, 5/01/2037		36,802
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		309,165
				1,410,313
		REITs - Healthcare – 0.5%
	375,000	Health Care REIT, Inc., 4.125%, 4/01/2019		380,908
		REITs - Shopping Centers – 0.4%
	280,000	Federal Realty Investment Trust, 5.400%, 12/01/2013		292,614

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Retailers – 0.5%
$	375,000	Lowe’s Cos., Inc., 1.625%, 4/15/2017	$	377,780
		Supermarket – 0.4%
	285,000	Delhaize Group S.A., 4.125%, 4/10/2019		275,742
		Technology – 2.5%
	305,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		366,256
	150,000	Altera Corp., 1.750%, 5/15/2017		151,110
	210,000	Corning, Inc., 4.250%, 8/15/2020		232,595
	160,000	Equifax, Inc., 7.000%, 7/01/2037		189,041
	290,000	Hewlett-Packard Co., 0.867%, 5/30/2014(b)		287,454
	230,000	IBM International Group Capital, 5.050%, 10/22/2012		233,364
	275,000	Oracle Corp., 4.950%, 4/15/2013		284,758
	140,000	Symantec Corp., 2.750%, 6/15/2017		140,629
				1,885,207
		Tobacco – 1.0%
	270,000	Altria Group, Inc., 9.700%, 11/10/2018		373,617
	365,000	Philip Morris International, Inc., 2.500%, 5/16/2016		382,988
				756,605
		Transportation Services – 0.4%
	300,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		301,801
		Treasuries – 29.5%
	255,000	U.S. Treasury Note, 0.875%, 1/31/2017		257,211
	1,245,000	U.S. Treasury Note, 0.875%, 4/30/2017		1,254,435
	2,995,000	U.S. Treasury Note, 1.750%, 5/31/2016		3,131,647
	980,000	U.S. Treasury Note, 1.750%, 5/15/2022		987,962
	5,445,000	U.S. Treasury Note, 1.875%, 4/30/2014		5,598,141
	2,250,000	U.S. Treasury Note, 1.875%, 6/30/2015		2,345,976
	85,000	U.S. Treasury Note, 2.000%, 2/15/2022		87,862
	560,000	U.S. Treasury Note, 2.125%, 2/29/2016		592,244
	2,230,000	U.S. Treasury Note, 2.125%, 8/15/2021		2,343,940

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Treasuries – continued
$	550,000	U.S. Treasury Note, 2.375%, 7/31/2017	$	593,914
	2,485,000	U.S. Treasury Note, 2.500%, 4/30/2015		2,630,412
	160,000	U.S. Treasury Note, 2.625%, 11/15/2020		175,863
	1,825,000	U.S. Treasury Note, 3.125%, 5/15/2021		2,077,649
				22,077,256
		Wireless – 0.6%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		265,891
	5,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		5,006
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		162,775
				433,672
		Wirelines – 1.2%
	515,000	AT&T, Inc., 5.800%, 2/15/2019		628,126
	255,000	Embarq Corp., 7.995%, 6/01/2036		266,372
				894,498
		Total Bonds and Notes (Identified Cost $71,373,783)		73,323,314
	Short-Term Investments – 1.7%
	1,298,033	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $1,298,033 on 7/02/2012 collateralized by $1,325,000 Federal Home Loan Bank, 0.200% due 3/01/2013 valued at $1,326,656 including accrued interest(d) (Identified Cost $1,298,033)		1,298,033

Total Investments – 99.6% (Identified Cost $72,671,816)(a)		74,621,347
Other assets less liabilities – 0.4%		265,809
Net Assets – 100.0%	$	74,887,156

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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, 2012, the net unrealized appreciation on investments based on a cost of $72,975,024 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	$	1,767,778
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(121,455	)
Net unrealized appreciation	$	1,646,323

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

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

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $558,507 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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	4,822,250	$	366,138	**	$	5,188,388
Mortgage Related		—		2,368,990		1,024,070	**		3,393,060
All Other Bonds and Notes *		—		64,741,866		—			64,741,866
Total Bonds and Notes		—		71,933,106		1,390,208			73,323,314
Short-Term Investments		—		1,298,033		—			1,298,033
Total	$	—	$	73,231,139	$	1,390,208		$	74,621,347

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

** Valued using broker-dealer bid quotations.

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

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	—	$	—	$	759	$	365,379	$	—	$	—	$	—	$	366,138	$	759
Mortgage Related		—		—		—		2,512		1,021,558		—		—		—		1,024,070		2,512
Total	$	—	$	—	$	—	$	3,271	$	1,386,937	$	—	$	—	$	—	$	1,390,208	$	3,271

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	29.5	%
Collateralized Mortgage Obligations	6.9
Banking	6.7
Commercial Mortgage-Backed Securities	6.1
ABS Car Loan	5.3
Mortgage Related	4.5
ABS Student Loan	3.3
Electric	3.2
Technology	2.5
Independent Energy	2.2
Healthcare	2.0
Other Investments, less than 2% each	25.7
Short-Term Investments	1.7
Total Investments	99.6
Other assets less liabilities	0.4
Net Assets	100.0	%

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

Loomis Sayles Investment Grade Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 90.8% of Net Assets
	Non-Convertible Bonds – 86.7%
		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	$	1,107,384
		ABS Other – 1.4%
	2,449,600	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		2,476,937
	2,330,520	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		2,400,853
	897,754	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		1,035,372
	3,029,081	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		3,083,512
				8,996,674
		Airlines – 3.1%
	336,037	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		365,441
	998,642	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,083,527
	4,423,752	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		5,065,196
	160,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		161,600
	1,661,104	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,679,874
	4,402,109	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		4,996,394
	2,000,907	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		2,165,982
	3,170,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		3,253,289
	847,169	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		897,999
				19,669,302
		Automotive – 0.8%
	1,930,000	Cummins, Inc., 5.650%, 3/01/2098		1,986,620
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,891,445
				4,878,065
		Banking – 11.4%
	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018		3,010,452
	230,000	Bank of America Corp., 5.420%, 3/15/2017		238,150
	1,000,000	Bank of America Corp., 5.490%, 3/15/2019		1,018,398
	530,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		546,805

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	985,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019	$	1,158,243
	500,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		505,221
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,424,690
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		81,139
	85,000	Citigroup, Inc., 5.850%, 12/11/2034		91,240
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		178,936
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,473,696
	4,670,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,732,869
	860,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017		885,101
	695,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/08/2022		706,977
	5,625,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,512,798
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		895,598
	4,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		3,868,161
	60,000	JPMorgan Chase & Co., 4.750%, 5/01/2013		61,861
	400,000	JPMorgan Chase & Co., EMTN, 1.176%, 5/30/2017, (GBP)(c)		546,587
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		517,541
	7,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		772,105
	900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		930,500
	6,570,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,190,668
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		243,143
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,619,354
	100,000	Morgan Stanley, 0.947%, 10/15/2015(c)		89,085
	5,000,000	Morgan Stanley, 5.500%, 7/24/2020		4,891,830
	3,800,000	Morgan Stanley, 5.750%, 1/25/2021		3,746,960
	2,000,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		2,129,978
	100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		97,942
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		2,125,993

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	2,900,000	Morgan Stanley, MTN, 6.250%, 8/09/2026	$	2,857,141
	600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		620,486
	1,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,583,520
	600,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(c)		522,917
	695,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		713,877
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		448,083
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		54,173
	400,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		467,403
	100,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		91,167
	200,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		194,796
	825,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		797,242
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		114,660
	400,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		369,292
	400,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		346,081
	2,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		1,809,664
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,778,310
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		331,788
	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		4,870,350
				72,262,971
		Brokerage – 1.5%
	2,955,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,980,407
	2,645,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(b)		2,610,819
	755,000	Jefferies Group, Inc., 6.250%, 1/15/2036		679,500
	480,000	Jefferies Group, Inc., 6.450%, 6/08/2027		456,000
	105,000	Jefferies Group, Inc., 6.875%, 4/15/2021		105,589
	2,250,000	Jefferies Group, Inc., 8.500%, 7/15/2019		2,441,250
				9,273,565

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 1.5%
$	1,175,000	Masco Corp., 4.800%, 6/15/2015	$	1,207,283
	730,000	Masco Corp., 5.850%, 3/15/2017		765,214
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,808,904
	1,330,000	Masco Corp., 6.500%, 8/15/2032		1,278,475
	375,000	Masco Corp., 7.750%, 8/01/2029		392,900
	1,235,000	Owens Corning, Inc., 6.500%, 12/01/2016		1,373,222
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,396,490
				9,222,488
		Chemicals – 1.2%
	4,450,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		6,136,893
	185,000	Methanex Corp., 5.250%, 3/01/2022		191,939
	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,038,741
				7,367,573
		Collateralized Mortgage Obligations – 0.2%
	675,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		802,051
	226,047	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.498%, 7/25/2035(c)		201,927
	171,671	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.630%, 3/25/2035(c)		167,791
				1,171,769
		Commercial Mortgage-Backed Securities – 4.0%
	160,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.193%, 9/10/2047(c)		178,899
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		683,270
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		411,357
	200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		215,255
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(c)		465,363
	39,398	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		40,058
	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		1,171,808
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.749%, 6/10/2046(c)		540,468
	3,525,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(c)		3,774,468

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.772%, 9/15/2039(c)	$	2,166,317
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		734,665
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,617,550
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,662,228
	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		869,047
	350,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		397,602
	1,180,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		1,318,899
	1,090,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.815%, 6/15/2049(c)		1,196,606
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,572,014
	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		520,345
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.869%, 6/15/2038(c)		433,715
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		443,001
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.898%, 6/12/2046(c)		266,388
	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		383,323
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		465,956
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		275,153
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.278%, 1/11/2043(c)		959,854
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		225,086
	400,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		431,643
				25,420,338
		Consumer Products – 0.3%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		667,968
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		942,964
				1,610,932
		Diversified Manufacturing – 0.3%
	700,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		895,771

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Diversified Manufacturing – continued
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)	$	930,032
				1,825,803
		Electric – 2.6%
	1,900,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		1,643,500
	1,433,747	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,501,047
	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		1,332,485
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		607,041
	2,300,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,831,989
	800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		695,935
	600,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		831,626
	1,000,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,231,332
	900,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		859,737
	6,812,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		5,347,815
	700,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		605,606
				16,488,113
		Financial Other – 1.2%
	4,165,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,178,036
	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		3,328,973
				7,507,009
		Government Guaranteed – 0.8%
	1,000,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		827,040
	840,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		853,934
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		2,408,351
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		887,223
				4,976,548
		Government Owned - No Guarantee – 1.5%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		3,042,731
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,421,250
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		944,222

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)	$	1,116,678
				9,524,881
		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		24,942
		Healthcare – 0.9%
	3,330,000	Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A		3,684,908
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		1,019,694
	55,000	HCA, Inc., 5.875%, 3/15/2022		57,475
	95,000	HCA, Inc., 6.375%, 1/15/2015		100,938
	100,000	HCA, Inc., 7.050%, 12/01/2027		90,000
	190,000	HCA, Inc., 7.190%, 11/15/2015		200,450
	75,000	HCA, Inc., 7.500%, 12/15/2023		72,094
	175,000	HCA, Inc., 7.690%, 6/15/2025		168,437
	305,000	HCA, Inc., 8.360%, 4/15/2024		309,575
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		9,550
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		286,700
				5,999,821
		Home Construction – 0.8%
	1,116,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,149,480
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,672,000
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,200,375
				5,021,855
		Hybrid ARMs – 0.0%
	59,160	FNMA, 2.256%, 2/01/2037(c)		62,513
	107,117	FNMA, 2.669%, 9/01/2036(c)		114,863
				177,376
		Independent Energy – 1.5%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,388,153
	60,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		59,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	45,000	Chesapeake Energy Corp., 6.875%, 11/15/2020	$	44,325
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,597,789
	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018		2,444,148
	1,735,000	Newfield Exploration Co., 5.625%, 7/01/2024		1,774,037
				9,307,852
		Industrial Other – 0.2%
	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020		1,273,976
		Life Insurance – 2.4%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,480,000
	2,600,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		2,821,000
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		431,154
	110,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		119,414
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		460,716
	2,355,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,427,428
	1,095,000	MetLife, Inc., 6.400%, 12/15/2066		1,073,402
	2,620,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		2,687,947
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,558,988
				15,060,049
		Local Authorities – 2.5%
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,997,581
	4,495,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		5,137,202
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,502,178
	254,820	Province of Alberta, 5.930%, 9/16/2016, (CAD)		277,496
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		1,039,663
	670,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		724,092
				15,678,212
		Lodging – 0.6%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,646,334

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Lodging – continued
$	1,660,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020	$	1,973,154
				3,619,488
		Media Non-Cable – 0.1%
	240,000	News America, Inc., 8.150%, 10/17/2036		297,711
	580,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		568,400
				866,111
		Metals & Mining – 0.8%
	420,000	ArcelorMittal, 6.250%, 2/25/2022		411,351
	1,995,000	ArcelorMittal, 6.750%, 3/01/2041		1,862,115
	510,000	ArcelorMittal, 7.000%, 10/15/2039		495,033
	2,070,000	United States Steel Corp., 7.500%, 3/15/2022		1,987,200
				4,755,699
		Mortgage Related – 0.0%
	18,537	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		20,642
	3,287	FHLMC, 10.000%, with various maturities in 2018(d)		3,873
	10,792	FNMA, 6.000%, 12/01/2018		11,866
	39,499	GNMA, 10.000%, with various maturities in 2018(d)		40,621
				77,002
		Non-Captive Consumer – 1.8%
	470,000	SLM Corp., MTN, 5.050%, 11/14/2014		484,079
	1,820,000	SLM Corp., MTN, 7.250%, 1/25/2022		1,924,650
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		242,206
	995,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		1,013,640
	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,094,275
	2,385,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,671,200
	45,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		44,606
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,027,000
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,885,204
				11,386,860

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – 2.8%
$	97,000	Ally Financial, Inc., 8.000%, 12/31/2018	$	107,427
	820,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		899,920
	65,000	General Electric Capital Corp., 5.625%, 5/01/2018		74,720
	300,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		344,401
	790,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		659,690
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		404,263
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,893,389
	655,000	General Electric Capital Corp., Series A, MTN, 0.767%, 5/13/2024(c)		545,046
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,774,490
	175,000	International Lease Finance Corp., 5.875%, 4/01/2019		175,170
	3,550,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,616,562
	3,683,000	International Lease Finance Corp., 6.375%, 3/25/2013		3,761,264
	25,000	International Lease Finance Corp., 8.625%, 9/15/2015		27,625
	315,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		322,875
				17,606,842
		Oil Field Services – 0.2%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,315,809
		Paper – 0.4%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,839,667
	230,000	Mead Corp. (The), 7.550%, 3/01/2047		239,444
	200,000	Westvaco Corp., 8.200%, 1/15/2030		237,433
				2,316,544
		Pipelines – 0.9%
	210,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		249,012
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		253,111
	800,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		880,665
	965,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		965,000
	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,346,272

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pipelines – continued
$	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A	$	927,290
				5,621,350
		Property & Casualty Insurance – 1.7%
	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		1,966,317
	2,465,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		2,883,518
	60,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		32,400
	800,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		781,226
	150,000	Progressive Corp., 7.000%, 10/01/2013		160,671
	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		232,846
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		932,873
	2,015,000	XL Group PLC, 6.250%, 5/15/2027		2,214,384
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,778,101
				10,982,336
		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		155,800
		Refining – 0.1%
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		749,954
		REITs - Apartments – 0.0%
	30,000	ERP Operating LP, 5.125%, 3/15/2016		33,073
	115,000	ERP Operating LP, 5.750%, 6/15/2017		132,682
				165,755
		REITs - Office Property – 0.2%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		85,844
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,236,136
				1,321,980
		REITs - Shopping Centers – 0.4%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,085,044
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,488,159
				2,573,203

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs - Single Tenant – 0.1%
$	95,000	Realty Income Corp., 5.750%, 1/15/2021	$	106,196
	405,000	Realty Income Corp., 6.750%, 8/15/2019		477,160
				583,356
		REITs - Warehouse/Industrials – 0.2%
	55,000	ProLogis LP, 5.625%, 11/15/2015		59,941
	240,000	ProLogis LP, 5.625%, 11/15/2016		263,802
	265,000	ProLogis LP, 5.750%, 4/01/2016		289,392
	785,000	ProLogis LP, 7.375%, 10/30/2019		951,060
				1,564,195
		Restaurants – 0.1%
	610,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		617,542
		Retailers – 0.5%
	118,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		89,090
	2,803,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,311,579
				3,400,669
		Sovereigns – 1.5%
	5,250,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,849,141
	3,100,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		3,111,532
	22,300,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		108,711
	3,200,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		3,103,299
	101,800,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		515,878
				9,688,561
		Supermarkets – 0.2%
	260,000	New Albertson’s, Inc., 7.450%, 8/01/2029		191,100
	1,340,000	New Albertson’s, Inc., 8.000%, 5/01/2031		1,038,500
	115,000	New Albertson’s, Inc., 8.700%, 5/01/2030		93,725
				1,323,325
		Supranational – 1.6%
	4,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		1,999,801
	45,300,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,425,100

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – continued
	4,375,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)	$	3,891,623
				10,316,524
		Technology – 1.6%
	210,000	Corning, Inc., 6.850%, 3/01/2029		251,764
	810,000	Corning, Inc., 7.000%, 5/15/2024		1,044,791
	3,565,000	Corning, Inc., 7.250%, 8/15/2036		4,403,948
	3,550,000	Ingram Micro, Inc., 5.250%, 9/01/2017		3,805,770
	49,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		51,920
	400,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		484,856
				10,043,049
		Tobacco – 0.2%
	735,000	Reynolds American, Inc., 6.750%, 6/15/2017		882,419
	195,000	Reynolds American, Inc., 7.250%, 6/15/2037		235,649
				1,118,068
		Transportation Services – 0.4%
	100,000	APL Ltd., 8.000%, 1/15/2024(b)		68,500
	1,547,180	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,469,821
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		1,084,740
				2,623,061
		Treasuries – 26.3%
	135,000	Canadian Government, 1.750%, 3/01/2013, (CAD)		133,275
	10,935,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		11,167,534
	40,000,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		41,680,778
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		35,658,941
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,086,426
	1,850,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		2,142,642
	3,420,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		3,849,676
	1,590,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		1,832,008
	1,750,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		2,015,062

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	50,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)	$	54,133
	50,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		57,646
	50,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		59,524
	140,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,268,904
	23,620,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		4,472,936
	57,675,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		10,105,596
	305,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		247,797
	100,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		87,879
	85,235,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		430,707
	50,000,000		U.S. Treasury Note, 0.250%, 5/31/2014		49,937,500
					166,288,964
			Wireless – 0.2%
	220,000		Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		220,275
	360,000		Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		360,450
	11,000		Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		11,041
	234,000		Sprint Capital Corp., 6.875%, 11/15/2028		188,370
	120,000		Sprint Capital Corp., 6.900%, 5/01/2019		112,800
	366,000		Sprint Nextel Corp., 6.000%, 12/01/2016		350,445
					1,243,381
			Wirelines – 3.5%
	1,310,000		AT&T Corp., 6.500%, 3/15/2029		1,562,492
	2,000,000		BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,042,282
	2,870,000		CenturyLink, Inc., 6.450%, 6/15/2021		2,986,453
	245,000		CenturyLink, Inc., Series G, 6.875%, 1/15/2028		240,826
	2,265,000		CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,187,335
	1,220,000		Embarq Corp., 7.995%, 6/01/2036		1,274,406
	300,000		Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		269,126
	100,000		Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		103,176

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	531,419
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,860,625
	195,000	Qwest Corp., 7.500%, 6/15/2023		196,073
	1,880,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,442,900
	500,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		567,795
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,293,025
	145,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		150,068
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,656,482
	695,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		759,292
				22,123,775
		Total Non-Convertible Bonds (Identified Cost $494,802,176)		548,296,701
	Convertible Bonds – 3.4%
		Automotive – 0.2%
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,438,650
		Independent Energy – 0.2%
	1,050,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		899,062
	625,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		571,094
				1,470,156
		Life Insurance – 1.3%
	8,975,000	Old Republic International Corp., 3.750%, 3/15/2018		8,077,500
		Technology – 1.7%
	3,505,000	Intel Corp., 2.950%, 12/15/2035		3,965,031
	4,700,000	Intel Corp., 3.250%, 8/01/2039		6,327,375
	530,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		522,713
	40,000	Micron Technology, Inc., 1.875%, 6/01/2014		39,200
				10,854,319
		Total Convertible Bonds (Identified Cost $20,094,887)		21,840,625

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 0.7%
		Illinois – 0.2%
$	1,105,000	State of Illinois, 5.100%, 6/01/2033	$	1,044,446
		Michigan – 0.1%
	1,030,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		763,199
		Ohio – 0.1%
	750,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(b)		574,080
		Virginia – 0.3%
	2,815,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		1,799,658
		Total Municipals (Identified Cost $5,403,189)		4,181,383
		Total Bonds and Notes (Identified Cost $520,300,252)		574,318,709
	Senior Loans – 0.5%
		Non-Captive Diversified – 0.5%
	2,950,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(c) (Identified Cost $2,922,332)		2,953,687
Shares
	Common Stocks – 3.1%
		Biotechnology – 0.1%
	13,708	Vertex Pharmaceuticals, Inc.(e)		766,551
		Chemicals – 0.5%
	31,080	PPG Industries, Inc.		3,298,210
		Electronic Equipment, Instruments & Components – 1.9%
	950,000	Corning, Inc.		12,283,500
		Oil, Gas & Consumable Fuels – 0.6%
	81,779	Repsol YPF S.A., Sponsored ADR		1,306,829
	34,819	Royal Dutch Shell PLC, ADR		2,347,845
				3,654,674
		Total Common Stocks (Identified Cost $19,120,394)		20,002,935
	Preferred Stocks – 1.3%
	Convertible Preferred Stocks – 0.8%
		Banking – 0.3%
	940	Bank of America Corp., Series L, 7.250%		916,500

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Banking – continued
	25,000	Sovereign Capital Trust IV, 4.375%	$	1,268,750
				2,185,250
		Consumer Products – 0.3%
	33,050	Newell Financial Trust I, 5.250%		1,660,762
		Pipelines – 0.2%
	20,775	El Paso Energy Capital Trust I, 4.750%		1,052,254
		Total Convertible Preferred Stocks (Identified Cost $3,527,589)		4,898,266
	Non-Convertible Preferred Stocks – 0.5%
		Electric – 0.0%
	263	Connecticut Light & Power Co., 2.200%		12,690
	11	MDU Resources Group, Inc., 5.100%		1,098
	100	San Diego Gas & Electric Co., 4.500%		2,183
	3,160	Union Electric Co., 4.500%		288,192
				304,163
		Government Sponsored – 0.5%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		3,138,750
		Non-Captive Diversified – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		143,436
		Total Non-Convertible Preferred Stocks (Identified Cost $3,217,161)		3,586,349
		Total Preferred Stocks (Identified Cost $6,744,750)		8,484,615
Principal Amount (‡)
	Short-Term Investments – 3.3%
$	20,703,439	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $20,703,439 on 7/02/2012 collateralized by $21,130,000 Federal Home Loan Bank Discount Note, due 8/29/2012 valued at $21,119,435 including accrued interest(g) (Identified Cost $20,703,439)		20,703,439

Total Investments – 99.0% (Identified Cost $569,791,167)(a)		626,463,385
Other assets less liabilities – 1.0%		6,200,875
Net Assets – 100.0%	$	632,664,260

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

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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, 2012, the net unrealized appreciation on investments based on a cost of $571,871,292 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	$	63,293,215
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,701,122	)
Net unrealized appreciation	$	54,592,093

(b) Illiquid security. At June 30, 2012, the value of these securities amounted to $6,053,195 or 1.0% of net assets.

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

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

(e) Non-income producing security.

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

(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, 2012, the value of Rule 144A holdings amounted to $96,717,586 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.
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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	68,530,102	$	3,732,869	$	72,262,971
Restaurants		—		—		617,542		617,542
All Other Non-Convertible Bonds*		—		475,416,188		—		475,416,188
Total Non-Convertible Bonds		—		543,946,290		4,350,411		548,296,701
Convertible Bonds*		—		21,840,625		—		21,840,625
Municipals*		—		4,181,383		—		4,181,383
Total Bonds and Notes		—		569,968,298		4,350,411		574,318,709
Senior Loans*		—		2,953,687		—		2,953,687
Common Stocks*		20,002,935		—		—		20,002,935
Preferred Stocks
Convertible Preferred Stocks
Banking		916,500		1,268,750		—		2,185,250
Consumer Products		—		1,660,762		—		1,660,762
Pipelines		1,052,254		—		—		1,052,254
Total Convertible Preferred Stocks		1,968,754		2,929,512		—		4,898,266
Non-Convertible Preferred Stocks

Electric		290,375		13,788		—		304,163
Government Sponsored		—		3,138,750		—		3,138,750
Non-Captive Diversified		—		143,436		—		143,436
Total Non-Convertible Preferred Stocks		290,375		3,295,974		—		3,586,349
Total Preferred Stocks		2,259,129		6,225,486		—		8,484,615
Short-Term Investments		—		20,703,439		—		20,703,439
Total	$	22,262,064	$	599,850,910	$	4,350,411	$	626,463,385

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—		$	57,812		$	3,675,057	$	—		$	—	$	—		$	3,732,869	$	57,812
Restaurants		—		991		—			(33,660	)		—		—			650,211		—			617,542		(33,660	)
Treasuries		27,508		744		(34,299	)		21,528			—		(15,481	)		—		—			—		—
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		96,600		—		—			—			—		—			—		(96,600	)		—		—
Total	$	124,108	$	1,735	$	(34,299	)	$	45,680		$	3,675,057	$	(15,481	)	$	650,211	$	(96,600	)	$	4,350,411	$	24,152

A debt security valued at $650,211 was transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

A preferred stock valued at $96,600 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Treasuries	26.3	%
Banking	11.7
Commercial Mortgage-Backed Securities	4.0
Life Insurance	3.7
Wirelines	3.5
Technology	3.3
Non-Captive Diversified	3.3
Airlines	3.1
Electric	2.6
Local Authorities	2.5
Other Investments, less than 2% each	31.7
Short-Term Investments	3.3
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)

United States Dollar	70.2	%
Canadian Dollar	14.4
New Zealand Dollar	3.4
Australian Dollar	2.9
Norwegian Krone	2.3
Euro	2.2
Other, less than 2% each	3.6
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

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

Loomis Sayles Securitized Asset Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 118.4% of Net Assets
		ABS Car Loan – 9.6%
$	7,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	7,381,457
	2,455,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		2,468,767
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,578,621
	2,314,417	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 1/15/2015, 144A		2,314,416
	498,129	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		521,914
	3,455,000	Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 9/16/2019, 144A		3,465,294
	8,170,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		8,384,248
	4,976,294	Exeter Automobile Receivables Trust, Series 2012-1A, Class A, 2.020%, 8/15/2016, 144A		4,978,190
	9,000,000	Ford Motor Credit Co. LLC, 4.207%, 4/15/2016, 144A		9,345,402
	2,740,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A		2,789,377
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,501,663
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,638,979
	3,000,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		3,059,348
	1,500,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.243%, 9/20/2016, 144A(b)		1,475,602
	550,018	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		551,528
	5,176,174	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A		5,189,839
	1,933,710	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		1,933,710
	2,110,000	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		2,113,524
				66,691,879
		ABS Credit Card – 6.2%
	11,410,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 2.992%, 8/15/2018, 144A(b)		11,981,885
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		3,051,644
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,691,359
	1,520,000	World Financial Network Credit Card Master Trust, Series 2006-A, Class A, 0.372%, 2/15/2017, 144A(b)		1,516,695
	9,695,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,480,895
	10,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		10,687,735
				43,410,213

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Home Equity – 0.4%
$	463,170	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035	$	440,872
	1,374,621	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		981,124
	1,857,017	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.395%, 7/25/2036(b)		1,145,938
				2,567,934
		ABS Other – 4.7%
	4,787,246	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		4,835,733
	3,180,000	GE Dealer Floorplan Master Note Trust, Series 2011-1, Class A, 0.844%, 7/20/2016(b)		3,193,157
	795,430	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		830,412
	6,394,780	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		6,471,821
	2,330,112	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026, 144A(c)		2,458,268
	961,402	Sierra Receivables Funding Co., Series 2007-1A, Class A2, 0.394%, 3/20/2019, 144A(b)		939,542
	707,882	Sierra Receivables Funding Co., Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		725,820
	1,180,432	Sierra Receivables Funding Co., Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		1,202,450
	1,462,262	Sierra Receivables Funding Co., Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		1,491,728
	1,753,439	Sierra Receivables Funding Co., Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		1,788,402
	3,658,861	Sierra Receivables Funding Co., Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		3,680,840
	4,810,894	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.742%, 7/15/2041, 144A(b)		4,810,772
				32,428,945
		ABS Student Loan – 3.0%
	4,900,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.418%, 7/01/2024(b)		4,911,259
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.466%, 7/25/2025(b)		15,699,793
				20,611,052
		Collateralized Mortgage Obligations – 29.0%
	882,644	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		495,959
	533,795	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.271%, 7/25/2021(b)		483,556
	436,887	Countrywide Home Loans, Series 2004-HYB5, Class 6A2, 2.686%, 4/20/2035(b)		159,114
	455,012	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(d)		508,549
	654,511	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(d)(e)		153,719
	6,500,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019(d)		7,195,211
	7,157,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(d)		8,504,114

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	10,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(d)	$	11,331,066
	5,762,328	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.133%, 6/15/2048(b)(d)(e)		5,949,670
	6,026,117	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 5.052%, 12/15/2036(b)(d)(e)		6,176,778
	2,854,061	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(d)(e)		545,312
	3,901,713	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		242,187
	1,364,815	Federal National Mortgage Association, REMIC, Series 2004-1, Class CK, 5.500%, 11/25/2031(d)		1,378,409
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(d)		1,141,597
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(d)		11,264,957
	10,641,579	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.811%, 8/25/2038(b)(d)		10,760,631
	2,842,620	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 5.101%, 3/25/2039(b)(d)		2,986,972
	3,258,489	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/01/2033(d)(e)		630,208
	590,086	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/01/2033(d)(e)		118,839
	3,603,257	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 8/01/2033(d)(e)		670,773
	739,874	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 8/01/2033(d)(e)		100,760
	8,587,990	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/01/2035(d)(e)		1,213,011
	3,535,033	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/01/2035(d)(e)		565,036
	3,151,933	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/01/2036(d)(e)		624,820
	6,070,223	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/01/2036(d)(e)		1,119,162
	2,204,040	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/01/2036(d)(e)		374,600
	2,715,396	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/01/2036(d)(e)		462,214
	3,212,942	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/01/2037(d)(e)		547,228
	2,759,028	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(d)(e)		445,956
	1,267,438	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(d)(e)		203,858
	2,298,424	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(d)(e)		378,373
	1,393,671	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(d)(e)		247,727
	556,963	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/01/2038(d)(e)		82,008
	10,404,294	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(d)(e)		1,423,886
	3,744,061	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(d)(e)		696,515

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	2,432,189	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(d)(e)	$	408,044
	3,660,115	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(d)(e)		418,789
	1,971,604	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(d)(e)		301,605
	440,675	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(d)(e)		89,519
	11,745,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(d)		13,321,484
	9,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(d)		10,784,450
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(d)		18,146,553
	2,670,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018(d)		2,814,420
	4,865,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018(d)		5,023,628
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2046(d)		29,873,635
	3,508,795	First Horizon Alternative Mortgage Securities, Series 2006-AA3, Class A1, 2.549%, 6/25/2036(b)		2,071,245
	28,854,809	Government National Mortgage Association, Series 2006-51, Class IO, 0.549%, 8/16/2046(b)(d)(e)		704,981
	500,000	Government National Mortgage Association, Series 2007-75, Class C, 5.533%, 9/16/2038		543,326
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042		5,020,340
	87,825,074	Government National Mortgage Association, Series 2010-I24, Class X, 1.069%, 12/16/2052(b)(d)(e)		6,715,017
	23,706,714	Government National Mortgage Association, Series 2011-38, Class IO, 0.975%, 4/16/2053(b)(d)(e)		1,338,291
	14,236,308	Government National Mortgage Association, Series 2011-53, Class IO, 1.357%, 5/16/2051(b)(d)(e)		967,770
	34,839,093	Government National Mortgage Association, Series 2012-23, Class IO, 1.562%, 6/16/2053(b)(d)(e)		2,749,362
	34,892,836	Government National Mortgage Association, Series 2012-53, Class IO, 1.085%, 3/16/2047(b)(d)(e)		2,715,605
	39,893,396	Government National Mortgage Association, Series 2012-55, Class IO, 1.241%, 4/16/2052(b)(d)(e)		2,695,637
	29,964,365	Government National Mortgage Association, Series 2012-58, Class IO, 1.029%, 2/16/2053(b)(d)(e)		2,635,396
	29,964,542	Government National Mortgage Association, Series 2012-70, Class IO, 0.961%, 8/16/2052(b)(d)(e)		2,104,739
	25,000,000	Government National Mortgage Association, Series 2012-79, Class IO, IO, 1.051%, 3/16/2053(b)		2,146,750
	558,597	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.498%, 7/25/2035(b)		498,994
	330,696	Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		296,937
	1,385,027	Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,257,722
	70,850	Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		63,244
	7,682,956	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.722%, 11/25/2036(b)		6,052,618

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	474,436	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.630%, 3/25/2035(b)	$	463,713
				201,406,589
		Commercial Mortgage-Backed Securities – 30.9%
	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.193%, 9/10/2047(b)		211,324
	350,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.727%, 5/10/2045(b)		399,025
	122,756	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046		122,731
	1,502,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,713,219
	1,090,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,173,138
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		1,372,078
	7,500,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		8,533,695
	8,870,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		9,852,069
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.749%, 6/10/2046(b)		281,494
	4,860,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.813%, 6/15/2038(b)		5,507,109
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,653,336
	7,038,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(b)		7,536,086
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.772%, 9/15/2039(b)		5,335,755
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		11,972,362
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.201%, 2/15/2041(b)		4,519,667
	4,615,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		5,051,588
	6,600,000	Extended Stay America Trust, Series 2010-ESHA, Class B, 4.221%, 11/05/2027, 144A		6,663,314
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		15,181,682
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		9,701,082
	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		133,895
	205,527	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		206,336
	6,730,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		7,484,231
	7,500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		8,520,045
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		13,872,675

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	7,980,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043	$	8,906,135
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,611,341
	7,585,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		8,486,637
	2,440,000	LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4, 5.661%, 3/15/2039		2,740,676
	7,500,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038		8,443,635
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.430%, 2/12/2039(b)		1,121,526
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A4, 5.414%, 7/12/2046		1,130,189
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		5,087,473
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		8,193,506
	6,730,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		7,389,116
	224,675	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.743%, 8/12/2041(b)		227,965
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		10,048,569
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.880%, 6/11/2049(b)		8,361,942
	4,912	Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A2, 4.380%, 10/15/2041		4,910
	6,600,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045		7,336,223
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		2,611,439
				214,699,218
		Hybrid ARMs – 7.3%
	188,567	FHLMC, 2.379%, 1/01/2035(b)(d)		197,263
	2,128,849	FHLMC, 2.398%, 4/01/2035(b)(d)		2,268,064
	4,754,196	FHLMC, 2.428%, 6/01/2035(b)(d)		5,037,091
	2,818,739	FHLMC, 2.506%, 5/01/2037(b)(d)		2,997,887
	3,623,059	FHLMC, 3.005%, 11/01/2036(b)(d)		3,856,695
	2,507,393	FHLMC, 3.177%, 2/01/2037(b)(d)		2,676,888
	907,943	FHLMC, 5.073%, 1/01/2036(b)(d)		975,865
	1,380,394	FHLMC, 6.017%, 11/01/2036(b)(d)		1,467,514
	1,136,812	FNMA, 2.256%, 2/01/2037(b)(d)		1,201,251

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	2,209,206	FNMA, 2.272%, 9/01/2034(b)(d)	$	2,338,642
	1,041,632	FNMA, 2.669%, 9/01/2036(b)(d)		1,116,954
	7,408,730	FNMA, 4.940%, 8/01/2038(b)(d)		7,963,829
	1,043,645	FNMA, 5.288%, 10/01/2035(b)(d)		1,130,706
	16,188,117	FNMA, 5.771%, 9/01/2037(b)(d)		17,497,051
				50,725,700
		Mortgage Related – 27.3%
	493,991	FHLMC, 5.000%, with various maturities from 2035 to 2036(d)(f)		532,489
	26,700,000	FHLMC (TBA), 4.500%, 8/01/2042(g)		28,502,251
	19,000,000	FHLMC (TBA), 5.000%, 8/01/2042(g)		20,416,095
	1,879,466	FNMA, 5.500%, 8/01/2034(d)		2,087,979
	189,334	FNMA, 6.000%, with various maturities from 2034 to 2036(d)(f)		209,044
	10,239	FNMA, 7.000%, 12/01/2037(d)		11,917
	35,500,000	FNMA (TBA), 2.500%, 8/01/2027(g)		36,498,438
	13,000,000	FNMA (TBA), 4.000%, 8/01/2042(g)		13,810,469
	34,000,000	FNMA. (TBA), 3.500%, 8/01/2042(g)		35,641,564
	706,266	GNMA, 1.976%, 7/20/2060(b)		725,909
	486,887	GNMA, 2.000%, 9/20/2060(b)		500,429
	2,833,244	GNMA, 2.068%, 2/20/2061(b)		2,953,656
	1,931,440	GNMA, 4.479%, 2/20/2062		2,125,262
	1,801,652	GNMA, 4.500%, 9/20/2060		1,998,805
	513,081	GNMA, 4.570%, 10/20/2061		570,719
	510,122	GNMA, 4.578%, 11/20/2061		567,728
	1,036,875	GNMA, 4.600%, 10/20/2061		1,154,955
	11,595,166	GNMA, 4.659%, 2/20/2062		12,979,130
	13,179,068	GNMA, 4.670%, 12/20/2061		14,734,515
	708,417	GNMA, 4.684%, 1/20/2062		793,008
	2,542,884	GNMA, 4.700%, with various maturities in 2061(f)		2,840,084
	3,072,460	GNMA, 4.720%, 6/20/2061		3,426,346

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	1,045,123	GNMA, 4.798%, 5/20/2061	$	1,168,139
	1,024,884	GNMA, 4.951%, 1/20/2062		1,155,047
	915,403	GNMA, 5.500%, with various maturities in 2059(f)		1,002,902
	3,087,928	GNMA, 6.514%, 5/20/2061		3,491,464
				189,898,344
		Total Bonds and Notes (Identified Cost $788,567,371)		822,439,874
	Short-Term Investments – 0.5%
	2,956,983	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $2,956,983 on 7/02/2012 collateralized by $3,015,000 Federal National Mortagage Association, 0.375% due 12/28/2012 valued at $3,018,015 including accrued interest(h)		2,956,983
	500,000	U.S. Treasury Bill 0.145% - 0.150%, 9/13/2012(i)(j)(k)		499,922
		Total Short-Term Investments (Identified Cost $3,456,831)		3,456,905
		Total Investments – 118.9% (Identified Cost $792,024,202)(a)		825,896,779
		Other assets less liabilities – (18.9)%		(131,012,637	)
		Net Assets – 100.0%	$	694,884,142

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

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

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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.):

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $792,024,202 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	$	40,898,050
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,025,473	)
Net unrealized appreciation	$	33,872,577

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

(c) Illiquid security. At June 30, 2012, the value of this security amounted to $2,458,268 or 0.4% 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. No interest accrues to the Fund until the transaction settles.

(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.

(k) The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $105,680,105 or 15.2% 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

At June 30, 2012, open futures contracts sold were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/28/2012		574	$	71,158,063	$	(127,707	)
10 Year U.S. Treasury Note		9/19/2012		98		13,070,750		(58,001	)
Total							$	(185,708	)

Fair Value Measurements

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

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Car Loan	$	—	$	64,578,355	$	2,113,524	$	66,691,879
ABS Other		—		29,970,677		2,458,268		32,428,945
Mortgage Related		—		188,672,006		1,226,338		189,898,344
All Other Bonds and Notes*		—		533,420,706		—		533,420,706
Total Bonds and Notes		—		816,641,744		5,798,130		822,439,874
Short-Term Investments		—		3,456,905		—		3,456,905
Total	$	—	$	820,098,649	$	5,798,130	$	825,896,779

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(185,708	)	$	—	$	—	$	(185,708	)

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

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

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

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—		$	3,699		$	2,109,825	$	—		$	—	$	—	$	2,113,524	$	3,699
ABS Other		3,125,850		—		—			128,156			—		(795,738	)		—		—		2,458,268		128,156
Mortgage Related		—		—		(783	)		(300	)		1,255,003		(27,582	)		—		—		1,226,338		(300	)
Total	$	3,125,850	$	—	$	(783	)	$	131,555		$	3,364,828	$	(823,320	)	$	—	$	—	$	5,798,130	$	131,555

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 Securitized Asset 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 hedge against changes in interest rates and to manage their duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2012, the Fund used futures contracts to manage duration.

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

Liability Derivatives	Interest Rate Contracts
Futures (unrealized depreciation)	$	(185,708	)

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Commercial Mortgage-Backed Securities	30.9	%
Collateralized Mortgage Obligations	29.0
Mortgage Related	27.3
ABS Car Loan	9.6
Hybrid ARMs	7.3
ABS Credit Card	6.2
ABS Other	4.7
ABS Student Loan	3.0
ABS Home Equity	0.4
Short-Term Investments	0.5
Total Investments	118.9
Other assets less liabilities (including open futures contracts)	(18.9	)
Net Assets	100.0	%

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

Loomis Sayles Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks – 96.2% of Net Assets
		Auto Components – 1.2%
	534,579	Dana Holding Corp.	$	6,847,957
	172,744	Tenneco, Inc.(b)		4,632,994
				11,480,951
		Building Products – 1.0%
	136,504	Armstrong World Industries, Inc.		6,710,537
	376,559	Griffon Corp.		3,230,876
				9,941,413
		Capital Markets – 1.7%
	777,711	Fifth Street Finance Corp.		7,761,556
	269,619	Stifel Financial Corp.(b)		8,331,227
				16,092,783
		Chemicals – 2.4%
	112,430	Koppers Holdings, Inc.		3,822,620
	97,033	Minerals Technologies, Inc.		6,188,765
	282,814	Olin Corp.		5,907,984
	83,411	WR Grace & Co.(b)		4,208,085
	182,181	Zep, Inc.		2,501,345
				22,628,799
		Commercial Banks – 9.1%
	587,102	BancorpSouth, Inc.		8,524,721
	618,248	Cathay General Bancorp		10,207,274
	159,134	City National Corp.		7,730,730
	495,700	CVB Financial Corp.		5,774,905
	482,130	First Financial Bancorp		7,704,437
	108,519	First Financial Bankshares, Inc.		3,750,417
	160,056	IBERIABANK Corp.		8,074,825
	246,925	Pinnacle Financial Partners, Inc.(b)		4,817,507
	260,432	Popular, Inc.(b)		4,325,775
	183,036	Prosperity Bancshares, Inc.		7,693,003
	147,680	Signature Bank(b)		9,004,050
	264,608	Wintrust Financial Corp.		9,393,584
				87,001,228
		Commercial Services & Supplies – 4.2%
	586,807	ACCO Brands Corp.(b)		6,067,584
	506,299	KAR Auction Services, Inc.(b)		8,703,280
	233,017	McGrath Rentcorp		6,174,951
	438,131	Rollins, Inc.		9,800,990
	130,259	Team, Inc.(b)		4,061,476
	182,077	Waste Connections, Inc.		5,447,744
				40,256,025
		Communications Equipment – 2.0%
	163,343	ADTRAN, Inc.		4,931,325
	808,082	Brocade Communications Systems, Inc.(b)		3,983,844
	662,976	Harmonic, Inc.(b)		2,824,278

Shares		Description	Value (†)
	Common Stocks – continued
		Communications Equipment – continued
	214,858	NETGEAR, Inc.(b)	$	7,414,750
				19,154,197
		Computers & Peripherals – 0.4%
	256,240	QLogic Corp.(b)		3,507,926
		Construction & Engineering – 0.7%
	277,793	MYR Group, Inc.(b)		4,739,149
	173,133	Primoris Services Corp.		2,077,596
				6,816,745
		Consumer Finance – 1.9%
	182,778	Cash America International, Inc.		8,049,543
	547,970	DFC Global Corp.(b)		10,099,087
				18,148,630
		Distributors – 0.5%
	109,064	Core-Mark Holding Co., Inc.		5,250,341
		Diversified Financial Services – 0.6%
	222,094	MarketAxess Holdings, Inc.		5,916,584
		Electric Utilities – 2.5%
	220,623	ALLETE, Inc.		9,222,041
	81,523	ITC Holdings Corp.		5,617,750
	261,847	UIL Holdings Corp.		9,389,834
				24,229,625
		Electrical Equipment – 3.4%
	151,992	AZZ, Inc.		9,311,030
	77,673	Belden, Inc.		2,590,395
	188,946	EnerSys(b)		6,626,336
	208,227	General Cable Corp.(b)		5,401,408
	148,139	Global Power Equipment Group, Inc.		3,235,356
	357,614	II-VI, Inc.(b)		5,961,425
				33,125,950
		Electronic Equipment, Instruments & Components – 3.7%
	137,741	Cognex Corp.		4,359,503
	359,931	GSI Group, Inc.(b)		4,124,809
	152,527	Littelfuse, Inc.		8,677,261
	337,014	Methode Electronics, Inc.		2,867,989
	122,746	Rogers Corp.(b)		4,861,969
	232,340	ScanSource, Inc.(b)		7,118,898
	408,396	Vishay Intertechnology, Inc.(b)		3,851,174
				35,861,603
		Energy Equipment & Services – 1.9%
	289,873	Helix Energy Solutions Group, Inc.(b)		4,756,816
	120,001	Lufkin Industries, Inc.		6,518,454
	148,637	Oceaneering International, Inc.		7,113,767
				18,389,037
		Food & Staples Retailing – 1.0%
	62,891	Casey’s General Stores, Inc.		3,709,940

Shares		Description	Value (†)
	Common Stocks – continued
		Food & Staples Retailing – continued
	348,659	Spartan Stores, Inc.	$	6,321,188
				10,031,128
		Food Products – 2.4%
	445,395	Darling International, Inc.(b)		7,344,564
	147,190	Ingredion, Inc.		7,288,849
	145,012	J & J Snack Foods Corp.		8,570,209
				23,203,622
		Gas Utilities – 0.9%
	280,109	UGI Corp.		8,243,608
		Health Care Equipment & Supplies – 1.0%
	155,947	SurModics, Inc.(b)		2,697,883
	112,062	Teleflex, Inc.		6,825,696
				9,523,579
		Health Care Providers & Services – 2.5%
	108,023	Bio-Reference Labs, Inc.(b)		2,838,844
	193,953	Hanger Orthopedic Group, Inc.(b)		4,972,955
	116,531	MEDNAX, Inc.(b)		7,987,035
	150,714	WellCare Health Plans, Inc.(b)		7,987,842
				23,786,676
		Hotels, Restaurants & Leisure – 3.5%
	107,958	Churchill Downs, Inc.		6,346,851
	117,929	Cracker Barrel Old Country Store, Inc.		7,405,941
	233,793	Marriott Vacations Worldwide Corp.(b)		7,242,907
	113,080	Six Flags Entertainment Corp.		6,126,674
	124,251	Wyndham Worldwide Corp.		6,552,998
				33,675,371
		Household Durables – 1.4%
	229,532	Jarden Corp.		9,644,935
	329,952	La-Z-Boy, Inc.(b)		4,055,110
				13,700,045
		Industrial Conglomerates – 0.9%
	120,473	Raven Industries, Inc.		8,383,716
		Insurance – 3.7%
	446,540	Employers Holdings, Inc.		8,055,582
	326,467	HCC Insurance Holdings, Inc.		10,251,064
	108,309	ProAssurance Corp.		9,649,249
	133,959	Reinsurance Group of America, Inc., Class A		7,127,958
				35,083,853
		Internet & Catalog Retail – 0.5%
	127,655	HSN, Inc.		5,150,879
		Internet Software & Services – 0.9%
	98,524	IAC/InterActiveCorp		4,492,695
	341,227	Perficient, Inc.(b)		3,831,979
				8,324,674

Shares		Description	Value (†)
	Common Stocks – continued
		IT Services – 2.9%
	627,651	Convergys Corp.	$	9,270,405
	300,794	Euronet Worldwide, Inc.(b)		5,149,594
	215,207	Wright Express Corp.(b)		13,282,576
				27,702,575
		Machinery – 4.8%
	172,663	Actuant Corp., Class A		4,689,527
	146,584	Alamo Group, Inc.		4,598,340
	296,706	Albany International Corp., Class A		5,551,369
	443,446	Altra Holdings, Inc.		6,997,578
	185,466	John Bean Technologies Corp.		2,516,774
	54,759	Middleby Corp. (The)(b)		5,454,544
	170,275	RBC Bearings, Inc.(b)		8,054,007
	110,463	Wabtec Corp.		8,617,219
				46,479,358
		Marine – 0.6%
	121,016	Kirby Corp.(b)		5,697,433
		Media – 2.4%
	178,757	Arbitron, Inc.		6,256,495
	186,322	John Wiley & Sons, Inc., Class A		9,127,915
	41,066	Liberty Media Corp. - Liberty Capital, Class A(b)		3,610,112
	447,724	Live Nation Entertainment, Inc.(b)		4,110,106
				23,104,628
		Metals & Mining – 2.6%
	102,828	Haynes International, Inc.		5,238,058
	560,885	Horsehead Holding Corp.(b)		5,586,415
	154,083	Reliance Steel & Aluminum Co.		7,781,192
	440,342	SunCoke Energy, Inc.(b)		6,451,010
				25,056,675
		Multi Utilities – 0.4%
	96,223	NorthWestern Corp.		3,531,384
		Multiline Retail – 0.6%
	398,351	Fred’s, Inc. Class A		6,090,787
		Oil, Gas & Consumable Fuels – 1.6%
	109,369	Berry Petroleum Co., Class A		4,337,575
	232,910	Cloud Peak Energy, Inc.(b)		3,938,508
	441,718	Energy Partners Ltd.(b)		7,465,034
				15,741,117
		Pharmaceuticals – 0.6%
	287,573	Impax Laboratories, Inc.(b)		5,829,105
		REITs - Apartments – 3.5%
	233,803	American Campus Communities, Inc.		10,516,459
	124,279	Home Properties, Inc.		7,625,759
	133,984	Mid-America Apartment Communities, Inc.		9,143,068
	258,603	UDR, Inc.		6,682,302
				33,967,588

Shares		Description	Value (†)
	Common Stocks – continued
		REITs - Diversified – 1.6%
	317,842	DuPont Fabros Technology, Inc.	$	9,077,567
	185,220	Potlatch Corp.		5,915,927
				14,993,494
		REITs - Healthcare – 1.0%
	427,396	Omega Healthcare Investors, Inc.		9,616,410
		REITs - Hotels – 0.9%
	1,629,443	Hersha Hospitality Trust		8,603,459
		REITs - Office Property – 1.0%
	532,268	BioMed Realty Trust, Inc.		9,942,766
		REITs - Single Tenant – 0.9%
	290,796	National Retail Properties, Inc.		8,226,619
		REITs - Storage – 1.9%
	776,343	CubeSmart		9,059,923
	180,366	Sovran Self Storage, Inc.		9,034,533
				18,094,456
		Road & Rail – 2.7%
	381,765	Avis Budget Group, Inc.(b)		5,802,828
	121,198	Genesee & Wyoming, Inc., Class A(b)		6,404,102
	195,914	Old Dominion Freight Line, Inc.(b)		8,481,117
	207,617	Werner Enterprises, Inc.		4,959,970
				25,648,017
		Semiconductors & Semiconductor Equipment – 1.9%
	624,302	Lattice Semiconductor Corp.(b)		2,353,619
	278,294	Semtech Corp.(b)		6,768,110
	54,017	Skyworks Solutions, Inc.(b)		1,478,445
	536,355	Teradyne, Inc.(b)		7,541,151
				18,141,325
		Software – 1.6%
	322,712	Monotype Imaging Holdings, Inc.(b)		5,411,880
	379,306	SS&C Technologies Holdings, Inc.(b)		9,482,650
				14,894,530
		Specialty Retail – 4.2%
	131,282	Genesco, Inc.(b)		7,896,612
	941,746	Hot Topic, Inc.		9,125,519
	105,292	Jos. A. Bank Clothiers, Inc.(b)		4,470,698
	175,920	Rent-A-Center, Inc.		5,935,541
	510,856	Sally Beauty Holdings, Inc.(b)		13,149,434
				40,577,804
		Thrifts & Mortgage Finance – 0.7%
	557,049	Capitol Federal Financial, Inc.		6,617,742
		Trading Companies & Distributors – 1.2%
	60,760	DXP Enterprises, Inc.(b)		2,520,932
	248,018	H&E Equipment Services, Inc.(b)		3,727,711

Shares		Description	Value (†)
	Common Stocks – continued
		Trading Companies & Distributors – continued
	341,141	Rush Enterprises, Inc., Class A(b)	$	5,577,655
				11,826,298
		Transportation Infrastructure – 0.3%
	251,543	Wesco Aircraft Holdings, Inc.(b)		3,202,142
		Water Utilities – 0.4%
	222,776	Middlesex Water Co.		4,232,744
		Total Common Stocks (Identified Cost $731,577,259)		924,727,444
	Closed End Investment Companies – 0.9%
	527,881	Ares Capital Corp. (Identified Cost $7,110,704)		8,424,981
	Warrants – 0.0%
	67,892	Magnum Hunter Resources Corp., Expiration on 10/14/2013(b)(c)(d) (Identified Cost $0)		—
Principal Amount
	Short-Term Investments – 2.8%
$	26,688,106	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $26,688,106 on 7/02/2012 collateralized by $27,090,000 Federal National Mortgage Association, 1.000% due 12/27/2012 valued at $27,225,450 including accrued interest(e) (Identified Cost $26,688,106)		26,688,106
		Total Investments – 99.9% (Identified Cost $765,376,069)(a)		959,840,531
		Other assets less liabilities – 0.1%		1,165,212
		Net Assets – 100.0%	$	961,005,743

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $765,378,743 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	$	216,541,445
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(22,079,657	)
Net unrealized appreciation	$	194,461,788

At September 30, 2011, the Fund had a short-term capital loss carryforward of $55,289,597 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b) Non-income producing security.

(c) Fair valued security by the Fund’s investment adviser.

(d) Illiquid security.

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

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 listed below:

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	924,727,444	$	—	$	—	$	924,727,444
Closed End Investment Companies		8,424,981		—		—		8,424,981
Warrants**		—		—		—		—
Short-Term Investments		—		26,688,106		—		26,688,106
Total	$	933,152,425	$	26,688,106	$	—	$	959,840,531

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

** Fair valued at zero using Level 2 inputs.

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

New Accounting Pronouncement

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

Industry Summary at June 30, 2012 (Unaudited)

Commercial Banks	9.1	%
Machinery	4.8
Specialty Retail	4.2
Commercial Services & Supplies	4.2
Electronic Equipment, Instruments & Components	3.7
Insurance	3.7
REITs - Apartments	3.5
Hotels, Restaurants & Leisure	3.5
Electrical Equipment	3.4
IT Services	2.9
Road & Rail	2.7
Metals & Mining	2.6
Electric Utilities	2.5
Health Care Providers & Services	2.5
Food Products	2.4
Media	2.4
Chemicals	2.4
Communications Equipment	2.0
Other Investments, less than 2% each	34.6
Short-Term Investments	2.8
Total Investments	99.9
Other assets less liabilities	0.1
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 21, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/    ROBERT J. BLANDING
Name:	Robert J. Blanding
Title:	President and Chief Executive Officer
Date:	August 21, 2012

By:	/s/    MICHAEL C. KARDOK
Name:	Michael C. Kardok
Title:	Treasurer
Date:	August 21, 2012