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, 2013

ITEM 1. SCHEDULE OF INVESTMENTS

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

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 84.8% of Net Assets
Non-Convertible Bonds – 75.8%
		ABS Car Loan – 0.0%
$	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	6,322,137
		ABS Home Equity – 0.1%
	20,655,441	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.726%, 4/25/2035(b)		20,547,578
		Aerospace & Defense – 0.3%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,485,807
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,664,000
	5,200,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		5,338,117
	23,763,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		19,683,630
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		23,138,337
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		6,085,650
				69,395,541
		Airlines – 1.9%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		51,439,099
	5,260,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		5,246,850
	22,300,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		21,073,500
	8,400,000	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		8,694,000
	4,945,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		4,994,450
	32,200,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		32,522,000
	6,513	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		6,513
	917,503	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		926,678
	993,484	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,028,256
	4,722,969	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		4,876,466
	2,001,280	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		2,076,329
	2,371,765	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,656,377
	2,293,526	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,499,944
	2,059,170	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		2,182,720

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	2,716,823	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022	$	2,893,416
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,556,376
	15,528,134	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		17,236,229
	24,960,214	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		26,457,827
	21,115,881	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		24,230,473
	25,221,484	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		29,509,136
	5,915,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		6,151,600
	2,537,610	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,868,768
	3,683,907	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,024,668
	26,374,129	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		26,637,871
	2,946,626	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,138,156
	18,231,462	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		18,823,985
	23,336,135	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		24,969,664
	1,137,305	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		1,307,901
	21,126,246	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		22,288,190
	17,397,282	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		19,658,928
	20,867,336	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		21,910,703
	10,795,212	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		11,712,805
	8,513,537	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		9,024,349
	7,450,000	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		7,375,500
				421,999,727
		Automotive – 1.3%
	3,700,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		4,083,875
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,674,873
	9,392,000	Ford Motor Co., 6.375%, 2/01/2029		9,953,303
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,957,801
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,657,291
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		70,811,932

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – continued
$	2,720,000	Ford Motor Co., 7.125%, 11/15/2025	$	3,092,012
	46,387,000	Ford Motor Co., 7.400%, 11/01/2046		54,654,137
	69,015,000	Ford Motor Co., 7.450%, 7/16/2031		82,625,793
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,827,174
	9,630,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		10,439,989
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		7,641,012
	8,755,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		8,973,875
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,973,039
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,190,250
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		6,800,000
				279,356,356
		Banking – 11.4%
	6,000,000	ABN Amro Bank NV, (fixed rate to 3/10/2016, variable rate thereafter), 4.310%, 3/29/2049, (EUR)		6,931,283
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		130,341,564
	120,000	Ally Financial, Inc., 3.125%, 1/15/2016		119,714
	15,190,000	Ally Financial, Inc., 6.750%, 12/01/2014		15,968,488
	19,158,000	Ally Financial, Inc., 7.500%, 12/31/2013		19,636,950
	50,810,000	Ally Financial, Inc., 7.500%, 9/15/2020		58,558,525
	40,627,000	Ally Financial, Inc., 8.000%, 11/01/2031		48,853,967
	62,225,000	Ally Financial, Inc., 8.300%, 2/12/2015		67,047,437
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		39,168,387
	99,300,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		40,942,031
	1,400,000	Bank of America Corp., 5.490%, 3/15/2019		1,509,536
	1,065,000	Bank of America Corp., 5.650%, 5/01/2018		1,183,196
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		8,171,747
	3,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		2,759,492
	33,133,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		39,818,411
	1,670,000	Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP)		2,197,850

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)	$	80,237,391
	16,060,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		15,019,040
	31,050,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		29,497,500
	30,900,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		38,612,129
	35,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		48,936,932
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		18,300,445
	23,400,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		29,240,253
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		39,569,024
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		21,478,500
	12,230,000	Citigroup, Inc., 3.375%, 3/01/2023		11,699,389
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,647,025
	42,420,000	Citigroup, Inc., 5.000%, 9/15/2014		44,084,009
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		5,307,083
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		34,760,502
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		12,880,344
	24,080,000	Citigroup, Inc., 6.125%, 5/15/2018		27,565,291
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		8,620,879
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		32,280,798
	20,760,000	Citigroup, Inc., 6.375%, 8/12/2014		21,907,613
	4,900,000	Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b)		6,027,288
	20,760,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		20,905,714
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		905,579
	61,880,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		63,387,644
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,410,745
	33,280,000	HBOS PLC, 6.000%, 11/01/2033, 144A		30,703,130
	65,355,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		69,200,292
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		11,789,475

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)	$	51,626,824
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		31,777,154
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		26,334,670
	34,800,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		25,752,000
	4,745,000	Lloyds Banking Group PLC, (fixed rate to 5/21/2037, variable rate thereafter), 6.657%, 1/29/2049, 144A		4,128,150
	83,493,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		89,013,307
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		5,196,332
	9,600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		10,394,947
	36,435,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		35,865,266
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		42,970,399
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.758%, 9/14/2018, (EUR)(b)		1,917,069
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		6,683,646
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,850,060
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,224,453
	151,955,000	Morgan Stanley, 2.125%, 4/25/2018		145,425,646
	6,270,000	Morgan Stanley, 3.800%, 4/29/2016		6,521,182
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		48,531,523
	83,155,000	Morgan Stanley, 4.875%, 11/01/2022		82,148,908
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		125,008,532
	149,700,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		148,673,600
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,345,882
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		114,468,994
	41,145,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		38,014,647
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		16,439,580
	19,400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		18,640,915
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		10,318,378
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		13,261,424

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	18,000,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b)	$	17,425,242
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,648,872
	3,800,000	RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b)		3,069,159
	2,819,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		2,385,077
	11,860,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		8,242,700
	6,633,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		5,306,400
	3,060,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		2,233,800
	1,385,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		1,190,018
	22,591,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		19,919,328
	32,250,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		30,688,133
	15,425,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		13,805,375
	1,300,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,659,902
	11,450,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		15,574,561
	3,200,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		3,760,205
	950,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		1,024,005
	2,200,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		2,928,834
	2,269,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		2,405,671
	1,800,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,835,905
	3,070,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		3,936,123
	6,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/19/2049, (EUR)		7,962,190
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		2,956,156
				2,482,673,736
		Brokerage – 0.9%
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,677,455
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		50,874,657
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		28,438,550
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		22,091,580

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – continued
$	58,180,000	Jefferies Group LLC, 6.875%, 4/15/2021	$	63,985,898
				186,068,140
		Building Materials – 0.9%
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,925,125
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,465,675
	19,873,000	Masco Corp., 6.125%, 10/03/2016		21,462,840
	15,272,000	Masco Corp., 6.500%, 8/15/2032		15,195,640
	23,972,000	Masco Corp., 7.125%, 3/15/2020		26,728,780
	9,733,000	Masco Corp., 7.750%, 8/01/2029		10,744,658
	9,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		3,969,583
	3,725,000	Owens Corning, Inc., 6.500%, 12/01/2016		4,158,162
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		54,765,671
	35,870,000	USG Corp., 6.300%, 11/15/2016		36,587,400
	17,605,000	USG Corp., 9.750%, 1/15/2018		19,981,675
				201,985,209
		Chemicals – 0.4%
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		20,261,430
	2,915,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		2,973,300
	2,610,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,492,550
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,122,886
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		11,358,188
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		22,358,880
	3,386,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		2,911,960
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		9,270,100
				78,749,294
		Commercial Mortgage-Backed Securities – 0.0%
	11,090,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		10,661,482
		Construction Machinery – 0.3%
	30,736,000	Case New Holland, Inc., 7.750%, 9/01/2013		30,928,100

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Construction Machinery – continued
$	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036	$	2,134,851
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		26,955,965
	6,815,000	United Rentals North America, Inc., 7.625%, 4/15/2022		7,377,237
				67,396,153
		Consumer Cyclical Services – 0.1%
	5,525,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		5,241,844
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		965,000
	8,164,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		6,939,400
				13,146,244
		Consumer Products – 0.0%
	2,043,000	Visant Corp., 10.000%, 10/01/2017		1,884,668
		Diversified Manufacturing – 0.2%
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		565,989
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		40,197,270
				40,763,259
		Electric – 2.3%
	1,136,789	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,193,629
	65,689,810	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		68,918,924
	83,612,339	Bruce Mansfield Unit, 6.850%, 6/01/2034		91,347,317
	3,524,051	CE Generation LLC, 7.416%, 12/15/2018		3,550,481
	6,855,000	Edison Mission Energy, 7.625%, 5/15/2027(d)		3,838,800
	65,185,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		64,044,262
	22,441,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		23,114,230
	4,150,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		5,521,982
	2,750,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		3,669,024
	250,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		339,242
	3,700,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		6,415,365
	8,663,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		10,069,828
	11,600,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		10,712,623

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A	$	801,116
	2,250,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		2,956,928
	7,425,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A		8,111,813
	157,500,548	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e)		133,087,963
	1,175,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		1,205,350
	21,324,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		23,801,636
	14,445,000	PPL Energy Supply LLC, 4.600%, 12/15/2021		14,699,579
	153,038	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		158,162
	23,535,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		17,592,413
				495,150,667
		Financial Other – 0.6%
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		75,048,039
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		52,831,011
				127,879,050
		Food & Beverage – 0.0%
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		6,652,969
		Government Guaranteed – 0.4%
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		79,367,822
		Government Owned - No Guarantee – 0.5%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		35,636,737
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		15,035,969
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		67,909,029
				118,581,735
		Healthcare – 2.7%
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		17,442,225
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,131,429
	4,895,000	HCA Holdings, Inc., 6.250%, 2/15/2021		4,992,900
	12,860,000	HCA, Inc., 5.875%, 3/15/2022		13,197,575
	162,835,000	HCA, Inc., 5.875%, 5/01/2023		163,242,087

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	17,380,000	HCA, Inc., 6.375%, 1/15/2015	$	18,205,550
	50,875,000	HCA, Inc., 6.500%, 2/15/2016		54,817,813
	3,045,000	HCA, Inc., 6.750%, 7/15/2013		3,045,000
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		26,659,920
	20,287,000	HCA, Inc., 7.190%, 11/15/2015		21,909,960
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		28,233,920
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		27,258,950
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		76,141,080
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		50,831,920
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		23,239,440
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		12,508,230
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		29,410,280
				579,268,279
		Home Construction – 0.5%
	2,200,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		2,222,000
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		15,056,100
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		19,559,050
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,707,750
	2,835,000	KB Home, 8.000%, 3/15/2020		3,146,850
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		60,126,600
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		16,119,400
				117,937,750
		Independent Energy – 0.2%
	2,500,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		3,392,424
	2,035,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		2,187,625
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		2,104,900
	21,480,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		12,243,600
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,163,997

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Independent Energy – continued
$	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021	$	10,586,437
	5,560,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		5,282,000
				37,960,983
		Industrial Other – 0.1%
	4,205,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		4,078,850
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,346,036
				15,424,886
		Life Insurance – 2.0%
	13,017,000	American International Group, Inc., 6.250%, 3/15/2087		13,293,611
	99,895,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		121,871,900
	8,400,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		13,670,295
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,615,877
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		32,680,977
	7,075,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		7,799,027
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		4,020,339
	97,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		95,236,925
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,775,290
	13,250,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		17,580,927
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,288,640
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,679,600
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		15,720,375
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		67,017,033
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		13,494,120
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		6,562,396
	10,000,000	Tiers Trust, (Step to 8.125% on 9/15/2017), Zero Coupon, 3/15/2046, 144A(c)(f)		8,900,000
				443,207,332
		Local Authorities – 2.2%
	112,585,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		118,779,801

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Local Authorities – continued
	1,400,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)	$	1,313,994
	12,250,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		14,669,589
	19,650,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		18,010,388
	125,985,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		127,157,014
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		94,516,040
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,134,928
	8,977,015	Province of Alberta, 5.930%, 9/16/2016, (CAD)		9,286,264
	1,490,000	Province of Ontario, 5.000%, 3/08/2014, (CAD)		1,453,278
	75,000,000	Province of Ontario Canada, GMTN, 6.250%, 6/16/2015, (NZD)		61,010,043
	38,490,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		36,606,851
				483,938,190
		Media Cable – 0.3%
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,198,975
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		39,632,394
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		14,338,985
				57,170,354
		Media Non-Cable – 0.3%
	136,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		8,901,829
	12,500,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		12,750,000
	42,100,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		44,205,000
				65,856,829
		Metals & Mining – 0.9%
	8,557,000	Alcoa, Inc., 5.720%, 2/23/2019		8,711,788
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		4,801,780
	3,000,000	Alcoa, Inc., 5.900%, 2/01/2027		2,806,188
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,827,458
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,449,334
	9,473,000	ArcelorMittal, 6.125%, 6/01/2018		9,757,190
	35,180,000	ArcelorMittal, 7.250%, 3/01/2041		32,893,300

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Metals & Mining – continued
$	3,635,000		ArcelorMittal, 7.500%, 10/15/2039	$	3,453,250
	18,375,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		14,148,750
	6,500,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		6,500,000
	11,965,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		11,370,106
	11,175,000		United States Steel Corp., 6.050%, 6/01/2017		11,622,000
	9,625,000		United States Steel Corp., 6.650%, 6/01/2037		8,109,062
	8,015,000		United States Steel Corp., 6.875%, 4/01/2021		7,774,550
	23,520,000		United States Steel Corp., 7.000%, 2/01/2018		24,696,000
	37,725,000		United States Steel Corp., 7.500%, 3/15/2022		36,970,500
					191,891,256
			Mortgage Related – 0.0%
	112,567		FHLMC, 5.000%, 12/01/2031		120,521
			Non-Captive Consumer – 3.2%
	3,100,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		2,325,000
	27,345,000		SLM Corp., 5.500%, 1/25/2023		26,038,018
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		3,427,479
	7,577,000		SLM Corp., MTN, 3.875%, 9/10/2015		7,653,172
	9,995,000		SLM Corp., MTN, 4.625%, 9/25/2017		9,845,075
	3,450,000		SLM Corp., MTN, 6.250%, 1/25/2016		3,657,000
	8,000,000		SLM Corp., MTN, 7.250%, 1/25/2022		8,400,000
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,197,475
	5,285,000		SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b)		5,238,524
	53,713,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		55,458,672
	23,623,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		22,912,963
	49,494,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		41,080,020
	133,460,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		148,140,600
	4,690,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		4,584,475
	4,955,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,942,613

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	935,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017	$	902,275
	351,315,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		344,727,844
				691,531,205
		Non-Captive Diversified – 3.6%
	4,145,000	Aircastle Ltd., 7.625%, 4/15/2020		4,559,500
	44,981,000	Ally Financial, Inc., 8.000%, 12/31/2018		50,940,982
	64,245,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		48,526,506
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		74,159,736
	45,800,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		36,759,653
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		68,451,354
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b)		20,319,276
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		215,604,577
	455,000	International Lease Finance Corp., 3.875%, 4/15/2018		427,700
	14,785,000	International Lease Finance Corp., 5.875%, 4/01/2019		14,932,850
	35,950,000	International Lease Finance Corp., 5.875%, 8/15/2022		35,635,437
	11,070,000	International Lease Finance Corp., 6.250%, 5/15/2019		11,374,425
	17,700,000	International Lease Finance Corp., 8.250%, 12/15/2020		19,890,375
	7,645,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		7,698,515
	3,090,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,144,075
	6,070,000	iStar Financial, Inc., 3.875%, 7/01/2016		5,827,200
	18,205,000	iStar Financial, Inc., 4.875%, 7/01/2018		17,112,700
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		34,634,100
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		29,638,140
	12,655,000	iStar Financial, Inc., 6.050%, 4/15/2015		12,908,100
	29,130,000	iStar Financial, Inc., 7.125%, 2/15/2018		30,222,375
	2,190,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		2,222,850
	29,955,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		30,554,100
				775,544,526

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Oil Field Services – 1.0%
$	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018	$	17,505,730
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		166,704,080
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,711,954
	6,010,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		6,085,125
				218,006,889
		Packaging – 0.1%
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		21,347,380
	10,351,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		10,247,490
	1,100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		1,135,750
				32,730,620
		Paper – 1.2%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		36,579,123
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		527,610
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		113,540,784
	12,590,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		17,586,870
	9,625,000	International Paper Co., 8.700%, 6/15/2038		13,063,195
	8,214,000	Westvaco Corp., 7.950%, 2/15/2031		9,482,833
	34,428,000	Westvaco Corp., 8.200%, 1/15/2030		40,743,128
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,721,820
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		16,848,583
				253,093,946
		Pharmaceuticals – 0.4%
	81,985,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		81,062,669
		Pipelines – 1.5%
	9,050,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		9,513,577
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,056,182
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,247,613
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,370,237

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Pipelines – continued
$	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A	$	33,648,366
	50,726,544	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		53,137,881
	99,025,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		96,054,250
	1,585,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		1,394,800
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		66,224,811
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,461,376
	26,020,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		29,556,300
	11,565,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		9,945,900
	5,572,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		4,861,013
				324,472,306
		Property & Casualty Insurance – 0.4%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		24,489,733
	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,700,743
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		17,970,261
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		2,020,000
	13,975,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(g)		11,948,625
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		13,207,257
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		7,511,530
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,394,770
				84,242,919
		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		6,752,400
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		58,869
				6,811,269
		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		8,182,907
		REITs - Regional Malls – 0.0%
	2,000	Simon Property Group LP, 5.750%, 12/01/2015		2,204

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – 0.7%
$	1,005,000	Dillard’s, Inc., 6.625%, 1/15/2018	$	1,105,500
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,914,000
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,970,550
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,882,245
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		1,085,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022(h)		16,011,354
	5,160,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,527,900
	50,232,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		39,180,960
	375,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		304,688
	5,580,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,129,200
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,872,433
	698,000	Macy’s Retail Holdings, Inc., 7.875%, 7/15/2015		791,427
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,284,652
	39,965,000	Toys R Us, Inc., 7.375%, 10/15/2018		36,068,413
				143,128,322
		Sovereigns – 2.0%
	126,665,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		133,028,087
	25,000,000,000	Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,059,884
	88,974,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		10,725,639
	317,658,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		39,999,975
	258,350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		106,519,372
	98,690,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		45,334,551
	10,025,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		4,784,828
	8,742,110,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		52,891,264
	2,331,740,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		14,266,918
	5,523,835,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		36,473,093
				447,083,611

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supermarkets – 0.7%
$	3,675,000	American Stores Co., 7.900%, 5/01/2017	$	4,051,688
	13,145,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		15,774,000
	103,430,000	New Albertson’s, Inc., 7.450%, 8/01/2029		81,192,550
	23,020,000	New Albertson’s, Inc., 7.750%, 6/15/2026		18,157,025
	16,670,000	New Albertson’s, Inc., 8.000%, 5/01/2031		13,252,650
	6,350,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,222,875
	20,303,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		14,009,070
				151,659,858
		Supranational – 1.8%
	11,505,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		4,815,255
	348,600,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		34,775,704
	8,660,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		3,882,611
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		18,001,949
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		68,577,622
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		154,655,634
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		41,140,407
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		31,743,716
	109,670,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		44,608,193
				402,201,091
		Technology – 1.2%
	13,050,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		18,048,183
	136,514,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		103,409,355
	5,166,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,874,500
	57,898,000	Amkor Technology, Inc., 6.375%, 10/01/2022		56,884,785
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		3,014,112
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,875,141
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		18,079,640
	20,000,000	First Data Corp., 10.625%, 6/15/2021, 144A		19,750,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	13,360,000	First Data Corp., 11.250%, 1/15/2021, 144A	$	13,326,600
	2,080,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		2,134,600
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,048,023
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,540,247
	3,795,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		4,471,193
	7,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		7,035,000
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,843
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		696,531
				263,233,753
		Tobacco – 0.3%
	65,738,000	Reynolds American, Inc., 6.750%, 6/15/2017		76,176,011
		Transportation Services – 0.4%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(c)		19,734,360
	15,085,763	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		15,236,620
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)(i)		8,517,632
	7,971,726	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		8,131,160
	6,753,082	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		6,820,613
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(g)(i)		21,965,995
	4,086,288	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		4,372,328
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(g)(i)		282,408
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,149,815
				88,210,931
		Treasuries – 22.1%
	414,485,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		388,761,470
	499,325,000	Canadian Government, 2.250%, 8/01/2014, (CAD)		480,295,860
	597,515,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		581,925,182
	157,595,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		155,745,877
	201,175,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		198,904,441

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – continued
	246,645,000		Canadian Government, 3.750%, 6/01/2019, (CAD)	$	257,428,243
	297,760,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		315,285,287
	10,000,000,000		Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		1,165,539
	498,832,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		59,708,858
	122,055,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		165,865,770
	38,075,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		53,103,864
	129,275,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		182,425,667
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,381,903
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,425,365
	1,045,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,495,414
	26,535,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		237,930,766
	36,200,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		31,038,045
	1,316,210,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		237,315,847
	2,107,745,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		369,580,153
	34,565,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		38,408,355
	2,030,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,840,570
	9,000,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		10,812,802
	59,185,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		68,710,302
	15,000,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		12,007,053
	384,695,000		U.S. Treasury Bond, 2.750%, 11/15/2042		331,679,413
	430,980,000		U.S. Treasury Bond, 2.875%, 5/15/2043		381,417,300
	258,500,000		U.S. Treasury Note, 0.125%, 12/31/2014		258,035,475
					4,823,694,821
			Wireless – 0.6%
	281,500,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		21,039,488
	41,804,000		Sprint Capital Corp., 6.875%, 11/15/2028		40,131,840
	38,286,000		Sprint Capital Corp., 6.900%, 5/01/2019		39,817,440
	8,390,000		Sprint Capital Corp., 8.750%, 3/15/2032		9,229,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wireless – continued
$	15,252,000	Sprint Nextel Corp., 6.000%, 12/01/2016	$	16,090,860
				126,308,628
		Wirelines – 3.8%
	4,197,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(f)		3,861,240
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,486,319
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,411,304
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		33,295,802
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		111,990,563
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,729,875
	4,400,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		4,180,000
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		940,000
	27,075,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		32,598,997
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		9,216,700
	11,505,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		11,389,950
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,978,906
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		722,700
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,665,594
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,775,337
	38,760,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		38,663,100
	10,655,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		11,347,575
	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)		1,156,314
	24,010,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		27,879,197
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		55,582,843
	940,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		1,278,610
	1,000,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,303,277
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		33,553,325
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,581,120

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	17,517,500
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		39,813,700
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		36,789,188
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,512,525
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		11,874,636
	48,207,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		43,714,300
	32,061,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		29,942,601
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,140,602
	7,950,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		7,610,527
	1,850,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		1,896,433
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,164,982
	36,465,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		40,034,668
	5,845,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		8,430,091
	3,900,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		5,438,447
	17,000,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		26,584,510
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		46,672,042
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		28,141,701
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,618,747
	3,130,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		3,281,655
				836,596,103
		Total Non-Convertible Bonds (Identified Cost $15,574,191,610)		16,535,332,736
Convertible Bonds – 7.8%
		Airlines – 0.0%
	6,445,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		6,700,029
		Automotive – 1.6%
	5,645,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		4,988,769
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		329,835,997

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Automotive – continued
$	12,335,000	Navistar International Corp., 3.000%, 10/15/2014	$	11,980,368
				346,805,134
		Brokerage – 0.0%
	880,000	Jefferies Group LLC, 3.875%, 11/01/2029		937,750
		Diversified Manufacturing – 0.3%
	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		44,934,750
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		28,183,383
				73,118,133
		Electric – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,979,375
		Healthcare – 0.4%
	18,061,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(f)		18,117,441
	17,560,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(f)		17,373,425
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,713,937
	2,144,000	Omnicare, Inc., 3.250%, 12/15/2035		2,208,320
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		55,222,500
				95,635,623
		Home Construction – 0.4%
	47,320,000	Lennar Corp., 3.250%, 11/15/2021, 144A		79,438,450
		Independent Energy – 0.5%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		24,315,937
	75,524,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		71,134,167
	21,431,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		21,270,268
				116,720,372
		Life Insurance – 0.4%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		82,029,375
		Media Non-Cable – 0.0%
	7,581,890	Liberty Media LLC, 3.500%, 1/15/2031		3,885,719

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Metals & Mining – 0.2%
$	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014	$	1,338,928
	33,215,000	United States Steel Corp., 2.750%, 4/01/2019		32,779,053
				34,117,981
		Non-Captive Diversified – 0.1%
	16,140,000	iStar Financial, Inc., 3.000%, 11/15/2016		19,146,075
		REITs - Warehouse/Industrials – 0.2%
	28,230,000	ProLogis LP, 3.250%, 3/15/2015		32,588,006
		Technology – 3.1%
	49,074,000	Ciena Corp., 0.875%, 6/15/2017		47,172,382
	14,150,000	Ciena Corp., 3.750%, 10/15/2018, 144A		17,705,188
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		10,188,150
	2,469,000	Intel Corp., 2.950%, 12/15/2035		2,686,581
	318,925,000	Intel Corp., 3.250%, 8/01/2039		406,430,047
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,780,547
	61,640,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		95,696,100
	38,945,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		62,214,637
	18,250,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		29,120,156
				672,993,788
		Wirelines – 0.6%
	4,785,200	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(f)(h)(j)		620,818
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		75,030,454
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		56,994,656
	1,350,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,779,192
				134,425,120
		Total Convertible Bonds (Identified Cost $1,271,148,869)		1,700,520,930
Municipals – 1.2%
		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		6,393,436

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – continued
		Illinois – 0.5%
$	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038	$	2,342,010
	69,245,000	State of Illinois, 5.100%, 6/01/2033		64,256,590
	38,330,000	State of Illinois, Series B, 5.520%, 4/01/2038		34,039,340
				100,637,940
		Michigan – 0.1%
	20,410,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		17,537,905
		Ohio – 0.0%
	8,200,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		6,610,922
		Virginia – 0.6%
	174,035,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		130,679,401
		Total Municipals (Identified Cost $300,637,036)		261,859,604
		Total Bonds and Notes (Identified Cost $17,145,977,515)		18,497,713,270
Senior Loans – 2.8%
		Airlines – 0.2%
	41,920,839	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)		41,831,128
		Automotive – 0.2%
	43,590,750	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		43,999,631
		Chemicals – 0.2%
	2,030,000	AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b)		2,030,000
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		49,199,700
				51,229,700
		Consumer Products – 0.1%
	14,564,321	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		13,851,689
		Diversified Manufacturing – 0.1%
	9,683,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		9,755,623
		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Company LLC, Non-Extended Term Loan, 3.720%, 10/10/2014(k)		4,963,276
		Food & Beverage – 0.1%
	20,048,045	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)		20,549,246

Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Healthcare – 0.2%
$	39,165,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)	$	39,152,859
	4,358,602	Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(b)		4,366,491
				43,519,350
		Media Cable – 0.2%
	52,400,000	CSC Holdings, Inc., New Term Loan B, 2.695%, 4/17/2020(b)		51,745,000
		Media Non-Cable – 0.1%
	36,702,683	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b)		28,788,850
		Metals & Mining – 0.1%
	17,388,600	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		17,638,648
		Non-Captive Diversified – 1.0%
	78,151,333	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b)		77,955,955
	124,000,000	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		129,787,080
				207,743,035
		Oil Field Services – 0.1%
	30,925,473	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		29,714,122
		Other Utility – 0.0%
	2,327,222	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		2,298,132
	4,525,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		4,445,812
				6,743,944
		Technology – 0.1%
	5,704,688	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		5,748,386
	12,487,560	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		12,586,462
				18,334,848
		Wirelines – 0.1%
	6,550,093	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		6,533,718
	2,283,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		2,334,367
	4,030,000	Light Tower Fiber LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		4,030,000
				12,898,085
		Total Senior Loans (Identified Cost $597,701,560)		603,306,175

Shares		Description	Value (†)
Common Stocks – 5.9%
		Biotechnology – 0.6%
	1,608,798	Vertex Pharmaceuticals, Inc.(g)	$	128,494,696
		Chemicals – 0.5%
	750,000	PPG Industries, Inc.		109,807,500
		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(g)		17,938,667
	3,805	Rock-Tenn Co., Class A		380,044
				18,318,711
		Diversified Telecommunication Services – 0.2%
	269,619	FairPoint Communications, Inc.(g)		2,251,319
	403,884	Hawaiian Telcom Holdco, Inc.(g)		10,161,721
	2,629,337	Telefonica S.A., Sponsored ADR(g)		33,681,807
				46,094,847
		Electronic Equipment, Instruments & Components – 0.0%
	630,490	Corning, Inc.		8,971,873
		Oil, Gas & Consumable Fuels – 0.4%
	1,026,979	Chesapeake Energy Corp.		20,929,832
	850,302	Repsol YPF S.A., Sponsored ADR		17,992,390
	750,000	Royal Dutch Shell PLC, ADR		47,850,000
				86,772,222
		Pharmaceuticals – 1.5%
	3,372,358	Bristol-Myers Squibb Co.		150,710,679
	2,148,265	Valeant Pharmaceuticals International, Inc.(g)		184,922,651
				335,633,330
		Semiconductors & Semiconductor Equipment – 2.1%
	18,411,567	Intel Corp.		445,928,153
		Software – 0.4%
	2,568,090	Microsoft Corp.		88,676,148
		Trading Companies & Distributors – 0.1%
	203,019	United Rentals, Inc.(g)		10,132,678
		Total Common Stocks (Identified Cost $807,730,572)		1,278,830,158
Preferred Stocks – 3.3%
Convertible Preferred Stocks – 2.5%
		Automotive – 1.2%
	4,335,800	General Motors Co., Series B, 4.750%		208,812,128
	964,435	Goodyear Tire & Rubber Co. (The), 5.875%		47,508,068
				256,320,196
		Banking – 0.2%
	25,823	Bank of America Corp., Series L, 7.250%		28,676,441

Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		Banking – continued
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%	$	14,904,702
				43,581,143
		Electric – 0.1%
	409,305	AES Trust III, 6.750%		20,596,228
		Independent Energy – 0.2%
	87,351	Chesapeake Energy Corp., 4.500%		7,819,661
	161,249	Chesapeake Energy Corp., 5.000%		13,959,326
	12,470	Chesapeake Energy Corp., Series A, 5.750%, 144A		12,789,544
	91,888	SandRidge Energy, Inc., 7.000%		7,873,653
	144,600	SandRidge Energy, Inc., 8.500%		13,845,450
				56,287,634
		Metals & Mining – 0.1%
	703,455	ArcelorMittal, 6.000%		13,203,850
		Non-Captive Diversified – 0.2%
	659,610	iStar Financial, Inc., 4.500%		35,618,940
		Pipelines – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		19,050,778
		REITs - Diversified – 0.1%
	561,271	Weyerhaeuser Co., Series A, 6.375%		28,630,434
		REITs - Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		10,688,794
		Technology – 0.3%
	62,989	Lucent Technologies Capital Trust I, 7.750%		60,154,495
		Total Convertible Preferred Stocks (Identified Cost $516,433,840)		544,132,492
Non-Convertible Preferred Stocks – 0.8%
		Banking – 0.5%
	65,854	Ally Financial, Inc., Series G, 7.000%, 144A		62,592,172
	53,000	Bank of America Corp., 6.375%		1,301,150
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		34,163,595

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Banking – continued
	534,725	Countrywide Capital IV, 6.750%	$	13,362,778
				111,419,695
		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		123,947
	100	Entergy Arkansas, Inc., 4.320%		9,991
	5,000	Entergy Mississippi, Inc., 4.360%		443,906
	665	Entergy New Orleans, Inc., 4.360%		64,817
	200	Entergy New Orleans, Inc., 4.750%		19,494
	50,100	Southern California Edison Co., 4.780%		1,212,420
				1,874,575
		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		39,460,625
		Home Construction – 0.0%
	41,783	Hovnanian Enterprises, Inc., 7.625%(g)		755,854
		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		7,399,987
		Non-Captive Diversified – 0.0%
	58,400	iStar Financial, Inc., Series E, 7.875%		1,395,760
	58,575	iStar Financial, Inc., Series F, 7.800%		1,409,900
	15,550	iStar Financial, Inc., Series G, 7.650%		364,959
				3,170,619
		REITs - Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,719,304
		REITs - Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		10,478,434
		Total Non-Convertible Preferred Stocks (Identified Cost $122,524,049)		177,279,093
		Total Preferred Stocks (Identified Cost $638,957,889)		721,411,585
Closed End Investment Companies – 0.0%
	680,008	NexPoint Credit Strategies Fund (Identified Cost $9,807,937)		5,351,663

Principal Amount (‡)		Description	Value (†)
Short-Term Investments – 0.5%
$	2,309,874	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $2,309,876 on 7/01/2013 collateralized by $2,575,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $2,425,613 including accrued interest(l)	$	2,309,874
	98,726,753	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $98,726,753 on 7/01/2013 collateralized by $100,290,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $98,409,562; $1,785,000 U.S. Treasury Bond, 5.250% due 2/15/2029 valued at $2,299,707 including accrued interest(l)		98,726,753
		Total Short-Term Investments (Identified Cost $101,036,627)		101,036,627
		Total Investments – 97.3% (Identified Cost $19,301,212,100)(a)		21,207,649,478
		Other assets less liabilities – 2.7%		595,750,689
		Net Assets – 100.0%	$	21,803,400,167

(‡) 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 prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

(††) 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, 2013, the net unrealized appreciation on investments based on a cost of $19,367,986,687 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	$	2,425,665,703
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(586,002,912	)
Net unrealized appreciation	$	1,839,662,791

At September 30, 2012, the Fund had a short-term capital loss carryforward of $496,143,797 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, 2013 is disclosed.

(c) Illiquid security. At June 30, 2013, the value of these securities amounted to $288,033,426 or 1.3% of net assets.

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

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

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

(g) Non-income producing security.

(h) Fair valued by the Fund’s investment adviser. At June 30, 2013, the value of this security amounted to $16,632,172 or 0.1% of net assets.

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

(j) Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.

(k) Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2013.

(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, 2013, the value of Rule 144A holdings amounted to $2,670,789,794 or 12.2% of net assets.

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

ABS Asset-Backed Securities

AGMC Assured Guaranty Municipal Corp.

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

USD U.S. 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, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	62,585,149	$	359,414,578	(a)	$	421,999,727
Life Insurance		—		434,307,332		8,900,000	(a)		443,207,332
Non-Captive Consumer		3,427,479		688,103,726		—			691,531,205
Retailers		—		127,116,968		16,011,354	(b)		143,128,322
Transportation Services		—		22,884,175		65,326,756	(a)		88,210,931
All Other Non-Convertible Bonds*		—		14,747,255,219		—			14,747,255,219
Total Non-Convertible Bonds		3,427,479		16,082,252,569		449,652,688			16,535,332,736
Convertible Bonds
Wirelines		—		133,804,302		620,818	(b)		134,425,120
All Other Convertible Bonds*		—		1,566,095,810		—			1,566,095,810
Total Convertible Bonds		—		1,699,900,112		620,818			1,700,520,930
Municipals*		—		261,859,604		—			261,859,604
Total Bonds and Notes		3,427,479		18,044,012,285		450,273,506			18,497,713,270
Senior Loans*		—		603,306,175		—			603,306,175
Common Stocks*		1,278,830,158		—		—			1,278,830,158
Preferred Stocks
Convertible Preferred Stocks		544,132,492		—		—			544,132,492
Non-Convertible Preferred Stocks
Banking		48,827,523		62,592,172		—			111,419,695
Electric		1,212,420		662,155		—			1,874,575
Government Sponsored		—		39,460,625		—			39,460,625
REITs - Office Property		—		2,719,304		—			2,719,304
All Other Non-Convertible Preferred Stocks*		21,804,894		—		—			21,804,894
Total Non-Convertible Preferred Stocks		71,844,837		105,434,256		—			177,279,093
Total Preferred Stocks		615,977,329		105,434,256		—			721,411,585
Closed End Investment Companies		5,351,663		—		—			5,351,663
Short-Term Investments		—		101,036,627		—			101,036,627
Total	$	1,903,586,629	$	18,853,789,343	$	450,273,506		$	21,207,649,478

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

(a) Valued using broker-dealer bid prices.

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

A preferred stock valued at $15,733,926 was transferred from Level 2 to Level 1 during the period ended June 30, 2013. At June 30, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 Funds’ investment adviser 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 unobservable inputs were used to determine fair value as of September 30, 2012 and/or June 30, 2013.

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	102,734	$	2,115,740		$	(2,291,252	)	$	75,610,000	$	(30,570,653	)	$	314,448,009	$	—		$	359,414,578	$	(2,291,252	)
Banking		33,981,590		—		—			—			—		—			—		(33,981,590	)		—		—
Electric		16,800,000		—		—			7,070,000			—		(23,870,000	)		—		—			—		—
Life Insurance		—		—		—			(250,000	)		9,150,000		—			—		—			8,900,000		(250,000	)
Retailers		—		46,087		—			198,022			—		—			15,767,245		—			16,011,354		198,022
Sovereigns		55,949,432		—		—			—			—		—			—		(55,949,432	)		—		—
Transportation Services		17,897,385		—		1,076,795			14,345,610			—		(5,709,902	)		55,614,253		(17,897,385	)		65,326,756		14,345,610
Convertible Bonds
Wirelines		—		—		(9	)		(121,381	)		742,208		—			—		—			620,818		(121,381	)
Total	$	124,628,407	$	148,821	$	3,192,526		$	18,950,999		$	85,502,208	$	(60,150,555	)	$	385,829,507	$	(107,828,407	)	$	450,273,506	$	11,880,999

Debt securities valued at $385,829,507 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $107,828,407 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Unfunded Loan Commitments

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

Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	292,778

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	22.1	%
Banking	12.1
Non-Captive Diversified	4.9
Technology	4.7
Wirelines	4.5
Automotive	4.3
Healthcare	3.3
Non-Captive Consumer	3.2
Life Insurance	2.4
Electric	2.4
Local Authorities	2.2
Airlines	2.1
Semiconductors & Semiconductor Equipment	2.1
Sovereigns	2.0
Other Investments, less than 2% each	24.5
Short-Term Investments	0.5
Total Investments	97.3
Other assets less liabilities	2.7
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)

United States Dollar	63.5	%
Canadian Dollar	12.1
New Zealand Dollar	4.6
Euro	4.4
Australian Dollar	3.4
Norwegian Krone	2.8
Other, less than 2% each	6.5
Total Investments	97.3
Other assets less liabilities	2.7
Net Assets	100.0	%

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

Loomis Sayles Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 87.5% of Net Assets
Non-Convertible Bonds – 78.8%
		ABS Home Equity – 0.1%
$	823,305	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.726%, 4/25/2035(b)	$	819,006
		ABS Other – 0.0%
	554,411	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		560,120
		Aerospace & Defense – 1.1%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		175,000
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		615,937
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		745,498
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,543,766
	245,000	Textron, Inc., 5.600%, 12/01/2017		268,659
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,553,586
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,531,865
				12,434,311
		Airlines – 1.3%
	785,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		783,037
	1,200,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		1,134,000
	400,000	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		414,000
	255,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		257,550
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,762,450
	38,197	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		38,579
	30,391	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		32,215
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		74,343
	275,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		286,000
	1,111,575	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,122,691
	247,313	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		272,045
	955,129	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,021,989
	1,503,266	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,698,691

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	1,008,180	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026	$	1,058,589
	539,611	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		585,478
	1,418,923	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		1,504,058
	2,480,000	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		2,455,200
				14,500,915
		Automotive – 2.1%
	2,200,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,428,250
	1,280,000	Ford Motor Co., 6.375%, 2/01/2029		1,356,498
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,166,808
	165,000	Ford Motor Co., 6.625%, 2/15/2028		175,290
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,611,770
	690,000	Ford Motor Co., 7.125%, 11/15/2025		784,371
	3,510,000	Ford Motor Co., 7.400%, 11/01/2046		4,135,556
	5,225,000	Ford Motor Co., 7.450%, 7/16/2031		6,255,448
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,902,342
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		639,854
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		699,252
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		370,781
				24,526,220
		Banking – 12.9%
	557,000	Ally Financial, Inc., 7.500%, 12/31/2013		570,925
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,621,938
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,378,065
	5,195,000	Ally Financial, Inc., 8.300%, 2/12/2015		5,597,613
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		2,025,155
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		2,048,656
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,177,641
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,700,388

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)	$	2,209,541
	250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		233,796
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		1,898,145
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		1,811,896
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		2,686,604
	2,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		4,015,687
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		967,500
	1,150,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		1,092,500
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		1,461,252
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		3,980,239
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		269,852
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		3,191,948
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,184,680
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		778,376
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		11,455,520
	200,000	Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b)		246,012
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		4,245,989
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,121,281
	7,400,000	HBOS PLC, 6.000%, 11/01/2033, 144A		6,827,018
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,458,906
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,682,734
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		97,068
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,782,045
	1,700,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		1,840,772
	5,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,512,433
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.758%, 9/14/2018, (EUR)(b)		59,908
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		1,367,638

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034	$	320,838
	200,000	Morgan Stanley, 0.757%, 10/15/2015(b)		196,108
	7,895,000	Morgan Stanley, 2.125%, 4/25/2018		7,555,760
	130,000	Morgan Stanley, 3.450%, 11/02/2015		134,142
	3,775,000	Morgan Stanley, 3.750%, 2/25/2023		3,609,968
	465,000	Morgan Stanley, 3.800%, 4/29/2016		483,628
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,517,355
	3,225,000	Morgan Stanley, 4.875%, 11/01/2022		3,185,981
	4,149,000	Morgan Stanley, 5.500%, 7/24/2020		4,467,992
	7,400,000	Morgan Stanley, 5.750%, 1/25/2021		8,032,345
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		4,866,404
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		83,782
	200,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		214,677
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		3,994,237
	1,800,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		1,663,054
	1,600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		1,537,395
	300,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		322,449
	900,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b)		871,262
	300,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		487,353
	185,000	RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b)		149,420
	1,320,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		917,400
	185,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		158,955
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		2,204,343
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		2,058,500
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		63,842
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		884,145
	150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		176,260

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	300,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015	$	323,370
	200,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		266,258
	800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		848,187
	700,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		713,963
	150,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		192,319
	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 4/29/2049, 144A		1,157,625
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,278,850
				148,537,888
		Brokerage – 1.2%
	1,495,000	Jefferies Group LLC, 3.875%, 11/09/2015		1,547,325
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,301,027
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,200,132
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		2,948,075
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,777,925
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,782,474
				13,556,958
		Building Materials – 1.1%
	860,000	Masco Corp., 4.800%, 6/15/2015		881,500
	240,000	Masco Corp., 5.850%, 3/15/2017		253,200
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,808,000
	800,000	Masco Corp., 6.500%, 8/15/2032		796,000
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,572,150
	815,000	Masco Corp., 7.750%, 8/01/2029		899,712
	2,400,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		962,323
	164,000	Owens Corning, Inc., 6.500%, 12/01/2016		183,071
	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,193,623
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,713,600
				12,263,179

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Chemicals – 0.7%
$	275,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018	$	280,500
	395,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		377,225
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		117,112
	620,000	Methanex Corp., 5.250%, 3/01/2022		649,917
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,682,496
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		3,772,800
	53,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		45,580
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		742,100
				7,667,730
		Commercial Mortgage-Backed Securities – 0.1%
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		99,783
	530,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		509,521
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,106,453
				1,715,757
		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(c)		962,357
	1,155,000	United Rentals North America, Inc., 7.625%, 4/15/2022		1,250,287
				2,212,644
		Consumer Products – 0.0%
	260,000	Visant Corp., 10.000%, 10/01/2017		239,850
		Electric – 3.9%
	2,696,733	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,829,296
	3,705,557	Bruce Mansfield Unit, 6.850%, 6/01/2034		4,048,358
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,177,162
	5,455,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		5,618,650
	100,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		133,060
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,080,659
	1,589,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,847,046
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,509,308

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A	$	100,139
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		985,643
	4,130,387	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		3,490,177
	2,890,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A		3,157,325
	275,000	Enersis S.A., 7.375%, 1/15/2014		282,737
	4,000,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,602,640
	75,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		76,937
	2,960,078	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		3,029,320
	2,865,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		2,141,587
				45,110,044
		Food & Beverage – 0.2%
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		2,848,303
		Government Owned - No Guarantee – 0.6%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,478,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,769,169
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		2,868,219
				7,115,388
		Healthcare – 2.2%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		461,628
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		302,023
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		489,235
	610,000	HCA, Inc., 5.875%, 3/15/2022		626,012
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		4,972,400
	410,000	HCA, Inc., 6.375%, 1/15/2015		429,475
	115,000	HCA, Inc., 6.750%, 7/15/2013		115,000
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,474,100
	820,000	HCA, Inc., 7.190%, 11/15/2015		885,600
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,534,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	1,440,000	HCA, Inc., 7.500%, 11/06/2033	$	1,483,200
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,872,800
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,508,600
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,105,800
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		432,150
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016		347,116
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,526,500
				25,565,639
		Home Construction – 0.8%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		555,500
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		243,000
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		116,725
	835,000	KB Home, 8.000%, 3/15/2020		926,850
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,785,000
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,606,400
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,832,600
				9,066,075
		Independent Energy – 1.6%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,623,007
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,202,212
	100,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		107,500
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,079,575
	1,310,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		746,700
	2,015,000	Halcon Resources Corp., 8.875%, 5/15/2021		1,954,550
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		5,776,350
	2,940,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		2,793,000
				18,282,894
		Industrial Other – 0.1%
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,207,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – 2.7%
$	2,300,000	American International Group, Inc., 6.250%, 3/15/2087	$	2,348,875
	10,165,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		12,401,300
	615,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		691,512
	175,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		192,909
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		3,598,250
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		265,372
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		5,007,943
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,996,400
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,722,675
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,348,358
				30,573,594
		Local Authorities – 4.8%
	5,730,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		6,045,284
	200,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		187,713
	1,630,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		1,951,954
	4,505,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		4,129,099
	5,500,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		5,551,165
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,220,875
	452,554	Province of Alberta, 5.930%, 9/16/2016, (CAD)		468,144
	11,700,000	Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		11,107,824
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		20,436,320
	830,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		789,392
				54,887,770
		Media Cable – 0.5%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		641,725
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,502,155
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		4,248,584
				6,392,464

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Media Non-Cable – 0.3%
	24,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)	$	1,570,911
	415,000		R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		423,300
	1,960,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		2,058,000
					4,052,211
			Metals & Mining – 2.0%
	1,100,000		Alcoa, Inc., 5.720%, 2/23/2019		1,119,898
	300,000		Alcoa, Inc., 5.870%, 2/23/2022		291,902
	400,000		Alcoa, Inc., 5.900%, 2/01/2027		374,158
	855,000		ArcelorMittal, 6.000%, 3/01/2021		850,725
	2,295,000		ArcelorMittal, 6.125%, 6/01/2018		2,363,850
	6,630,000		ArcelorMittal, 7.250%, 3/01/2041		6,199,050
	3,300,000		ArcelorMittal, 7.500%, 10/15/2039		3,135,000
	6,945,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		5,347,650
	1,400,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		1,400,000
	1,760,000		United States Steel Corp., 7.500%, 3/15/2022		1,724,800
					22,807,033
			Non-Captive Consumer – 2.2%
	300,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		225,000
	4,668,000		SLM Corp., 5.500%, 1/25/2023		4,444,888
	31,725	(††)	SLM Corp., 6.000%, 12/15/2043		724,308
	722,000		SLM Corp., MTN, 3.875%, 9/10/2015		729,258
	35,000		SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b)		34,692
	200,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		206,500
	145,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		140,642
	5,185,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		4,303,550
	7,573,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,406,030
	300,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		293,250
	595,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		593,513

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	$	2,026,500
	3,255,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,193,969
				25,322,100
		Non-Captive Diversified – 3.7%
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,653,450
	1,630,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		1,590,523
	45,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		42,510
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,108,461
	2,390,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		1,918,244
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,364,471
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,218,808
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,447,104
	295,000	International Lease Finance Corp., 5.875%, 4/01/2019		297,950
	3,045,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,018,356
	6,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		6,247,200
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,420,025
	635,000	International Lease Finance Corp., 8.250%, 12/15/2020		713,581
	790,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		795,530
	315,000	iStar Financial, Inc., 3.875%, 7/01/2016		302,400
	945,000	iStar Financial, Inc., 4.875%, 7/01/2018		888,300
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		229,500
	1,410,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,438,200
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		30,600
	1,505,000	iStar Financial, Inc., 7.125%, 2/15/2018		1,561,437
	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		197,925
	1,525,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		1,555,500
				42,040,075

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Oil Field Services – 0.1%
$	775,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A	$	784,687
		Packaging – 0.2%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,290,000
		Paper – 1.4%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,517,056
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,685,419
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,791,850
	350,000	Westvaco Corp., 7.950%, 2/15/2031		404,065
	1,035,000	Westvaco Corp., 8.200%, 1/15/2030		1,224,850
				15,623,240
		Pharmaceuticals – 0.4%
	4,165,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		4,118,144
		Pipelines – 0.8%
	575,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		604,454
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		264,046
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,649,140
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		374,809
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,393,085
	755,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		664,400
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		278,162
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,027,594
	2,705,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,326,300
				9,581,990
		Property & Casualty Insurance – 1.2%
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		3,957,656
	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,039,967
	1,630,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(e)		1,393,650
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,339,696

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	1,430,000	XL Group PLC, 6.250%, 5/15/2027	$	1,633,687
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,288,182
				13,652,838
		Property Trust – 0.3%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,495,754
		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		425,000
		REITs - Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,662,488
		REITs - Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		233,033
		REITs - Office Property – 0.4%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,809,408
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		557,691
				4,367,099
		REITs - Regional Malls – 0.0%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		225,696
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		325,221
				550,917
		REITs - Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		203,714
	815,000	Realty Income Corp., 6.750%, 8/15/2019		961,508
				1,165,222
		REITs - Warehouse/Industrials – 0.0%
	100,000	ProLogis LP, 5.625%, 11/15/2015		108,307
	80,000	ProLogis LP, 5.750%, 4/01/2016		87,825
				196,132
		Retailers – 0.6%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,124,938
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022(f)		1,234,318

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	1,079,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036	$	841,620
	70,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		56,875
	3,505,000	Toys R Us, Inc., 7.375%, 10/15/2018		3,163,262
				6,421,013
		Sovereigns – 1.3%
	1,787,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		215,419
	10,850,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		4,473,525
	14,885,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		6,837,621
	359,880,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		2,177,336
	107,395,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		657,104
	176,460,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		1,165,140
				15,526,145
		Supermarkets – 1.0%
	125,000	American Stores Co., 7.900%, 5/01/2017		137,813
	25,000	American Stores Co., 8.000%, 6/01/2026		31,750
	7,240,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,683,400
	1,720,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,356,650
	3,115,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,476,425
	455,000	New Albertson’s, Inc., 8.700%, 5/01/2030		374,237
	2,020,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,393,800
				11,454,075
		Supranational – 2.9%
	7,000,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		698,308
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		16,423,423
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		13,491,079
	5,580,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		2,269,661
				32,882,471
		Technology – 1.1%
	1,670,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,265,025

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028	$	60,000
	2,950,000	Amkor Technology, Inc., 6.375%, 10/01/2022		2,898,375
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,771,382
	130,000	Avnet, Inc., 6.625%, 9/15/2016		145,602
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,431,052
	2,000,000	First Data Corp., 10.625%, 6/15/2021, 144A		1,975,000
	1,465,000	First Data Corp., 11.250%, 1/15/2021, 144A		1,461,338
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		171,877
	868,500	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,023,249
				12,202,900
		Tobacco – 0.3%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,847,156
		Transportation Services – 0.3%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(c)		2,350,000
	566,878	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		572,547
	493,046	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		497,976
	174,018	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		186,199
				3,606,722
		Treasuries – 15.4%
	2,860,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		2,682,504
	16,935,000	Canadian Government, 2.250%, 8/01/2014, (CAD)		16,289,612
	29,780,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		29,003,007
	8,185,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		8,088,962
	13,195,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		13,046,075
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		7,707,870
	9,615,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		10,180,911
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,996,335
	3,100,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		4,212,723

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – continued
	450,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)	$	627,623
	3,710,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		5,235,345
	205,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		269,800
	205,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		278,286
	200,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		286,204
	117,500	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,053,557
	63,235,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		11,401,424
	28,230,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		4,949,957
	1,395,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,550,113
	250,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		226,671
	375,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		450,533
	3,375,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		3,918,176
	11,380,000		U.S. Treasury Bond, 2.750%, 11/15/2042		9,811,699
	12,755,000		U.S. Treasury Bond, 2.875%, 5/15/2043		11,288,175
	30,000,000		U.S. Treasury Note, 0.250%, 5/31/2014		30,017,580
					176,573,142
			Wireless – 0.9%
	72,400,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		5,411,222
	2,627,000		Sprint Capital Corp., 6.875%, 11/15/2028		2,521,920
	1,020,000		Sprint Capital Corp., 6.900%, 5/01/2019		1,060,800
	300,000		Sprint Capital Corp., 8.750%, 3/15/2032		330,000
	898,000		Sprint Nextel Corp., 6.000%, 12/01/2016		947,390
					10,271,332
			Wirelines – 3.6%
	177,000		Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(g)		162,840
	195,000		Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		218,451
	690,000		Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		823,762
	600,000		Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		640,797

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021	$	4,044,900
	1,400,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,685,636
	200,000	Embarq Corp., 7.995%, 6/01/2036		211,029
	560,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		558,600
	1,960,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		2,087,400
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		151,200
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		243,434
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,045,034
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,185,719
	550,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		716,802
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,652,025
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,916,800
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		385,000
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		763,375
	5,275,000	Qwest Corp., 6.875%, 9/15/2033		5,103,562
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,788,900
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,364,130
	1,480,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,342,070
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,302,827
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		430,785
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,115,579
	1,300,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,032,933
				40,973,590
		Total Non-Convertible Bonds (Identified Cost $843,145,985)		906,210,758
Convertible Bonds – 7.7%
		Airlines – 0.0%
	470,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		488,598

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Automotive – 0.5%
$	135,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)	$	119,306
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		5,285,110
				5,404,416
		Brokerage – 0.1%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		586,094
		Diversified Manufacturing – 0.5%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,376,375
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		597,975
				5,974,350
		Electric – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		989,687
		Healthcare – 0.2%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(g)		207,769
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		2,349,500
				2,557,269
		Independent Energy – 0.5%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,371,331
	3,885,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,659,185
	1,090,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		1,081,825
				6,112,341
		Life Insurance – 1.8%
	18,045,000	Old Republic International Corp., 3.750%, 3/15/2018		20,300,625
		Media Non-Cable – 0.0%
	336,838	Liberty Media LLC, 3.500%, 1/15/2031		172,629
		Metals & Mining – 0.2%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		250,715
	1,745,000	United States Steel Corp., 2.750%, 4/01/2019		1,722,097
				1,972,812
		Non-Captive Diversified – 0.1%
	835,000	iStar Financial, Inc., 3.000%, 11/15/2016		990,519

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – 3.2%
$	5,195,000	Ciena Corp., 0.875%, 6/15/2017	$	4,993,694
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,323,069
	1,783,000	Intel Corp., 2.950%, 12/15/2035		1,940,127
	7,000,000	Intel Corp., 3.250%, 8/01/2039		8,920,625
	7,200,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		11,178,000
	2,565,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		4,097,587
	960,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		1,531,800
				36,984,902
		Wirelines – 0.5%
	202,300	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(f)(g)(h)		26,246
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,537,800
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		2,315,862
				5,879,908
		Total Convertible Bonds (Identified Cost $70,968,593)		88,414,150
Municipals – 1.0%
		Illinois – 0.3%
	4,075,000	State of Illinois, Series B, 5.520%, 4/01/2038		3,618,844
		Michigan – 0.2%
	2,225,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,911,898
		Virginia – 0.5%
	7,510,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		5,639,109
		Total Municipals (Identified Cost $13,791,165)		11,169,851
		Total Bonds and Notes (Identified Cost $927,905,743)		1,005,794,759
Senior Loans – 0.9%
		Consumer Products – 0.1%
	588,804	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		559,994
		Diversified Manufacturing – 0.0%
	510,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		513,825

Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Healthcare – 0.2%
$	2,070,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)	$	2,069,358
		Media Non-Cable – 0.0%
	445,521	SuperMedia, Inc., Exit Term Loan, 10.850%, 12/31/2015(b)		349,458
		Oil Field Services – 0.2%
	2,791,035	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		2,681,710
		Other Utility – 0.2%
	1,165,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		1,150,438
	790,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		776,175
		Total Other Utility (Identified Cost $1,941,513)		1,926,613
		Supermarket – 0.2%
	2,769,947	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		2,748,785
		Wirelines – 0.0%
	120,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		122,700
		Total Senior Loans (Identified Cost $11,153,667)		10,972,443
Shares
Preferred Stocks – 3.8%
Convertible Preferred Stocks – 3.1%
		Automotive – 1.2%
	258,280	General Motors Co., Series B, 4.750%		12,438,765
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%		2,010,054
				14,448,819
		Banking – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%		3,158,262
		Electric – 0.1%
	19,312	AES Trust III, 6.750%		971,780
		Independent Energy – 0.2%
	775	Chesapeake Energy Corp., 4.500%		69,378
	8,516	Chesapeake Energy Corp., 5.000%		737,230
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A		676,912

Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		Independent Energy – continued
	11,904	SandRidge Energy, Inc., 7.000%	$	1,020,024
				2,503,544
		Metals & Mining – 0.1%
	32,745	ArcelorMittal, 6.000%		614,624
		Non-Captive Diversified – 0.2%
	34,835	iStar Financial, Inc., Series J, 4.500%		1,881,090
		Pipelines – 0.5%
	96,065	El Paso Energy Capital Trust I, 4.750%		5,618,842
		REITs - Diversified – 0.2%
	38,600	Weyerhaeuser Co., Series A, 6.375%		1,968,986
		REITs - Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		459,466
		Technology – 0.3%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,700,625
		Total Convertible Preferred Stocks (Identified Cost $30,907,055)		35,326,038
Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.2%
	2,571	Ally Financial, Inc., Series G, 7.000%, 144A		2,443,656
	5,000	Bank of America Corp., 6.375%		122,750
	20,975	Countrywide Capital IV, 6.750%		524,165
				3,090,571
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		8,772
	2,876	Entergy New Orleans, Inc., 4.750%		280,320
	4,670	Union Electric Co., 4.500%		445,985
				735,077
		Government Sponsored – 0.3%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(g)		3,115,313

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%	$	1,240,191
		Total Non-Convertible Preferred Stocks (Identified Cost $6,439,667)		8,181,152
		Total Preferred Stocks (Identified Cost $37,346,722)		43,507,190
Common Stocks – 6.3%
		Biotechnology – 1.1%
	155,774	Vertex Pharmaceuticals, Inc.(e)		12,441,669
		Chemicals – 0.8%
	62,529	PPG Industries, Inc.		9,154,871
		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(e)		982,460
	187	Rock-Tenn Co., Class A		18,677
				1,001,137
		Diversified Telecommunication Services – 0.3%
	8,050	Hawaiian Telcom Holdco, Inc.(e)		202,538
	241,163	Telefonica S.A., Sponsored ADR(e)		3,089,298
				3,291,836
		Electronic Equipment, Instruments & Components – 0.3%
	205,167	Corning, Inc.		2,919,526
		Oil, Gas & Consumable Fuels – 0.8%
	54,259	Chesapeake Energy Corp.		1,105,799
	172,008	Repsol YPF S.A., Sponsored ADR		3,639,689
	70,051	Royal Dutch Shell PLC, ADR		4,469,254
				9,214,742
		Pharmaceuticals – 1.1%
	160,000	Bristol-Myers Squibb Co.		7,150,400
	68,197	Valeant Pharmaceuticals International, Inc.(e)		5,870,398
				13,020,798
		Semiconductors & Semiconductor Equipment – 1.7%
	822,858	Intel Corp.		19,929,621
		Trading Companies & Distributors – 0.1%
	23,272	United Rentals, Inc.(e)		1,161,506
		Total Common Stocks (Identified Cost $46,243,728)		72,135,706

Principal Amount (‡)		Description	Value (†)
Short-Term Investments – 0.3%
$	15,528	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $15,528 on 7/01/2013 collateralized by $20,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $18,840 including accrued interest(i)	$	15,528
	3,388,206	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $3,388,206 on 7/01/2013 collateralized by $3,525,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $3,458,906 including accrued interest(i)		3,388,206
		Total Short-Term Investments (Identified Cost $3,403,734)		3,403,734
		Total Investments – 98.8% (Identified Cost $1,026,053,594)(a)		1,135,813,832
		Other assets less liabilities – 1.2%		13,522,847
		Net Assets – 100.0%	$	1,149,336,679

(‡) 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 prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

(††) 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, 2013, the net unrealized appreciation on investments based on a cost of $1,028,602,003 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	$	134,496,187
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(27,284,358	)
Net unrealized appreciation	$	107,211,829

(b) Variable rate security. Rate as of June 30, 2013 is disclosed.

(c) Illiquid security. At June 30, 2013, the value of these securities amounted to $17,476,917 or 1.5% of net assets.

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

(e) Non-income producing security.

(f) Fair valued security by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $1,260,564 or 0.1% of net assets.

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

(h) Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $161,446,692 or 14.0% of net assets.

ABS Asset-Backed Securities

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

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

MTN Medium Term Note

REITs Real Estate Investment Trusts

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ISK Icelandic Krona

KRW South Korean Won

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

SGD Singapore Dollar

USD U.S. 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, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	543,550	$	13,957,365	(a)	$	14,500,915
Non-Captive Consumer		724,308		24,597,792		—			25,322,100
Retailers		—		5,186,695		1,234,318	(b)		6,421,013
Transportation Services		—		2,350,000		1,256,722	(a)		3,606,722
All Other Non-Convertible Bonds*		—		856,360,008		—			856,360,008
Total Non-Convertible Bonds		724,308		889,038,045		16,448,405			906,210,758
Convertible Bonds
Wirelines		—		5,853,662		26,246	(b)		5,879,908
All Other Convertible Bonds*		—		82,534,242		—			82,534,242
Total Convertible Bonds		—		88,387,904		26,246			88,414,150
Municipals*		—		11,169,851		—			11,169,851

Total Bonds and Notes		724,308		988,595,800		16,474,651		1,005,794,759
Senior Loans*		—		10,972,443		—		10,972,443
Preferred Stocks
Convertible Preferred Stocks*		35,326,038		—		—		35,326,038
Non-Convertible Preferred Stocks
Banking		646,915		2,443,656		—		3,090,571
Electric		445,985		289,092		—		735,077
Government Sponsored		—		3,115,313		—		3,115,313
Non-Captive Consumer		1,240,191		—		—		1,240,191
Total Non-Convertible Preferred Stocks		2,333,091		5,848,061		—		8,181,152
Total Preferred Stocks		37,659,129		5,848,061		—		43,507,190
Common Stocks*		72,135,706		—		—		72,135,706
Short-Term Investments		—		3,403,734		—		3,403,734
Total	$	110,519,143	$	1,008,820,038	$	16,474,651	$	1,135,813,832

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

(a) Valued using broker-dealer bid prices.

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

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 Funds’ investment adviser 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 unobservable inputs were used to determine fair value as of September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	4,901		$	62,229		$	6,610,000	$	(295,749	)	$	7,575,984	$	—		$	13,957,365	$	62,229
Banking		12,059,081		—		—			—			—		—			—		(12,059,081	)		—		—
Electric		791,000		—		—			329,000			—		(1,120,000	)		—		—			—		—
Retailers		—		3,997		—			14,821			—		—			1,215,500		—			1,234,318		14,821
Transportation Services		2,131,250		—		77,204			64,172			—		(258,963	)		1,374,309		(2,131,250	)		1,256,722		64,172
Convertible Bonds
Wirelines		—		—		(9	)		(5,227	)		62,963		(31,481	)		—		—			26,246		(5,227	)
Total	$	14,981,331	$	3,997	$	82,096		$	464,995		$	6,672,963	$	(1,706,193	)	$	10,165,793	$	(14,190,331	)	$	16,474,651	$	135,995

Debt securities valued at $10,165,793 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $14,190,331 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Unfunded Loan Commitments

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

Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	145,000

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	15.4	%
Banking	13.4
Local Authorities	4.8
Technology	4.6
Life Insurance	4.5
Electric	4.2
Wirelines	4.1
Non-Captive Diversified	4.0
Automotive	3.8
Supranational	2.9
Healthcare	2.6
Independent Energy	2.3
Non-Captive Consumer	2.3
Metals & Mining	2.3
Other Investments, less than 2% each	27.3
Short-Term Investments	0.3
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)

United States Dollar	70.4	%
Canadian Dollar	10.7
New Zealand Dollar	4.0
Euro	3.8
Australian Dollar	2.4
Other, less than 2% each	7.5
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

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

Loomis Sayles Global Bond Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 96.1% of Net Assets
Non-Convertible Bonds – 95.4%
		Australia – 2.1%
$	2,370,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A	$	2,388,202
	5,858,700	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		5,913,202
	24,075,000	New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(b)		24,641,231
	6,600,000	SMART Trust/Australia, Series 2012-1USA, Class A3A, 1.500%, 5/14/2016, 144A		6,652,800
	4,700,000	SMART Trust/Australia, Series 2012-1USA, Class A4A, 2.010%, 12/14/2017, 144A		4,799,640
	7,600,000	Westpac Banking Corp., 2.450%, 11/28/2016, 144A		7,878,920
				52,273,995
		Belgium – 3.1%
	29,000,000	Belgium Government Bond, 2.250%, 6/22/2023, (EUR)		36,400,614
	27,875,000	Belgium Government Bond, 3.500%, 6/28/2017, (EUR)(b)		39,559,876
				75,960,490
		Brazil – 2.1%
	5,000,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		5,075,000
	10,969,188	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		4,775,388
	5,400,000	Itau Unibanco Holding S.A., 5.650%, 3/19/2022, 144A		5,238,000
	4,087,000	Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		4,138,087
	6,133,675	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		6,195,012
	12,535,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		5,196,350
	5,400,000	Petrobras International Finance Co., EMTN, 6.250%, 12/14/2026, (GBP)		8,658,443
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,886,145
	3,300,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		4,482,295
	3,600,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,644,957
				50,289,677
		Canada – 6.1%
	4,033,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,152,567
	21,150,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(b)		20,911,291

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Canada – continued
	5,500,000	Canadian Government Bond, 2.750%, 6/01/2022, (CAD)	$	5,393,839
	4,734,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,646,315
	1,636,584	Ford Auto Securitization Trust, Series 2013-R1A, Class A1, 1.485%, 12/15/2014, 144A, (CAD)		1,556,552
	5,300,000	Ford Auto Securitization Trust, Series 2013-R1A, Class A2, 1.676%, 9/15/2016, 144A, (CAD)		5,031,598
	3,100,000	Master Credit Card Trust II, Series 2012-2A, Class C, 1.970%, 4/21/2017, 144A		3,084,810
	12,805,000	Province of Alberta Canada, 4.000%, 12/01/2019, (CAD)		13,192,060
	14,845,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)		15,197,316
	20,580,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		21,305,202
	6,086,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		9,066,386
	5,205,000	Province of Quebec Canada, 2.625%, 2/13/2023		4,881,770
	9,992,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		14,018,475
	11,944,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)(b)		16,355,402
	1,408,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,390,770
	8,629,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,083,464
				149,267,817
		Czech Republic – 0.2%
	6,000,000	CEZ AS, 4.250%, 4/03/2022, 144A		5,953,800
		Denmark – 0.4%
	4,200,000	Carlsberg Breweries A/S, EMTN, 2.625%, 11/15/2022, (EUR)		5,305,949
	3,179,000	TDC A/S, EMTN, 4.375%, 2/23/2018, (EUR)		4,583,219
				9,889,168
		France – 0.9%
	2,370,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		4,045,114
	3,135,000	BNP Paribas S.A., EMTN, 5.750%, 1/24/2022, (GBP)		5,130,577
	4,000,000	Bouygues S.A., 3.641%, 10/29/2019, (EUR)		5,547,213
	6,676,000	Pernod-Ricard S.A., 4.450%, 1/15/2022, 144A		6,800,214
				21,523,118
		Germany – 10.3%
	7,675,000	Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)		10,148,004

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Germany – continued
	52,494,209	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b)	$	77,770,084
	12,960,000	Bundesrepublik Deutschland, 3.750%, 1/04/2017, (EUR)		18,831,285
	43,505,000	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)(b)		72,251,996
	41,050,000	Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)(b)		61,303,348
	1,035,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		12,100,818
				252,405,535
		Indonesia – 0.3%
	4,200,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A		3,885,000
	4,000,000	Pertamina Persero PT, 5.625%, 5/20/2043, 144A		3,460,000
				7,345,000
		Italy – 2.6%
	2,300,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		3,052,669
	18,655,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)		21,712,672
	9,250,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)		12,614,240
	15,177,000	Republic of Italy, 6.875%, 9/27/2023(b)		17,596,214
	1,870,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,746,442
	915,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		901,114
	4,000,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		5,712,188
				63,335,539
		Japan – 11.4%
	360,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		3,835,317
	2,816,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		28,526,722
	3,938,500,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		39,940,512
	1,923,550,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		20,172,237
	12,336,100,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		130,724,351
	1,540,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		17,242,131
	3,366,450,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		36,779,501
	2,000,000	Softbank Corp., 4.625%, 4/15/2020, 144A, (EUR)		2,606,571
				279,827,342

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Korea – 2.0%
	56,100,000		Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)	$	8,879,064
	440,500,000		Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,423,127
	9,810,000		Hana Bank, 4.000%, 11/03/2016, 144A		10,312,213
	8,185,381		Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.193%, 9/20/2016, 144A(c)		8,199,296
	3,088,000		Hyundai Steel Co., 4.625%, 4/21/2016, 144A		3,269,259
	8,538,000		Korea Finance Corp., 4.625%, 11/16/2021		8,677,921
					49,760,880
			Latvia – 0.3%
	7,500,000		Republic of Latvia, 5.250%, 2/22/2017, 144A		8,109,375
			Luxembourg – 0.4%
	8,575,000		ArcelorMittal, 6.000%, 3/01/2021		8,532,125
			Malaysia – 2.3%
	175,375,000		Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)(b)		55,312,315
			Mexico – 3.3%
	26,460,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,977,637
	7,333,486	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		59,675,535
	1,050,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)		8,521,515
	1,247,129	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		11,182,308
					81,356,995
			Namibia – 0.2%
	3,588,000		Namibia International Bonds, 5.500%, 11/03/2021, 144A		3,623,880
			Netherlands – 0.4%
	4,400,000		Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A		3,998,720
	681,000		EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		906,137
	3,200,000		Enel Finance International NV, 6.000%, 10/07/2039, 144A		2,955,207
	1,000,000		LyondellBasell Industries NV, 6.000%, 11/15/2021		1,123,706
					8,983,770
			New Zealand – 1.6%
	22,535,000		New Zealand Government Bond, 6.000%, 4/15/2015, (NZD)		18,413,685

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		New Zealand – continued
	24,516,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)(b)	$	21,613,269
				40,026,954
		Norway – 1.7%
	3,625,000	Eksportfinans ASA, 2.000%, 9/15/2015		3,480,000
	185,925,000	Norwegian Government Bond, 4.500%, 5/22/2019, (NOK)(b)		34,743,383
	3,780,000	Statoil ASA, 1.200%, 1/17/2018		3,676,292
				41,899,675
		Philippines – 0.4%
	100,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		2,356,736
	259,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		6,701,565
				9,058,301
		Poland – 1.4%
	81,455,000	Poland Government Bond, 4.750%, 4/25/2017, (PLN)(b)		25,560,254
	5,360,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		5,845,467
	4,145,000	Poland Government International Bond, 3.000%, 3/17/2023		3,740,863
				35,146,584
		Singapore – 0.4%
	13,484,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		10,716,977
		Spain – 1.7%
	1,600,000	Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP)		2,612,646
	2,600,000	Iberdrola Finanzas SAU, EMTN, 7.375%, 1/29/2024, (GBP)		4,569,508
	17,800,000	Spain Government Bond, 5.850%, 1/31/2022, (EUR)(b)		25,192,045
	2,435,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		2,496,116
	2,425,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,500,039
	950,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,042,998
	1,817,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		2,620,612
				41,033,964
		Supranationals – 0.7%
	15,870,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)(b)		18,177,707

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sweden – 0.7%
$	5,800,000	Nordea Bank AB, 4.250%, 9/21/2022, 144A	$	5,722,135
	66,930,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)		10,673,110
				16,395,245
		Thailand – 0.5%
	391,075,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)		12,625,777
		Turkey – 1.2%
	18,870,000	Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)		8,983,478
	2,400,000	Arcelik AS, 5.000%, 4/03/2023, 144A		2,148,000
	11,400,000	Turkey Government Bond, 9.000%, 3/05/2014, (TRY)		5,969,765
	11,200,000	Turkey Government International Bond, 3.250%, 3/23/2023		9,772,000
	3,600,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A		3,510,000
				30,383,243
		United Arab Emirates – 0.5%
	5,359,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		5,854,707
	4,996,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,333,230
				11,187,937
		United Kingdom – 6.2%
	3,203,000	Bank of Scotland PLC, EMTN, 4.875%, 11/08/2016, (GBP)		5,404,535
	891,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		963,813
	4,078,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		6,106,927
	5,800,000	BG Energy Capital PLC, 4.000%, 10/15/2021, 144A		6,028,648
	6,449,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		10,989,756
	3,906,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,091,363
	3,175,000	HSBC Holdings PLC, 4.000%, 3/30/2022		3,250,638
	3,500,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)		5,558,242
	4,360,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,648,270
	4,595,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		4,372,464
	9,120,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)		14,269,021
	11,016,209	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)(b)		19,006,648

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United Kingdom – continued
	8,065,917	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)	$	13,962,484
	11,308,827	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)(b)		20,373,756
	13,425,599	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b)		25,162,329
	7,200,000	Vedanta Resources PLC, 6.000%, 1/31/2019, 144A		6,840,000
				151,028,894
		United States – 30.0%
	5,950,000	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		5,897,081
	3,318,722	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,481,860
	5,550,000	American International Group, Inc., 4.875%, 6/01/2022		5,915,878
	6,040,000	Apple, Inc., 1.000%, 5/03/2018		5,800,200
	2,975,580	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		2,970,486
	12,100,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.920%, 9/20/2019, 144A		11,818,385
	5,137,000	Avnet, Inc., 5.875%, 6/15/2020		5,483,013
	13,640,000	Bank of America Corp., 5.625%, 7/01/2020(b)		15,017,190
	725,167	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		793,999
	3,535,767	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 8/15/2017, 144A		3,527,192
	7,267,000	Capital One Bank USA NA, 3.375%, 2/15/2023		6,869,161
	3,200,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.700%, 8/17/2017, (EUR)(c)		4,131,473
	5,750,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.700%, 8/17/2017, (EUR)(c)		7,423,740
	8,865,837	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		8,895,298
	7,360,000	Citigroup Commercial Mortgage Trust, 3.251%, 5/10/2023, 144A		7,051,285
	9,900,000	Citigroup, Inc., 3.500%, 5/15/2023		8,891,507
	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A		2,479,665
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,353,000
	373,358	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		395,760
	181,095	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		190,149
	3,187,035	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,537,609
	3,190,000	Continental Resources, Inc., 4.500%, 4/15/2023, 144A		3,102,275

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	6,975,000	Corning, Inc., 4.700%, 3/15/2037	$	6,716,758
	5,000,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		5,010,210
	1,750,000	Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A, 1.210%, 10/15/2020, 144A		1,736,518
	3,542,463	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.859%, 3/15/2039(c)		3,870,215
	5,722,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		5,989,177
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,544,550
	3,490,000	Cytec Industries, Inc., 3.500%, 4/01/2023		3,334,266
	4,500,000	Del Coronado Trust, Series 2013-HDC, Class A, 0.993%, 3/15/2026, 144A(c)		4,488,480
	4,984,395	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		5,634,858
	5,350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		5,398,985
	5,033,848	Enterprise Fleet Financing LLC, Series 2012-1, Class A2, 1.140%, 11/20/2017, 144A		5,039,017
	5,470,000	Extended Stay America Trust, Series 2013-ESH5, Class A15, 1.278%, 12/05/2031, 144A		5,425,146
	4,700,000	Extended Stay America Trust, Series 2013-ESH7, Class A17, 2.295%, 12/05/2031, 144A		4,578,740
	16,200,000	FHLMC Multifamily Structured Pass Through Certificates, 1.426%, 8/25/2017(b)		16,257,931
	3,900,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,849,538
	34,385,000	FNMA (TBA), 2.500%, 7/01/2028(d)		34,583,787
	5,575,000	FNMA (TBA), 3.000%, 7/01/2028(d)		5,734,410
	65,565,000	FNMA (TBA), 3.000%, 8/01/2043(d)		63,864,411
	137,540,000	FNMA (TBA), 3.500%, 7/01/2043(d)		139,624,584
	5,000,000	Ford Motor Credit Co. LLC, 2.750%, 5/15/2015		5,069,950
	4,723,000	Ford Motor Credit Co. LLC, 4.207%, 4/15/2016		4,933,872
	50,000,000	General Electric Capital Corp., EMTN, 4.208%, 12/06/2021, (SEK)		7,436,662
	5,620,000	Glencore Funding LLC, 2.500%, 1/15/2019, 144A		5,084,465
	4,668,785	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		5,228,843
	707,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		781,470
	8,327,514	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.982%, 8/10/2045(c)		9,279,832
	6,000,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class B, 1.643%, 11/08/2029, 144A(c)		5,974,896

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	3,311,000	HCA, Inc., 4.750%, 5/01/2023	$	3,170,282
	577,000	HCA, Inc., 7.690%, 6/15/2025		623,160
	567,000	HCA, Inc., MTN, 7.580%, 9/15/2025		601,020
	1,700,000	Hertz Vehicle Financing LLC, Series 2010-1A, Class B1, 5.020%, 2/25/2015, 144A		1,729,368
	5,177,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,423,430
	7,644,000	Hyatt Hotels Corp., 5.375%, 8/15/2021		8,120,336
	5,800,000	Hyundai Capital America, 4.000%, 6/08/2017, 144A		6,008,498
	3,028,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		3,317,728
	5,500,000	International Lease Finance Corp., 5.875%, 8/15/2022		5,451,875
	4,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		4,681,200
	6,000,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-JWRZ, Class A, 0.973%, 4/15/2030, 144A(c)		5,983,344
	7,935,000	JPMorgan Chase & Co., 3.250%, 9/23/2022		7,533,505
	6,454,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,749,122
	4,000,000	JPMorgan Chase & Co., 4.500%, 1/24/2022		4,188,488
	2,546,990	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.163%, 9/26/2035, 144A(c)		2,571,652
	2,460,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		2,509,200
	3,439,638	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A		3,471,830
	4,723,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 0.510%, 3/19/2018, (EUR)(c)		6,024,841
	5,250,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		4,767,514
	4,482,579	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 6.038%, 6/12/2050(c)		5,032,587
	2,797,638	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		3,071,236
	6,001,000	Morgan Stanley, 5.500%, 7/24/2020		6,462,381
	1,100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		1,180,726
	2,600,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		2,402,189
	2,874,845	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		3,201,195
	4,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.982%, 8/12/2045, 144A(c)		4,800,501
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.982%, 8/15/2045, 144A(c)		1,636,535

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	6,300,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A	$	6,087,721
	1,671,956	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		1,680,316
	4,000,000	Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017		4,064,484
	2,945,000	Sealed Air Corp., 5.250%, 4/01/2023, 144A		2,864,013
	7,952,224	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		7,344,761
	7,781,254	SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 7/16/2018, 144A		7,768,174
	8,000,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		7,987,670
	9,790,000	Sprint Nextel Corp., 6.000%, 11/15/2022		9,594,200
	3,057,564	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		3,036,326
	10,359,104	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		10,577,836
	13,970,000	U.S. Treasury Bond, 2.875%, 5/15/2043		12,363,450
	12,685,000	U.S. Treasury Note, 1.375%, 5/31/2020		12,233,097
	7,385,000	U.S. Treasury Note, 1.625%, 11/15/2022(e)		6,894,016
	6,325,000	US Airways Pass Through Trust, Series 2013-1, Class 1A, 3.950%, 5/15/2027		6,087,812
	1,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		1,276,362
	8,100,000	WEA Finance LLC, 4.625%, 5/10/2021, 144A		8,545,046
	2,205,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		3,311,967
	1,750,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,550,963
	6,272,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		6,857,278
	6,800,000	World Financial Network Credit Card Master Trust, Series 2012-B, Class A, 1.760%, 5/17/2021		6,762,920
	4,360,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		5,703,568
	2,907,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		3,906,872
				735,710,372
		Total Non-Convertible Bonds (Identified Cost $2,401,646,848)		2,337,142,451
Convertible Bonds – 0.7%
		United States – 0.7%
	4,882,000	Ciena Corp., 0.875%, 6/15/2017		4,692,823

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		United States – continued
$	6,065,000	Intel Corp., 2.950%, 12/15/2035	$	6,599,478
	7,140,000	Peabody Energy Corp., 4.750%, 12/15/2066		4,957,837
		Total Convertible Bonds (Identified Cost $16,482,560)		16,250,138
		Total Bonds and Notes (Identified Cost $2,418,129,408)		2,353,392,589
Shares
Preferred Stocks – 0.4%
Non-Convertible Preferred Stock – 0.3%
		United States – 0.3%
	332,593	PNC Financial Services Group, Inc., 5.375% (Identified Cost $8,314,825)		8,065,380
Convertible Preferred Stock – 0.1%
		United States – 0.1%
	46,158	iStar Financial, Inc., Series J, 4.500% (Identified Cost $2,307,900)		2,492,532
		Total Preferred Stocks (Identified Cost $10,622,725)		10,557,912
Principal Amount (‡)
Short-Term Investments – 10.3%
$	20,932,140	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $20,932,140 on 7/01/2013 collateralized by $21,760,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $21,352,000 including accrued interest(f)		20,932,140
	76,400,000	U.S. Treasury Bill, 0.053%, 8/15/2013(b)(g)		76,397,861
	126,590,000	U.S. Treasury Bill, 0.061%, 11/14/2013(b)(g)		126,558,859
	28,380,000	U.S. Treasury Bill, 0.085%, 7/05/2013(g)		28,379,972
		Total Short-Term Investments (Identified Cost $252,267,923)		252,268,832
		Total Investments – 106.8% (Identified Cost $2,681,020,056)(a)		2,616,219,333
		Other assets less liabilities – (6.8)%		(167,248,310	)
		Net Assets – 100.0%	$	2,448,971,023

(‡)	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 prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 (between the bid and ask price) supplied by an independent pricing service, if available, or prices 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 under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††)	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, 2013, the net unrealized depreciation on investments based on a cost of $2,691,803,700 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	$	35,192,616
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(110,776,983	)
Net unrealized depreciation	$	(75,584,367	)

	At September 30, 2012, the Fund had a short-term capital loss carryforward of $17,796,221 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)	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, 2013 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, 2013, the value of Rule 144A holdings amounted to $412,626,899 or 16.8% of net assets.
EMTN	Euro Medium Term Note
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GMTN	Global Medium Term Note
MTN	Medium Term Note
REMIC	Real Estate Mortgage Investment Conduit
TBA	To Be Announced
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippine Peso
PLN	Polish Zloty
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thailand Baht
TRY	Turkish Lira

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

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		8/28/2013	Australian Dollar		29,320,000	$	26,703,093	$	1,757,245
Sell2		7/05/2013	Brazilian Real		29,850,000		13,368,449		286,629
Sell2		9/27/2013	British Pound		13,800,000		20,977,212		325,324
Sell1		9/05/2013	Canadian Dollar		37,810,000		35,895,918		550,266
Buy3		9/20/2013	Malaysian Ringgit		62,652,000		19,727,943		45,243
Sell2		7/31/2013	New Zealand Dollar		27,310,000		21,119,933		1,684,463
Sell2		9/24/2013	Philippine Peso		327,000,000		7,561,568		(211,602	)
Buy1		9/11/2013	South Korean Won		24,975,000,000		21,796,670		(409,252	)
Buy2		9/11/2013	South Korean Won		31,476,000,000		27,470,349		(517,024	)
Sell4		9/18/2013	Swiss Franc		9,760,000		10,340,184		228,305
Sell2		9/24/2013	Thai Baht		271,300,000		8,710,050		(80,916	)
Sell1		9/17/2013	Turkish Lira		30,495,000		15,623,039		571,433
Total								$	4,230,114

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

Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
10/03/2013	Japanese Yen	1,863,477,600	Singapore Dollar2	24,000,000	$	141,178
7/03/2013	Japanese Yen	1,817,304,000	Singapore Dollar2	24,000,000		611,591
8/02/2013	Japanese Yen	1,666,900,000	Thai Baht1	500,000,000		(712,993	)
9/04/2013	Malaysian Ringgit	76,100,000	Japanese Yen1	2,286,348,400		(927,899	)
9/04/2013	Malaysian Ringgit	64,670,000	Japanese Yen1	2,154,804,400		1,348,152
7/03/2013	Singapore Dollar	24,000,000	Japanese Yen2	1,863,895,200		(141,825	)
Total					$	318,204

¹ Counterparty is Credit Suisse International.

² Counterparty is Barclays Bank PLC.

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

⁴ Counterparty is UBS AG.

Futures Contracts

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

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price 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 contracts are standardized 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; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At June 30, 2013, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		9/19/2013		93	$	13,700,063	$	(524,748	)

At June 30, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/30/2013		444	$	53,744,813	$	679,062
10 Year U.S. Treasury Note		9/19/2013		288		36,450,000		836,473
30 Year U.S. Treasury Bond		9/19/2013		800		108,675,000		3,823,536
Total							$	5,339,071

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	40,821,555	$	11,452,440	(a)	$	52,273,995
Canada		—		146,183,007		3,084,810	(a)		149,267,817
Korea		—		41,561,584		8,199,296	(a)		49,760,880
United States		—		684,261,476		51,448,896	(a)		735,710,372
All Other Non-Convertible Bonds*		—		1,350,129,387		—			1,350,129,387
Total Non-Convertible Bonds		—		2,262,957,009		74,185,442			2,337,142,451
Convertible Bonds*		—		16,250,138		—			16,250,138
Total Bonds and Notes		—		2,279,207,147		74,185,442			2,353,392,589
Preferred Stocks*		10,557,912		—		—			10,557,912
Short-Term Investments		—		252,268,832		—			252,268,832
Total Investments		10,557,912		2,531,475,979		74,185,442			2,616,219,333
Forward Foreign Currency Contracts (unrealized appreciation)		—		7,549,829		—			7,549,829
Futures Contracts (unrealized appreciation)		5,339,071		—		—			5,339,071
Total	$	15,896,983	$	2,539,025,808	$	74,185,442		$	2,629,108,233

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(3,001,511	)	$	—	$	(3,001,511	)
Futures Contracts (unrealized depreciation)		(524,748	)		—			—		(524,748	)
Total	$	(524,748	)	$	(3,001,511	)	$	—	$	(3,526,259	)

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

(a) Valued using broker-dealer bid prices.

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Australia	$	28,397,706	$	191,162	$	5,080,241	$	(5,866,318	)	$	—	$	(27,763,251	)	$	11,412,900	$	—		$	11,452,440	$	39,540
Canada		4,873,164		—		—		(14,312	)		3,099,122		—			—		(4,873,164	)		3,084,810		(14,312	)
Korea		—		—		21,956		60,448			—		(4,985,619	)		13,102,511		—			8,199,296		60,448
United States		5,002,750		15,724		36,139		(519,489	)		29,757,220		(2,712,070	)		24,871,372		(5,002,750	)		51,448,896		(519,489	)
Total	$	38,273,620	$	206,886	$	5,138,336	$	(6,339,671	)	$	32,856,342	$	(35,460,940	)	$	49,386,783	$	(9,875,914	)	$	74,185,442	$	(433,813	)

Debt securities valued at $49,386,783 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $9,875,914 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

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, 2013, 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 its duration without having to buy or sell portfolio securities. During the period ended June 30, 2013, the Fund used futures contracts to manage duration.

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $11,703,041 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $8,701,530.

These amounts do not take into account the value of U.S. government and agency securities received as collateral by the Fund in the amount of $1,162,303. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Fund’s books and records.

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

Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	—		$	7,549,829
Futures (unrealized appreciation)		5,339,071			—
Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	—		$	(3,001,511	)
Futures (unrealized depreciation)		(524,748	)		—

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

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	42.8	%
Mortgage Related	9.9
Banking	6.2
Local Authorities	5.0
Commercial Mortgage-Backed Securities	4.0
ABS Car Loan	3.7
Government Owned - No Guarantee	3.2
Wirelines	2.3
Sovereigns	2.1
Other Investments, less than 2% each	17.3
Short-Term Investments	10.3
Total Investments	106.8
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	(6.8	)
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)

United States Dollar	49.4	%
Euro	19.0
Japanese Yen	11.8
British Pound	6.7
Canadian Dollar	4.2
Mexican Peso	3.3
Malaysian Ringgit	2.3
Other, less than 2% each	10.1
Total Investments	106.8
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	(6.8	)
Net Assets	100.0	%

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

Loomis Sayles High Income Opportunities Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 88.1% of Net Assets
Non-Convertible Bonds – 71.7%
		ABS Home Equity – 4.0%
$	113,375	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.917%, 9/25/2045(b)	$	110,720
	141,082	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.403%, 5/25/2035(b)		112,260
	76,074	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		68,413
	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		75,335
	276,299	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.712%, 4/25/2035(b)		177,605
	88,003	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035		87,142
	145,421	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.533%, 3/25/2035(b)		96,724
	35,897	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		36,532
	162,555	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.151%, 6/19/2035(b)		158,363
	153,634	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.494%, 7/19/2035(b)		137,640
	132,592	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.713%, 12/25/2034(b)		129,574
	176,073	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.513%, 7/25/2045(b)		152,733
	184,199	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.693%, 1/25/2036(b)(c)		120,391
	187,773	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		161,953
	249,885	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.353%, 1/25/2047(b)		184,044
	138,874	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		140,005
	207,095	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		218,588
	171,580	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.467%, 9/25/2046(b)		158,271
	228,363	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.133%, 8/25/2046(b)		140,746
	16,763	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.682%, 3/25/2035(b)		16,819
				2,483,858
		ABS Other – 0.3%
	148,345	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		160,945
		Aerospace & Defense – 2.3%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		885,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Aerospace & Defense – continued
$	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A	$	165,666
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		363,239
				1,413,905
		Airlines – 2.6%
	110,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		111,100
	18,149	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		18,784
	54,309	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		56,074
	3,799	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		4,027
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		27,224
	172,018	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		194,467
	472,768	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		516,499
	265,829	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		274,469
	399,697	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		423,678
				1,626,322
		Automotive – 1.3%
	165,000	Ford Motor Co., 6.625%, 2/15/2028		175,291
	35,000	Ford Motor Co., 7.125%, 11/15/2025		39,787
	110,000	Ford Motor Co., 7.500%, 8/01/2026		127,208
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		316,400
	175,000	Lear Corp., 4.750%, 1/15/2023, 144A		166,250
				824,936
		Banking – 2.3%
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		69,150
	401,000	Ally Financial, Inc., 8.000%, 11/01/2031		482,203
	435,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		460,594
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		393,020
				1,404,967
		Brokerage – 1.0%
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		135,100

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – continued
$	515,000	Jefferies Group LLC, 6.450%, 6/08/2027	$	507,275
				642,375
		Building Materials – 0.8%
	45,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A		43,538
	60,000	HD Supply, Inc., 7.500%, 7/15/2020, 144A		60,750
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		156,237
	206,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		219,390
	15,000	USG Corp., 9.750%, 1/15/2018		17,025
				496,940
		Chemicals – 2.5%
	675,000	Hercules, Inc., 6.500%, 6/30/2029		587,250
	15,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		14,325
	235,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		263,200
	590,000	Tronox Finance LLC, 6.375%, 8/15/2020, 144A		556,075
	150,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		153,000
				1,573,850
		Commercial Mortgage-Backed Securities – 0.6%
	90,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		86,523
	250,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.763%, 4/12/2049(b)		266,099
				352,622
		Construction Machinery – 0.2%
	95,000	United Rentals North America, Inc., 7.625%, 4/15/2022		102,838
		Consumer Cyclical Services – 0.6%
	100,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		94,875
	45,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		38,250
	225,000	ServiceMaster Co. (The), 8.000%, 2/15/2020		224,437
				357,562
		Consumer Products – 0.5%
	340,000	Visant Corp., 10.000%, 10/01/2017		313,650

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – 2.5%
$	39,730	CE Generation LLC, 7.416%, 12/15/2018	$	40,028
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		277,051
	1,141,500	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		964,567
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		273,240
				1,554,886
		Gaming – 1.5%
	230,000	MGM Resorts International, 7.500%, 6/01/2016		250,700
	630,000	MGM Resorts International, 7.625%, 1/15/2017		688,275
				938,975
		Healthcare – 4.2%
	185,000	DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018		193,325
	185,000	HCA Holdings, Inc., 6.250%, 2/15/2021		188,700
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021		5,400
	430,000	HCA, Inc., 7.050%, 12/01/2027		421,400
	30,000	HCA, Inc., 7.500%, 12/15/2023		31,200
	620,000	HCA, Inc., 7.500%, 11/06/2033		638,600
	40,000	HCA, Inc., 8.360%, 4/15/2024		45,200
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		217,300
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		20,100
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		838,500
				2,599,725
		Home Construction – 4.9%
	70,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		70,700
	25,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		26,000
	75,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		78,562
	200,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)		88,000
	470,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(e)		159,800
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		234,000
	260,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		284,700

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Home Construction – continued
$	355,000	KB Home, 7.250%, 6/15/2018	$	376,300
	305,000	KB Home, 8.000%, 3/15/2020		338,550
	215,000	Lennar Corp., 6.950%, 6/01/2018		232,200
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		662,400
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		439,450
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(e)		44,000
				3,034,662
		Independent Energy – 1.9%
	5,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		5,375
	145,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		157,325
	150,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		85,500
	105,000	Halcon Resources Corp., 8.875%, 5/15/2021		101,850
	400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		116,000
	750,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		236,250
	110,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		104,500
	380,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		376,200
				1,183,000
		Industrial Other – 0.2%
	130,000	Dematic S.A./DH Services Luxembourg S.a.r.l., 7.750%, 12/15/2020, 144A		135,850
		Life Insurance – 0.7%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		451,400
		Media Cable – 1.1%
	230,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023, 144A		222,525
	430,000	CSC Holdings LLC, 7.625%, 7/15/2018		484,825
				707,350
		Media Non-Cable – 2.9%
	85,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		78,625
	310,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		301,475

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Media Non-Cable – continued
$	85,000	Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A	$	87,125
	230,000	Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A		236,900
	405,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		419,175
	50,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		50,375
	335,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		338,350
	230,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		237,475
	85,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		89,250
				1,838,750
		Metals & Mining – 3.3%
	235,000	Alcoa, Inc., 5.900%, 2/01/2027		219,818
	50,000	Alcoa, Inc., 6.750%, 1/15/2028		49,687
	25,000	ArcelorMittal, 6.750%, 2/25/2022		25,625
	70,000	ArcelorMittal, 7.250%, 3/01/2041		65,450
	600,000	ArcelorMittal, 7.500%, 10/15/2039		570,000
	520,000	Arch Coal, Inc., 7.250%, 6/15/2021		421,200
	125,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		118,750
	210,000	Inmet Mining Corp., 7.500%, 6/01/2021, 144A		201,075
	80,000	United States Steel Corp., 6.050%, 6/01/2017		83,200
	370,000	United States Steel Corp., 6.650%, 6/01/2037		311,725
				2,066,530
		Non-Captive Consumer – 2.5%
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		144,637
	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		705,500
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		193,000
	500,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		490,625
				1,533,762
		Non-Captive Diversified – 1.5%
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		33,000
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		46,238

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	70,000	International Lease Finance Corp., 8.250%, 12/15/2020	$	78,662
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		293,250
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		76,500
	55,000	iStar Financial, Inc., 7.125%, 2/15/2018		57,062
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		214,200
	125,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		130,000
				928,912
		Oil Field Services – 1.4%
	580,000	Edgen Murray Corp., 8.750%, 11/01/2020, 144A		577,100
	285,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		285,000
				862,100
		Packaging – 0.8%
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		396,000
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		107,000
				503,000
		Pharmaceuticals – 1.4%
	495,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		489,431
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		380,625
	15,000	VPII Escrow Corp., 6.750%, 8/15/2018, 144A		15,375
	5,000	VPII Escrow Corp., 7.500%, 7/15/2021, 144A		5,175
				890,606
		Retailers – 3.2%
	50,000	CST Brands, Inc., 5.000%, 5/01/2023, 144A		48,750
	155,000	Dillard’s, Inc., 6.625%, 1/15/2018		170,500
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		504,000
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		198,187
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		83,063
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022(f)		314,190

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	200,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036	$	156,000
	185,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		150,313
	420,000	Toys R Us, Inc., 7.375%, 10/15/2018		379,050
				2,004,053
		Supermarkets – 1.1%
	70,000	American Stores Co., 8.000%, 6/01/2026		88,900
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,925
	230,000	New Albertson’s, Inc., 7.750%, 6/15/2026		181,412
	5,000	New Albertson’s, Inc., 8.000%, 5/01/2031		3,975
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		8,225
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		424,350
				710,787
		Technology – 7.2%
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,287,650
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		217,500
	190,000	Amkor Technology, Inc., 6.375%, 10/01/2022		186,675
	30,000	Amkor Technology, Inc., 6.625%, 6/01/2021		29,550
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		154,788
	140,000	Equinix, Inc., 5.375%, 4/01/2023		137,200
	615,000	First Data Corp., 8.250%, 1/15/2021, 144A		627,300
	345,000	Freescale Semiconductor, Inc., 8.050%, 2/01/2020		349,312
	485,000	NCR Corp., 5.000%, 7/15/2022		468,025
				4,458,000
		Textile – 1.7%
	745,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		592,275
	125,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		125,625
	320,000	Wolverine World Wide, Inc., 6.125%, 10/15/2020, 144A		330,400
				1,048,300

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Transportation Services – 1.0%
$	185,000	APL Ltd., 8.000%, 1/15/2024(g)	$	173,900
	12,957	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		13,087
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(h)		451,345
				638,332
		Wireless – 2.1%
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		112,500
	1,276,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,224,960
				1,337,460
		Wirelines – 5.6%
	382,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i)		351,440
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		20,200
	175,000	CenturyLink, Inc., 7.650%, 3/15/2042		166,250
	85,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		80,750
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		206,800
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		205,256
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		14,700
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		307,125
	465,000	Frontier Communications Corp., 7.875%, 1/15/2027		450,469
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		460,800
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		346,500
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		369,309
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		294,292
	150,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		153,765
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		82,342
				3,509,998
		Total Non-Convertible Bonds (Identified Cost $45,146,592)		44,691,208
Convertible Bonds – 16.4%
		Automotive – 2.2%
	765,000	Ford Motor Co., 4.250%, 11/15/2016		1,382,260

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Construction Machinery – 0.3%
$	125,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018	$	180,859
		Diversified Manufacturing – 0.6%
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		386,925
		Electric – 1.0%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		653,194
		Home Construction – 2.0%
	165,000	KB Home, 1.375%, 2/01/2019		171,188
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		39,863
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		25,678
	350,000	Lennar Corp., 3.250%, 11/15/2021, 144A		587,562
	310,000	Standard Pacific Corp., 1.250%, 8/01/2032		395,444
				1,219,735
		Independent Energy – 0.7%
	225,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		211,922
	55,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		54,587
	145,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019		153,791
				420,300
		Media Non-Cable – 0.1%
	113,300	Liberty Media LLC, 3.500%, 1/15/2031		58,066
		Metals & Mining – 0.8%
	405,000	Peabody Energy Corp., 4.750%, 12/15/2066		281,222
	95,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		101,353
	95,000	United States Steel Corp., 2.750%, 4/01/2019		93,753
				476,328
		Non-Captive Diversified – 0.0%
	25,000	iStar Financial, Inc., 3.000%, 11/15/2016		29,656
		Oil Field Services – 0.2%
	120,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019, 144A		145,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Pharmaceuticals – 0.3%
$	80,000	Mylan, Inc., 3.750%, 9/15/2015	$	189,600
		REITs - Mortgage – 0.3%
	170,000	Redwood Trust, Inc., 4.625%, 4/15/2018		167,131
		Technology – 5.4%
	530,000	Ciena Corp., 0.875%, 6/15/2017		509,462
	520,000	Ciena Corp., 3.750%, 10/15/2018, 144A		650,650
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		35,213
	255,000	Intel Corp., 2.950%, 12/15/2035		277,472
	440,000	Intel Corp., 3.250%, 8/01/2039		560,725
	505,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		784,012
	165,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		263,587
	155,000	Nuance Communications, Inc., 2.750%, 11/01/2031		159,650
	60,000	SanDisk Corp., 1.500%, 8/15/2017		79,988
	30,000	Xilinx, Inc., 2.625%, 6/15/2017		42,863
				3,363,622
		Textile – 0.4%
	235,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		265,256
		Wireless – 0.1%
	40,000	Clearwire Communications LLC/Clearwire Finance, Inc., 8.250%, 12/01/2040, 144A		43,950
		Wirelines – 2.0%
	436,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(f)(g)(i)(j)		56,565
	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(g)		1,180,043
				1,236,608
		Total Convertible Bonds (Identified Cost $7,710,800)		10,218,990
		Total Bonds and Notes (Identified Cost $52,857,392)		54,910,198

Shares		Description	Value (†)
Preferred Stocks – 7.7%
Convertible Preferred Stocks – 5.5%
		Automotive – 2.7%
	28,082	General Motors Co., Series B, 4.750%	$	1,352,429
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		314,279
				1,666,708
		Banking – 0.1%
	30	Bank of America Corp., Series L, 7.250%		33,315
		Electric – 0.6%
	7,975	AES Trust III, 6.750%		401,302
		Independent Energy – 0.5%
	90	Chesapeake Energy Corp., 5.000%		7,791
	85	Chesapeake Energy Corp., Series A, 5.750%, 144A		87,178
	965	SandRidge Energy, Inc., 7.000%		82,689
	1,163	SandRidge Energy, Inc., 8.500%		111,357
				289,015
		Metals & Mining – 0.5%
	3,300	ArcelorMittal, 6.000%		61,941
	16,006	Cliffs Natural Resources, Inc., 7.000%		283,946
				345,887
		Non-Captive Diversified – 0.2%
	2,110	iStar Financial, Inc., Series J, 4.500%		113,940
		Pipelines – 0.8%
	8,050	El Paso Energy Capital Trust I, 4.750%		470,845
		REITs - Diversified – 0.1%
	1,584	Weyerhaeuser Co., Series A, 6.375%		80,800
		Total Convertible Preferred Stocks (Identified Cost $3,249,262)		3,401,812
Non-Convertible Preferred Stocks – 2.2%
		Banking – 2.2%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		293,511
	803	Ally Financial, Inc., Series G, 7.000%, 144A		763,226

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Banking – continued
	13,577	SunTrust Banks, Inc., 5.875%	$	322,590
				1,379,327
		Total Non-Convertible Preferred Stocks (Identified Cost $1,061,965)		1,379,327
		Total Preferred Stocks (Identified Cost $4,311,227)		4,781,139
Common Stocks – 1.1%
		Diversified Telecommunication Services – 0.4%
	10	FairPoint Communications, Inc.(e)		83
	1,017	Hawaiian Telcom Holdco, Inc.(e)		25,588
	16,842	Telefonica S.A., Sponsored ADR(e)		215,746
				241,417
		Household Durables – 0.7%
	23,775	KB Home		466,703
		Total Common Stocks (Identified Cost $453,998)		708,120
Warrants – 0.0%
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(f)(g) (Identified Cost $0)		—
Principal Amount(‡)
Short-Term Investments – 2.2%
	1,380,132	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $1,380,132 on 7/01/2013 collateralized by $1,460,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $1,408,900 including accrued interest(k) (Identified Cost $1,380,132)		1,380,132
		Total Investments – 99.1% (Identified Cost $59,002,749)(a)		61,779,589
		Other assets less liabilities – 0.9%		533,008
		Net Assets – 100.0%	$	62,312,597

(‡)	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 prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
	At June 30, 2013, the net unrealized appreciation on investments based on a cost of $59,124,761 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	$	6,350,229
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,695,401	)
Net unrealized appreciation	$	2,654,828

(b)	Variable rate security. Rate as of June 30, 2013 is disclosed.
(c)	The issuer is making partial payments with respect to principal.
(d)	All or a portion of interest payment is paid-in-kind.
(e)	Non-income producing security.
(f)	Fair valued by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $370,755 or 0.6% of net assets.
(g)	Illiquid security. At June 30, 2013, the value of these securities amounted to $1,410,508 or 2.3% of net assets.
(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)	Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.
(k)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $15,408,463 or 24.7% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
MXN	Mexican Peso
USD	U.S. 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, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	1,626,322	(a)	$	1,626,322
Retailers		—		1,689,863		314,190	(b)		2,004,053
Transportation Services		—		173,900		464,432	(a)		638,332
All Other Non-Convertible Bonds*		—		40,422,501		—			40,422,501
Total Non-Convertible Bonds		—		42,286,264		2,404,944			44,691,208
Convertible Bonds
Wirelines		—		1,180,043		56,565	(b)		1,236,608
All Other Convertible Bonds*		—		8,982,382		—			8,982,382
Total Convertible Bonds		—		10,162,425		56,565			10,218,990
Total Bonds and Notes		—		52,448,689		2,461,509			54,910,198
Preferred Stocks
Convertible Preferred Stocks*		3,401,812		—		—			3,401,812
Non-Convertible Preferred Stocks*		616,101		763,226		—			1,379,327
Total Preferred Stocks		4,017,913		763,226		—			4,781,139
Common Stocks*		708,120		—		—			708,120
Warrants**		—		—		—			—
Short-Term Investments		—		1,380,132		—			1,380,132
Total	$	4,726,033	$	54,592,047	$	2,461,509		$	61,779,589

* 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) Valued using broker-dealer bid prices.

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

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 Funds’ investment adviser 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 unobservable inputs were used to determine fair value as of September 30, 2012 and/or March 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	239	$	5,931		$	7,628		$	110,000	$	(86,883	)	$	1,589,407	$	—		$	1,626,322	$	7,628
Retailers		—		742		—			4,048			—		—			309,400		—			314,190		4,048
Transportation Services		157,712		—		205			146,394			—		(1,488	)		319,321		(157,712	)		464,432		146,394
Convertible Bonds Wirelines		—		—		(10	)		(11,162	)		135,474		(67,737	)		—		—			56,565		(11,162	)
Total	$	157,712	$	981	$	6,126		$	146,908		$	245,474	$	(156,108	)	$	2,218,128	$	(157,712	)	$	2,461,509	$	146,908

Debt securities valued at $2,218,128 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

A debt security valued at $157,712 was transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at June 30, 2013 (Unaudited)

Technology	12.6	%
Wirelines	7.6
Home Construction	6.9
Automotive	6.2
Metals & Mining	4.6
Banking	4.6
Healthcare	4.2
Electric	4.1
ABS Home Equity	4.0
Retailers	3.2
Independent Energy	3.1
Media Non-Cable	3.0
Airlines	2.6
Chemicals	2.5
Non-Captive Consumer	2.5
Aerospace & Defense	2.3
Wireless	2.2
Textile	2.1
Other Investments, less than 2% each	18.6
Short-Term Investments	2.2
Total Investments	99.1
Other assets less liabilities	0.9
Net Assets	100.0	%

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

Loomis Sayles Inflation Protected Securities Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 97.2% of Net Assets
		Airlines – 0.6%
$	130,000	United Airlines, Inc., 6.750%, 9/15/2015, 144A	$	133,575
		Automotive – 0.5%
	120,000	General Motors Financial Co., Inc., 2.750%, 5/15/2016, 144A		118,050
		Electric – 1.4%
	140,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		144,200
	150,000	Iberdrola Finance Ireland Ltd., 5.000%, 9/11/2019, 144A		157,740
				301,940
		Independent Energy – 0.6%
	130,000	SandRidge Energy, Inc., 7.500%, 3/15/2021		124,150
		Treasuries – 93.3%
	1,456,459	U.S. Treasury Inflation Indexed Bond, 0.625%, 2/15/2043(b)		1,224,905
	2,496,515	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(b)		3,079,297
	7,796,313	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2017(b)		7,999,142
	382,269	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(b)		392,124
	4,366,493	U.S. Treasury Inflation Indexed Note, 0.125%, 1/15/2022(b)		4,276,774
	2,922,368	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2022(b)(c)		2,856,387
				19,828,629
		Wirelines – 0.8%
	150,000	Telefonica Emisiones SAU, 6.421%, 6/20/2016		164,696
		Total Bonds and Notes (Identified Cost $22,054,054)		20,671,040
Shares
Preferred Stocks – 0.6%
		Diversified Manufacturing – 0.6%
	2,100	United Technologies Corp., 7.500% (Identified Cost $105,000)		124,656

Notional Amount		Description	Value (†)
Purchased Swaptions – 6.9%
		Interest Rate Swaptions – 6.9%
$	17,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 3-month LIBOR, Receive 0.674%(d)(e)	$	33,005
	11,750,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 3-month LIBOR, Receive 1.378%(d)(e)		34,228
	27,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.440%, Receive 3-month LIBOR(d)(e)		1,405,470
		Total Purchased Swaptions (Identified Cost $1,547,747)		1,472,703
Principal Amount
Short-Term Investments – 1.6%
	301,932	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $301,932 on 7/01/2013 collateralized by $315,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $309,094 including accrued interest(f)		301,932
	25,000	U.S. Treasury Bill, 0.082%, 1/10/2013(g)(h)		25,000
		Total Short-Term Investments (Identified Cost $326,932)		326,932
		Total Investments – 106.3% (Identified Cost $24,033,733)(a)		22,595,331
		Other assets less liabilities – (6.3)%		(1,334,099	)
		Net Assets – 100.0%	$	21,261,232
Notional Amount
Written Swaptions – (4.4%)
		Interest Rate Swaptions – (4.4%)
$	17,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 0.398%, Receive 3-month LIBOR(d)(e)	$	(3,465	)
	11,750,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 0.957%, Receive 3-month LIBOR(d)(e)		(3,654	)
	27,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 3.940%(d)(e)		(935,715	)
		Total Written Swaptions (Premiums Received $927,461)	$	(942,834	)

(†) 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 prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Futures contracts are valued at their most recent settlement price.

Options on interest rate swaps (“interest rate swaptions”) are valued at mid prices (between the bid and the ask price) 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 under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2013, the net unrealized depreciation on investments based on a cost of $24,234,261 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	$	113,443
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,752,373	)
Net unrealized depreciation	$	(1,638,930	)

(b) Treasury Inflation Protected Security (TIPS).

(c) All or a portion of this security has been designated to cover the Fund’s obligations under open futures contracts or interest rate swaptions.

(d) The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate.

When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

(e) Counterparty is Citibank, N.A.

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

(h) 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, 2013, the value of Rule 144A holdings amounted to $553,565 or 2.6% of net assets.

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 contracts are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At June 30, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date	Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note	9/30/2013		3	$	363,141	$	4,588

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Bonds and Notes*	$	—	$	20,671,040		$	—	$	20,671,040
Preferred Stocks*		124,656		—			—		124,656
Purchased Swaptions*		—		1,472,703			—		1,472,703
Short-Term Investments		—		326,932			—		326,932
Total Investments		124,656		22,470,675			—		22,595,331
Futures Contracts (unrealized appreciation)		4,588		—			—		4,588
Total	$	129,244	$	22,470,675		$	—	$	22,599,919
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3		Total
Written Swaptions*	$	—	$	(942,834	)	$	—	$	(942,834	)

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

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

Derivatives

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

The Fund may use interest rate swaps and interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the period ended June 30, 2013, the Fund engaged in interest rate swaps and interest rate swaptions for this purpose.

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, interest rate swaps and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended June 30, 2013, the Fund used futures contracts, interest rate swaps and interest rate swaptions to hedge against changes in interest rates and also used interest rate swaps and interest rate swaptions to manage duration.

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter

derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $1,497,703 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $554,869.

These amounts do not take into account the value of cash collateral received by the Fund in the amount of $380,000.

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

Asset Derivatives	Interest Rate Contracts
Purchased Swaptions (at value)	$	1,472,703
Futures (unrealized appreciation)		4,588
Liability Derivatives	Interest Rate Contracts
Written Swaptions (at value)	$	(942,834	)

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

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	93.3	%
Purchased Swaptions	6.9
Other Investments, less than 2% each	4.5
Short-Term Investments	1.6
Total Investments	106.3
Other assets less liabilities (including open written swaptions and futures contracts)	(6.3	)
Net Assets	100.0	%

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

Loomis Sayles Institutional High Income Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 79.5% of Net Assets
Non-Convertible Bonds – 64.6%
		Aerospace & Defense – 2.4%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	132,837
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,175,000
	500,000	Ducommun, Inc., 9.750%, 7/15/2018		546,250
	3,220,000	GenCorp, Inc., 7.125%, 3/15/2021, 144A		3,332,700
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		745,498
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		4,722,110
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,270,700
	1,580,000	TransDigm, Inc., 7.500%, 7/15/2021, 144A		1,615,550
				15,540,645
		Airlines – 2.5%
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		985,749
	435,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		433,912
	327,905	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		357,416
	82,057	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		86,980
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		65,966
	306,992	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		335,389
	343,786	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		347,224
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,129,875
	443,877	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		468,290
	3,419,660	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		3,607,742
	1,538,132	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,718,863
	464,716	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		490,275
	309,777	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		336,107
	3,482,356	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		3,691,298
	2,250,000	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,227,500
				16,282,586

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 0.5%
$	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022	$	1,015,000
	15,000	Ford Motor Co., 6.375%, 2/01/2029		15,896
	95,000	Ford Motor Co., 6.625%, 2/15/2028		100,925
	230,000	Ford Motor Co., 7.125%, 11/15/2025		261,457
	40,000	Ford Motor Co., 7.500%, 8/01/2026		46,258
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,066,487
				3,506,023
		Banking – 4.9%
	2,700,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		1,113,227
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		1,019,081
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,654,125
	7,410,000	HBOS PLC, 6.000%, 11/01/2033, 144A		6,836,244
	9,495,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		10,053,657
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		679,476
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,089,028
	1,700,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		1,258,000
	475,000	RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b)		383,645
	80,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		67,686
	135,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		93,825
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		128,000
	85,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		62,050
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,440,139
	105,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		90,218
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		1,362,284
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		76,075
	435,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		557,724
				31,964,484

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – 0.4%
$	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036	$	1,558,475
	1,045,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,029,325
	165,000	Jefferies Group LLC, 6.875%, 4/15/2021		181,466
				2,769,266
		Building Materials – 0.8%
	3,200,000	HD Supply, Inc., 10.500%, 1/15/2021		3,312,000
	670,000	Masco Corp., 6.500%, 8/15/2032		666,650
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,310,824
				5,289,474
		Chemicals – 2.4%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,647,410
	3,687,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,760,740
	1,240,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		1,184,200
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		1,313,280
	539,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		463,540
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		2,165,620
	4,416,092	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(c)(d)		3,334,149
	600,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		612,000
				15,480,939
		Commercial Mortgage-Backed Securities – 0.0%
	320,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		307,635
		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		130,275
	1,902,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		1,616,700
				1,746,975
		Consumer Products – 0.3%
	2,270,000	Visant Corp., 10.000%, 10/01/2017		2,094,075
		Electric – 0.9%
	215,000	Edison Mission Energy, 7.625%, 5/15/2027(e)		120,400

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	$	1,080,750
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,030,000
	3,540,028	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		2,991,323
	365,000	PPL Energy Supply LLC, 4.600%, 12/15/2021		371,433
				5,593,906
		Environmental – 0.1%
	536,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A		546,720
		Food & Beverage – 0.2%
	1,545,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,618,388
		Government Guaranteed – 0.8%
	1,185,000	Autonomous Community of Catalonia, 4.950%, 2/11/2020, (EUR)		1,356,768
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,055,823
				5,412,591
		Government Owned - No Guarantee – 0.4%
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		884,584
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,640,386
				2,524,970
		Government Sponsored – 0.7%
	3,440,000	Eksportfinans ASA, 2.000%, 9/15/2015		3,302,400
	1,250,000	Eksportfinans ASA, 2.375%, 5/25/2016		1,196,875
				4,499,275
		Healthcare – 3.2%
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		2,832,062
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,043,700
	970,000	HCA, Inc., 7.500%, 12/15/2023		1,008,800
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		4,799,800
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		1,960,200
	375,000	HCA, Inc., 8.360%, 4/15/2024		423,750
	945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,001,700

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	1,557,750
	7,644,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		6,573,840
				21,201,602
		Home Construction – 1.0%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		303,000
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		793,800
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		1,084,020
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		781,425
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		368,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,300,100
	870,000	Pulte Group, Inc., 7.875%, 6/15/2032		957,000
				6,587,345
		Independent Energy – 2.9%
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		203,545
	6,640,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		3,784,800
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		4,915,613
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		311,750
	600,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		189,000
	3,680,000	Rex Energy Corp., 8.875%, 12/01/2020, 144A		3,790,400
	2,400,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,343,000
	3,360,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		3,192,000
				18,730,108
		Industrial Other – 0.2%
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		666,750
	320,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		310,400
				977,150
		Life Insurance – 2.5%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,634,000
	6,535,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		7,972,700

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A	$	4,279,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		369,600
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,363,850
				16,619,150
		Local Authorities – 1.9%
	1,535,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		1,619,461
	100,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		93,857
	905,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		1,083,753
	2,245,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		2,057,675
	7,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		7,422,018
				12,276,764
		Media Cable – 0.3%
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,137,475
		Media Non-Cable – 2.4%
	2,210,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		2,044,250
	4,405,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		4,283,863
	1,770,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		1,787,700
	980,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		1,011,850
	1,206,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		1,224,090
	1,665,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		1,698,300
	3,230,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		3,391,500
				15,441,553
		Metals & Mining – 3.5%
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,002,800
	377,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		358,150
	11,060,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		8,516,200
	3,125,000	Hecla Mining Co., 6.875%, 5/01/2021, 144A		2,898,437
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		800,000
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,701,850

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Metals & Mining – continued
$	3,680,000	United States Steel Corp., 7.500%, 3/15/2022	$	3,606,400
				22,883,837
		Non-Captive Consumer – 1.4%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		750,000
	875,000	SLM Corp., MTN, 7.250%, 1/25/2022		918,750
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		111,543
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,776,500
	3,630,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,561,938
				9,118,731
		Non-Captive Diversified – 1.8%
	970,000	General Electric Capital Corp., GMTN, 5.500%, 2/01/2017, (NZD)		778,534
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		206,034
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,454,067
	180,000	International Lease Finance Corp., 5.875%, 4/01/2019		181,800
	135,000	International Lease Finance Corp., 6.250%, 5/15/2019		138,713
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		337,125
	1,325,000	iStar Financial, Inc., 3.875%, 7/01/2016		1,272,000
	3,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		3,741,200
	840,000	iStar Financial, Inc., 5.850%, 3/15/2017		856,800
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		902,700
	1,040,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,081,600
				11,950,573
		Oil Field Services – 1.4%
	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		1,767,625
	3,425,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		3,425,000
	3,680,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		3,726,000
				8,918,625

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Packaging – 1.1%
$	6,050,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021	$	5,989,500
	600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		619,500
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		484,500
				7,093,500
		Paper – 0.2%
	1,615,000	Neenah Paper, Inc., 5.250%, 5/15/2021, 144A		1,574,625
		Pipelines – 0.6%
	3,340,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,872,400
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		872,400
				3,744,800
		Property & Casualty Insurance – 0.8%
	1,920,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(f)		1,641,600
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,347,892
				4,989,492
		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		266,900
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		27,900
				294,800
		REITs - Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		513,751
		Retailers – 1.8%
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		472,500
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		2,079,763
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		135,625
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		188,275
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022(g)		1,884,019
	230,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		179,400
	280,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		227,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	7,385,000	Toys R Us, Inc., 7.375%, 10/15/2018	$	6,664,962
				11,832,044
		Sovereigns – 0.6%
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		138,992
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		826,171
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,915,544
	66,455,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		402,064
	24,750,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		151,435
	32,615,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		215,352
				3,649,558
		Supermarkets – 3.0%
	600,000	American Stores Co., 7.900%, 5/01/2017		661,500
	360,000	American Stores Co., 8.000%, 6/01/2026		457,200
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		2,238,000
	4,190,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,289,150
	2,170,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,711,588
	9,220,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,329,900
	4,125,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,392,812
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		759,000
				19,839,150
		Supranational – 0.1%
	4,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		448,912
		Technology – 3.4%
	650,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		898,952
	10,465,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		7,927,237
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,157,500
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,360,150
	1,590,000	First Data Corp., 11.250%, 1/15/2021, 144A		1,586,025
	1,560,000	Freescale Semiconductor, Inc., 8.050%, 2/01/2020		1,579,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037	$	12,425
	4,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		4,020,000
				22,541,789
		Textile – 0.8%
	3,235,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		2,571,825
	2,835,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		2,849,175
				5,421,000
		Transportation Services – 1.3%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)		3,087,900
	834,121	Atlas Air Pass Through Trust, Series 1998-1, Class B,7. 680%, 7/02/2015		842,462
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h)		376,121
	147,914	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		149,393
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h)		559,358
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(f)(h)		56,482
	2,710,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		2,710,000
	740,000	Teekay Corp., 8.500%, 1/15/2020		804,750
				8,586,466
		Treasuries – 4.1%
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		2,898,351
	2,425,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,366,533
	850,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		1,155,101
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		244,076
	4,405,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		6,216,090
	1,590,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		286,681
	4,365,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		765,376
	770,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		855,618
	560,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		507,743
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		210,249

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
	4,070,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)	$	4,725,031
	3,175,000	U.S. Treasury Bond, 2.750%, 11/15/2042		2,737,447
	3,560,000	U.S. Treasury Bond, 2.875%, 5/15/2043		3,150,600
				27,118,896
		Wireless – 1.2%
	11,300,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		844,569
	2,725,000	NII Capital Corp., 7.625%, 4/01/2021		2,118,688
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,921,600
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		873,600
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		236,500
				7,994,957
		Wirelines – 5.4%
	205,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i)		188,600
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		361,900
	5,540,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		5,546,925
	800,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		963,221
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,603,800
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		455,700
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		4,215,031
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		983,180
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,574,000
	905,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		902,738
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		304,293
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,045,034
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,700,006
	1,100,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,433,604
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,590,095
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		768,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	1,523,500
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,252,020
	645,000	Qwest Corp., 7.250%, 9/15/2025		721,200
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,414,035
	1,095,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		992,950
	140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		130,750
				35,670,582
		Total Non-Convertible Bonds (Identified Cost $397,863,921)		423,335,187
Convertible Bonds – 14.8%
		Airlines – 0.3%
	1,705,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,772,467
		Automotive – 1.6%
	1,090,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		963,287
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		6,378,269
	2,955,000	Navistar International Corp., 3.000%, 10/15/2014		2,870,044
				10,211,600
		Brokerage – 0.3%
	2,145,000	Jefferies Group LLC, 3.875%, 11/01/2029		2,285,766
		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,714,337
		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		494,844
		Healthcare – 1.4%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		5,292,984
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		1,310,922
	660,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		713,625
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		929,875
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		1,128,500
				9,375,906

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Home Construction – 1.0%
$	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A	$	3,852,731
	2,050,000	Standard Pacific Corp., 1.250%, 8/01/2032		2,615,031
				6,467,762
		Independent Energy – 1.3%
	5,585,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,893,856
	3,260,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,070,512
	695,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		689,788
				8,654,156
		Life Insurance – 1.1%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		7,349,625
		Media Non-Cable – 0.0%
	45,932	Liberty Media LLC, 3.500%, 1/15/2031		23,540
		Metals & Mining – 0.4%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,333,594
	970,000	United States Steel Corp., 2.750%, 4/01/2019		957,269
				2,290,863
		Non-Captive Diversified – 0.1%
	470,000	iStar Financial, Inc., 3.000%, 11/15/2016		557,538
		Technology – 5.6%
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		7,589,069
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,180,175
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		205,406
	3,595,000	Intel Corp., 3.250%, 8/01/2039		4,581,378
	5,370,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		8,336,925
	3,130,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		5,000,175
	855,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		1,364,259
	960,000	Nuance Communications, Inc., 2.750%, 11/01/2031		988,800
	230,000	SanDisk Corp., 1.500%, 8/15/2017		306,619

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – continued
$	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014	$	3,375,094
				36,927,900
		Textile – 0.5%
	3,080,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		3,476,550
		Wirelines – 0.7%
	233,700	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(g)(i)(j)		30,320
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		2,571,887
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		1,384,863
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		527,168
				4,514,238
		Total Convertible Bonds (Identified Cost $72,439,227)		97,117,092
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)		615,411
		Total Bonds and Notes (Identified Cost $470,843,148)		521,067,690
Senior Loans – 2.6%
		Airlines – 0.2%
	1,238,250	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)		1,235,601
		Automotive – 0.2%
	1,251,863	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		1,263,605
		Chemicals – 0.3%
	500,000	AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b)		500,000
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		1,642,200
				2,142,200
		Consumer Products – 0.1%
	311,720	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		296,467
		Diversified Manufacturing – 0.1%
	275,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		277,063

Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Food & Beverage – 0.1%
$	567,588	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)	$	581,777
		Healthcare – 0.2%
	1,125,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)		1,124,651
		Media Non-Cable – 0.0%
	141,397	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b)		110,909
		Metals & Mining – 0.1%
	516,100	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		523,522
		Non-Captive Diversified – 0.6%
	4,000,000	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		4,186,680
		Oil Field Services – 0.2%
	1,213,300	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		1,165,775
		Other Utility – 0.1%
	400,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		395,000
	325,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		319,312
		Total Other Utility (Identified Cost $719,841)		714,312
		Supermarket – 0.1%
	923,316	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		916,262
		Technology – 0.1%
	201,562	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		203,106
	441,221	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		444,715
		Total Technology (Identified Cost $639,826)		647,821
		Wirelines – 0.2%
	748,125	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		731,292
	740,689	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		738,837
	65,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		66,463
				1,536,592
		Total Senior Loans (Identified Cost $16,435,423)		16,723,237

Shares		Description	Value (†)
Common Stocks – 11.2%
		Automobiles – 1.1%
	465,000	Ford Motor Co.	$	7,193,550
		Biotechnology – 2.0%
	165,617	Vertex Pharmaceuticals, Inc.(f)		13,227,830
		Chemicals – 1.5%
	156,958	Dow Chemical Co. (The)		5,049,339
	30,167	PPG Industries, Inc.		4,416,750
				9,466,089
		Containers & Packaging – 0.2%
	40,621	Owens-Illinois, Inc.(f)		1,128,857
	2,452	Rock-Tenn Co., Class A		244,906
				1,373,763
		Diversified Telecommunication Services – 0.3%
	22,435	FairPoint Communications, Inc.(f)		187,332
	2,627	Hawaiian Telcom Holdco, Inc.(f)		66,096
	117,962	Telefonica S.A., Sponsored ADR(f)		1,511,093
				1,764,521
		Electronic Equipment, Instruments & Components – 2.4%
	1,119,766	Corning, Inc.		15,934,270
		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		108,283
		Household Durables – 0.0%
	6,775	KB Home		132,993
		Oil, Gas & Consumable Fuels – 0.6%
	2,846	Chesapeake Energy Corp.		58,001
	82,985	Repsol YPF S.A., Sponsored ADR		1,755,963
	33,796	Royal Dutch Shell PLC, ADR		2,156,185
				3,970,149
		Pharmaceuticals – 1.4%
	64,900	Bristol-Myers Squibb Co.		2,900,381
	74,297	Valeant Pharmaceuticals International, Inc.(f)		6,395,486
				9,295,867
		REITs - Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		185,798
	32,565	Associated Estates Realty Corp.		523,645
				709,443
		REITs - Shopping Centers – 0.0%
	7,868	DDR Corp.		131,002
		Semiconductors & Semiconductor Equipment – 1.4%
	372,408	Intel Corp.		9,019,722
		Trading Companies & Distributors – 0.2%
	20,913	United Rentals, Inc.(f)		1,043,768
		Total Common Stocks (Identified Cost $49,394,978)		73,371,250

Shares		Description	Value (†)
Preferred Stocks – 4.0%
Convertible Preferred Stocks – 2.8%
		Automotive – 1.2%
	148,570	General Motors Co., Series B, 4.750%	$	7,155,131
	20,395	Goodyear Tire & Rubber Co. (The), 5.875%		1,004,658
				8,159,789
		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		164,772
		Electric – 0.1%
	17,119	AES Trust III, 6.750%		861,428
		Home Construction – 0.1%
	11,000	Hovnanian Enterprises, Inc., 7.250%		313,720
		Independent Energy – 0.1%
	4,300	Chesapeake Energy Corp., 5.000%		372,251
	190	Chesapeake Energy Corp., Series A, 5.750%, 144A		194,869
	3,552	SandRidge Energy, Inc., 7.000%		304,362
				871,482
		Metals & Mining – 0.1%
	33,725	ArcelorMittal, 6.000%		633,018
		Pipelines – 0.5%
	54,200	El Paso Energy Capital Trust I, 4.750%		3,170,158
		REITs - Diversified – 0.2%
	21,593	Weyerhaeuser Co., Series A, 6.375%		1,101,459
		Technology – 0.5%
	3,260	Lucent Technologies Capital Trust I, 7.750%		3,113,300
		Total Convertible Preferred Stocks (Identified Cost $16,648,649)		18,389,126
Non-Convertible Preferred Stocks – 1.2%
		Banking – 0.8%
	4,153	Ally Financial, Inc., Series G, 7.000%, 144A		3,947,297
	18,000	Bank of America Corp., 6.375%		441,900
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		666,311

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Banking – continued
	7,075	Countrywide Capital IV, 6.750%	$	176,804
				5,232,312
		Home Construction – 0.3%
	96,887	Hovnanian Enterprises, Inc., 7.625%(f)		1,752,686
		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		616,390
		Non-Captive Diversified – 0.0%
	5,300	iStar Financial, Inc., Series F, 7.800%		127,571
	2,575	iStar Financial, Inc., Series G, 7.650%		60,435
				188,006
		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		208,506
		Total Non-Convertible Preferred Stocks (Identified Cost $5,528,921)		7,997,900
		Total Preferred Stocks (Identified Cost $22,177,570)		26,387,026
Warrants – 0.0%
	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(f)(g) (Identified Cost $0)		—
Principal Amount(‡)
Short-Term Investments – 1.5%
	102,424	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $102,424 on 7/01/2013 collateralized by $115,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $108,328 including accrued interest(k)		102,424
	9,766,812	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $9,766,812 on 7/01/2013 collateralized by $10,155,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $9,964,594 including accrued interest(k)		9,766,812
		Total Short-Term Investments (Identified Cost $9,869,236)		9,869,236
		Total Investments – 98.8% (Identified Cost $568,720,355)(a)		647,418,439
		Other assets less liabilities – 1.2%		7,681,694
		Net Assets – 100.0%	$	655,100,133

(‡) 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 prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

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

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $568,986,140 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	$	99,592,885
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,160,586	)
Net unrealized appreciation	$	78,432,299

(b) Variable rate security. Rate as of June 30, 2013 is disclosed.

(c) Illiquid security. At June 30, 2013, the value of these securities amounted to $14,646,359 or 2.2% of net assets.

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

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

(f) Non-income producing security.

(g) Fair valued security by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $1,914,339 or 0.3% of net assets.

(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) Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $159,185,079 or 24.3% of net assets.

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

EMTN Euro Medium Term Note

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

USD U.S. 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:

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

ŸLevel 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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	2,115,624	$	14,166,962	(a)	$	16,282,586
Retailers		—		9,948,025		1,884,019	(b)		11,832,044
Transportation Services		—		6,602,650		1,983,816	(a)		8,586,466
All Other Non-Convertible Bonds*		—		386,634,091		—			386,634,091
Total Non-Convertible Bonds		—		405,300,390		18,034,797			423,335,187
Convertible Bonds
Wirelines		—		4,483,918		30,320	(b)		4,514,238
All Other Convertible Bonds*		—		92,602,854		—			92,602,854
Total Convertible Bonds		—		97,086,772		30,320			97,117,092
Municipals*		—		615,411		—			615,411
Total Bonds and Notes		—		503,002,573		18,065,117			521,067,690
Senior Loans*		—		16,723,237		—			16,723,237
Common Stocks*		73,371,250		—		—			73,371,250
Preferred Stocks
Convertible Preferred Stocks*		18,389,126		—		—			18,389,126
Non-Convertible Preferred Stocks
Banking		1,285,015		3,947,297		—			5,232,312
All Other Non-Convertible Preferred Stocks*		2,765,588		—		—			2,765,588
Total Non-Convertible Preferred Stocks		4,050,603		3,947,297		—			7,997,900
Total Preferred Stocks		22,439,729		3,947,297		—			26,387,026
Warrants**		—		—		—			—
Short-Term Investments		—		9,869,236		—			9,869,236
Total	$	95,810,979	$	533,542,343	$	18,065,117		$	647,418,439

* 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) Valued using broker-dealer bid prices.

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

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 Funds’ investment adviser 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 unobservable inputs were used to determine fair value as of September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Convertible Bonds Wirelines	$	—	$	—	$	(1	)	$	(6,038	)	$	72,718	$	(36,359	)	$	—	$	—		$	30,320	$	(6,038	)
Non-Convertible Bonds
Airlines		—		1,591		8,429			326,575			2,685,000		(1,123,395	)		12,268,762		—			14,166,962		326,575
Banking		3,846,651		—		—			—			—		—			—		(3,846,651	)		—		—
Retailers		—		10,511		—			18,213			—		—			1,855,295		—			1,884,019		18,213
Transportation Services		2,800,463		—		36,518			441,002			—		(143,572	)		1,649,868		(2,800,463	)		1,983,816		441,002
Warrants		—		—		—			—			—		—			—		—			—		—
Total	$	6,647,114	$	12,102	$	44,946		$	779,752		$	2,757,718	$	(1,303,326	)	$	15,773,925	$	(6,647,114	)	$	18,065,117	$	779,752

Debt securities valued at $15,773,925 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $6,647,114 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Unfunded Loan Commitments

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

Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	50,000

Industry Summary at June 30, 2013 (Unaudited)

Technology	9.6	%
Wirelines	6.3
Banking	5.7
Healthcare	4.8
Independent Energy	4.3
Chemicals	4.2
Treasuries	4.1
Metals & Mining	4.1
Life Insurance	3.6
Automotive	3.5
Supermarkets	3.1
Airlines	3.0
Non-Captive Diversified	2.5
Electronic Equipment, Instruments & Components	2.4
Media Non-Cable	2.4
Aerospace & Defense	2.4
Home Construction	2.4
Biotechnology	2.0
Other Investments, less than 2% each	26.9
Short-Term Investments	1.5
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

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

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 100.0% of Net Assets
Non-Convertible Bonds – 99.5%
		ABS Car Loan – 6.3%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	336,918
	210,000	Ally Master Owner Trust, Series 2013-1, Class A2, 1.000%, 2/15/2018		208,098
	53,320	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		53,401
	89,406	AmeriCredit Automobile Receivables Trust, Series 2012-2, Class A2, 0.760%, 10/08/2015		89,450
	405,000	AmeriCredit Automobile Receivables Trust, Series 2013-2, Class A3, 0.650%, 12/08/2017		402,148
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		126,916
	285,000	Capital Auto Receivables Asset Trust, Series 2013-1, Class A3, 0.790%, 6/20/2017		283,680
	109,729	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		110,012
	620,000	CarMax Auto Owner Trust, Series 2012-2, Class A3, 0.840%, 3/15/2017		621,165
	10,520	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 1/15/2015, 144A		10,530
	495,000	CarNow Auto Receivables Trust, Series 2013-1A, Class A, 1.160%, 10/16/2017, 144A		494,526
	57,129	CFC LLC, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		56,947
	378,292	Flagship Credit Auto Trust, Series 2013-1, Class A, 1.320%, 4/16/2018, 144A		377,319
	145,000	Harley-Davidson Motorcycle Trust, Series 2012-1, Class A3, 0.680%, 4/15/2017		145,028
	200,000	Honda Auto Receivables Owner Trust, Series 2012-2, Class A3, 0.700%, 2/16/2016		200,071
	345,000	Honda Auto Receivables Owner Trust, Series 2012-3, Class A3, 0.560%, 5/15/2016		344,451
	225,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		227,817
	94,222	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		94,288
	165,000	Santander Drive Auto Receivables Trust, Series 2012-6, Class A3, 0.620%, 7/15/2016		164,986
	215,000	Santander Drive Auto Receivables Trust, Series 2013-1, Class A3, 0.620%, 6/15/2017		214,760
	165,000	Santander Drive Auto Receivables Trust, Series 2013-3, Class B, 1.190%, 5/15/2018		163,543
	190,000	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		190,000
	200,000	SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018		198,503
	260,000	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		256,776
	94,215	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		94,382

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	110,000	World Omni Automobile Lease Securitization Trust, Series 2012-A, Class A3, 0.930%, 11/16/2015	$	109,990
				5,575,705
		ABS Credit Card – 1.6%
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.413%, 3/15/2017(b)		59,964
	575,000	GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022		543,937
	210,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		215,430
	560,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		580,007
				1,399,338
		ABS Home Equity – 0.1%
	80,030	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.208%, 7/25/2021(b)		75,714
	48,896	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		49,979
				125,693
		ABS Other – 1.8%
	260,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		260,574
	97,563	FRS LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		96,334
	390,000	GE Dealer Floorplan Master Note Trust, Series 2012-3, Class A, 0.682%, 6/20/2017(b)		390,000
	420,000	Nissan Master Owner Trust Receivables, Series 2012-A, Class A, 0.663%, 5/15/2017(b)		419,365
	430,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		429,337
				1,595,610
		ABS Student Loan – 1.9%
	488,431	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.792%, 9/20/2022(b)		493,316
	550,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.076%, 7/25/2025(b)		552,579
	650,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.276%, 7/25/2025(b)		657,319
				1,703,214
		Aerospace & Defense – 0.9%
	435,000	Northrop Grumman Corp., 3.250%, 8/01/2023		411,645
	355,000	Raytheon Co., 3.125%, 10/15/2020		357,220
				768,865
		Airlines – 0.7%
	440,000	British Airways PLC, 4.625%, 6/20/2024, 144A		439,175

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	139,274	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021	$	161,905
				601,080
		Automotive – 1.9%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		238,458
	610,000	Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		734,789
	315,000	Toyota Motor Credit Corp., MTN, 2.000%, 9/15/2016		321,346
	390,000	Volkswagen International Finance NV, 1.150%, 11/20/2015, 144A		390,913
				1,685,506
		Banking – 8.2%
	660,000	Australia & New Zealand Banking Group Ltd./New York NY, 1.450%, 5/15/2018		638,378
	250,000	Bank of America Corp., 5.650%, 5/01/2018		277,746
	425,000	Bank of Montreal, 1.450%, 4/09/2018		410,221
	260,000	BB&T Corp., 2.050%, 6/19/2018		256,214
	495,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		589,417
	365,000	Capital One Financial Corp., 2.125%, 7/15/2014		369,277
	40,000	Citigroup, Inc., 5.000%, 9/15/2014		41,569
	270,000	Citigroup, Inc., 6.010%, 1/15/2015		288,340
	370,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		416,931
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		313,820
	630,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		725,081
	750,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		850,091
	100,000	PNC Financial Services Group Inc., 2.854%, 11/09/2022		91,220
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		42,197
	415,000	State Street Corp., 3.100%, 5/15/2023		388,718
	380,000	SunTrust Bank, 2.750%, 5/01/2023		349,635
	330,000	U.S. Bancorp, MTN, 2.200%, 11/15/2016		338,497
	245,000	Wells Fargo & Co., 1.500%, 1/16/2018		238,955
	340,000	Wells Fargo & Co., 3.676%, 6/15/2016		363,262

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	245,000	Westpac Banking Corp., 1.125%, 9/25/2015	$	246,039
				7,235,608
		Building Materials – 0.0%
	30,000	Masco Corp., 7.125%, 3/15/2020		33,450
		Chemicals – 0.7%
	180,000	Dow Chemical Co. (The), 3.000%, 11/15/2022		167,309
	180,000	Eastman Chemical Co., 3.600%, 8/15/2022		173,396
	200,000	Eastman Chemical Co., 4.500%, 1/15/2021		209,920
	90,000	Methanex Corp., 3.250%, 12/15/2019		87,127
				637,752
		Collateralized Mortgage Obligations – 8.2%
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		772,145
	420,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		427,215
	1,035,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		1,034,151
	360,000	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		355,507
	1,460,000	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,433,421
	1,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		1,109,072
	697,886	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.543%, 4/25/2019(b)		699,175
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		146,126
	297,060	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.645%, 10/07/2020(b)		298,545
	971,988	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.755%, 12/08/2020(b)		975,584
				7,250,941
		Commercial Mortgage-Backed Securities – 7.9%
	40,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		44,609
	110,000	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047		122,215
	95,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		90,836
	295,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046		288,535
	336,002	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.871%, 6/15/2039(b)		373,409

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040	$	401,986
	375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		414,500
	325,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		363,986
	330,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.982%, 8/10/2045(b)		367,738
	1,225,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.043%, 11/08/2029, 144A(b)		1,211,929
	350,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A5, 2.840%, 12/15/2047		324,567
	410,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 6.003%, 6/15/2049(b)		458,829
	210,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		232,507
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		262,229
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		445,408
	510,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		566,039
	410,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.937%, 6/15/2049(b)		458,581
	555,000	Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.918%, 10/15/2045		519,829
				6,947,732
		Construction Machinery – 0.5%
	105,000	Caterpillar Financial Services Corp., MTN, 1.300%, 3/01/2018		102,006
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		300,260
				402,266
		Consumer Cyclical Services – 0.7%
	585,000	Amazon.com, Inc., 0.650%, 11/27/2015		583,165
	30,000	Western Union Co. (The), 2.375%, 12/10/2015		30,530
				613,695
		Diversified Manufacturing – 0.2%
	100,000	Ingersoll-Rand Global Holding Co. Ltd., 2.875%, 1/15/2019, 144A		98,648
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		95,351
				193,999
		Electric – 3.0%
	155,000	Baltimore Gas & Electric Co., 3.350%, 7/01/2023		150,773

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018	$	304,638
	375,000	Dominion Resources, Inc., 1.950%, 8/15/2016		382,485
	415,000	Georgia Power Co., 0.593%, 3/15/2016(b)		415,227
	290,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		282,025
	160,000	NextEra Energy Capital Holdings Inc., 3.625%, 6/15/2023		154,112
	215,000	NextEra Energy Capital Holdings, Inc., 1.611%, 6/01/2014		216,764
	85,000	Pacific Gas & Electric Co., 3.250%, 6/15/2023		83,239
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		274,274
	375,000	Southern Co., 1.950%, 9/01/2016		380,487
				2,644,024
		Entertainment – 0.4%
	330,000	Time Warner, Inc., 4.875%, 3/15/2020		359,792
		Environmental – 0.1%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		98,044
		Food & Beverage – 1.0%
	525,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		536,763
	270,000	Kraft Foods Group, Inc., 6.125%, 8/23/2018		317,020
				853,783
		Government Owned - No Guarantee – 1.3%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		173,608
	570,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		522,885
	435,000	Statoil ASA, 1.150%, 5/15/2018		420,639
				1,117,132
		Health Insurance – 0.1%
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		36,141
	30,000	WellPoint, Inc., 7.000%, 2/15/2019		36,017
				72,158
		Healthcare – 1.7%
	75,000	Baxter International, Inc., 1.850%, 1/15/2017		75,454

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	400,000	Express Scripts, Inc., 3.125%, 5/15/2016	$	415,942
	80,000	McKesson Corp., 0.950%, 12/04/2015		79,786
	425,000	McKesson Corp., 3.250%, 3/01/2016		448,157
	105,000	McKesson Corp., 6.500%, 2/15/2014		108,698
	375,000	Stryker Corp., 2.000%, 9/30/2016		384,939
				1,512,976
		Hybrid ARMs – 0.6%
	110,569	FHLMC, 2.394%, 1/01/2035(b)		116,973
	396,416	FNMA, 2.558%, 4/01/2037(b)		421,919
				538,892
		Independent Energy – 1.7%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		112,167
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		126,498
	330,000	Canadian Natural Resources Ltd., 1.450%, 11/14/2014		332,669
	275,000	Encana Corp., 6.500%, 5/15/2019		322,172
	70,000	Hess Corp., 7.000%, 2/15/2014		72,514
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		113,850
	375,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		374,701
				1,454,571
		Integrated Energy – 1.8%
	345,000	BP Capital Markets PLC, 1.375%, 11/06/2017		335,895
	440,000	BP Capital Markets PLC, 1.375%, 5/10/2018		424,113
	225,000	Chevron Corp., 3.191%, 6/24/2023		223,909
	340,000	Total Capital S.A., 4.450%, 6/24/2020		370,668
	55,000	XTO Energy, Inc., 4.900%, 2/01/2014		56,374
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		174,059
				1,585,018
		Life Insurance – 0.6%
	125,000	American International Group, Inc., 4.875%, 9/15/2016		136,920

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	220,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017	$	242,514
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,816
	70,000	Unum Group, 5.625%, 9/15/2020		77,151
				488,401
		Media Cable – 0.9%
	94,000	Cox Communications, Inc., 5.450%, 12/15/2014		100,299
	230,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		276,613
	425,000	NBCUniversal Enterprise, Inc., 0.817%, 4/15/2016, 144A(b)		426,261
				803,173
		Media Non-Cable – 0.2%
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		175,319
		Metals & Mining – 1.8%
	110,000	Alcoa, Inc., 6.150%, 8/15/2020		112,672
	315,000	ArcelorMittal, 10.350%, 6/01/2019		372,487
	140,000	Goldcorp, Inc., 2.125%, 3/15/2018		134,054
	35,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		33,193
	180,000	Rio Tinto Finance USA Ltd., 3.500%, 11/02/2020		179,093
	125,000	Rio Tinto Finance USA PLC, 1.625%, 8/21/2017		122,598
	275,000	Rio Tinto Finance USA PLC, 2.250%, 12/14/2018		267,235
	110,000	Teck Resources Ltd., 3.150%, 1/15/2017		112,169
	270,000	Teck Resources Ltd., 3.750%, 2/01/2023		248,072
				1,581,573
		Mortgage Related – 6.5%
	343,007	FHLMC, 2.644%, 5/01/2036(b)		367,361
	87,920	FHLMC, 3.000%, with various maturities from 2026 to 2027(c)		90,729
	1,596	FHLMC, 6.500%, 1/01/2024		1,806
	200	FHLMC, 8.000%, 7/01/2025		237
	53,695	FNMA, 3.000%, 7/01/2027		55,309
	236,583	FNMA, 3.526%, 2/01/2039(b)		253,775

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Mortgage Related – continued
$	894	FNMA, 6.000%, 9/01/2021	$	972
	451	FNMA, 7.500%, 6/01/2016		474
	545	FNMA, 8.000%, 6/01/2015		567
	321,940	GNMA, 4.312%, 2/20/2063		352,485
	586,088	GNMA, 4.356%, 2/20/2063		643,097
	243,537	GNMA, 4.496%, 10/20/2062		268,759
	517,869	GNMA, 4.500%, 4/20/2063		572,332
	291,089	GNMA, 4.505%, 4/20/2063		321,656
	346,333	GNMA, 4.514%, 5/20/2062		381,854
	337,471	GNMA, 4.520%, 5/20/2062		371,865
	338,817	GNMA, 4.528%, 3/20/2062		373,571
	302,095	GNMA, 4.549%, 3/20/2063		334,532
	343,416	GNMA, 4.560%, 3/20/2062		378,456
	213,311	GNMA, 4.567%, 7/20/2062		236,579
	355,764	GNMA, 4.575%, 2/20/2063		394,109
	250,856	GNMA, 4.604%, 6/20/2062		277,547
	4,485	GNMA, 6.500%, 12/15/2023		5,008
	1,361	GNMA, 8.500%, 9/15/2022		1,555
	2,622	GNMA, 9.500%, 1/15/2019		2,968
				5,687,603
		Non-Captive Consumer – 0.3%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		238,500
		Non-Captive Diversified – 1.3%
	645,000	General Electric Capital Corp., 5.625%, 5/01/2018		739,818
	425,000	International Lease Finance Corp., 2.224%, 6/15/2016(b)		421,812
				1,161,630
		Oil Field Services – 1.4%
	305,000	Cameron International Corp., 1.205%, 6/02/2014(b)		306,350

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Oil Field Services – continued
$	260,000	Ensco PLC, 3.250%, 3/15/2016	$	271,680
	235,000	Nabors Industries, Inc., 5.000%, 9/15/2020		239,561
	90,000	Nabors Industries, Inc., 9.250%, 1/15/2019		111,665
	75,000	Pride International, Inc., 8.500%, 6/15/2019		95,387
	175,000	Rowan Cos., Inc., 5.000%, 9/01/2017		189,140
				1,213,783
		Pharmaceuticals – 2.3%
	275,000	Eli Lilly & Co., 4.200%, 3/06/2014		281,918
	255,000	Mallinckrodt International Finance S.A., 3.500%, 4/15/2018, 144A		252,082
	1,095,000	Merck & Co., Inc., 1.300%, 5/18/2018		1,061,916
	260,000	Perrigo Co., 2.950%, 5/15/2023		240,363
	225,000	Pfizer, Inc., 3.000%, 6/15/2023		218,224
				2,054,503
		Pipelines – 1.8%
	140,000	Energy Transfer Partners LP, 4.650%, 6/01/2021		144,883
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		290,000
	380,000	Enterprise Products Operating LLC, 1.250%, 8/13/2015		381,247
	245,000	NiSource Finance Corp., 6.125%, 3/01/2022		276,498
	175,000	Questar Corp., 2.750%, 2/01/2016		181,664
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		278,266
				1,552,558
		Property & Casualty Insurance – 1.2%
	305,000	Allstate Corp. (The), 3.150%, 6/15/2023		296,133
	260,000	Berkshire Hathaway Finance Corp., 1.600%, 5/15/2017		258,907
	320,000	Liberty Mutual Group Inc., 4.250%, 6/15/2023, 144A		309,192
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		162,259
	15,000	Willis North America, Inc., 7.000%, 9/29/2019		17,228
				1,043,719

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Railroads – 1.7%
$	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014	$	362,518
	420,000	Canadian National Railway Co., 1.450%, 12/15/2016		423,476
	325,000	CSX Corp., 3.700%, 10/30/2020		335,993
	30,000	CSX Corp., 6.150%, 5/01/2037		34,509
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		300,183
				1,456,679
		REITs - Healthcare – 0.0%
	35,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		32,601
		Retailers – 0.1%
	110,000	Dollar General Corp., 3.250%, 4/15/2023		100,390
		Supermarket – 0.3%
	285,000	Delhaize Group S.A., 4.125%, 4/10/2019		293,579
		Supranational – 0.5%
	420,000	Nordic Investment Bank, 0.500%, 4/14/2016		416,976
		Technology – 3.1%
	335,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		386,464
	335,000	Apple, Inc., 1.000%, 5/03/2018		321,700
	460,000	Apple, Inc., 2.400%, 5/03/2023		426,633
	210,000	Corning, Inc., 4.250%, 8/15/2020		223,953
	300,000	EMC Corp., 1.875%, 6/01/2018		296,551
	370,000	Hewlett-Packard Co., 4.300%, 6/01/2021		361,778
	435,000	International Business Machines Corp., 1.625%, 5/15/2020		407,215
	305,000	Oracle Corp., 1.200%, 10/15/2017		296,222
				2,720,516
		Tobacco – 1.3%
	330,000	Altria Group, Inc., 4.750%, 5/05/2021		353,417
	90,000	Altria Group, Inc., 9.250%, 8/06/2019		119,196
	365,000	Philip Morris International, Inc., 2.500%, 5/16/2016		379,137

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Tobacco – continued
$	295,000	Philip Morris International, Inc., 2.625%, 3/06/2023	$	273,082
				1,124,832
		Transportation Services – 0.4%
	345,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		347,584
		Treasuries – 17.1%
	2,075,326	U.S. Treasury Inflation Indexed Note, 0.125%, 1/15/2023(d)		2,012,255
	1,385,000	U.S. Treasury Note, 0.250%, 10/31/2014		1,385,541
	2,900,000	U.S. Treasury Note, 0.250%, 5/15/2015		2,895,241
	765,000	U.S. Treasury Note, 0.750%, 10/31/2017		750,597
	270,000	U.S. Treasury Note, 0.750%, 3/31/2018		262,807
	385,000	U.S. Treasury Note, 0.875%, 4/30/2017		383,075
	2,810,000	U.S. Treasury Note, 1.750%, 5/31/2016		2,898,251
	1,110,000	U.S. Treasury Note, 1.750%, 5/15/2023		1,039,584
	1,930,000	U.S. Treasury Note, 1.875%, 6/30/2015		1,987,900
	1,330,000	U.S. Treasury Note, 2.500%, 4/30/2015		1,382,421
				14,997,672
		Wireless – 1.4%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		258,027
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		179,350
	410,000	Vodafone Group PLC, 1.500%, 2/19/2018		392,485
	415,000	Vodafone Group PLC, 2.950%, 2/19/2023		383,650
				1,213,512
		Wirelines – 2.0%
	625,000	AT&T, Inc., 5.800%, 2/15/2019		724,879
	220,000	British Telecommunications PLC, 1.625%, 6/28/2016		220,965
	255,000	Embarq Corp., 7.995%, 6/01/2036		269,062
	505,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		517,675
				1,732,581
		Total Non-Convertible Bonds (Identified Cost $87,473,090)		87,444,528

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Municipals – 0.5%
		Florida – 0.5%
$	420,000	Florida Hurricane Catastrophe Fund Finance Corp., Series A, 2.995%, 7/01/2020 (Identified Cost $420,000)	$	393,557
		Total Bonds and Notes (Identified Cost $87,893,090)		87,838,085
		Total Investments – 100.0% (Identified Cost $87,893,090)(a)		87,838,085
		Other assets less liabilities – 0.0%		33,150
		Net Assets – 100.0%	$	87,871,235

(†) 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 prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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 under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2013, the net unrealized depreciation on investments based on a cost of $88,340,572 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	$	1,017,302
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,519,789	)
Net unrealized depreciation	$	(502,487	)

(b) Variable rate security. Rate as of June 30, 2013 is disclosed.

(c) The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation 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) Treasury Inflation Protected Security (TIPS).

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $5,344,306 or 6.1% 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:

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

ŸLevel 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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	5,128,929	$	446,776	(a)	$	5,575,705
ABS Other		—		1,166,273		429,337	(a)		1,595,610
ABS Student Loan		—		1,209,898		493,316	(a)		1,703,214
Airlines		—		—		601,080	(a)		601,080
Collateralized Mortgage Obligations		—		5,976,812		1,274,129	(a)		7,250,941
All Other Non-Convertible Bonds*		—		70,717,978		—			70,717,978
Total Non-Convertible Bonds		—		84,199,890		3,244,638			87,444,528
Municipals*		—		393,557		—			393,557
Total Bonds and Notes		—		84,593,447		3,244,638			87,838,085
Total	$	—	$	84,593,447	$	3,244,638		$	87,838,085

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

(a) Valued using broker-dealer bid prices.

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30,  2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—		$	(3,204	)	$	449,980	$	—		$	—	$	—		$	446,776	$	(3,204	)
ABS Other		—		—		—			—			429,337		—			—		—			429,337		—
ABS Student Loan		—		—		—			4,884			—		(511,381	)		999,813		—			493,316		4,884
Airlines		—		—		(912	)		(1,753	)		441,650		(20,878	)		182,973		—			601,080		(1,753	)
Collateralized Mortgage Obligations		—		—		(21	)		(2,760	)		—		(125,530	)		1,402,440		—			1,274,129		(2,760	)
Commercial Mortgage-Backed Securities		573,987		—		—			—			—		—			—		(573,987	)		—		—
Total	$	573,987	$	—	$	(933	)	$	(2,833	)	$	1,320,967	$	(657,789	)	$	2,585,226	$	(573,987	)	$	3,244,638	$	(2,833	)

Debt securities valued at $2,585,226 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

A debt security valued at $573,987 was transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	17.1	%
Collateralized Mortgage Obligations	8.2
Banking	8.2
Commercial Mortgage-Backed Securities	7.9
Mortgage Related	6.5
ABS Car Loan	6.3
Technology	3.1
Electric	3.0
Pharmaceuticals	2.3
Wirelines	2.0
Other Investments, less than 2% each	35.4
Total Investments	100.0
Other assets less liabilities	—
Net Assets	100.0	%

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

Loomis Sayles Investment Grade Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 92.9% of Net Assets
Non-Convertible Bonds – 88.5%
		ABS Credit Card – 0.2%
$	1,000,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019	$	1,098,418
		ABS Home Equity – 0.0%
	185,873	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.521%, 7/25/2035(b)		170,477
		ABS Other – 1.0%
	1,911,762	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,931,447
	1,490,867	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		1,519,040
	856,995	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		977,813
	762,153	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		771,560
	1,926,626	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		2,047,859
				7,247,719
		Airlines – 2.6%
	500,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		498,750
	800,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		756,000
	155,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		156,550
	1,105,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,116,050
	327,905	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		357,416
	960,585	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,066,249
	4,150,623	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		4,762,840
	160,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		166,400
	1,501,192	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,640,052
	3,828,237	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		4,450,326
	1,790,139	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		1,919,924
	783,957	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		885,871
	1,490,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026		1,475,100
				19,251,528

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 0.6%
$	1,725,000	Cummins, Inc., 5.650%, 3/01/2098	$	1,633,825
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,824,271
				4,458,096
		Banking – 12.5%
	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018		3,162,084
	3,300,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		1,360,611
	230,000	Bank of America Corp., 5.420%, 3/15/2017		246,322
	1,000,000	Bank of America Corp., 5.490%, 3/15/2019		1,078,240
	530,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		565,119
	985,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		1,183,748
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,529,103
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		89,951
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		177,865
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,462,409
	4,670,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,775,390
	225,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		236,302
	1,330,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		1,339,335
	5,400,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		5,066,255
	5,625,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,762,047
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		943,997
	4,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		4,341,232
	400,000	JPMorgan Chase & Co., EMTN, 1.053%, 5/30/2017, (GBP)(b)		568,835
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		485,340
	7,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		693,018
	900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		974,526
	6,570,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,467,265
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		247,449
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,818,084

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	100,000	Morgan Stanley, 0.757%, 10/15/2015(b)	$	98,054
	5,080,000	Morgan Stanley, 2.125%, 4/25/2018		4,861,717
	2,714,000	Morgan Stanley, 3.750%, 2/25/2023		2,595,352
	1,325,000	Morgan Stanley, 4.875%, 11/01/2022		1,308,969
	2,980,000	Morgan Stanley, 5.500%, 7/24/2020		3,209,114
	3,800,000	Morgan Stanley, 5.750%, 1/25/2021		4,124,718
	2,000,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,986,287
	100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		107,339
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		1,948,408
	930,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		859,245
	2,900,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		3,178,319
	600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		576,523
	1,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,719,730
	600,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b)		580,841
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		448,955
	3,550,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		3,378,073
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		63,842
	400,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		544,089
	100,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		117,506
	200,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		215,580
	825,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		870,307
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		133,129
	400,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		424,094
	400,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		407,979
	2,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		2,654,063
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,278,850
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		337,473

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A	$	4,737,150
				92,340,233
		Brokerage – 1.3%
	2,750,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,764,259
	765,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		782,827
	2,715,000	Jefferies Group LLC, 5.125%, 1/20/2023		2,694,064
	1,230,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,186,950
	575,000	Jefferies Group LLC, 6.450%, 6/08/2027		566,375
	105,000	Jefferies Group LLC, 6.875%, 4/15/2021		115,478
	1,530,000	Jefferies Group LLC, 8.500%, 7/15/2019		1,843,650
				9,953,603
		Building Materials – 1.3%
	1,175,000	Masco Corp., 4.800%, 6/15/2015		1,204,375
	730,000	Masco Corp., 5.850%, 3/15/2017		770,150
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,830,600
	1,330,000	Masco Corp., 6.500%, 8/15/2032		1,323,350
	375,000	Masco Corp., 7.750%, 8/01/2029		413,978
	3,300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,323,194
	251,000	Owens Corning, Inc., 6.500%, 12/01/2016		280,188
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,412,985
				9,558,820
		Chemicals – 0.2%
	185,000	Methanex Corp., 5.250%, 3/01/2022		193,927
	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,053,576
				1,247,503
		Collateralized Mortgage Obligations – 0.1%
	675,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		785,257
	15,617	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		17,237
				802,494

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – 3.2%
$	160,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.358%, 9/10/2047(b)	$	172,492
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		663,484
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		399,741
	200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		218,984
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.905%, 6/11/2040(b)		459,739
	21,904	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		21,886
	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		1,161,382
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.940%, 6/10/2046(b)		527,602
	2,961,016	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.871%, 6/15/2039(b)		3,290,663
	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.954%, 9/15/2039(b)		2,263,592
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		764,890
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,585,859
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,679,937
	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		845,534
	350,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.982%, 8/10/2045(b)		390,025
	1,090,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 6.003%, 6/15/2049(b)		1,219,815
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,555,580
	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		504,568
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.061%, 6/15/2038(b)		421,763
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		429,006
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 6.086%, 6/12/2046(b)		261,022
	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		371,631
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		451,472
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		278,380
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.459%, 1/11/2043(b)		929,883
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		220,919

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	400,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043	$	443,952
	250,000	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.721%, 3/15/2044, 144A(b)		237,095
				23,770,896
		Consumer Products – 0.2%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		664,819
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		914,005
				1,578,824
		Diversified Manufacturing – 0.1%
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		917,513
		Electric – 2.4%
	1,349,850	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,474,725
	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		1,305,738
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		590,769
	3,400,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		3,340,500
	800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		824,000
	600,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		1,040,329
	1,000,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,162,395
	900,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		934,679
	5,412,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,997,993
	700,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		700,976
	1,152,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,513,947
	150,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		153,875
				18,039,926
		Financial Other – 1.2%
	5,040,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		5,307,916
	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		3,432,725
				8,740,641
		Government Guaranteed – 1.4%
	1,000,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		940,563

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Government Guaranteed – continued
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)	$	2,264,382
	7,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		6,537,349
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		833,506
				10,575,800
		Government Owned - No Guarantee – 1.3%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		3,007,463
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,646,250
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		884,584
	10,400,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,021,558
				9,559,855
		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		25,402
		Healthcare – 0.7%
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		967,755
	55,000	HCA, Inc., 5.875%, 3/15/2022		56,444
	3,065,000	HCA, Inc., 5.875%, 5/01/2023		3,072,662
	95,000	HCA, Inc., 6.375%, 1/15/2015		99,513
	100,000	HCA, Inc., 7.050%, 12/01/2027		98,000
	190,000	HCA, Inc., 7.190%, 11/15/2015		205,200
	75,000	HCA, Inc., 7.500%, 12/15/2023		78,000
	175,000	HCA, Inc., 7.690%, 6/15/2025		189,000
	305,000	HCA, Inc., 8.360%, 4/15/2024		344,650
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		10,600
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		306,525
				5,428,349
		Home Construction – 0.6%
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,072,800
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,360,425
				4,433,225

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Hybrid ARMs – 0.0%
$	40,685	FNMA, 2.029%, 2/01/2037(b)	$	42,544
	84,373	FNMA, 2.999%, 9/01/2036(b)		90,194
				132,738
		Independent Energy – 1.3%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,374,226
	60,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		64,500
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		59,675
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,657,459
	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018		2,438,345
	1,735,000	Newfield Exploration Co., 5.625%, 7/01/2024		1,682,950
				9,277,155
		Industrial Other – 0.2%
	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020		1,237,945
		Life Insurance – 2.0%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,634,000
	2,600,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		3,172,000
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		438,520
	110,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		121,257
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		465,676
	2,355,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,714,316
	2,620,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		2,730,085
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,747,615
				15,023,469
		Local Authorities – 2.5%
	3,740,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		3,945,787
	100,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		93,857
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,788,340
	4,495,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		4,536,816

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Local Authorities – continued
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)	$	3,944,743
	203,838	Province of Alberta, 5.930%, 9/16/2016, (CAD)		210,860
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		978,464
	670,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		637,220
				18,136,087
		Lodging – 0.2%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,651,187
		Media Non-Cable – 0.3%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,570,911
	240,000	News America, Inc., 8.150%, 10/17/2036		304,365
	580,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		609,000
				2,484,276
		Metals & Mining – 1.2%
	420,000	ArcelorMittal, 6.750%, 2/25/2022		430,500
	2,305,000	ArcelorMittal, 7.250%, 3/01/2041		2,155,175
	510,000	ArcelorMittal, 7.500%, 10/15/2039		484,500
	3,480,000	Plains Exploration & Production Co., 6.500%, 11/15/2020		3,689,513
	2,070,000	United States Steel Corp., 7.500%, 3/15/2022		2,028,600
				8,788,288
		Mortgage Related – 0.0%
	2,637	FHLMC, 10.000%, with various maturities in 2018(d)		3,008
	6,918	FNMA, 6.000%, 12/01/2018		7,523
	14,069	GNMA, 10.000%, with various maturities in 2018(d)		14,381
				24,912
		Non-Captive Consumer – 2.2%
	5,660,000	SLM Corp., 5.500%, 1/25/2023		5,389,474
	170,000	SLM Corp., MTN, 4.625%, 9/25/2017		167,450
	1,820,000	SLM Corp., MTN, 7.250%, 1/25/2022		1,911,000
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		247,800

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033	$	1,074,850
	2,260,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,508,600
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,254,500
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,547,219
				16,100,893
		Non-Captive Diversified – 3.5%
	97,000	Ally Financial, Inc., 8.000%, 12/31/2018		109,853
	820,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		800,140
	85,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		80,297
	16,985,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		12,829,367
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		387,343
	790,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		634,064
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,795,459
	655,000	General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b)		589,160
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,568,527
	40,000	International Lease Finance Corp., 3.875%, 4/15/2018		37,600
	175,000	International Lease Finance Corp., 5.875%, 4/01/2019		176,750
	25,000	International Lease Finance Corp., 5.875%, 8/15/2022		24,781
	3,550,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,647,625
	275,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		279,813
				25,960,779
		Oil Field Services – 0.2%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,310,457
		Paper – 0.3%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,873,739
	230,000	Mead Corp. (The), 7.550%, 3/01/2047(c)		242,630
	175,000	Westvaco Corp., 8.200%, 1/15/2030		207,100
				2,323,469

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Pipelines – 0.7%
$	210,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A	$	220,757
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		249,873
	800,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		857,283
	820,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		795,400
	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,257,128
	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		922,994
				5,303,435
		Property & Casualty Insurance – 1.0%
	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		1,948,108
	115,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(e)		98,325
	150,000	Progressive Corp., 7.000%, 10/01/2013		152,276
	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		240,529
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		924,552
	2,015,000	XL Group PLC, 6.250%, 5/15/2027		2,302,013
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,810,264
				7,476,067
		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		161,500
		Refining – 0.1%
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		761,917
		REITs - Office Property – 0.2%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		87,447
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,262,141
				1,349,588
		REITs - Shopping Centers – 0.4%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,112,801
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,503,079
				2,615,880

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	$	104,610
	405,000	Realty Income Corp., 6.750%, 8/15/2019		477,805
				582,415
		REITs - Warehouse/Industrials – 0.2%
	55,000	ProLogis LP, 5.625%, 11/15/2015		59,569
	240,000	ProLogis LP, 5.625%, 11/15/2016		268,064
	265,000	ProLogis LP, 5.750%, 4/01/2016		290,920
	785,000	ProLogis LP, 7.375%, 10/30/2019		944,706
				1,563,259
		Restaurants – 0.1%
	610,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		594,154
		Retailers – 0.0%
	118,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		92,040
		Sovereigns – 1.4%
	5,250,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,164,609
	3,100,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		3,309,002
	3,200,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		3,392,000
	85,235,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		515,686
	51,425,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		314,648
	64,890,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		428,459
				10,124,404
		Supermarkets – 0.4%
	225,000	Delhaize Group S.A., 5.700%, 10/01/2040		213,749
	260,000	New Albertson’s, Inc., 7.450%, 8/01/2029		204,100
	1,340,000	New Albertson’s, Inc., 8.000%, 5/01/2031		1,065,300
	115,000	New Albertson’s, Inc., 8.700%, 5/01/2030		94,587
	1,400,000	SUPERVALU, Inc., 6.750%, 6/01/2021, 144A		1,302,000
				2,879,736

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supranational – 1.5%
	4,000,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)	$	1,793,354
	45,300,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,416,351
	4,375,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		3,640,865
	3,430,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		1,395,150
				11,245,720
		Technology – 1.3%
	810,000	Corning, Inc., 7.000%, 5/15/2024		998,355
	3,565,000	Corning, Inc., 7.250%, 8/15/2036		4,341,874
	3,550,000	Ingram Micro, Inc., 5.250%, 9/01/2017		3,775,347
	49,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		50,735
	375,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		441,817
				9,608,128
		Tobacco – 0.1%
	735,000	Reynolds American, Inc., 6.750%, 6/15/2017		851,705
		Transportation Services – 0.3%
	100,000	APL Ltd., 8.000%, 1/15/2024(c)		94,000
	1,295,722	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,308,679
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		1,066,153
				2,468,832
		Treasuries – 32.9%
	10,935,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		10,649,694
	130,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		128,475
	40,000,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		39,548,540
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		32,960,668
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,020,852
	3,420,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		4,647,585
	1,590,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		2,217,601
	1,750,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		2,469,502
	50,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		65,805

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
	50,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)	$	67,875
	50,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		71,551
	22,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		197,262
	37,995,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		6,850,590
	39,665,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		6,955,014
	410,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		455,589
	100,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		120,142
	1,850,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		2,147,741
	17,855,000	U.S. Treasury Bond, 2.750%, 11/15/2042		15,394,367
	20,000,000	U.S. Treasury Bond, 2.875%, 5/15/2043		17,700,000
	37,400,000	U.S. Treasury Note, 0.125%, 12/31/2014		37,332,792
	6,610,000	U.S. Treasury Note, 0.250%, 5/31/2014		6,613,873
	14,885,000	U.S. Treasury Note, 0.250%, 10/15/2015		14,818,717
	13,670,000	U.S. Treasury Note, 0.250%, 12/15/2015		13,587,761
	26,990,000	U.S. Treasury Note, 0.375%, 11/15/2015		26,930,946
				242,952,942
		Wireless – 0.2%
	14,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,046,369
	234,000	Sprint Capital Corp., 6.875%, 11/15/2028		224,640
	120,000	Sprint Capital Corp., 6.900%, 5/01/2019		124,800
	366,000	Sprint Nextel Corp., 6.000%, 12/01/2016		386,130
				1,781,939
		Wirelines – 2.8%
	2,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		1,919,510
	2,870,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,991,975
	245,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		238,875
	2,265,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,151,750
	1,220,000	Embarq Corp., 7.995%, 6/01/2036		1,287,278

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
	300,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)	$	348,345
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		128,572
	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		552,500
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,781,562
	1,880,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,704,792
	150,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		143,595
	500,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		697,237
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,658,451
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,703,160
	275,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		288,324
				20,595,926
		Total Non-Convertible Bonds (Identified Cost $611,540,363)		654,660,564
Convertible Bonds – 3.5%
		Automotive – 0.3%
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,870,116
		Independent Energy – 0.3%
	1,875,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,766,016
	690,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		684,825
				2,450,841
		Life Insurance – 1.4%
	8,995,000	Old Republic International Corp., 3.750%, 3/15/2018		10,119,375
		Metals & Mining – 0.1%
	1,120,000	United States Steel Corp., 2.750%, 4/01/2019		1,105,300
		Technology – 1.4%
	3,505,000	Intel Corp., 2.950%, 12/15/2035		3,813,878
	4,700,000	Intel Corp., 3.250%, 8/01/2039		5,989,562
	530,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		587,969
				10,391,409
		Total Convertible Bonds (Identified Cost $22,017,402)		25,937,041

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – 0.9%
		Illinois – 0.4%
$	1,105,000	State of Illinois, 5.100%, 6/01/2033	$	1,025,396
	2,245,000	State of Illinois, Series B, 5.520%, 4/01/2038		1,993,695
				3,019,091
		Michigan – 0.1%
	980,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		842,094
		Ohio – 0.1%
	590,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		475,664
		Virginia – 0.3%
	2,740,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		2,057,411
		Total Municipals (Identified Cost $7,373,595)		6,394,260
		Total Bonds and Notes (Identified Cost $640,931,360)		686,991,865
Senior Loans – 0.7%
		Non-Captive Diversified – 0.4%
	2,475,000	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b)		2,468,812
		Media Cable – 0.3%
	2,490,000	CSC Holdings, Inc., New Term Loan B, 2.695%, 4/17/2020(b)		2,458,875
		Total Senior Loans (Identified Cost $4,952,875)		4,927,687
Shares
Common Stocks – 3.1%
		Biotechnology – 0.2%
	13,708	Vertex Pharmaceuticals, Inc.(e)		1,094,858
		Chemicals – 0.6%
	31,080	PPG Industries, Inc.		4,550,423
		Electronic Equipment, Instruments & Components – 1.8%
	950,000	Corning, Inc.		13,518,500
		Oil, Gas & Consumable Fuels – 0.5%
	85,496	Repsol YPF S.A., Sponsored ADR		1,809,095
	34,819	Royal Dutch Shell PLC, ADR		2,221,452
				4,030,547
		Total Common Stocks (Identified Cost $19,174,986)		23,194,328

Shares		Description	Value (†)
Preferred Stocks – 1.0%
Convertible Preferred Stocks – 0.5%
		Banking – 0.1%
	940	Bank of America Corp., Series L, 7.250%	$	1,043,870
		Independent Energy – 0.0%
	2,851	Chesapeake Energy Corp., 5.000%		246,811
		Metals & Mining – 0.2%
	66,405	ArcelorMittal, 6.000%		1,246,422
		Pipelines – 0.2%
	20,775	El Paso Energy Capital Trust I, 4.750%		1,215,130
		Total Convertible Preferred Stocks (Identified Cost $3,454,969)		3,752,233
Non-Convertible Preferred Stocks – 0.5%
		Banking – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		153,025
		Electric – 0.1%
	263	Connecticut Light & Power Co., 2.200%		12,098
	100	San Diego Gas & Electric Co., 4.500%		2,021
	3,160	Union Electric Co., 4.500%		301,780
				315,899
		Government Sponsored – 0.4%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		3,115,313
		Total Non-Convertible Preferred Stocks (Identified Cost $3,216,270)		3,584,237
		Total Preferred Stocks (Identified Cost $6,671,239)		7,336,470
Principal Amount (‡)
Short-Term Investments – 2.1%
$	21,101	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $21,101 on 7/01/2013 collateralized by $25,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $23,550 including accrued interest(g)		21,101
	15,725,701	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $15,725,701 on 7/01/2013 collateralized by $16,350,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $16,043,438 including accrued interest(g)		15,725,701
		Total Short-Term Investments (Identified Cost $15,746,802)		15,746,802
		Total Investments – 99.8% (Identified Cost $687,477,262)(a)		738,197,152
		Other assets less liabilities – 0.2%		1,462,140
		Net Assets – 100.0%	$	739,659,292

(‡) 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 prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

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

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

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

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

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, 2013, the net unrealized appreciation on investments based on a cost of $689,571,224 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	$	62,586,280
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,960,352	)
Net unrealized appreciation	$	48,625,928

(b) Variable rate security. Rate as of June 30, 2013 is disclosed.

(c) Illiquid security. At June 30, 2013, the value of these securities amounted to $1,370,908 or 0.2% of net assets.

(d) The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation 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, 2013, the value of Rule 144A holdings amounted to $92,994,879 or 12.6% of net assets.

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

ABS Asset-Backed Securities

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:

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

ŸLevel 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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	5,498,346	$	1,749,373	(a)	$	7,247,719
Airlines		—		322,950		18,928,578	(a)		19,251,528
Transportation Services		—		1,160,153		1,308,679	(a)		2,468,832
All Other Non-Convertible Bonds*		—		625,692,485		—			625,692,485
Total Non-Convertible Bonds		—		632,673,934		21,986,630			654,660,564
Convertible Bonds*		—		25,937,041		—			25,937,041
Municipals*		—		6,394,260		—			6,394,260
Total Bonds and Notes		—		665,005,235		21,986,630			686,991,865
Senior Loans*		—		4,927,687		—			4,927,687
Common Stocks*		23,194,328		—		—			23,194,328
Preferred Stocks
Convertible Preferred Stocks*		3,752,233		—		—			3,752,233
Non-Convertible Preferred Stocks
Banking		—		153,025		—			153,025
Electric		315,899		—		—			315,899
Government Sponsored		—		3,115,313		—			3,115,313
Total Non-Convertible Preferred Stocks		315,899		3,268,338		—			3,584,237
Total Preferred Stocks		4,068,132		3,268,338		—			7,336,470
Short-Term Investments		—		15,746,802		—			15,746,802
Total	$	27,262,460	$	688,948,062	$	21,986,630		$	738,197,152

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

(a) Valued using broker-dealer bid prices.

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	—	$	(23,952	)	$	800,000	$	(68,884	)	$	1,042,209	$	—		$	1,749,373	$	(23,952	)
Airlines		—		1,516		2,996		(136,845	)		3,895,000		(993,357	)		16,159,268		—			18,928,578		(136,845	)
Banking		3,974,306		—		—		—			—		—			—		(3,974,306	)		—		—
Transportation Services		85,250		—		—		77,960			—		(148,767	)		1,379,486		(85,250	)		1,308,679		77,960
Total	$	4,059,556	$	1,516	$	2,996	$	(82,837	)	$	4,695,000	$	(1,211,008	)	$	18,580,963	$	(4,059,556	)	$	21,986,630	$	(82,837	)

Debt securities valued at $18,580,963 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $4,059,556 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	32.9	%
Banking	12.6
Non-Captive Diversified	3.9
Life Insurance	3.4
Commercial Mortgage-Backed Securities	3.2
Wirelines	2.8
Technology	2.7
Airlines	2.6
Electric	2.5
Local Authorities	2.5
Non-Captive Consumer	2.2
Other Investments, less than 2% each	26.4
Short-Term Investments	2.1
Total Investments	99.8
Other assets less liabilities	0.2
Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)

United States Dollar	71.1	%
Canadian Dollar	13.1
New Zealand Dollar	4.5
Euro	2.8
Australian Dollar	2.4
Other, less than 2% each	5.9
Total Investments	99.8
Other assets less liabilities	0.2
Net Assets	100.0	%

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

Loomis Sayles Securitized Asset Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 121.1% of Net Assets
		ABS Car Loan – 8.9%
$	6,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	6,285,781
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,479,063
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		627,610
	2,886,340	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 8/15/2017, 144A		2,879,341
	191,764	CarNow Auto Receivables Trust, Series 2012-1A, Class A, 2.090%, 1/15/2015, 144A		191,938
	356,012	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		371,260
	6,012,415	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		6,032,394
	909,306	CFC LLC, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		906,405
	4,515,000	Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 9/16/2019, 144A		4,564,511
	2,075,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		2,079,237
	2,097,087	Exeter Automobile Receivables Trust, Series 2012-1A, Class A, 2.020%, 8/15/2016, 144A		2,106,994
	2,000,000	First Investors Auto Owner Trust, Series 2012-2A, Class B, 2.470%, 5/15/2018, 144A		2,012,088
	1,318,147	First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A		1,311,156
	3,500,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,454,713
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,386,383
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,588,845
	932,205	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.193%, 9/20/2016, 144A(b)		933,790
	1,535,000	Prestige Auto Receivables Trust, Series 2013-1A, Class A2, 1.090%, 2/15/2018, 144A		1,531,519
	1,125,298	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A		1,128,018
	776,210	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		780,091
	1,275,000	Santander Drive Auto Receivables Trust, Series 2013-3, Class B, 1.190%, 5/15/2018		1,263,744
	3,395,000	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		3,395,000
	710,682	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		713,320
	1,400,000	SNAAC Auto Receivables Trust, Series 2012-1A, Class B, 3.110%, 6/15/2017, 144A		1,414,435
	7,100,000	Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A		7,120,611
				61,558,247

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Credit Card – 3.6%
$	2,160,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 2.943%, 8/15/2018, 144A(b)	$	2,218,240
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		2,965,498
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,495,718
	3,195,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		3,381,588
	10,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		10,579,962
				24,641,006
		ABS Home Equity – 2.2%
	721,062	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		551,786
	402,975	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.208%, 7/25/2021(b)		381,240
	360,379	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		368,365
	1,237,932	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		1,159,311
	387,296	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB5, Class 6A2, 2.979%, 4/20/2035(b)		142,385
	459,322	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.521%, 7/25/2035(b)		421,274
	238,766	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		236,577
	1,142,450	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,127,039
	52,660	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		52,967
	427,493	Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.855%, 2/25/2043		386,076
	4,075,515	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		3,764,190
	1,580,935	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.343%, 7/25/2036(b)		1,193,818
	6,750,087	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.829%, 11/25/2036(b)		5,609,923
				15,394,951
		ABS Other – 7.3%
	2,529,243	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		2,524,913
	1,250,000	CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A		1,248,419
	3,250,795	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		3,324,978
	8,170,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		8,244,805
	1,058,563	FRS LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		1,045,218
	3,180,000	GE Dealer Floorplan Master Note Trust, Series 2011-1, Class A, 0.792%, 7/20/2016(b)		3,188,147

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Other – continued
$	538,091	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A	$	555,431
	8,462,752	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		8,696,620
	1,035,384	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026, 144A(c)		1,051,111
	465,193	Sierra Timeshare Receivables Funding LLC, Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		472,727
	753,820	Sierra Timeshare Receivables Funding LLC, Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		766,675
	1,010,112	Sierra Timeshare Receivables Funding LLC, Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		1,032,239
	1,134,842	Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		1,165,327
	2,088,832	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		2,142,110
	999,890	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		992,723
	6,800,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		6,789,520
	2,589,002	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		2,571,019
	4,161,511	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.693%, 7/15/2041, 144A(b)		4,274,571
				50,086,553
		ABS Student Loan – 3.0%
	4,900,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.234%, 7/01/2024(b)		4,901,274
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.276%, 7/25/2025(b)(d)		15,740,262
				20,641,536
		Collateralized Mortgage Obligations – 27.0%
	347,900	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(d)		388,754
	503,399	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(d)(e)		108,490
	6,500,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019(d)		7,047,644
	7,277,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(d)		8,465,654
	10,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(d)		11,197,985
	17,896,638	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 7.008%, 5/15/2036(b)(d)(e)		4,384,220
	5,219,324	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class B1, 6.058%, 2/15/2038(b)(e)		951,477
	4,099,703	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.599%, 6/15/2048(b)(d)		4,255,479
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		517,780
	4,362,811	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.757%, 12/15/2036(b)(d)		4,571,658
	1,934,473	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(d)(e)		382,337

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	773,741	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 7.031%, 1/25/2024(b)(e)	$	122,748
	1,910,336	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		117,638
	601,353	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 7.107%, 8/25/2036(b)(e)		116,343
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(d)		1,103,703
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(d)		11,004,490
	7,157,240	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.223%, 8/25/2038(b)(d)		7,026,099
	2,017,427	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 4.049%, 3/25/2039(b)(d)		2,075,935
	420,000	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		452,279
	1,886,891	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 5.233%, 12/25/2039(b)		1,934,807
	2,398,613	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/01/2033(d)(e)		365,032
	482,023	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/01/2033(d)(e)		107,397
	515,263	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 8/01/2033(d)(e)		80,714
	2,726,022	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 8/01/2033(d)(e)		474,011
	5,938,782	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/01/2035(d)(e)		903,787
	2,440,450	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/01/2035(d)(e)		394,540
	1,936,527	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/01/2036(d)(e)		321,081
	3,736,326	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/01/2036(d)(e)		617,688
	1,494,212	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/01/2036(d)(e)		202,194
	1,854,125	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/01/2036(d)(e)		251,386
	2,156,391	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/01/2037(d)(e)		292,323
	2,071,404	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(d)(e)		317,058
	950,802	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(d)(e)		161,974
	1,718,619	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(d)(e)		235,728
	1,067,570	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(d)(e)		189,999
	318,429	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/01/2038(d)(e)		47,892
	2,082,973	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(d)(e)		221,495
	6,730,091	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(d)(e)		1,029,541
	2,417,557	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(d)(e)		397,728

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,858,203	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(d)(e)	$	229,542
	1,444,104	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(d)(e)		194,954
	266,934	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(d)(e)		47,679
	11,745,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(d)		12,677,706
	9,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(d)		10,241,300
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(d)		17,732,859
	2,670,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018(d)		2,760,505
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2021(d)		28,342,566
	27,045,517	Government National Mortgage Association, Series 2006-46, Class IO, 0.138%, 4/16/2046(b)(e)		510,376
	25,046,461	Government National Mortgage Association, Series 2006-51, Class IO, 0.423%, 8/16/2046(b)(d)(e)		526,702
	500,000	Government National Mortgage Association, Series 2007-75, Class C, 5.533%, 9/16/2038		515,986
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(d)		4,475,824
	36,716,054	Government National Mortgage Association, Series 2009-114, Class IO, 1.219%, 10/16/2049(b)(e)		1,776,176
	17,889,445	Government National Mortgage Association, Series 2010-49, Class IA, 1.474%, 10/16/2052(b)(e)		1,443,857
	57,781,365	Government National Mortgage Association, Series 2010-83, Class IO, 0.757%, 7/16/2050(b)(d)(e)		2,403,820
	74,807,739	Government National Mortgage Association, Series 2010-I24, Class X, 1.082%, 12/16/2052(b)(d)(e)		5,566,145
	22,864,567	Government National Mortgage Association, Series 2011-38, Class IO, 0.924%, 4/16/2053(b)(d)(e)		1,174,164
	12,002,822	Government National Mortgage Association, Series 2011-53, Class IO, 1.334%, 5/16/2051(b)(d)(e)		720,757
	34,331,543	Government National Mortgage Association, Series 2012-23, Class IO, 1.549%, 6/16/2053(b)(d)(e)		2,479,699
	32,978,452	Government National Mortgage Association, Series 2012-53, Class IO, 1.087%, 3/16/2047(b)(d)(e)		2,372,437
	39,239,336	Government National Mortgage Association, Series 2012-55, Class IO, 1.231%, 4/16/2052(b)(d)(e)		2,460,346
	29,511,603	Government National Mortgage Association, Series 2012-58, Class IO, 1.031%, 2/16/2053(b)(d)(e)		2,518,727
	29,509,691	Government National Mortgage Association, Series 2012-70, Class IO, 0.963%, 8/16/2052(b)(d)(e)		2,003,974
	24,572,627	Government National Mortgage Association, Series 2012-79, Class IO, 1.051%, 3/16/2053(b)(e)		2,022,475
	24,659,439	Government National Mortgage Association, Series 2012-95, Class IO, 1.049%, 2/16/2053(b)(e)		2,190,671
	17,000,000	Government National Mortgage Association, Series 2012-100, Class IC, 1.567%, 9/16/2050(b)(e)		2,046,970
	26,437,950	Government National Mortgage Association, Series 2012-100, Class IO, 0.889%, 8/16/2052(b)(e)		1,947,763
	12,925,139	Government National Mortgage Association, Series 2012-111, Class IC, 1.467%, 9/16/2050(b)(e)		1,483,780
				185,704,848

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – 29.9%
$	4,300,000	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A	$	4,261,756
	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.358%, 9/10/2047(b)		203,756
	21,918	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046		21,905
	1,502,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,675,084
	1,090,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,193,462
	4,170,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		4,590,486
	4,615,000	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047		5,127,459
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.940%, 6/10/2046(b)		274,793
	1,325,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,266,927
	2,850,788	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.989%, 6/15/2038(b)		3,140,217
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,813,435
	5,911,952	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.871%, 6/15/2039(b)		6,570,124
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.954%, 9/15/2039(b)		5,575,350
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		12,464,918
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.253%, 2/15/2041(b)		4,684,771
	3,400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 4.171%, 12/05/2031, 144A(b)		3,385,319
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		9,666,128
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049(d)		15,343,425
	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		128,554
	141,826	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		144,630
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.982%, 8/10/2045(b)(d)		13,929,475
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.550%, 12/10/2027, 144A(b)		5,055,632
	10,115,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.043%, 11/08/2029, 144A(b)		10,007,073
	7,980,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		8,764,227
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,545,421
	1,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,328,609

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	3,090,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A5, 2.840%, 12/15/2047	$	2,865,459
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		5,159,641
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		8,326,059
	6,730,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		7,537,654
	19,547	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.918%, 8/12/2041(b)		19,573
	7,282,738	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.763%, 4/12/2049(b)		7,890,446
	7,216,000	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044		7,819,467
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		10,166,428
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.090%, 6/11/2049(b)		8,302,200
	14,000,000	Motel 6 Trust, Series 2012-MTL6, Class B, 2.743%, 10/05/2025, 144A		13,704,810
	3,475,000	RBS Commercial Funding Inc. Trust, Series 2013-SMV, Class C, 3.704%, 3/11/2031, 144A(b)		3,228,143
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		2,685,910
				205,868,726
		Hybrid ARMs – 5.2%
	2,557,982	FHLMC, 2.258%, 5/01/2037(b)(d)		2,710,667
	3,798,947	FHLMC, 2.350%, 6/01/2035(b)(d)		4,029,322
	162,854	FHLMC, 2.394%, 1/01/2035(b)(d)		172,286
	1,748,133	FHLMC, 2.412%, 4/01/2035(b)(d)		1,872,820
	2,872,722	FHLMC, 2.485%, 11/01/2036(b)(d)		3,074,788
	2,428,820	FHLMC, 3.065%, 2/01/2037(b)(d)		2,588,907
	650,937	FHLMC, 4.772%, 1/01/2036(b)(d)		698,749
	716,569	FHLMC, 6.101%, 11/01/2036(b)(d)		757,606
	781,796	FNMA, 2.029%, 2/01/2037(b)(d)		817,521
	1,919,092	FNMA, 2.306%, 9/01/2034(b)(d)		2,042,692
	820,461	FNMA, 2.999%, 9/01/2036(b)(d)		877,071
	4,375,389	FNMA, 4.533%, 8/01/2038(b)(d)		4,702,280
	453,050	FNMA, 5.372%, 10/01/2035(b)(d)		492,085
	10,035,159	FNMA, 5.748%, 9/01/2037(b)(d)		10,847,494
				35,684,288

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – 34.0%
$	228,971	FHLMC, 5.000%, 9/01/2035(d)	$	244,856
	20,000,000	FHLMC (TBA), 3.500%, 7/01/2043(f)		20,256,250
	1,333,960	FNMA, 5.500%, 8/01/2034(d)		1,485,154
	18,980	FNMA, 6.000%, 10/01/2034(d)		20,906
	7,216	FNMA, 7.000%, 12/01/2037(d)		8,393
	35,500,000	FNMA (TBA), 2.500%, 7/01/2028(f)		35,705,233
	34,000,000	FNMA (TBA), 3.500%, 7/01/2043(f)		34,515,311
	13,000,000	FNMA (TBA), 4.000%, 7/01/2043(f)		13,542,851
	45,700,000	FNMA (TBA), 4.500%, 7/01/2043(f)		48,356,312
	640,297	GNMA, 1.939%, 7/20/2060(b)		669,328
	487,419	GNMA, 1.958%, 9/20/2060(b)		511,171
	2,691,978	GNMA, 1.966%, 2/20/2061(b)		2,817,634
	3,973,253	GNMA, 2.216%, 2/20/2063(b)		4,235,333
	1,931,049	GNMA, 4.479%, 2/20/2062		2,104,116
	3,629,263	GNMA, 4.521%, 12/20/2061		3,993,750
	1,030,858	GNMA, 4.524%, 7/20/2062		1,137,568
	504,137	GNMA, 4.570%, 10/20/2061		554,917
	508,429	GNMA, 4.578%, 11/20/2061		559,710
	1,043,401	GNMA, 4.600%, 10/20/2061		1,149,612
	1,006,801	GNMA, 4.626%, 6/20/2062		1,114,722
	12,143,699	GNMA, 4.659%, 2/20/2062(d)		13,431,381
	12,913,766	GNMA, 4.670%, 12/20/2061(d)		14,276,891
	719,773	GNMA, 4.684%, 1/20/2062		796,034
	2,528,433	GNMA, 4.700%, with various maturities in 2061(g)		2,792,140
	3,063,753	GNMA, 4.720%, 6/20/2061		3,377,883
	1,016,342	GNMA, 4.798%, 5/20/2061		1,122,638
	1,529,972	GNMA, 4.808%, 8/20/2062		1,694,866
	1,023,339	GNMA, 4.951%, 1/20/2062		1,137,197

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – continued
$	805,807	GNMA, 5.500%, with various maturities in 2059(g)	$	877,519
	3,284,514	GNMA, 6.514%, 5/20/2061		3,619,061
	18,000,000	GNMA (TBA), 3.500%, 7/01/2043(f)		18,472,498
				234,581,235
		Total Bonds and Notes (Identified Cost $816,219,874)		834,161,390
	Short-Term Investments – 3.7%
	25,034,758	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $25,034,758 on 7/01/2013 collateralized by $26,025,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $25,537,031 including accrued interest(h)		25,034,758
	750,000	U.S. Treasury Bill, 0.050%, 9/26/2013(i)(j)		749,936
		Total Short-Term Investments (Identified Cost $25,784,667)		25,784,694
		Total Investments – 124.8% (Identified Cost $842,004,541)(a)		859,946,084
		Other assets less liabilities – (24.8)%		(170,973,561	)
		Net Assets – 100.0%	$	688,972,523

(†) 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 prices may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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 under the general supervision of the Board of Trustees.

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

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

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

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $842,004,541 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	$	30,085,438
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,143,895	)
Net unrealized appreciation	$	17,941,543

(b) Variable rate security. Rate as of June 30, 2013 is disclosed.

(c) Illiquid security. At June 30, 2013, the value of this security amounted to $1,051,111 or 0.2% 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) 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.

(g) The Fund’s investment in mortgage related securities of 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.

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

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

(j) Interest rate represents discount rate at time of purchase; not a coupon rate.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $146,102,789 or 21.2% 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

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 contracts are standardized 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; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At June 30, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/30/2013		359	$	43,455,828	$	549,062

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:

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

ŸLevel 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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Car Loan	$	—	$	56,449,366	$	5,108,881	(a)	$	61,558,247
ABS Other		—		38,920,944		11,165,609	(a)		50,086,553
All Other Bonds and Notes*		—		722,516,590		—			722,516,590
Total Bonds and Notes		—		817,886,900		16,274,490			834,161,390
Short-Term Investments		—		25,784,694		—			25,784,694
Total Investments		—		843,671,594		16,274,490			859,946,084
Futures Contracts (unrealized appreciation)		549,062		—		—			549,062
Total	$	549,062	$	843,671,594	$	16,274,490		$	860,495,146

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

(a) Valued using broker-dealer bid prices.

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 prices 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 prices 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 prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of 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 prices 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 prices, 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 September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2012		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
ABS Car Loan	$	2,076,141	$	730	$	16,860	$	(13,525	)	$	3,394,820	$	(1,460,887	)		3,170,883	$	(2,076,141	)	$	5,108,881	$	(13,525	)
ABS Other		1,985,539		—		7,854		(39,677	)		6,789,520		(2,044,551	)		4,466,924		—			11,165,609		(19,822	)
Collateralized Mortgage Obligations		128,960		—		—		—			—		—			—		(128,960	)		—		—
Mortgage Related		2,957,232		—		—		—			—		—			—		(2,957,232	)		—		—
Total	$	7,147,872	$	730	$	24,714	$	(53,202	)	$	10,184,340	$	(3,505,438	)	$	7,637,807	$	(5,162,333	)	$	16,274,490	$	(33,347	)

Debt securities valued at $7,637,807 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $5,162,333 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2013, the Fund used futures contracts to manage duration.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $269,977.

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

Asset Derivatives	Interest Rate Contracts
Futures (unrealized appreciation)	$	549,062

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

Industry Summary at June 30, 2013 (Unaudited)

Mortgage Related	34.0	%
Commercial Mortgage-Backed Securities	29.9
Collateralized Mortgage Obligations	27.0
ABS Car Loan	8.9
ABS Other	7.3
Hybrid ARMs	5.2
ABS Credit Card	3.6
ABS Student Loan	3.0
ABS Home Equity	2.2
Short-Term Investments	3.7
Total Investments	124.8
Other assets less liabilities (including open futures contracts)	(24.8	)
Net Assets	100.0	%

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

Loomis Sayles Small Cap Value Fund

Shares		Description	Value (†)
Common Stocks – 96.3% of Net Assets
		Auto Components – 1.7%
	472,300	Dana Holding Corp.	$	9,096,498
	154,894	Remy International, Inc.		2,876,382
	172,744	Tenneco, Inc.(b)		7,821,848
				19,794,728
		Building Products – 0.6%
	146,078	Armstrong World Industries, Inc.(b)		6,981,068
		Capital Markets – 1.2%
	313,442	Safeguard Scientifics, Inc.(b)		5,030,744
	238,176	Stifel Financial Corp.(b)		8,495,738
				13,526,482
		Chemicals – 3.2%
	235,502	Cabot Corp.		8,812,485
	69,469	Koppers Holdings, Inc.		2,652,326
	113,012	Minerals Technologies, Inc.		4,671,916
	256,669	Olin Corp.		6,139,523
	255,794	Tronox Ltd., Class A		5,154,249
	56,578	WR Grace & Co.(b)		4,754,815
	248,961	Zep, Inc.		3,941,053
				36,126,367
		Commercial Banks – 11.0%
	587,102	BancorpSouth, Inc.		10,391,705
	618,248	Cathay General Bancorp		12,581,347
	159,134	City National Corp.		10,084,322
	495,700	CVB Financial Corp.		5,829,432
	482,130	First Financial Bancorp		7,183,737
	138,673	First Financial Bankshares, Inc.		7,718,539
	160,056	IBERIABANK Corp.		8,580,602
	268,620	PacWest Bancorp		8,233,203
	249,560	Pinnacle Financial Partners, Inc.(b)		6,416,188
	226,020	Popular, Inc.(b)		6,855,187
	183,036	Prosperity Bancshares, Inc.		9,479,434
	133,352	Signature Bank(b)		11,070,883
	132,894	Texas Capital Bancshares, Inc.(b)		5,895,178
	271,285	Tristate Capital Holdings, Inc.(b)		3,730,169
	264,608	Wintrust Financial Corp.		10,129,194
				124,179,120
		Commercial Services & Supplies – 4.6%
	683,448	ACCO Brands Corp.(b)		4,346,729
	452,349	KAR Auction Services, Inc.		10,345,222
	144,766	McGrath Rentcorp		4,945,206
	241,139	Performant Financial Corp.(b)		2,794,801
	335,347	Rollins, Inc.		8,685,487
	113,921	Team, Inc.(b)		4,311,910
	112,487	Viad Corp.		2,758,181
	182,077	Waste Connections, Inc.		7,490,648

Shares		Description	Value (†)
Common Stocks – continued
		Commercial Services & Supplies – continued
	309,847	West Corp.	$	6,860,013
				52,538,197
		Communications Equipment – 0.9%
	496,640	Harmonic, Inc.(b)		3,153,664
	214,858	NETGEAR, Inc.(b)		6,561,763
				9,715,427
		Computers & Peripherals – 0.4%
	431,601	QLogic Corp.(b)		4,126,106
		Construction & Engineering – 1.1%
	318,096	MYR Group, Inc.(b)		6,186,967
	327,074	Primoris Services Corp.		6,449,899
				12,636,866
		Consumer Finance – 1.3%
	93,736	Cash America International, Inc.		4,261,239
	37,696	Credit Acceptance Corp.(b)		3,959,965
	503,699	DFC Global Corp.(b)		6,956,083
				15,177,287
		Distributors – 0.5%
	89,097	Core-Mark Holding Co., Inc.		5,657,660
		Diversified Financial Services – 0.9%
	222,094	MarketAxess Holdings, Inc.		10,382,895
		Electric Utilities – 2.6%
	273,388	ALLETE, Inc.		13,628,392
	60,113	ITC Holdings Corp.		5,488,317
	261,847	UIL Holdings Corp.		10,015,647
				29,132,356
		Electrical Equipment – 3.6%
	242,088	AZZ, Inc.		9,334,913
	181,646	Belden, Inc.		9,069,585
	146,460	EnerSys		7,182,398
	258,156	General Cable Corp.		7,938,297
	148,139	Global Power Equipment Group, Inc.		2,388,001
	285,438	II-VI, Inc.(b)		4,641,222
				40,554,416
		Electronic Equipment, Instruments & Components – 3.5%
	102,368	Cognex Corp.		4,629,081
	153,412	Littelfuse, Inc.		11,446,069
	337,014	Methode Electronics, Inc.		5,732,608
	166,474	Rogers Corp.(b)		7,877,550
	696,707	Vishay Intertechnology, Inc.(b)		9,677,260
				39,362,568
		Energy Equipment & Services – 3.3%
	109,877	Bristow Group, Inc.		7,177,166
	431,455	Helix Energy Solutions Group, Inc.(b)		9,940,723
	94,238	Lufkin Industries, Inc.		8,337,236

Shares		Description	Value (†)
Common Stocks – continued
		Energy Equipment & Services – continued
	76,863	Oceaneering International, Inc.	$	5,549,508
	1,222,906	Parker Drilling Co.(b)		6,090,072
				37,094,705
		Food & Staples Retailing – 1.1%
	93,950	Casey’s General Stores, Inc.		5,652,032
	348,659	Spartan Stores, Inc.		6,429,272
				12,081,304
		Food Products – 1.6%
	260,206	Darling International, Inc.(b)		4,855,444
	147,190	Ingredion, Inc.		9,658,608
	52,080	J & J Snack Foods Corp.		4,051,824
				18,565,876
		Gas Utilities – 0.5%
	71,432	New Jersey Resources Corp.		2,966,571
	73,877	UGI Corp.		2,889,329
				5,855,900
		Health Care Equipment & Supplies – 1.0%
	111,089	SurModics, Inc.(b)		2,222,891
	112,062	Teleflex, Inc.		8,683,684
				10,906,575
		Health Care Providers & Services – 2.7%
	303,234	Bio-Reference Labs, Inc.(b)		8,717,978
	229,498	Hanger Orthopedic Group, Inc.(b)		7,259,022
	80,116	MEDNAX, Inc.(b)		7,337,023
	136,766	WellCare Health Plans, Inc.(b)		7,597,351
				30,911,374
		Health Care Technology – 0.6%
	379,203	MedAssets, Inc.(b)		6,727,061
		Hotels, Restaurants & Leisure – 3.0%
	139,446	Churchill Downs, Inc.		10,995,317
	66,841	Cracker Barrel Old Country Store, Inc.		6,327,169
	233,793	Marriott Vacations Worldwide Corp.(b)		10,109,209
	197,660	Six Flags Entertainment Corp.		6,949,726
				34,381,421
		Household Durables – 1.2%
	249,633	Jarden Corp.(b)		10,921,444
	160,487	La-Z-Boy, Inc.		3,253,071
				14,174,515
		Industrial Conglomerates – 0.7%
	276,158	Raven Industries, Inc.		8,279,217
		Insurance – 4.0%
	446,540	Employers Holdings, Inc.		10,917,903
	326,467	HCC Insurance Holdings, Inc.		14,073,992
	216,618	ProAssurance Corp.		11,298,795

Shares		Description	Value (†)
Common Stocks – continued
		Insurance – continued
	133,959	Reinsurance Group of America, Inc., Class A	$	9,257,907
				45,548,597
		Internet & Catalog Retail – 1.1%
	106,960	HSN, Inc.		5,745,891
	73,575	Liberty Ventures, Series A(b)		6,254,611
				12,000,502
		Internet Software & Services – 0.7%
	341,227	Perficient, Inc.(b)		4,551,968
	386,197	United Online, Inc.		2,927,373
				7,479,341
		IT Services – 2.8%
	371,258	Convergys Corp.		6,471,027
	354,406	Euronet Worldwide, Inc.(b)		11,291,375
	179,496	WEX, Inc.(b)		13,767,343
				31,529,745
		Machinery – 5.7%
	172,663	Actuant Corp., Class A		5,692,699
	105,327	Alamo Group, Inc.		4,299,448
	225,097	Albany International Corp., Class A		7,423,699
	325,208	Altra Holdings, Inc.		8,904,195
	185,466	John Bean Technologies Corp.		3,896,641
	17,048	Middleby Corp. (The)(b)		2,899,694
	179,900	RBC Bearings, Inc.(b)		9,345,805
	231,958	TriMas Corp.(b)		8,647,394
	246,532	Wabtec Corp.		13,172,205
				64,281,780
		Marine – 0.8%
	121,016	Kirby Corp.(b)		9,625,613
		Media – 2.0%
	209,283	E.W. Scripps Co. (The), Class A(b)		3,260,629
	186,322	John Wiley & Sons, Inc., Class A		7,469,649
	447,095	Live Nation Entertainment, Inc.(b)		6,929,972
	280,230	National CineMedia, Inc.		4,733,085
				22,393,335
		Metals & Mining – 2.2%
	149,911	Haynes International, Inc.		7,176,240
	459,624	Horsehead Holding Corp.(b)		5,887,783
	89,052	Reliance Steel & Aluminum Co.		5,838,249
	440,342	SunCoke Energy, Inc.(b)		6,173,595
				25,075,867
		Multi Utilities – 0.6%
	184,776	NorthWestern Corp.		7,372,562
		Multiline Retail – 0.4%
	293,168	Fred’s, Inc. Class A		4,541,172

Shares		Description	Value (†)
Common Stocks – continued
		Oil, Gas & Consumable Fuels – 1.0%
	389,935	EPL Oil & Gas, Inc.(b)	$	11,448,492
		REITs - Apartments – 2.3%
	213,247	American Campus Communities, Inc.		8,670,623
	124,279	Home Properties, Inc.		8,124,118
	133,984	Mid-America Apartment Communities, Inc.		9,080,096
				25,874,837
		REITs - Diversified – 1.0%
	224,639	DuPont Fabros Technology, Inc.		5,425,032
	157,581	Potlatch Corp.		6,372,576
				11,797,608
		REITs - Healthcare – 0.9%
	324,457	Omega Healthcare Investors, Inc.		10,064,656
		REITs - Hotels – 0.8%
	1,629,443	Hersha Hospitality Trust		9,190,059
		REITs - Office Property – 0.9%
	532,268	BioMed Realty Trust, Inc.		10,767,782
		REITs - Single Tenant – 0.6%
	195,910	National Retail Properties, Inc.		6,739,304
		REITs - Storage – 2.0%
	701,228	CubeSmart		11,205,624
	180,366	Sovran Self Storage, Inc.		11,685,913
				22,891,537
		Road & Rail – 2.8%
	304,818	Avis Budget Group, Inc.(b)		8,763,517
	62,675	Genesee & Wyoming, Inc., Class A(b)		5,317,347
	293,871	Old Dominion Freight Line, Inc.(b)		12,230,911
	207,617	Werner Enterprises, Inc.		5,018,103
				31,329,878
		Semiconductors & Semiconductor Equipment – 2.9%
	352,473	Magnachip Semiconductor Corp.(b)		6,439,682
	315,850	Semtech Corp.(b)		11,064,225
	637,778	Teradyne, Inc.(b)		11,205,759
	282,430	Volterra Semiconductor Corp.(b)		3,987,912
				32,697,578
		Software – 1.9%
	27,615	MicroStrategy, Inc., Class A(b)		2,401,400
	234,935	Monotype Imaging Holdings, Inc.		5,969,698
	234,725	SS&C Technologies Holdings, Inc.(b)		7,722,453
	179,411	Synchronoss Technologies, Inc.(b)		5,538,418
				21,631,969
		Specialty Retail – 3.2%
	282,867	Barnes & Noble, Inc.(b)		4,514,557
	170,258	Genesco, Inc.(b)		11,405,583
	49,036	Jos. A. Bank Clothiers, Inc.(b)		2,026,168

Shares		Description	Value (†)
Common Stocks – continued
		Specialty Retail – continued
	175,920	Rent-A-Center, Inc.	$	6,605,796
	363,798	Sally Beauty Holdings, Inc.(b)		11,314,118
				35,866,222
		Thrifts & Mortgage Finance – 0.6%
	557,049	Capitol Federal Financial, Inc.		6,762,575
		Trading Companies & Distributors – 1.9%
	107,347	DXP Enterprises, Inc.(b)		7,149,310
	156,263	H&E Equipment Services, Inc.		3,292,461
	267,058	Rush Enterprises, Inc., Class A(b)		6,609,686
	237,486	Titan Machinery, Inc.(b)		4,661,850
				21,713,307
		Water Utilities – 0.4%
	222,776	Middlesex Water Co.		4,437,698
		Total Common Stocks (Identified Cost $753,824,230)		1,091,931,507
Closed End Investment Companies – 2.1%
	468,764	Ares Capital Corp.		8,062,741
	899,272	Fifth Street Finance Corp.		9,397,392
	466,712	Hercules Technology Growth Capital, Inc.		6,505,965
		Total Closed End Investment Companies (Identified Cost $21,906,212)		23,966,098
Warrants – 0.0%
	67,892	Magnum Hunter Resources Corp., Expiration on 10/14/2013 at $10.50(b)(c)(d) (Identified Cost $0)		—
Principal Amount
Short-Term Investments – 1.8%
$	20,315,397	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $20,315,397 on 7/01/2013 collateralized by $21,120,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $20,724,000 including accrued interest(e) (Identified Cost $20,315,397)		20,315,397
		Total Investments – 100.2% (Identified Cost $796,045,839)(a)		1,136,213,002
		Other assets less liabilities – (0.2)%		(2,572,610	)
		Net Assets – 100.0%	$	1,133,640,392

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

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

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

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

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

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

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

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

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

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $796,048,513 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	$	353,231,694
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,067,205	)
Net unrealized appreciation	$	340,164,489

At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $5,815,935. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b) Non-income producing security.

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

(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:

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

ŸLevel 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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,091,931,507	$	—	$	—	$	1,091,931,507
Closed End Investment Companies		23,966,098		—		—		23,966,098
Warrants**		—		—		—		—
Short-Term Investments		—		20,315,397		—		20,315,397
Total	$	1,115,897,605	$	20,315,397	$	—	$	1,136,213,002

* 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, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)

Commercial Banks	11.0	%
Machinery	5.7
Commercial Services & Supplies	4.6
Insurance	4.0
Electrical Equipment	3.6
Electronic Equipment, Instruments & Components	3.5
Energy Equipment & Services	3.3
Chemicals	3.2
Specialty Retail	3.2
Hotels, Restaurants & Leisure	3.0
Semiconductors & Semiconductor Equipment	2.9
IT Services	2.8
Road & Rail	2.8
Health Care Providers & Services	2.7
Electric Utilities	2.6
REITs - Apartments	2.3
Metals & Mining	2.2
Closed End Investment Companies	2.1
REITs - Storage	2.0
Media	2.0
Other Investments, less than 2% each	28.9
Short-Term Investments	1.8
Total Investments	100.2
Other assets less liabilities	(0.2	)
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 20, 2013

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 20, 2013
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	August 20, 2013