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: December 31, 2013

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 85.0% of Net Assets
	Non-Convertible Bonds – 75.1%
		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	$	6,328,314
		ABS Home Equity – 0.1%
	18,362,687	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.691%, 4/25/2035(b)		18,440,086
		ABS Other – 0.1%
	33,369,292	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(c)		32,868,752
		Aerospace & Defense – 0.5%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,489,090
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,732,320
	5,200,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		5,392,254
	23,763,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		20,110,746
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		23,901,183
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		6,225,550
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		564,663
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		42,888,041
				114,303,847
		Airlines – 1.9%
	22,705,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		22,347,192
	5,260,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		5,115,350
	22,300,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		21,575,250
	8,400,000	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		8,421,000
	14,273,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		14,561,885
	4,945,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		5,093,350
	32,200,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		33,649,000
	917,503	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		940,440
	488,674	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		513,401
	4,362,182	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		4,634,819

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	1,609,035	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021	$	1,669,373
	2,342,804	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,679,465
	2,237,390	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,539,438
	2,044,485	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		2,159,487
	2,693,109	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,908,558
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,582,316
	15,222,243	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		16,630,301
	24,683,862	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		25,947,675
	20,421,122	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		23,280,080
	24,472,521	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		28,021,036
	5,615,249	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		5,867,936
	2,481,101	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,797,441
	3,517,423	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		3,957,101
	24,396,962	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		24,701,924
	1,727,604	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		1,855,101
	17,454,707	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		18,894,720
	22,660,744	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		24,020,389
	960,241	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		1,089,873
	19,447,150	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		21,197,394
	16,778,468	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		18,917,722
	20,078,514	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		21,885,581
	10,352,715	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		11,543,277
	7,173,510	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		7,568,053
	7,424,431	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		7,535,797
	9,727,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		9,896,152
	16,271,000	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		16,254,241
				422,252,118

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – 1.2%
$	3,172,000	Cummins, Inc., 6.750%, 2/15/2027	$	3,699,171
	12,977,000	Ford Motor Co., 6.375%, 2/01/2029		14,277,347
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		3,017,697
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,697,611
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		72,920,014
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		3,172,336
	46,387,000	Ford Motor Co., 7.400%, 11/01/2046		55,460,251
	65,430,000	Ford Motor Co., 7.450%, 7/16/2031		80,130,027
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,871,091
	8,755,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		9,422,569
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,041,000
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,245,750
				255,954,864
		Banking – 12.3%
	6,000,000	ABN Amro Bank NV, (fixed rate to 3/10/2016, variable rate thereafter), 4.310%, (EUR)(d)		8,208,798
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		128,553,259
	50,810,000	Ally Financial, Inc., 7.500%, 9/15/2020		59,193,650
	42,006,000	Ally Financial, Inc., 8.000%, 12/31/2018		49,567,080
	40,627,000	Ally Financial, Inc., 8.000%, 11/01/2031		48,600,049
	62,225,000	Ally Financial, Inc., 8.300%, 2/12/2015		66,891,875
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		39,350,553
	99,300,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		38,932,924
	1,400,000	Bank of America Corp., 5.490%, 3/15/2019		1,549,835
	1,065,000	Bank of America Corp., 5.650%, 5/01/2018		1,212,256
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		8,323,664
	4,887,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		7,279,038
	33,133,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		41,095,754
	1,670,000	Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, (GBP)(d)		2,592,597

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)	$	84,729,860
	16,060,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, (EUR)(d)		18,779,672
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(d)		46,873,235
	30,900,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, (EUR)(d)		43,996,929
	23,400,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(d)		33,929,699
	35,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(d)		61,019,684
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(d)		22,921,500
	31,050,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 144A(d)		31,709,812
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, (GBP)(d)		22,577,089
	12,230,000	Citigroup, Inc., 3.375%, 3/01/2023		11,624,798
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,778,286
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		5,230,435
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		37,160,760
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		13,926,405
	24,080,000	Citigroup, Inc., 6.125%, 5/15/2018		27,867,519
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		9,387,627
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		33,580,523
	4,900,000	Citigroup, Inc., EMTN, 1.500%, 11/30/2017, (EUR)(b)		6,629,365
	20,760,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		20,873,163
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		963,826
	61,880,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		68,844,285
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,520,804
	33,280,000	HBOS PLC, 6.000%, 11/01/2033, 144A		32,077,594
	65,355,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		73,924,805
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		11,820,338
	184,800,000	Intesa Sanpaolo SpA, 3.875%, 1/15/2019		183,731,117
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		53,777,973

Principal Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)	$	26,326,789
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		20,748,874
	83,493,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		94,909,833
	34,800,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(d)		33,234,000
	4,745,000	Lloyds Banking Group PLC, (fixed rate to 5/21/2037, variable rate thereafter), 6.657%, 144A(d)		4,578,925
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		5,363,306
	9,600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		10,562,150
	36,435,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		39,294,091
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.827%, 9/14/2018, (EUR)(b)		2,067,951
	1,970,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		2,271,225
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,752,910
	124,805,000	Morgan Stanley, 2.125%, 4/25/2018		123,728,557
	6,270,000	Morgan Stanley, 3.800%, 4/29/2016		6,632,594
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		47,347,675
	82,135,000	Morgan Stanley, 4.875%, 11/01/2022		84,078,396
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		131,933,043
	149,700,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		146,781,511
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,550,441
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		111,677,489
	69,315,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		67,079,661
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		17,337,045
	19,400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		18,148,882
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		10,912,186
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		13,690,100
	18,000,000	Morgan Stanley, Series F, MTN, 0.696%, 10/18/2016(b)		17,851,752
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,905,943
	3,800,000	RBS Capital Trust A, 2.393%, (EUR)(b)(d)		4,736,258

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	2,819,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(d)	$	3,451,506
	11,860,000	RBS Capital Trust I, 2.112%, (b)(d)		11,089,100
	6,633,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, (d)		6,135,525
	3,060,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, (d)		2,968,200
	1,385,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(d)		1,572,352
	22,591,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(d)		26,261,269
	34,220,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		34,463,646
	32,250,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		32,959,532
	15,425,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%, (d)		15,039,375
	1,300,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,868,686
	11,450,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		17,878,245
	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)		4,402,238
	950,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		1,022,523
	2,269,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		2,404,496
	1,800,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,849,124
	3,070,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(d)		4,223,397
	6,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, (EUR)(d)		8,961,994
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		3,077,917
				2,707,739,147
		Brokerage – 0.9%
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		21,394,694
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		51,857,862
	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		23,304,284
	58,180,000	Jefferies Group LLC, 6.875%, 4/15/2021		66,268,765
				191,264,155

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 0.8%
$	4,805,000	Masco Corp., 4.800%, 6/15/2015	$	5,009,212
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,605,288
	19,873,000	Masco Corp., 6.125%, 10/03/2016		22,257,760
	15,272,000	Masco Corp., 6.500%, 8/15/2032		15,004,740
	23,972,000	Masco Corp., 7.125%, 3/15/2020		27,364,254
	9,733,000	Masco Corp., 7.750%, 8/01/2029		10,688,128
	9,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		3,472,396
	3,725,000	Owens Corning, Inc., 6.500%, 12/01/2016		4,133,592
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		54,868,031
	17,605,000	USG Corp., 9.750%, 1/15/2018		20,817,912
				167,221,313
		Chemicals – 0.3%
	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		3,027,956
	2,610,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,603,475
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,193,819
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		27,638,060
	3,386,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		3,318,280
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		10,852,800
				74,895,820
		Commercial Mortgage-Backed Securities – 0.1%
	11,090,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(b)		11,267,928
		Construction Machinery – 0.2%
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,065,558
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		27,446,370
	5,825,000	United Rentals North America, Inc., 7.625%, 4/15/2022		6,473,031
				35,984,959
		Consumer Cyclical Services – 0.1%
	5,525,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		5,476,656

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Cyclical Services – continued
$	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018	$	975,000
	8,164,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		6,898,580
				13,350,236
		Consumer Products – 0.0%
	2,043,000	Visant Corp., 10.000%, 10/01/2017		1,981,710
		Electric – 1.8%
	3,075,000	AES Corp., 4.875%, 5/15/2023		2,875,125
	1,048,841	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,117,015
	64,252,865	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		67,972,463
	83,612,339	Bruce Mansfield Unit, 6.850%, 6/01/2034		87,563,022
	3,297,866	CE Generation LLC, 7.416%, 12/15/2018		3,252,520
	65,185,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		66,325,738
	22,441,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		24,062,362
	250,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		368,859
	3,700,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		7,122,655
	8,663,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		10,192,920
	11,600,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		11,125,966
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		829,216
	2,250,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		3,465,634
	153,754,401	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250% (12.250% PIK), 12/01/2018, 144A(e)		106,859,309
	1,175,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		1,198,585
	141,075	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		144,210
				394,475,599
		Financial Other – 0.2%
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		50,746,804
		Food & Beverage – 0.2%
	36,595,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		39,248,138
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		6,539,417
				45,787,555

Principal Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Guaranteed – 0.4%
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)	$	82,041,977
		Government Owned – No Guarantee – 0.4%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		33,910,988
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		55,671,569
				89,582,557
		Healthcare – 2.2%
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		17,691,158
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,063,337
	4,895,000	HCA Holdings, Inc., 6.250%, 2/15/2021		5,121,394
	12,860,000	HCA, Inc., 5.875%, 3/15/2022		13,277,950
	162,835,000	HCA, Inc., 5.875%, 5/01/2023		160,799,562
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		26,795,940
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		29,319,840
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		26,465,000
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		73,673,545
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		49,482,400
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		22,746,150
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		12,383,770
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		29,752,260
				475,572,306
		Home Construction – 0.4%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		7,385,000
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		14,972,455
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,782,000
	2,835,000	KB Home, 8.000%, 3/15/2020		3,132,675
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		55,388,362
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		15,602,200
				98,262,692

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – 0.2%
$	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020	$	2,192,200
	11,134,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		7,654,625
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,153,384
	7,470,000	Halcon Resources Corp., 9.250%, 2/15/2022, 144A		7,600,725
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,537,312
	5,560,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		5,643,400
				35,781,646
		Industrial Other – 0.1%
	4,205,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		4,141,925
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,262,053
				15,403,978
		Life Insurance – 2.0%
	7,600,000	American International Group, Inc., 4.125%, 2/15/2024		7,555,943
	13,017,000	American International Group, Inc., 6.250%, 3/15/2087		13,017,000
	99,895,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		120,872,950
	8,400,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		14,924,517
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,615,414
	21,465,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		24,621,428
	7,075,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		7,907,869
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		3,950,285
	97,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(d)		95,726,575
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(d)		2,079,254
	13,250,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		19,462,783
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		16,544,265
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,608,550
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		15,008,125
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		65,250,463
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		12,889,368

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A	$	6,318,880
	10,000,000	Tiers Trust, (Step to 8.125% on 9/15/2017), Zero Coupon, 3/15/2046, 144A(c)(f)		7,625,000
				439,978,669
		Local Authorities – 2.3%
	112,585,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		144,699,549
	1,400,000	City of Madrid, Spain, 4.550%, 6/16/2036, (EUR)		1,430,386
	12,250,000	City of Rome, Italy, EMTN, 5.345%, 1/27/2048, (EUR)		15,335,609
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		139,634,995
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		91,553,007
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,148,370
	7,804,215	Province of Alberta, 5.930%, 9/16/2016, (CAD)		7,900,680
	1,490,000	Province of Ontario, 5.000%, 3/08/2014, (CAD)		1,412,193
	75,000,000	Province of Ontario Canada, GMTN, 6.250%, 6/16/2015, (NZD)		63,561,010
	38,490,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		35,318,752
				501,994,551
		Media Cable – 0.3%
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,132,675
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		38,888,489
	4,345,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		3,291,620
	535,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		462,800
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		14,249,227
				60,024,811
		Media Non-Cable – 0.4%
	136,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		8,434,500
	3,610,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		3,646,100
	26,090,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		28,046,750
	8,890,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		9,867,900
	42,100,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		48,204,500
				98,199,750

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Metals & Mining – 0.9%
$	13,492,000		Alcoa, Inc., 5.870%, 2/23/2022	$	13,925,876
	11,795,000		Alcoa, Inc., 5.900%, 2/01/2027		11,557,071
	2,050,000		Alcoa, Inc., 5.950%, 2/01/2037		1,894,255
	6,490,000		Alcoa, Inc., 6.750%, 1/15/2028		6,811,320
	35,180,000		ArcelorMittal, 7.250%, 3/01/2041		33,596,900
	3,635,000		ArcelorMittal, 7.500%, 10/15/2039		3,571,388
	3,950,000		Barrick Gold Corp., 5.800%, 11/15/2034		3,342,063
	23,735,000		Barrick North America Finance LLC, 5.750%, 5/01/2043		21,342,607
	18,375,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		11,208,750
	6,500,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		6,630,000
	11,965,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		11,343,575
	9,625,000		United States Steel Corp., 6.650%, 6/01/2037		8,277,500
	8,015,000		United States Steel Corp., 6.875%, 4/01/2021		8,435,788
	23,520,000		United States Steel Corp., 7.000%, 2/01/2018		25,578,000
	37,725,000		United States Steel Corp., 7.500%, 3/15/2022		40,082,812
					207,597,905
			Mortgage Related – 0.0%
	95,661		FHLMC, 5.000%, 12/01/2031		103,114
			Non-Captive Consumer – 2.9%
	3,100,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		2,604,000
	13,845,000		SLM Corp., 4.875%, 6/17/2019		13,795,892
	27,345,000		SLM Corp., 5.500%, 1/25/2023		25,830,415
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		2,769,556
	9,995,000		SLM Corp., MTN, 4.625%, 9/25/2017		10,375,030
	11,528,000		SLM Corp., MTN, 5.500%, 1/15/2019		11,963,205
	8,000,000		SLM Corp., MTN, 7.250%, 1/25/2022		8,460,000
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,298,975
	5,285,000		SLM Corp., Series A, MTN, 0.538%, 1/27/2014(b)		5,278,653

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	23,623,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018	$	23,144,729
	49,494,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		41,018,152
	94,998,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		110,672,670
	194,610,000	Springleaf Finance Corp., 7.750%, 10/01/2021		210,178,800
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		84,267,212
	4,690,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		4,971,400
	935,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,000,450
	78,860,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		86,193,980
				644,823,119
		Non-Captive Diversified – 3.6%
	4,145,000	Aircastle Ltd., 7.625%, 4/15/2020		4,652,762
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		77,490,476
	64,245,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		51,103,220
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		77,097,407
	45,800,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		38,438,194
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		71,347,534
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.544%, 5/13/2024(b)		21,055,348
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		226,842,801
	455,000	International Lease Finance Corp., 3.875%, 4/15/2018		456,138
	435,000	International Lease Finance Corp., 4.625%, 4/15/2021		415,425
	14,785,000	International Lease Finance Corp., 5.875%, 4/01/2019		15,746,025
	35,950,000	International Lease Finance Corp., 5.875%, 8/15/2022		35,860,125
	11,070,000	International Lease Finance Corp., 6.250%, 5/15/2019		11,983,275
	17,700,000	International Lease Finance Corp., 8.250%, 12/15/2020		20,709,000
	1,292,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,314,610
	6,070,000	iStar Financial, Inc., 3.875%, 7/01/2016		6,206,575
	18,205,000	iStar Financial, Inc., 4.875%, 7/01/2018		18,136,731
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		36,374,294

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	4,865,000	iStar Financial, Inc., 6.050%, 4/15/2015	$	5,114,331
	29,130,000	iStar Financial, Inc., 7.125%, 2/15/2018		32,115,825
	29,955,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		31,452,750
				783,912,846
		Oil Field Services – 0.2%
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023, 144A		14,879,130
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,683,880
	10,342,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		9,100,960
				51,663,970
		Packaging – 0.1%
	10,351,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		11,049,693
	1,100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		1,179,750
				12,229,443
		Paper – 1.1%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		35,297,084
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		514,613
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		111,499,887
	12,590,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		17,488,026
	9,625,000	International Paper Co., 8.700%, 6/15/2038		13,255,906
	8,214,000	Westvaco Corp., 7.950%, 2/15/2031		9,530,507
	34,428,000	Westvaco Corp., 8.200%, 1/15/2030		40,795,114
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,760,874
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		17,173,998
				250,316,009
		Pharmaceuticals – 0.4%
	79,480,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		83,752,050
		Pipelines – 1.4%
	9,050,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		9,217,841

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pipelines – continued
$	1,000,000	El Paso Corp., GMTN, 7. 800%, 8/01/2031	$	1,014,767
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,147,341
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,168,750
	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		33,068,376
	49,664,208	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		50,744,405
	86,095,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		77,915,975
	1,585,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		1,355,175
	4,130,000	NiSource Finance Corp., 6.125%, 3/01/2022		4,579,187
	52,880,000	NiSource Finance Corp., 6.400%, 3/15/2018		60,855,309
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,437,283
	26,020,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		29,256,680
	8,550,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		7,075,125
	5,572,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		5,363,050
				299,199,264
		Property & Casualty Insurance – 0.4%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		24,133,508
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		18,369,064
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		2,060,000
	13,975,000	MBIA Insurance Corp., 11.504%, 1/15/2033, 144A(b)(g)		10,551,125
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		13,093,294
	6,575,000	XLIT Ltd., 6.250%, 5/15/2027		7,364,842
	2,110,000	XLIT Ltd., 6.375%, 11/15/2024		2,418,427
				77,990,260
		Railroads – 0.7%
	128,700,000	Hellenic Railways Organization S.A., EMTN, 0.560%, 5/24/2016, (EUR)(b)(c)		139,871,482
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		6,553,800
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		58,236
				146,483,518

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Real Estate Operations/Development – 0.0%
$	7,750,000	First Industrial LP, 5.950%, 5/15/2017	$	8,415,438
		REITs – Regional Malls – 0.0%
	2,000	Simon Property Group LP, 5.750%, 12/01/2015		2,166
		Retailers – 0.6%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,773,600
	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		7,612,920
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		1,060,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022(h)		15,745,150
	3,420,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		2,804,400
	39,478,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		29,411,110
	3,920,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,802,800
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,748,147
	698,000	Macy’s Retail Holdings, Inc., 7.875%, 7/15/2015		769,094
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,610,973
	39,965,000	Toys R Us, Inc., 7.375%, 10/15/2018		29,574,100
				121,882,844
		Sovereigns – 1.5%
	10,000,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		864,996
	25,000,000,000	Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		2,248,357
	88,974,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		8,024,475
	498,832,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		44,390,720
	317,658,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		29,348,780
	253,010,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		93,836,495
	97,345,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		39,920,012
	10,025,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		4,408,578
	8,742,110,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		51,494,042
	2,331,740,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		13,829,630

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Sovereigns – continued
	5,523,835,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)	$	35,317,623
				323,683,708
		Supermarkets – 0.7%
	2,590,000	American Stores Co., 7.900%, 5/01/2017		3,030,300
	13,145,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		17,482,850
	103,430,000	New Albertson’s, Inc., 7.450%, 8/01/2029		84,812,600
	23,020,000	New Albertson’s, Inc., 7.750%, 6/15/2026		18,646,200
	18,220,000	New Albertson’s, Inc., 8.000%, 5/01/2031		15,031,500
	6,350,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,492,750
	20,303,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		14,618,160
	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021		3,540,187
				162,654,547
		Supranational – 1.8%
	11,505,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		4,554,698
	348,600,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		27,567,185
	8,660,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		3,661,481
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		17,702,897
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		66,334,482
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		158,485,312
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		39,864,065
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		31,721,701
	109,670,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		42,515,283
				392,407,104
		Technology – 1.8%
	136,514,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		120,814,890
	5,166,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,520,250
	3,105,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		3,225,319
	36,000,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A		40,140,000
	57,898,000	Amkor Technology, Inc., 6.375%, 10/01/2022		59,490,195

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018	$	2,979,898
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,503,712
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		17,752,486
	20,000,000	First Data Corp., 10.625%, 6/15/2021, 144A		21,675,000
	13,360,000	First Data Corp., 11.250%, 1/15/2021, 144A		14,746,100
	87,705,000	First Data Corp., 11.750%, 8/15/2021, 144A		92,528,775
	2,080,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		2,121,600
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,050,169
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,343,114
	3,542,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		4,272,775
	7,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		7,350,000
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,715
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		689,817
				404,249,815
		Transportation Services – 0.4%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(c)		19,734,360
	12,273,369	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015(h)		12,488,153
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)(h)(i)		8,583,152
	6,955,996	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020(h)		7,095,116
	6,193,603	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(h)		6,232,623
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(g)(h)(i)		20,553,896
	4,072,367	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(h)		4,316,710
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(g)(h)(i)		278,373
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,165,657
				82,448,040
		Treasuries – 22.6%
	414,485,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		388,135,109
	445,239,000	Canadian Government, 1.250%, 2/01/2016, (CAD)		420,132,089

Principal Amount  (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	254,495,000		Canadian Government, 1.250%, 9/01/2018, (CAD)	$	232,082,190
	499,325,000		Canadian Government, 2.250%, 8/01/2014, (CAD)		473,353,989
	597,515,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		573,968,775
	157,595,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		154,188,663
	201,175,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		196,091,887
	16,807,500	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		129,575,121
	31,895,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		271,711,349
	36,200,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		31,973,933
	1,316,210,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		233,900,541
	2,107,745,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		364,053,672
	34,565,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)		41,954,290
	2,030,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, 144A, (EUR)		2,024,546
	9,000,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, 144A, (EUR)		11,772,135
	59,185,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, 144A, (EUR)		75,030,540
	15,000,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		11,975,443
	384,695,000		U.S. Treasury Bond, 2.750%, 11/15/2042		304,149,484
	430,980,000		U.S. Treasury Bond, 2.875%, 5/15/2043		349,295,930
	258,500,000		U.S. Treasury Note, 0.125%, 12/31/2014		258,419,348
	439,435,000		U.S. Treasury Note, 0.250%, 9/30/2015		439,040,387
					4,962,829,421
			Wireless – 0.6%
	281,500,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		19,868,124
	29,160,000		NII Capital Corp., 10.000%, 8/15/2016		15,454,800
	41,804,000		Sprint Capital Corp., 6.875%, 11/15/2028		39,400,270
	38,286,000		Sprint Capital Corp., 6.900%, 5/01/2019		41,827,455
	8,390,000		Sprint Capital Corp., 8.750%, 3/15/2032		8,998,275
	11,346,000		Sprint Corp., 7.250%, 9/15/2021, 144A		12,182,768
					137,731,692

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – 4.0%
$	4,197,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(f)	$	3,892,718
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,344,935
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,323,594
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		32,803,403
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		111,722,000
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,124,600
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		6,456,950
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		892,500
	27,075,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		39,392,491
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,843,663
	11,505,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		12,195,300
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,952,000
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		717,225
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,859,150
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,948,195
	38,760,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		41,085,600
	10,655,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		11,933,600
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		3,965,969
	950,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		1,352,656
	24,010,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		31,709,320
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		62,297,820
	1,000,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,441,430
	30,015,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		32,566,275
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		58,854,873
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,721,250
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		38,702,150
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		36,504,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,505,000	Qwest Corp., 7.200%, 11/10/2026	$	1,516,288
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		11,309,928
	62,599,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		54,226,384
	32,061,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		29,015,205
	10,500,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		11,434,827
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,827,615
	7,950,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		7,839,392
	1,850,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		1,965,364
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,215,800
	36,465,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		40,196,828
	5,845,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		9,743,093
	3,900,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		6,397,872
	17,000,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		30,033,053
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		46,140,101
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		27,679,825
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,409,503
	3,130,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		3,082,665
				877,637,410
		Total Non-Convertible Bonds (Identified Cost $15,713,480,211)		16,473,719,827
	Convertible Bonds – 8.8%
		Airlines – 0.0%
	6,445,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		7,488,381
		Automotive – 1.6%
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		336,795,525
		Chemicals – 0.0%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		6,568,196
		Construction Machinery – 0.2%
	4,743,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		4,538,458

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Construction Machinery – continued
$	12,335,000	Navistar International Corp., 3.000%, 10/15/2014	$	12,612,538
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		31,653,724
				48,804,720
		Healthcare – 0.5%
	25,815,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(f)		26,363,569
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,728,056
	2,144,000	Omnicare, Inc., 3.250%, 12/15/2035		2,291,400
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		68,580,375
				99,963,400
		Home Construction – 0.4%
	7,245,000	KB Home, 1.375%, 2/01/2019		7,195,191
	47,320,000	Lennar Corp., 3.250%, 11/15/2021, 144A		85,057,700
				92,252,891
		Independent Energy – 0.6%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		25,876,875
	75,524,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		76,656,860
	21,431,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		22,408,790
				124,942,525
		Life Insurance – 0.4%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		90,688,031
		Metals & Mining – 0.2%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,476,978
	33,215,000	United States Steel Corp., 2.750%, 4/01/2019		43,968,356
				45,445,334
		Non-Captive Diversified – 0.0%
	880,000	Jefferies Group LLC, 3.875%, 11/01/2029		931,150
		Packaging – 0.2%
	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		46,238,413
		Pharmaceuticals – 0.0%
	2,042,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		2,163,244

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – continued
$	2,844,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020	$	3,041,302
				5,204,546
		REITs – Mortgage – 0.1%
	16,140,000	iStar Financial, Inc., 3.000%, 11/15/2016		22,031,100
		REITs – Warehouse/Industrials – 0.2%
	28,230,000	ProLogis LP, 3.250%, 3/15/2015		31,511,738
		Technology – 3.7%
	49,754,000	Ciena Corp., 0.875%, 6/15/2017		50,873,465
	14,150,000	Ciena Corp., 3.750%, 10/15/2018, 144A		20,384,844
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		11,262,300
	2,469,000	Intel Corp., 2.950%, 12/15/2035		2,765,280
	318,925,000	Intel Corp., 3.250%, 8/01/2039		433,538,672
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,952,081
	7,497,923	Liberty Media LLC, 3.500%, 1/15/2031		3,964,527
	38,945,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		90,084,653
	18,250,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		41,552,969
	148,460,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		146,140,312
				802,519,103
		Utility Other – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,975,000
		Wirelines – 0.7%
	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)		645,002
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		87,844,462
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		66,728,438
	1,350,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,886,909
				157,104,811
		Total Convertible Bonds (Identified Cost $1,340,291,972)		1,920,464,864

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 1.1%
		District of Columbia – 0.0%
$	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047	$	6,054,592
		Illinois – 0.5%
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		2,257,781
	69,245,000	State of Illinois, 5.100%, 6/01/2033		64,324,450
	38,330,000	State of Illinois, Series B, 5.520%, 4/01/2038		34,496,617
				101,078,848
		Michigan – 0.1%
	20,410,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		15,940,822
		Ohio – 0.0%
	8,200,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		6,076,364
		Virginia – 0.5%
	174,035,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		117,463,183
		Total Municipals (Identified Cost $300,831,345)		246,613,809
		Total Bonds and Notes (Identified Cost $17,354,603,528)		18,640,798,500
	Senior Loans – 1.8%
		Automotive – 0.2%
	43,372,250	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/28/2019(b)		43,914,403
		Chemicals – 0.2%
	2,030,000	Allnex USA, Inc., 2nd Lien Term Loan, 8.250%, 4/03/2020(b)		2,079,491
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		48,596,762
				50,676,253
		Consumer Products – 0.1%
	14,564,321	Visant Corp., Term Loan B, 5.250%, 12/22/2016(b)		14,333,768
		Diversified Manufacturing – 0.0%
	9,683,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		9,852,453
		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Co. LLC, Non-Extended Term Loan, 3.730%, 10/10/2014(k)		4,901,688
		Food & Beverage – 0.1%
	16,600,395	DS Waters of America, Inc., New Term Loan, 5.250%, 8/31/2020(b)		16,828,650

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Healthcare – 0.2%
$	38,969,175	Apria Healthcare Group, Inc., Term Loan, 6.750%, 4/05/2020(b)	$	39,050,231
		Media Cable – 0.1%
	16,074,225	CSC Holdings, Inc., New Term Loan B, 2.669%, 4/17/2020(b)		15,903,517
		Media Non-Cable – 0.0%
	14,390,722	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		10,718,929
		Metals & Mining – 0.1%
	17,301,000	Essar Steel Algoma, Inc., ABL Term Loan, 9.250%, 9/19/2014(b)		17,387,505
		Non-Captive Diversified – 0.5%
	113,835,940	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		117,535,608
		Oil Field Services – 0.2%
	32,735,473	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		32,824,186
		Other Utility – 0.0%
	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		4,434,500
		Retailers – 0.0%
	5,000,000	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b)		4,804,700
		Wirelines – 0.1%
	6,531,272	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		6,545,968
	2,283,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		2,344,070
	4,030,000	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		4,056,880
				12,946,918
		Total Senior Loans (Identified Cost $389,523,962)		396,113,309
Shares
	Common Stocks – 7.6%
		Automobiles – 1.3%
	7,165,814	General Motors Co.(g)		292,866,818
		Biotechnology – 0.5%
	1,608,798	Vertex Pharmaceuticals, Inc.(g)		119,533,691
		Chemicals – 0.6%
	750,000	PPG Industries, Inc.		142,245,000
		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(g)		23,096,276

Shares		Description	Value (†)
	Common Stocks – continued
		Containers & Packaging – continued
	3,805	Rock-Tenn Co., Class A	$	399,563
				23,495,839
		Diversified Telecommunication Services – 0.2%
	269,619	FairPoint Communications, Inc.(g)		3,049,391
	403,884	Hawaiian Telcom Holdco, Inc.(g)		11,862,073
	2,629,337	Telefonica S.A., Sponsored ADR		42,963,367
				57,874,831
		Electronic Equipment, Instruments & Components – 0.1%
	630,490	Corning, Inc.		11,235,332
		Oil, Gas & Consumable Fuels – 0.5%
	1,026,979	Chesapeake Energy Corp.		27,872,210
	850,302	Repsol YPF S.A., Sponsored ADR		21,504,138
	750,000	Royal Dutch Shell PLC, ADR		53,452,500
				102,828,848
		Pharmaceuticals – 2.0%
	3,372,358	Bristol-Myers Squibb Co.		179,240,828
	2,148,265	Valeant Pharmaceuticals International, Inc.(g)		252,206,311
				431,447,139
		Semiconductors & Semiconductor Equipment – 2.2%
	18,411,567	Intel Corp.		477,964,279
		Trading Companies & Distributors – 0.1%
	203,019	United Rentals, Inc.(g)		15,825,331
		Total Common Stocks (Identified Cost $998,813,555)		1,675,317,108
	Preferred Stocks – 2.3%
	Convertible Preferred Stocks – 1.6%
		Banking – 0.1%
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		13,793,715
		Electric – 0.1%
	409,305	AES Trust III, 6.750%		20,538,925
		Independent Energy – 0.3%
	95,351	Chesapeake Energy Corp., 4.500%		8,742,733
	228,788	Chesapeake Energy Corp., 5.000%		22,306,830
	12,470	Chesapeake Energy Corp., Series A, 5.750%, 144A		14,449,613
	91,888	SandRidge Energy, Inc., 7.000%		9,108,398
	144,600	SandRidge Energy, Inc., 8.500%		15,083,587
				69,691,161

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Metals & Mining – 0.3%
	1,242,530	ArcelorMittal, 6.000%	$	32,305,780
	1,046,910	Cliffs Natural Resources, Inc., 7.000%		24,037,054
				56,342,834
		Non-Captive Diversified – 0.1%
	25,823	Bank of America Corp., Series L, 7.250%		27,398,203
		Pipelines – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		18,282,102
		REITs – Diversified – 0.1%
	561,271	Weyerhaeuser Co., Series A, 6.375%		31,453,627
		REITs – Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		8,824,409
		REITs – Hotels – 0.0%
	46,107	FelCor Lodging Trust, Inc., Series A, 1.950%		1,118,095
		REITs – Mortgage – 0.2%
	679,716	iStar Financial, Inc., Series J, 4.500%		42,142,392
		Technology – 0.3%
	62,989	Lucent Technologies Capital Trust I, 7.750%		63,303,945
		Wirelines – 0.0%
	1,119	Cincinnati Bell, Inc., 6.750%		50,769
		Total Convertible Preferred Stocks (Identified Cost $301,835,429)		352,940,177
	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.4%
	65,854	Ally Financial, Inc., Series G, 7.000%, 144A		62,896,747
	53,000	Bank of America Corp., 6.375%		1,232,250
	534,725	Countrywide Capital IV, 6.750%		13,309,305
				77,438,302
		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		131,442
	100	Entergy Arkansas, Inc., 4.320%		9,072

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Electric – continued
	5,000	Entergy Mississippi, Inc., 4.360%	$	436,250
	665	Entergy New Orleans, Inc., 4.360%		57,855
	200	Entergy New Orleans, Inc., 4.750%		18,231
	50,100	Southern California Edison Co., 4.780%		1,107,711
				1,760,561
		Government Sponsored – 0.2%
	38,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		39,365,625
		Home Construction – 0.0%
	41,783	Hovnanian Enterprises, Inc., 7.625%(g)		587,051
		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		6,859,329
		Non-Captive Diversified – 0.0%
	58,400	iStar Financial, Inc., Series E, 7.875%		1,364,808
	58,575	iStar Financial, Inc., Series F, 7.800%		1,331,410
	15,550	iStar Financial, Inc., Series G, 7.650%		355,162
				3,051,380
		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,643,244
		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		9,160,180
		Total Non-Convertible Preferred Stocks (Identified Cost $91,856,549)		140,865,672
		Total Preferred Stocks (Identified Cost $393,691,978)		493,805,849
	Closed-End Investment Companies – 0.0%
	680,008	NexPoint Credit Strategies Fund (Identified Cost $9,807,936)		6,405,675
Principal Amount (‡)
	Short-Term Investments – 2.0%
$	669,738	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2013 at 0.000% to be repurchased at $669,738 on 1/02/2014 collateralized by $750,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $684,353 including accrued interest(l)		669,738

Principal Amount (‡)		Description	Value (†)
$	438,279,730	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $438,279,730 on 1/02/2014 collateralized by $6,870,000 Federal Farm Credit Bank, 4.875% due 1/17/2017 valued at $7,835,530; $20,000,000 Federal Home Loan Bank, 0.750% due 12/19/2016 valued at $19,950,000; $43,000,000 Federal Home Loan Mortgage Corp., 0.875% due 10/14/2016 valued at $43,215,000; $89,420,000 U.S. Treasury Note, 1.500% due 7/31/2016 valued at $92,027,845; $150,000,000 U.S. Treasury Note, 1.000% due 8/31/2016 valued at $151,907,700; $100,000,000 U.S. Treasury Note, 0.875% due 12/31/2016 valued at $100,646,100; $29,000,000 U.S. Treasury Note, 0.625% due 8/15/2016 valued at $29,072,500; $2,210,000 U.S. Treasury Note, 3.125% due 1/31/2017 valued at $2,391,845, including accrued interest(l)	$	438,279,730
		Total Short-Term Investments (Identified Cost $438,949,468)		438,949,468
		Total Investments – 98.7% (Identified Cost $19,585,390,427)(a)		21,651,389,909
		Other assets less liabilities – 1.3%		285,468,667
		Net Assets – 100.0%	$	21,936,858,576

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $19,651,219,226 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	$	2,733,494,415
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(733,323,732	)
Net unrealized appreciation	$	2,000,170,683

(b) Variable rate security. Rate as of December 31, 2013 is disclosed.

(c) Illiquid security. At December 31, 2013, the value of these securities amounted to $487,159,882 or 2.2% of net assets.

(d) Perpetual bond with no specified maturity date.

(e) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2013, the issuer paid out 100% of the interest payments 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 December 31, 2013, the value of this security amounted to $ 75,938,175 or 0.3% 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 December 31, 2013.

(l) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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 December 31, 2013, the value of Rule 144A holdings amounted to $2,865,812,659 or 13.1% of net assets.

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

ABS Asset-Backed Securities

AGMC Assured Guaranty Municipal Corp.

EMTN Euro Medium Term Note

FHLMC Federal Home Loan Mortgage Corp.

GMTN Global Medium Term Note

MBIA Municipal Bond Investors Assurance Corp.

MTN Medium Term Note

PIK Payment-in-Kind

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	32,868,752	(a)	$	32,868,752
Airlines		—		63,059,470		359,192,648	(a)		422,252,118
Life Insurance		—		432,353,669		7,625,000	(a)		439,978,669
Non-Captive Consumer		2,769,556		642,053,563		—			644,823,119
Retailers		—		106,137,694		15,745,150	(b)		121,882,844
Transportation Services		—		22,900,017		59,548,023	(b)		82,448,040
All Other Non-Convertible Bonds*		—		14,729,466,285		—			14,729,466,285
Total Non-Convertible Bonds		2,769,556		15,995,970,698		474,979,573			16,473,719,827
Convertible Bonds
Wirelines		—		156,459,809		645,002	(b)		157,104,811
All Other Convertible Bonds*		—		1,763,360,053		—			1,763,360,053
Total Convertible Bonds		—		1,919,819,862		645,002			1,920,464,864
Municipals*		—		246,613,809		—			246,613,809
Total Bonds and Notes		2,769,556		18,162,404,369		475,624,575			18,640,798,500
Senior Loans*		—		396,113,309		—			396,113,309
Common Stocks*		1,675,317,108		—		—			1,675,317,108
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		54,607,574		15,083,587		—			69,691,161
REITs – Mortgage		—		42,142,392		—			42,142,392
Wirelines		—		50,769		—			50,769
All Other Convertible Preferred Stocks*		241,055,855		—		—			241,055,855
Total Convertible Preferred Stocks		295,663,429		57,276,748		—			352,940,177
Non-Convertible Preferred Stocks
Electric		1,107,711		652,850		—			1,760,561
Government Sponsored		—		39,365,625		—			39,365,625
REITs – Office Property		—		2,643,244		—			2,643,244
All Other Non-Convertible Preferred Stocks*		97,096,242		—		—			97,096,242
Total Non-Convertible Preferred Stocks		98,203,953		42,661,719		—			140,865,672
Total Preferred Stocks		393,867,382		99,938,467		—			493,805,849
Closed End Investment Companies		6,405,675		—		—			6,405,675
Short-Term Investments		—		438,949,468		—			438,949,468
Total	$	2,078,359,721	$	19,097,405,613	$	475,624,575		$	21,651,389,909

* 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 $37,642,672 was transferred from Level 1 to Level 2 during the period ended December 31, 2013. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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 pursuant to procedures approved by 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 December 31, 2013.

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	815	$	(12,507	)	$	32,936,153	$	(55,709	)	$	—	$	—	$	32,868,752	$	(12,507	)
Airlines		349,096,577		76,634		157,600		7,505,004			—		(8,713,948	)		11,070,781		—		359,192,648		5,460,023
Life Insurance		7,625,000		—		—		—			—		—			—		—		7,625,000		—
Retailers		15,667,254		16,494		—		61,402			—		—			—		—		15,745,150		61,402
Transportation Services		62,142,116		—		458,921		(537,054	)		—		(2,515,960	)		—		—		59,548,023		34,779
Convertible Bonds
Wirelines		547,121		—		—		97,881			—		—			—		—		645,002		97,881
Total	$	435,078,068	$	93,128	$	617,336	$	7,114,726		$	32,936,153	$	(11,285,617	)	$	11,070,781	$	—	$	475,624,575	$	5,641,578

Debt securities valued at $11,070,781 were transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 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.

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

Industry Summary at December 31, 2013 (Unaudited)

Treasuries	22.6	%
Banking	12.8
Technology	5.8
Wirelines	4.8
Non-Captive Diversified	4.2
Automotive	3.0
Non-Captive Consumer	2.9
Healthcare	2.9
Life Insurance	2.4
Pharmaceuticals	2.4
Local Authorities	2.3
Semiconductors & Semiconductor Equipment	2.2
Other Investments, less than 2% each	28.4
Short-Term Investments	2.0
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2013 (Unaudited)

United States Dollar	66.4	%
Canadian Dollar	12.0
New Zealand Dollar	4.6
Euro	3.6
Australian Dollar	3.3
Norwegian Krone	2.8
Other, less than 2% each	6.0
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 86.4% of Net Assets
	Non-Convertible Bonds – 76.6%
		ABS Home Equity – 0.1%
$	731,918	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.691%, 4/25/2035(b)	$	735,003
		ABS Other – 0.0%
	482,159	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		486,801
		Aerospace & Defense – 1.0%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		175,875
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		622,183
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		761,674
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,594,663
	245,000	Textron, Inc., 5.600%, 12/01/2017		271,331
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,386,633
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,493,406
				12,305,765
		Airlines – 1.8%
	5,550,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		5,462,537
	785,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		763,412
	1,200,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		1,161,000
	400,000	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		401,000
	800,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		816,192
	255,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		262,650
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,823,525
	38,197	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		39,152
	30,175	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		31,872
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		75,582
	261,064	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		272,812
	1,028,245	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,041,098
	237,913	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		268,842

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	927,486	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024	$	983,135
	1,449,796	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,634,645
	970,069	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,057,376
	517,492	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		577,004
	1,195,585	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		1,261,342
	2,471,488	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		2,508,561
	538,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		547,356
	900,000	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		899,073
				21,888,166
		Automotive – 1.9%
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,705,316
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,190,436
	165,000	Ford Motor Co., 6.625%, 2/15/2028		179,555
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,749,063
	690,000	Ford Motor Co., 7.125%, 11/15/2025		804,747
	3,510,000	Ford Motor Co., 7.400%, 11/01/2046		4,196,553
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,068,230
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,948,067
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		668,345
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		694,257
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		375,000
				22,579,569
		Banking – 13.1%
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,650,375
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,722,800
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,370,902
	5,195,000	Ally Financial, Inc., 8.300%, 2/12/2015		5,584,625
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		2,034,573

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	1,900,000	Bank of America Corp., 5.490%, 3/15/2019	$	2,103,347
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,206,565
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,489,470
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,787,015
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,333,253
	250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, (EUR)(c)		292,336
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(c)		2,248,532
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, (EUR)(c)		2,064,581
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(c)		3,117,472
	2,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(c)		5,007,179
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(c)		1,032,500
	1,150,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 144A(c)		1,174,437
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, (GBP)(c)		1,802,733
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		3,939,098
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(d)		265,954
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		3,412,356
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,280,892
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		847,605
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		11,916,755
	200,000	Citigroup, Inc., EMTN, 1.500%, 11/30/2017, (EUR)(b)		270,586
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		4,611,499
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,174,212
	7,400,000	HBOS PLC, 6.000%, 11/01/2033, 144A		7,132,638
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,899,875
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,794,517
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		80,419
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,404,059

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	$1,700,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016	$	1,870,381
	5,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,039,438
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.827%, 9/14/2018, (EUR)(b)		64,623
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		312,742
	200,000	Morgan Stanley, 0.724%, 10/15/2015(b)		199,578
	6,485,000	Morgan Stanley, 2.125%, 4/25/2018		6,429,067
	130,000	Morgan Stanley, 3.450%, 11/02/2015		135,318
	3,775,000	Morgan Stanley, 3.750%, 2/25/2023		3,673,320
	465,000	Morgan Stanley, 3.800%, 4/29/2016		491,891
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,455,948
	4,149,000	Morgan Stanley, 5.500%, 7/24/2020		4,640,246
	5,035,000	Morgan Stanley, 5.750%, 1/25/2021		5,695,914
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		4,804,472
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		91,087
	200,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		224,514
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		3,896,832
	8,800,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		8,516,209
	1,600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		1,496,815
	300,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		341,006
	900,000	Morgan Stanley, Series F, MTN, 0.696%, 10/18/2016(b)		892,588
	300,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		527,983
	185,000	RBS Capital Trust A, 2.393%, (EUR)(b)(c)		230,581
	1,320,000	RBS Capital Trust I, 2.112%(b)(c)		1,234,200
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(c)		210,025
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(c)		2,906,165
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		1,933,670
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%(c)		2,242,500

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)	$	71,873
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		1,014,922
	150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		206,355
	300,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		322,902
	800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		847,773
	700,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		719,104
	150,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, 1/29/2049, (EUR)(c)		206,355
	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(c)		1,280,125
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,496,280
				158,775,962
		Brokerage – 1.1%
	1,495,000	Jefferies Group LLC, 3.875%, 11/09/2015		1,559,752
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,346,156
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,261,978
	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		1,875,523
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,881,746
				13,873,230
		Building Materials – 0.9%
	860,000	Masco Corp., 4.800%, 6/15/2015		896,550
	240,000	Masco Corp., 5.850%, 3/15/2017		263,400
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,912,000
	800,000	Masco Corp., 6.500%, 8/15/2032		786,000
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,609,528
	815,000	Masco Corp., 7.750%, 8/01/2029		894,978
	2,400,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		841,793
	164,000	Owens Corning, Inc., 6.500%, 12/01/2016		181,989

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036	$	2,197,723
				10,583,961
		Chemicals – 0.7%
	275,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		285,656
	395,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		394,012
	620,000	Methanex Corp., 5.250%, 3/01/2022		656,390
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,675,896
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(d)		4,663,600
	53,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(d)		51,940
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(d)		868,800
				8,596,294
		Commercial Mortgage-Backed Securities – 0.1%
	93,772	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		97,143
	530,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(b)		538,503
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,099,978
				1,735,624
		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(d)		979,865
	1,155,000	United Rentals North America, Inc., 7.625%, 4/15/2022		1,283,494
				2,263,359
		Consumer Products – 0.0%
	260,000	Visant Corp., 10.000%, 10/01/2017		252,200
		Electric – 3.4%
	1,970,000	AES Corp., 4.875%, 5/15/2023		1,841,950
	2,637,743	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,790,442
	3,705,557	Bruce Mansfield Unit, 6.850%, 6/01/2034		3,880,644
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,432,837
	5,455,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		5,849,124
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,310,050

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	1,589,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027	$	1,869,624
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,644,713
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		103,652
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,155,211
	4,032,145	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250% (12.250% PIK), 12/01/2018, 144A(e)		2,802,341
	275,000	Enersis S.A., 7.375%, 1/15/2014		275,524
	4,000,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,570,664
	75,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		76,505
	2,612,993	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(d)		2,755,775
				41,359,056
		Food & Beverage – 0.7%
	1,995,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		2,139,638
	3,274,000	Post Holdings, Inc., 6.750%, 12/01/2021, 144A		3,388,590
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		2,799,688
				8,327,916
		Government Owned – No Guarantee – 0.4%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,358,000
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		2,351,356
				4,709,356
		Healthcare – 2.0%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		463,191
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		485,138
	610,000	HCA, Inc., 5.875%, 3/15/2022		629,825
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		4,898,000
	410,000	HCA, Inc., 6.375%, 1/15/2015		430,500
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,491,825
	820,000	HCA, Inc., 7.190%, 11/15/2015		893,800
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,593,000
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,440,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
	$2,660,000	HCA, Inc., 7.690%, 6/15/2025	$	2,779,700
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,442,000
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,039,875
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		427,850
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016		349,144
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,544,250
				24,908,098
		Home Construction – 0.7%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		550,000
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		241,650
	835,000	KB Home, 8.000%, 3/15/2020		922,675
	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		3,322,200
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,773,800
				8,595,325
		Independent Energy – 1.5%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,598,430
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,198,552
	100,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		111,750
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,124,350
	676,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		464,750
	2,015,000	Halcon Resources Corp., 8.875%, 5/15/2021		2,035,150
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		5,925,225
	2,940,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		2,984,100
				18,442,307
		Industrial Other – 0.1%
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,247,750
		Life Insurance – 2.5%
	160,000	American International Group, Inc., 4.125%, 2/15/2024		159,072

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	2,300,000	American International Group, Inc., 6.250%, 3/15/2087	$	2,300,000
	10,165,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		12,299,650
	455,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		521,908
	175,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		195,601
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(c)		3,616,750
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		293,778
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,792,322
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,916,950
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,644,625
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,298,324
				30,038,980
		Local Authorities – 3.7%
	5,730,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		7,364,466
	200,000	City of Madrid, Spain, 4.550%, 6/16/2036, (EUR)		204,341
	1,630,000	City of Rome, Italy, EMTN, 5.345%, 1/27/2048, (EUR)		2,040,575
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		9,422,711
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,088,552
	393,430	Province of Alberta, 5.930%, 9/16/2016, (CAD)		398,293
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		20,179,601
	830,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		761,615
				44,460,154
		Media Cable – 0.6%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		628,425
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,388,029
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		4,806,006
				6,822,460
		Media Non-Cable – 0.7%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,488,441

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Media Non-Cable – continued
$	120,000		R.R. Donnelley & Sons Co., 6.500%, 11/15/2023	$	121,200
	4,030,000		R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		4,332,250
	295,000		R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		327,450
	1,960,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		2,244,200
					8,513,541
			Metals & Mining – 1.8%
	1,400,000		Alcoa, Inc., 5.870%, 2/23/2022		1,445,021
	400,000		Alcoa, Inc., 5.900%, 2/01/2027		391,931
	855,000		ArcelorMittal, 6.000%, 3/01/2021		906,300
	2,295,000		ArcelorMittal, 6.125%, 6/01/2018		2,518,763
	6,630,000		ArcelorMittal, 7.250%, 3/01/2041		6,331,650
	3,300,000		ArcelorMittal, 7.500%, 10/15/2039		3,242,250
	6,945,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		4,236,450
	1,400,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		1,428,000
	1,760,000		United States Steel Corp., 7.500%, 3/15/2022		1,870,000
					22,370,365
			Non-Captive Consumer – 2.4%
	300,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		252,000
	875,000		SLM Corp., 4.875%, 6/17/2019		871,896
	4,668,000		SLM Corp., 5.500%, 1/25/2023		4,409,449
	31,725	(††)	SLM Corp., 6.000%, 12/15/2043		585,274
	722,000		SLM Corp., MTN, 3.875%, 9/10/2015		746,368
	726,000		SLM Corp., MTN, 5.500%, 1/15/2019		753,408
	35,000		SLM Corp., Series A, MTN, 0.538%, 1/27/2014(b)		34,958
	200,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		209,250
	145,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		142,064
	5,185,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		4,297,069
	5,973,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		6,958,545

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	3,770,000	Springleaf Finance Corp., 6.000%, 6/01/2020	$	3,770,000
	1,805,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,949,400
	725,000	Springleaf Finance Corp., 8.250%, 10/01/2023		784,812
	300,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		318,000
	595,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		618,800
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		2,247,000
	725,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		792,425
				29,740,718
		Non-Captive Diversified – 3.3%
	1,630,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		1,542,092
	45,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		42,694
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,152,370
	2,390,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		2,005,836
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,549,132
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,202,724
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,835,279
	295,000	International Lease Finance Corp., 5.875%, 4/01/2019		314,175
	3,045,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,037,387
	6,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		6,581,600
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,677,537
	635,000	International Lease Finance Corp., 8.250%, 12/15/2020		742,950
	315,000	iStar Financial, Inc., 3.875%, 7/01/2016		322,088
	945,000	iStar Financial, Inc., 4.875%, 7/01/2018		941,456
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		241,031
	15,000	iStar Financial, Inc., 6.050%, 4/15/2015		15,769
	1,505,000	iStar Financial, Inc., 7.125%, 2/15/2018		1,659,263
	1,525,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,601,250
				39,464,633

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	$	682,000
		Packaging – 0.5%
	3,550,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 5.625%, 12/15/2016, 144A		3,621,000
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,310,000
				5,931,000
		Paper – 1.3%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,428,837
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,571,138
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,651,792
	350,000	Westvaco Corp., 7.950%, 2/15/2031		406,096
	1,035,000	Westvaco Corp., 8.200%, 1/15/2030		1,226,413
				15,284,276
		Pharmaceuticals – 0.4%
	4,165,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		4,388,869
		Pipelines – 0.7%
	575,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		585,664
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		253,692
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,623,176
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		366,750
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,369,073
	755,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		645,525
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		276,043
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,007,040
	2,000,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		1,655,000
				8,781,963
		Property & Casualty Insurance – 0.8%
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		3,900,089
	1,630,000	MBIA Insurance Corp., 11.504%, 1/15/2033, 144A(b)(f)		1,230,650

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A	$	2,319,507
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,601,783
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,300,908
				10,352,937
		Property Trust – 0.3%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,519,455
		Railroads – 0.7%
	7,100,000	Hellenic Railways Organization S.A., EMTN, 0.560%, 5/24/2016, (EUR)(b)(d)		7,716,298
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)		412,500
				8,128,798
		REITs – Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,661,999
		REITs – Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		233,683
		REITs – Office Property – 0.4%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,837,668
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		554,333
				4,392,001
		REITs – Regional Malls – 0.0%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		224,309
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		320,247
				544,556
		REITs – Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		204,587
	815,000	Realty Income Corp., 6.750%, 8/15/2019		954,119
				1,158,706
		REITs – Warehouse/Industrials – 0.0%
	100,000	ProLogis LP, 5.625%, 11/15/2015		106,334
	80,000	ProLogis LP, 5.750%, 4/01/2016		87,727
				194,061

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Restaurants – 0.1%
$	1,000,000	Darden Restaurants, Inc., 3.350%, 11/01/2022	$	860,315
		Retailers – 0.9%
	5,005,000	Best Buy Co., Inc., 5.000%, 8/01/2018		5,242,737
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,086,500
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022(g)		1,213,797
	849,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		632,505
	3,505,000	Toys R Us, Inc., 7.375%, 10/15/2018		2,593,700
				10,769,239
		Sovereigns – 1.4%
	1,787,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		161,168
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		2,971,086
	10,150,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		3,764,438
	14,635,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		6,001,637
	359,880,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		2,119,817
	107,395,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		636,963
	176,460,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		1,128,229
				16,783,338
		Supermarkets – 1.0%
	90,000	American Stores Co., 7.900%, 5/01/2017		105,300
	25,000	American Stores Co., 8.000%, 6/01/2026		34,750
	7,240,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,936,800
	1,720,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,393,200
	3,165,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,611,125
	455,000	New Albertson’s, Inc., 8.700%, 5/01/2030		393,575
	2,020,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,454,400
				11,929,150
		Supranational – 2.7%
	7,000,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		553,558
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		16,830,110

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – continued
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)	$	13,481,722
	5,580,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		2,163,174
				33,028,564
		Technology – 1.7%
	1,670,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,477,950
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		70,000
	3,580,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		3,718,725
	2,950,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,031,125
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,769,239
	130,000	Avnet, Inc., 6.625%, 9/15/2016		145,669
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,353,740
	2,000,000	First Data Corp., 10.625%, 6/15/2021, 144A		2,167,500
	1,465,000	First Data Corp., 11.250%, 1/15/2021, 144A		1,616,994
	4,100,000	First Data Corp., 11.750%, 8/15/2021, 144A		4,325,500
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		164,414
	810,600	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		977,840
				20,818,696
		Tobacco – 0.3%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,800,275
		Transportation Services – 0.3%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(d)		2,350,000
	461,197	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015(g)		469,268
	452,198	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(g)		455,047
	173,425	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(g)		183,830
				3,458,145
		Treasuries – 13.7%
	14,710,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		13,774,847
	10,950,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		9,985,658
	16,935,000	Canadian Government, 2.250%, 8/01/2014, (CAD)		16,054,173

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	29,780,000	Canadian Government, 2.500%, 6/01/2015, (CAD)	$	28,606,462
	8,185,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		8,008,085
	13,195,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		12,861,600
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		7,545,874
	854,500(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		6,587,651
	632,500(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		5,388,107
	63,235,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		11,237,341
	28,230,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		4,875,939
	1,395,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)		1,693,222
	250,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, 144A, (EUR)		249,328
	375,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, 144A, (EUR)		490,506
	3,375,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, 144A, (EUR)		4,278,585
	11,380,000	U.S. Treasury Bond, 2.750%, 11/15/2042		8,997,313
	12,755,000	U.S. Treasury Bond, 2.875%, 5/15/2043		10,337,532
	15,000,000	U.S. Treasury Note, 0.250%, 5/31/2014		15,008,790
				165,981,013
		Wireless – 0.8%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		5,109,954
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,475,947
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		1,114,350
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		321,750
	898,000	Sprint Communications, Inc., 6.000%, 12/01/2016		979,943
				10,001,944
		Wirelines – 3.6%
	177,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(h)		164,168
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		213,690
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		807,383
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		631,320

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021	$	4,035,200
	1,400,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		2,036,916
	200,000	Embarq Corp., 7.995%, 6/01/2036		202,488
	560,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		593,600
	1,960,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		2,195,200
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		156,625
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		284,770
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,188,604
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,449,777
	550,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		792,787
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,585,925
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,610,587
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		367,500
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		742,062
	5,275,000	Qwest Corp., 6.875%, 9/15/2033		5,064,000
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,793,350
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,299,257
	2,290,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,983,712
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,262,475
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		653,419
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		443,739
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,312,384
	1,300,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,296,645
				43,167,583
		Total Non-Convertible Bonds (Identified Cost $861,381,098)		928,929,159
	Convertible Bonds – 8.9%
		Airlines – 0.0%
	470,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		546,088

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Automotive – 0.4%
$	2,925,000	Ford Motor Co., 4.250%, 11/15/2016	$	5,396,625
		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		367,483
		Construction Machinery – 0.1%
	115,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		110,041
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		671,606
				781,647
		Healthcare – 0.3%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		214,462
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		2,917,825
				3,132,287
		Home Construction – 0.1%
	810,000	KB Home, 1.375%, 2/01/2019		804,431
		Independent Energy – 0.5%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,459,363
	3,885,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,943,275
	1,090,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		1,139,731
				6,542,369
		Life Insurance – 1.9%
	18,045,000	Old Republic International Corp., 3.750%, 3/15/2018		22,443,469
		Metals & Mining – 0.2%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		276,565
	1,745,000	United States Steel Corp., 2.750%, 4/01/2019		2,309,944
				2,586,509
		Non-Captive Diversified – 0.0%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		581,969
		Packaging – 0.5%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,532,356
		Pharmaceuticals – 0.0%
	205,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		217,172

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – continued
$	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020	$	304,772
				521,944
		REITs – Mortgage – 0.1%
	835,000	iStar Financial, Inc., 3.000%, 11/15/2016		1,139,775
		Technology – 4.1%
	6,280,000	Ciena Corp., 0.875%, 6/15/2017		6,421,300
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,977,359
	1,783,000	Intel Corp., 2.950%, 12/15/2035		1,996,960
	7,000,000	Intel Corp., 3.250%, 8/01/2039		9,515,625
	333,107	Liberty Media LLC, 3.500%, 1/15/2031		176,131
	2,565,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		5,933,166
	960,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		2,185,800
	17,341,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		17,070,047
	1,150,000	Nuance Communications, Inc., 2.750%, 11/01/2031		1,123,406
				49,399,794
		Utility Other – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		987,500
		Wirelines – 0.6%
	202,300	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(d)(g)(h)(i)		27,268
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(d)		4,142,000
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(d)		2,711,375
				6,880,643
		Total Convertible Bonds (Identified Cost $81,564,949)		107,644,889
	Municipals – 0.9%
		Illinois – 0.3%
	4,075,000	State of Illinois, Series B, 5.520%, 4/01/2038		3,667,459
		Michigan – 0.2%
	2,225,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,737,792

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Virginia – 0.4%
$	7,510,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046	$	5,068,799
		Total Municipals (Identified Cost $13,791,249)		10,474,050
		Total Bonds and Notes (Identified Cost $956,737,296)		1,047,048,098
	Senior Loans – 0.9%
		Consumer Products – 0.0%
	588,804	Visant Corp., Term Loan B, 5.250%, 12/22/2016(b)		579,484
		Diversified Manufacturing – 0.0%
	510,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		518,925
		Healthcare – 0.2%
	2,059,650	Apria Healthcare Group, Inc., Term Loan, 6.750%, 4/05/2020(b)		2,063,934
		Media Non-Cable – 0.0%
	174,684	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		130,113
		Oil Field Services – 0.3%
	3,271,035	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		3,279,900
		Other Utility – 0.2%
	1,159,175	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		1,141,787
	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		774,200
	145,000	PowerTeam Services LLC, Delayed Draw Term Loan, 3.685%, 5/06/2020(j)		142,825
				2,058,812
		Supermarkets – 0.2%
	2,748,944	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		2,772,558
		Wirelines – 0.0%
	120,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		123,210
		Total Senior Loans (Identified Cost $11,478,586)		11,526,936

Shares		Description	Value (†)
	Preferred Stocks – 2.6%
	Convertible Preferred Stocks – 2.0%
		Electric – 0.1%
	20,089	AES Trust III, 6.750%	$	1,008,066
		Independent Energy – 0.3%
	1,250	Chesapeake Energy Corp., 4.500%		114,613
	12,055	Chesapeake Energy Corp., 5.000%		1,175,362
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A		764,775
	11,904	SandRidge Energy, Inc., 7.000%		1,179,984
				3,234,734
		Metals & Mining – 0.1%
	32,745	ArcelorMittal, 6.000%		851,370
		Non-Captive Diversified – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%		3,017,484
		Pipelines – 0.4%
	96,065	El Paso Energy Capital Trust I, 4.750%		5,392,129
		REITs – Diversified – 0.3%
	72,631	Weyerhaeuser Co., Series A, 6.375%		4,070,241
		REITs – Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		379,324
		REITs – Mortgage – 0.2%
	36,130	iStar Financial, Inc., Series J, 4.500%		2,240,060
		Technology – 0.3%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,894,375
		Wirelines – 0.0%
	62	Cincinnati Bell, Inc., 6.750%		2,813
		Total Convertible Preferred Stocks (Identified Cost $19,607,964)		24,090,596
	Non-Convertible Preferred Stocks – 0.6%
		Banking – 0.2%
	2,571	Ally Financial, Inc., Series G, 7.000%, 144A		2,455,546
	5,000	Bank of America Corp., 6.375%		116,250

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Banking – continued
	20,975	Countrywide Capital IV, 6.750%	$	522,068
				3,093,864
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		7,830
	2,876	Entergy New Orleans, Inc., 4.750%		262,166
	4,670	Union Electric Co., 4.500%		429,640
				699,636
		Government Sponsored – 0.2%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(h)		3,107,812
		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,149,580
		Total Non-Convertible Preferred Stocks (Identified Cost $6,439,667)		8,050,892
		Total Preferred Stocks (Identified Cost $26,047,631)		32,141,488
	Common Stocks – 8.3%
		Automobiles – 1.4%
	420,693	General Motors Co.(f)		17,193,723
		Biotechnology – 1.0%
	155,774	Vertex Pharmaceuticals, Inc.(f)		11,574,008
		Chemicals – 1.0%
	62,529	PPG Industries, Inc.		11,859,250
		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(f)		1,264,930
	187	Rock-Tenn Co., Class A		19,637
				1,284,567
		Diversified Telecommunication Services – 0.3%
	8,050	Hawaiian Telcom Holdco, Inc.(f)		236,429
	241,163	Telefonica S.A., Sponsored ADR		3,940,603
				4,177,032
		Electronic Equipment, Instruments & Components – 0.3%
	205,167	Corning, Inc.		3,656,076
		Oil, Gas & Consumable Fuels – 0.9%
	54,259	Chesapeake Energy Corp.		1,472,589
	172,008	Repsol YPF S.A., Sponsored ADR		4,350,082
	70,051	Royal Dutch Shell PLC, ADR		4,992,535
				10,815,206

Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 1.4%
	160,000	Bristol-Myers Squibb Co.	$	8,504,000
	68,197	Valeant Pharmaceuticals International, Inc.(f)		8,006,328
				16,510,328
		Semiconductors & Semiconductor Equipment – 1.8%
	822,858	Intel Corp.		21,361,394
		Trading Companies & Distributors – 0.1%
	23,272	United Rentals, Inc.(f)		1,814,053
		Total Common Stocks (Identified Cost $62,684,416)		100,245,637
Principal Amount(‡)
	Short-Term Investments – 0.6%
	$46,706	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2013 at 0.000% to be repurchased at $46,706 on 1/02/2014 collateralized by $55,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $50,186 including accrued interest(k)		46,706
	7,136,527	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $7,136,528 on 1/02/2014 collateralized by $6,735,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $7,282,219 including accrued interest(k)		7,136,527
		Total Short-Term Investments (Identified Cost $7,183,233)		7,183,233
		Total Investments – 98.8% (Identified Cost $1,064,131,162)(a)		1,198,145,392
		Other assets less liabilities – 1.2%		14,305,136
		Net Assets – 100.0%	$	1,212,450,528

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $1,066,761,322 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	$	161,739,241
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(30,355,171	)
Net unrealized appreciation	$	131,384,070

(b) Variable rate security. Rate as of December 31, 2013 is disclosed.

(c) Perpetual bond with no specified maturity date.

(d) Illiquid security. At December 31, 2013, the value of these securities amounted to $26,945,375 or 2.2% of net assets.

(e) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2013, the issuer paid out 100% of the interest payments in-kind.

(f) Non-income producing security.

(g) Fair valued security by the Fund’s investment adviser. At December 31, 2013, the value of these securities amounted to $2,349,210 or 0.2% of net assets.

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

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

(j) Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. The fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.

(k) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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 December 31, 2013, the value of Rule 144A holdings amounted to $179,951,098 or 14.8% of net assets.

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

ABS Asset-Backed Securities

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

MTN Medium Term Note

PIK Payment-in-Kind

REITs Real Estate Investment Trusts

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ISK Icelandic Krona

KRW South Korean Won

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

SGD Singapore Dollar

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	7,725,158	$	14,163,008	(a)	$	21,888,166
Non-Captive Consumer		585,274		29,155,444		—			29,740,718
Retailers		—		9,555,442		1,213,797	(b)		10,769,239
Transportation Services		—		2,350,000		1,108,145	(a)		3,458,145
All Other Non-Convertible Bonds*		—		863,072,891		—			863,072,891
Total Non-Convertible Bonds		585,274		911,858,935		16,484,950			928,929,159
Convertible Bonds
Wirelines		—		6,853,375		27,268	(b)		6,880,643
All Other Convertible Bonds*		—		100,764,246		—			100,764,246
Total Convertible Bonds		—		107,617,621		27,268			107,644,889

Municipals*		—		10,474,050		—		10,474,050
Total Bonds and Notes		585,274		1,029,950,606		16,512,218		1,047,048,098
Senior Loans*		—		11,526,936		—		11,526,936
Preferred Stocks
Convertible Preferred Stocks
REITs – Mortgage		—		2,240,060		—		2,240,060
Wirelines		—		2,813		—		2,813
All Other Convertible Preferred Stocks*		21,847,723		—		—		21,847,723
Total Convertible Preferred Stocks		21,847,723		2,242,873		—		24,090,596
Non-Convertible Preferred Stocks
Electric		429,640		269,996		—		699,636
Government Sponsored		—		3,107,812		—		3,107,812
All Other Non-Convertible Preferred Stocks*		4,243,444		—		—		4,243,444
Total Non-Convertible Preferred Stocks		4,673,084		3,377,808		—		8,050,892
Total Preferred Stocks		26,520,807		5,620,681		—		32,141,488
Common Stocks*		100,245,637		—		—		100,245,637
Short-Term Investments		—		7,183,233		—		7,183,233
Total	$	127,351,718	$	1,054,281,456	$	16,512,218	$	1,198,145,392

* 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 $2,000,879 was transferred from Level 1 to Level 2 during the period ended December 31, 2013. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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 pursuant to procedures approved by 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	13,615,350	$	—	$	34	$	376,832		$	—	$	(369,102	)	$	539,894	$	—	$	14,163,008	$	393,621
Retailers		1,207,792		1,427		—		4,578			—		—			—		—		1,213,797		4,578
Transportation Services		1,201,346		—		23,199		(24,476	)		—		(91,924	)		—		—		1,108,145		—
Convertible Bonds
Wirelines		23,130		—		—		4,138			—		—			—		—		27,268		4,138
Total	$	16,047,618	$	1,427	$	23,233	$	361,072		$	—	$	(461,026	)	$	539,894	$	—	$	16,512,218	$	402,337

Debt securities valued at $539,894 were transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 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.

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

Industry Summary at December 31, 2013 (Unaudited)
Treasuries	13.7	%
Banking	13.3
Technology	6.1
Life Insurance	4.4
Wirelines	4.2
Local Authorities	3.7
Electric	3.6
Non-Captive Diversified	3.6
Supranational	2.7
Non-Captive Consumer	2.5
Healthcare	2.5
Independent Energy	2.3
Automotive	2.3
Metals & Mining	2.1
Other Investments, less than 2% each	31.2
Short-Term Investments	0.6
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2013 (Unaudited)

United States Dollar	70.3	%
Canadian Dollar	10.6
Euro	4.0
New Zealand Dollar	4.0
Australian Dollar	2.3
Other, less than 2% each	7.6
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Global Bond Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 96.0% of Net Assets
Non-Convertible Bonds – 95.3%
		Australia – 2.0%
$	1,135,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A	$	1,136,176
	5,858,700	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		5,726,643
	5,000,000	New South Wales Treasury Corp., 6.000%, 5/01/2020, (AUD)		4,938,774
	24,075,000	New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(b)		23,754,271
	4,700,000	SMART Trust/Australia, Series 2012-1USA, Class A4A, 2.010%, 12/14/2017, 144A		4,747,940
	7,600,000	Westpac Banking Corp., 2.450%, 11/28/2016, 144A		7,883,480
				48,187,284
		Belgium – 3.6%
	4,100,000	Barry Callebaut Services NV, 5.500%, 6/15/2023, 144A		4,182,000
	29,000,000	Belgium Government Bond, 2.250%, 6/22/2023, (EUR)		38,868,976
	27,875,000	Belgium Government Bond, 3.500%, 6/28/2017, 144A, (EUR)(b)		41,864,633
				84,915,609
		Bermuda – 0.2%
	4,975,000	Global Container Assets Ltd., Series 2013-1A, Class A2, 3.300%, 11/05/2028, 144A		4,938,036
		Brazil – 1.7%
	5,000,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		5,200,000
	11,189,176	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		4,553,182
	3,865,000	Itau Unibanco Holding S.A., 5.650%, 3/19/2022, 144A		3,729,725
	5,967,900	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		6,117,097
	12,535,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		4,781,816
	5,400,000	Petrobras International Finance Co., EMTN, 6.250%, 12/14/2026, (GBP)		9,243,569
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,596,164
	3,600,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,717,911
				39,939,464
		Canada – 6.3%
	5,500,000	Canadian Government, 2.750%, 6/01/2022, (CAD)		5,212,483

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Canada – continued
	39,775,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(b)	$	38,770,000
	4,734,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,548,072
	472,003	Ford Auto Securitization Trust, Series 2013-R1A, Class A1, 1.485%, 12/15/2014, 144A, (CAD)		444,365
	5,300,000	Ford Auto Securitization Trust, Series 2013-R1A, Class A2, 1.676%, 9/15/2016, 144A, (CAD)		4,992,952
	2,870,000	Ford Auto Securitization Trust, Series 2013-R4A, Class A2, 1.824%, 7/15/2017, 144A, (CAD)		2,707,432
	3,100,000	Master Credit Card Trust II, Series 2012-2A, Class C, 1.970%, 4/21/2017, 144A		3,105,270
	12,805,000	Province of Alberta Canada, 4.000%, 12/01/2019, (CAD)		13,025,238
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)		7,303,516
	9,400,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		9,390,000
	6,086,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		9,523,893
	9,992,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		14,680,097
	11,944,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)(b)		17,033,562
	6,280,000	SCG Hotel Issuer, Inc., Series 2013-CWPA, Class A2, 3.442%, 10/12/2018, 144A, (CAD)		5,969,385
	8,629,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,067,172
	4,995,000	Talisman Energy, Inc., 5.500%, 5/15/2042		4,704,770
				150,478,207
		Chile – 0.4%
	8,900,000	Corp Nacional del Cobre de Chile, 4.500%, 8/13/2023, 144A		8,861,330
		China – 0.1%
	2,500,000	Baidu, Inc., 3.250%, 8/06/2018		2,526,995
		Czech Republic – 0.3%
	6,000,000	CEZ AS, 4.250%, 4/03/2022, 144A		5,993,676
		Denmark – 0.4%
	4,200,000	Carlsberg Breweries A/S, EMTN, 2.625%, 11/15/2022, (EUR)		5,620,604
	3,179,000	TDC A/S, EMTN, 4.375%, 2/23/2018, (EUR)		4,825,894
				10,446,498
		Finland – 1.0%
	18,970,000	Finland Government Bond, 1.500%, 4/15/2023, 144A, (EUR)		24,718,312

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		France – 1.1%
	2,370,000	AXA S.A., 7.125%, 12/15/2020, (GBP)	$	4,588,973
	1,800,000	AXA S.A., EMTN, 5.125%, 7/04/2043, (EUR)(c)		2,597,992
	3,135,000	BNP Paribas S.A., EMTN, 5.750%, 1/24/2022, (GBP)		5,657,124
	4,000,000	Bouygues S.A., 3.641%, 10/29/2019, (EUR)		5,927,746
	6,676,000	Pernod Ricard S.A., 4.450%, 1/15/2022, 144A		6,753,134
				25,524,969
		Germany – 9.7%
	52,494,209	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b)		80,846,164
	43,505,000	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)(b)		72,390,190
	42,050,000	Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)(b)		65,299,001
	1,035,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		11,590,909
	800,000	Muenchener Rueckversicherungs AG, EMTN, 6.000%, 5/26/2041, (EUR)(c)		1,272,937
				231,399,201
		Indonesia – 0.1%
	4,000,000	Pertamina Persero PT, 5.625%, 5/20/2043, 144A		3,170,000
		Ireland – 0.1%
	1,700,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 5.000%, 11/15/2022, (EUR)		2,326,995
		Italy – 1.2%
	2,300,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		3,568,905
	8,935,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)		11,296,699
	4,751,000	Republic of Italy, 6.875%, 9/27/2023		5,631,759
	1,870,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,692,350
	915,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		880,688
	4,000,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,351,270
				29,421,671
		Japan – 11.2%
	3,938,500,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		37,510,108
	1,923,550,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		19,185,050
	12,336,100,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		123,358,891

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Japan – continued
	3,020,000,000	Japan Government Ten Year Bond, 1.700%, 3/20/2017, (JPY)	$	30,093,063
	1,540,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		16,648,978
	3,366,450,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		35,702,751
	2,000,000	Softbank Corp., 4.625%, 4/15/2020, 144A, (EUR)		2,841,243
				265,340,084
		Korea – 1.4%
	56,100,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		9,088,740
	440,500,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,279,408
	4,851,932	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.165%, 9/20/2016, 144A(c)		4,818,939
	8,538,000	Korea Finance Corp., 4.625%, 11/16/2021		9,015,411
				33,202,498
		Luxembourg – 0.7%
	8,575,000	ArcelorMittal, 6.000%, 3/01/2021		9,089,500
	4,150,000	Holcim US Finance Sarl & Cie SCS, 5.150%, 9/12/2023, 144A		4,261,124
	2,905,000	INEOS Group Holdings S.A., 6.500%, 8/15/2018, (EUR)		4,096,317
				17,446,941
		Malaysia – 2.2%
	175,375,000	Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)(b)		52,865,376
		Mexico – 3.6%
	7,564,986(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		59,444,862
	1,050,500(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)		8,133,621
	925,000(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		7,624,596
	1,247,129(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		10,623,974
				85,827,053
		Namibia – 0.2%
	3,588,000	Namibia International Bonds, 5.500%, 11/03/2021, 144A		3,659,760
		Netherlands – 1.1%
	4,000,000	Allianz Finance II BV, EMTN, 5.750%, 7/08/2041, (EUR)(c)		6,170,892
	4,400,000	Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A		4,040,960

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Netherlands – continued
$	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A	$	3,069,232
	9,270,000	Netherlands Government Bond, 2.250%, 7/15/2022, 144A, (EUR)		12,976,391
				26,257,475
		Norway – 2.5%
	136,200,000	Norway Government Bond, 4.250%, 5/19/2017, (NOK)		24,203,777
	185,925,000	Norway Government Bond, 4.500%, 5/22/2019, (NOK)(b)		33,927,719
				58,131,496
		Philippines – 0.4%
	100,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		2,382,696
	259,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		6,185,771
				8,568,467
		Poland – 1.1%
	45,820,000	Poland Government Bond, 4.750%, 4/25/2017, (PLN)(b)		15,819,089
	5,360,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		6,126,401
	4,145,000	Poland Government International Bond, 3.000%, 3/17/2023		3,774,023
				25,719,513
		South Africa – 0.5%
	127,260,000	Transnet SOC Ltd., 9.500%, 5/13/2021, 144A, (ZAR)		11,984,786
		Spain – 3.1%
	1,000,000	Banco Popular Espanol S.A., EMTN, 4.125%, 3/30/2017, (EUR)		1,451,726
	1,600,000	Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP)		2,883,928
	2,600,000	Iberdrola Finanzas SAU, EMTN, 7.375%, 1/29/2024, (GBP)		5,078,904
	35,030,000	Spain Government Bond, 5.850%, 1/31/2022, (EUR)(b)		54,691,681
	2,830,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		3,006,476
	3,095,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		3,265,668
	950,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,047,223
	1,817,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,028,777
				74,454,383

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supranationals – 0.8%
	15,870,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)(b)	$	19,295,557
		Sweden – 0.3%
	5,800,000	Nordea Bank AB, 4.250%, 9/21/2022, 144A		5,734,866
		Thailand – 0.5%
	391,075,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)		11,997,672
		Turkey – 0.6%
	18,870,000	Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)		7,504,543
	2,400,000	Arcelik AS, 5.000%, 4/03/2023, 144A		2,071,200
	11,400,000	Turkey Government Bond, 9.000%, 3/05/2014, (TRY)		5,311,265
				14,887,008
		United Arab Emirates – 0.2%
	4,996,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,389,435
		United Kingdom – 6.5%
	1,100,000	Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)		1,676,312
	3,203,000	Bank of Scotland PLC, EMTN, 4.875%, 11/08/2016, (GBP)		5,783,723
	891,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		996,123
	4,078,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		7,051,161
	1,200,000	BG Energy Capital PLC, 4.000%, 10/15/2021, 144A		1,230,985
	3,906,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,132,896
	3,175,000	HSBC Holdings PLC, 4.000%, 3/30/2022		3,263,421
	3,500,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)		6,171,383
	4,360,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,956,186
	4,595,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		4,696,095
	9,250,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A		8,579,578
	3,520,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)		5,922,265
	5,516,209	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)(b)		9,984,720
	8,065,917	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		14,657,702
	15,013,827	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)(b)		28,349,062

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United Kingdom – continued
	22,450,599	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b)	$	43,499,027
	3,800,000	Vedanta Resources PLC, 6.000%, 1/31/2019, 144A		3,676,500
				154,627,139
		United States – 30.2%
	5,950,000	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		5,930,097
	4,320,000	A10 Securitization LLC, Series 2013-2, Class A, 2.620%, 11/15/2027, 144A		4,299,661
	975,000	AES Corp., 4.875%, 5/15/2023		911,625
	265,000	Alcoa, Inc., 5.870%, 2/23/2022		273,522
	5,145,000	Alcoa, Inc., 5.900%, 2/01/2027		5,041,215
	3,445,000	Ally Financial, Inc., 3.500%, 7/18/2016		3,554,703
	6,515,000	Ally Financial, Inc., 4.750%, 9/10/2018		6,816,319
	3,246,126	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,434,044
	4,700,000	Altria Group, Inc., 4.000%, 1/31/2024		4,593,846
	7,100,000	American Airlines Pass Through Trust, Series 2013-2, Class A, 4.950%, 7/15/2024, 144A		7,401,750
	5,550,000	American International Group, Inc., 4.875%, 6/01/2022		5,965,268
	2,705,000	Apache Corp., 4.250%, 1/15/2044		2,431,979
	800,000	Apache Corp., 4.750%, 4/15/2043		775,957
	6,040,000	Apple, Inc., 1.000%, 5/03/2018		5,840,360
	1,982,486	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		1,980,632
	5,137,000	Avnet, Inc., 5.875%, 6/15/2020		5,511,929
	6,283,000	Ball Corp., 4.000%, 11/15/2023		5,623,285
	13,455,000	Bank of America Corp., 4.100%, 7/24/2023		13,512,090
	2,608,747	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 8/15/2017, 144A		2,605,426
	7,267,000	Capital One Bank USA NA, 3.375%, 2/15/2023		6,755,985
	5,750,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.715%, 8/17/2017, (EUR)(c)		7,893,098
	3,200,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.715%, 8/17/2017, (EUR)(c)		4,392,681
	7,501,781	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		7,547,924
	6,480,000	CGBAM Commercial Mortgage Trust, Series 2013-BREH, Class A2, 1.267%, 5/15/2030, 144A(c)		6,484,050

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	3,185,000	Chevron Corp., 1.718%, 6/24/2018	$	3,172,980
	4,102,000	CHS/Community Health Systems, Inc., 5.125%, 8/15/2018		4,235,315
	7,360,000	Citigroup Commercial Mortgage Trust, 3.251%, 5/10/2035, 144A		6,911,540
	4,000,000	Citigroup, Inc., 1.700%, 7/25/2016		4,037,688
	9,900,000	Citigroup, Inc., 3.375%, 3/01/2023		9,410,098
	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A		2,443,147
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,538,500
	370,696	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		391,547
	181,095	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		193,318
	3,124,253	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,413,247
	1,907,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,933,221
	6,975,000	Corning, Inc., 4.700%, 3/15/2037		6,780,816
	5,278,155	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		5,427,030
	5,000,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		5,014,045
	1,750,000	Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A, 1.210%, 10/15/2020, 144A		1,751,213
	5,722,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		5,903,199
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,463,791
	1,885,000	CSMC Series, Series 2010-RR1, Class 2B, 5.695%, 9/15/2040, 144A		2,037,789
	2,650,000	Cytec Industries, Inc., 3.500%, 4/01/2023		2,435,043
	4,500,000	Del Coronado Trust, Series 2013-HDC, Class A, 0.967%, 3/15/2026, 144A(c)		4,479,062
	4,873,399	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		5,494,757
	5,350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		5,357,335
	3,708,604	Exeter Automobile Receivables Trust, Series 2013-2A, Class A, 1.490%, 11/15/2017, 144A		3,721,992
	5,470,000	Extended Stay America Trust, Series 2013-ESH5, Class A15, 1.278%, 12/05/2031, 144A		5,362,241
	5,700,000	Extended Stay America Trust, Series 2013-ESH7, Class A17, 2.295%, 12/05/2031, 144A		5,611,080
	16,200,000	FHLMC Multifamily Structured Pass Through Certificates, 1.426%, 8/25/2017(b)		16,250,868
	3,900,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,882,064

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	3,428,975	Flagship Credit Auto Trust, Series 2013-2, Class A, 1.940%, 1/15/2019, 144A	$	3,428,690
	34,385,000	FNMA (TBA), 2.500%, 1/01/2029(d)		34,030,405
	5,575,000	FNMA (TBA), 3.000%, 1/01/2029(d)		5,689,331
	37,520,000	FNMA (TBA), 3.000%, 1/01/2044(d)		35,617,620
	60,640,000	FNMA (TBA), 3.500%, 1/01/2044(d)		60,237,314
	4,723,000	Ford Motor Credit Co. LLC, 4.207%, 4/15/2016		5,032,536
	5,000,000	Ford Motor Credit Co. LLC, 4.375%, 8/06/2023		5,026,795
	50,000,000	General Electric Capital Corp., EMTN, 4.208%, 12/06/2021, (SEK)		7,952,572
	5,620,000	Glencore Funding LLC, 2.500%, 1/15/2019, 144A		5,441,947
	2,000,000	Goldman Sachs Group, Inc. (The), 2.900%, 7/19/2018		2,035,348
	3,660,000	Goldman Sachs Group, Inc. (The), 5.750%, 1/24/2022		4,120,018
	4,668,785	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		5,213,926
	707,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		776,600
	8,327,514	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.804%, 8/10/2045		9,144,177
	6,000,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class B, 1.618%, 11/08/2029, 144A(c)		5,977,926
	5,805,000	Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A		5,616,338
	3,311,000	HCA, Inc., 4.750%, 5/01/2023		3,112,340
	577,000	HCA, Inc., 7.690%, 6/15/2025		602,965
	567,000	HCA, Inc., MTN, 7.580%, 9/15/2025		588,263
	566,667	Hertz Vehicle Financing LLC, Series 2010-1A, Class B1, 5.020%, 2/25/2015, 144A		569,093
	4,130,124	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A		4,127,134
	3,179,000	Host Hotels & Resorts LP, 4.750%, 3/01/2023		3,200,604
	5,485,000	Host Hotels & Resorts LP, 5.250%, 3/15/2022		5,717,915
	5,177,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,534,555
	3,829,000	Hyatt Hotels Corp., 5.375%, 8/15/2021		4,097,585
	5,800,000	Hyundai Capital America, 4.000%, 6/08/2017, 144A		6,107,035
	3,028,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		3,313,952

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	5,500,000	International Lease Finance Corp., 5.875%, 8/15/2022	$	5,486,250
	4,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		4,961,325
	5,720,000	Johnson & Johnson, 4.375%, 12/05/2033		5,757,237
	7,935,000	JPMorgan Chase & Co., 3.250%, 9/23/2022		7,604,277
	6,454,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,937,785
	4,000,000	JPMorgan Chase & Co., 4.500%, 1/24/2022		4,230,924
	6,000,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWRZ, Class A, 0.947%, 4/15/2030, 144A(c)		5,972,514
	2,168,611	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.102%, 9/26/2035, 144A(c)		2,174,323
	3,950,000	KB Home, 7.000%, 12/15/2021		4,117,875
	2,460,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		2,583,000
	3,580,000	Liberty Mutual Group Inc., 4.250%, 6/15/2023, 144A		3,456,601
	3,004,493	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A		3,070,742
	4,723,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 0.525%, 3/19/2018, (EUR)(c)		6,441,609
	4,250,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		3,986,657
	2,600,000	Morgan Stanley, 3.750%, 2/25/2023		2,529,969
	1,100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		1,234,829
	6,000,000	Morgan Stanley, GMTN, 5.500%, 7/28/2021		6,704,748
	4,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.804%, 8/12/2045, 144A(c)		4,806,265
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.804%, 8/15/2045, 144A(c)		1,638,450
	6,300,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		6,239,060
	2,100,000	Newfield Exploration Co., 5.625%, 7/01/2024		2,089,500
	4,980,000	Noble Energy, Inc., 5.250%, 11/15/2043		4,975,931
	2,670,000	RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A(c)		2,886,131
	17,376	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		17,411
	4,000,000	Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017		4,116,620
	2,945,000	Sealed Air Corp., 5.250%, 4/01/2023, 144A		2,864,013
	7,740,281	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		7,029,901

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	5,033,685	SNAAC Auto Receivables Trust, Series 2013-1A, Class A, 1.140%, 7/16/2018, 144A	$	5,029,628
	8,000,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		8,120,000
	9,790,000	Sprint Communications, Inc., 6.000%, 11/15/2022		9,545,250
	2,614,019	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		2,606,439
	3,579,917	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A		3,557,392
	1,000,000	Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP)		1,307,339
	10,133,679	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		10,378,762
	13,970,000	U.S. Treasury Bond, 2.875%, 5/15/2043(e)		11,322,252
	24,070,000	U.S. Treasury Note, 0.875%, 4/30/2017		23,998,536
	9,695,000	U.S. Treasury Note, 1.375%, 5/31/2020(e)		9,188,281
	3,885,000	U.S. Treasury Note, 1.625%, 11/15/2022		3,506,819
	6,325,000	US Airways Pass Through Trust, Series 2013-1, Class A, 3.950%, 5/15/2027		6,151,062
	2,585,000	Verizon Communications, Inc., 2.500%, 9/15/2016		2,672,983
	3,775,000	Verizon Communications, Inc., 6.400%, 9/15/2033		4,341,707
	3,895,000	Verizon Communications, Inc., 6.550%, 9/15/2043		4,556,990
	1,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		1,264,658
	6,272,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		6,798,108
	5,130,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		5,245,425
	3,165,000	WM Wrigley Jr. Co., 2.900%, 10/21/2019, 144A		3,138,835
	2,907,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		4,168,011
				717,355,780
		Total Non-Convertible Bonds (Identified Cost $2,310,402,593)		2,265,593,536
Convertible Bonds – 0.7%
		United States – 0.7%
	4,882,000	Ciena Corp., 0.875%, 6/15/2017		4,991,845
	6,065,000	Intel Corp., 2.950%, 12/15/2035		6,792,800
	5,985,000	Peabody Energy Corp., 4.750%, 12/15/2066		4,731,890

Bonds and Notes – continued
Convertible Bonds – continued
		Total Convertible Bonds (Identified Cost $15,590,595)		16,516,535
		Total Bonds and Notes (Identified Cost $2,325,993,188)		2,282,110,071
Shares		Description	Value (†)
Preferred Stocks – 0.6%
Non-Convertible Preferred Stock – 0.2%
		United States – 0.2%
	288,058	PNC Financial Services Group, Inc. (The), 5.375% (Identified Cost $7,201,450)	$	5,792,846
Convertible Preferred Stocks – 0.4%
		United States – 0.4%
	71,703	Dominion Resources, Inc., Series A, 6.125%		3,880,567
	46,039	Dominion Resources, Inc., Series B, 6.000%		2,495,774
	46,158	iStar Financial, Inc., Series J, 4.500%		2,861,796
				9,238,137
		Total Convertible Preferred Stocks (Identified Cost $8,342,749)		9,238,137
		Total Preferred Stocks (Identified Cost $15,544,199)		15,030,983
Short-Term Investments – 6.0%
	$15,072,317	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $15,072,317 on 1/02/2014 collateralized by $1,145,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $1,238,031; $14,080,000 U.S. Treasury Note, 0.625% due 7/15/2016 valued at $14,136,672 including accrued interest(f)		15,072,317
	128,680,000	U.S. Treasury Bills, 0.058%(b)(g)		128,678,070
		Total Short-Term Investments (Identified Cost $143,744,919)		143,750,387
		Total Investments – 102.6% (Identified Cost $2,485,282,306)(a)		2,440,891,441
		Other assets less liabilities – (2.6)%		(62,464,137	)
		Net Assets – 100.0%	$	2,378,427,304

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized depreciation on investments based on a cost of $2,499,800,975 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	$	47,937,671
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(106,847,205	)
Net unrealized depreciation	$	(58,909,534	)

(b) All 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 December 31, 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) 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) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(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 December 31, 2013, the value of Rule 144A holdings amounted to $485,666,337 or 20.4% 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

PHP Philippine Peso

PLN Polish Zloty

SEK Swedish Krona

THB Thailand Baht

TRY Turkish Lira

ZAR South African Rand

Forward Foreign Currency Contracts

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

At December 31, 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)
Buy1		2/28/2014	Australian Dollar		24,000,000	$	21,350,800	$	23,056
Sell1		2/28/2014	Australian Dollar		29,320,000		26,083,561		839,236
Buy2		1/03/2014	Brazilian Real		29,850,000		12,652,326		(49,802	)
Sell2		1/03/2014	Brazilian Real		29,850,000		12,652,326		278,148
Sell2		2/04/2014	Brazilian Real		29,850,000		12,550,674		44,263
Sell2		3/27/2014	British Pound		13,800,000		22,838,558		(294,326	)
Sell1		3/05/2014	Canadian Dollar		37,810,000		35,540,613		201,931
Buy1		3/19/2014	Chilean Peso		6,250,000,000		11,794,319		55,026
Sell3		2/18/2014	Japanese Yen		7,400,000,000		70,283,020		2,498,941
Buy4		3/20/2014	Malaysian Ringgit		62,652,000		19,039,558		(264,709	)
Sell2		3/19/2014	Mexican Peso		160,000,000		12,180,702		85,474
Buy2		1/31/2014	New Zealand Dollar		27,310,000		22,420,259		67,570
Sell2		1/31/2014	New Zealand Dollar		27,310,000		22,420,259		224,101
Buy2		3/17/2014	Philippine Peso		210,000,000		4,736,611		(20,979	)
Buy1		3/11/2014	South Korean Won		24,975,000,000		23,564,046		127,645
Buy2		3/11/2014	South Korean Won		18,476,000,000		17,432,204		86,291
Sell5		3/19/2014	Swiss Franc		9,760,000		10,947,564		59,863
Sell2		3/24/2014	Thai Baht		271,300,000		8,226,121		155,096
Sell1		3/17/2014	Turkish Lira		30,495,000		13,969,129		800,571
Total								$	4,917,396

At December 31, 2013, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
4/07/2014	Japanese Yen	1,987,368,000	Singapore Dollar2	24,000,000		138,693
1/06/2014	Japanese Yen	1,891,560,000	Singapore Dollar2	24,000,000		1,056,345
3/04/2014	Malaysian Ringgit	240,070,000	Japanese Yen1	7,536,757,580		(1,439,137	)
1/06/2014	Singapore Dollar	24,000,000	Japanese Yen2	1,988,160,000		(139,053	)
3/24/2014	South Korean Won	13,000,000,000	Japanese Yen1	1,263,792,349		(251,255	)
3/19/2014	Swedish Krona	50,000,000	Euro2	5,590,953		(72,476	)
Total					$	(706,883	)

¹ Counterparty is Credit Suisse International.

² Counterparty is Barclays Bank PLC.

³ Counterparty is Bank of America, N.A.

⁴ Counterparty is JP Morgan Chase Bank, N.A.

⁵ Counterparty is UBS AG.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity group or index of securities, commodities, currencies or other assets 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 a 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’s 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 December 31, 2013, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/20/2014		93	$	12,671,250	$	(197,069	)

At December 31, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2014		800	$	102,650,000	$	1,761,036

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	43,439,344	$	4,747,940	(a)	$	48,187,284
Bermuda		—		—		4,938,036	(a)		4,938,036
Canada		—		147,372,937		3,105,270	(a)		150,478,207
Korea		—		28,383,559		4,818,939	(a)		33,202,498
United States		—		659,282,105		58,073,675	(a)		717,355,780
All Other Non-Convertible Bonds*		—		1,311,431,731		—			1,311,431,731
Total Non-Convertible Bonds		—		2,189,909,676		75,683,860			2,265,593,536
Convertible Bonds*		—		16,516,535		—			16,516,535
Total Bonds and Notes		—		2,206,426,211		75,683,860			2,282,110,071
Preferred Stocks
Non-Convertible Preferred Stock*		5,792,846		—		—			5,792,846
Convertible Preferred Stocks*		6,376,341		2,861,796		—			9,238,137
Total Preferred Stocks		12,169,187		2,861,796		—			15,030,983
Short-Term Investments		—		143,750,387		—			143,750,387
Total Investments		12,169,187		2,353,038,394		75,683,860			2,440,891,441
Forward Foreign Currency Contracts (unrealized appreciation)		—		6,742,250		—			6,742,250
Futures Contracts (unrealized appreciation)		1,761,036		—		—			1,761,036
Total	$	13,930,223	$	2,359,780,644	$	75,683,860		$	2,449,394,727

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,531,737	)	$	—	$	(2,531,737	)
Futures Contracts (unrealized depreciation)		(197,069	)		—			—		(197,069	)
Total	$	(197,069	)	$	(2,531,737	)	$	—	$	(2,728,806	)

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

(a) Valued using broker-dealer bid prices.

A preferred stock valued at $2,556,230 was transferred from Level 1 to Level 2 during the period ended December 31, 2013. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
Australia	$	11,404,460	$	—	$	36,069	$	(57,527	)	$	—	$	(6,635,062	)	$	—	$	—		$	4,747,940	$	(16,920	)
Bermuda		—		—		—		(18,172	)		4,956,208		—			—		—			4,938,036		(18,172	)
Canada		12,065,180		—		—		(1,550	)		—		—			—		(8,958,360	)		3,105,270		(1,550	)
Korea		6,377,211		—		7,001		24,422			—		(1,589,695	)		—		—			4,818,939		15,526
United States		56,875,089		5,402		2,373		1,191,675			951,250		(952,114	)		—		—			58,073,675		1,206,662
Total	$	86,721,940	$	5,402	$	45,443	$	1,138,848		$	5,907,458	$	(9,176,871	)	$	—	$	(8,958,360	)	$	75,683,860	$	1,185,546

Debt securities valued at $8,958,360 were transferred from Level 3 to Level 2 during the period ended December 31, 2013. At December 31, 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 December 31, 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 December 31, 2013, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2013:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation  on futures contracts		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	6,742,250	$	—	$	6,742,250
Exchange traded/cleared asset derivatives
Interest rate contracts		—		1,761,036		1,761,036
Total asset derivatives	$	6,742,250	$	1,761,036	$	8,503,286

Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,531,737	)	$	—		$	(2,531,737	)
Exchange traded/cleared liability derivatives
Interest rate contracts		—			(197,069	)		(197,069	)
Total liability derivatives	$	(2,531,737	)	$	(197,069	)	$	(2,728,806	)

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.

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 December 31, 2013, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
JP Morgan Chase Bank, N.A.	$	(264,709	)	$	320,135

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

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 for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of December 31, 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 $12,109,113 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $6,106,725.

These amounts include the value of cash and U.S. government and agency securities received as collateral by the Fund in the amount of $4,404,765. 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.

Industry Summary at December 31, 2013 (Unaudited)

Treasuries	46.1	%
Banking	6.7
Mortgage Related	5.6
Commercial Mortgage-Backed Securities	4.7
Local Authorities	4.4
Government Owned - No Guarantee	3.4
ABS Car Loan	2.5
Other Investments, less than 2% each	23.2
Short-Term Investments	6.0
Total Investments	102.6
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	(2.6	)
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2013 (Unaudited)

United States Dollar	43.8	%
Euro	21.2
Japanese Yen	11.6
British Pound	6.8
Canadian Dollar	4.3
Mexican Peso	3.6
Norwegian Krone	2.5
Malaysian Ringgit	2.2
Other, less than 2% each	6.6
Total Investments	102.6
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	(2.6	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles High Income Opportunities Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 90.0% of Net Assets
Non-Convertible Bonds – 77.0%
		ABS Car Loan – 1.1%
$	275,000	Ford Credit Auto Owner Trust, Series 2013-D, Class A3, 0.670%, 4/15/2018	$	274,582
	619,000	Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017		619,482
				894,064
		ABS Credit Card – 0.7%
	115,000	American Express Issuance Trust II, Series 2013-2, Class A, 0.597%, 8/15/2019(b)		115,326
	355,000	Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019		353,245
	100,000	Chase Issuance Trust, Series 2013-A3, Class A3, 0.447%, 4/15/2020(b)		99,633
				568,204
		ABS Home Equity – 4.0%
	101,261	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.849%, 9/25/2045(b)		93,148
	148,678	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		150,342
	115,707	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		115,958
	58,553	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-9, Class 12A3, 2.858%, 11/25/2034(b)		56,930
	277,173	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		266,415
	132,997	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.375%, 5/25/2035(b)		111,277
	69,593	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		62,509
	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		77,462
	263,013	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.645%, 4/25/2035(b)		194,936
	20,366	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035		20,300
	138,113	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.505%, 3/25/2035(b)		100,674
	183,894	Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037		165,320
	29,619	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		30,136
	154,792	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.881%, 6/19/2035(b)		152,137
	142,781	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.102%, 7/19/2035(b)		130,320
	120,325	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.742%, 12/25/2034(b)		118,871
	225,000	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(b)		220,030

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	161,507	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.805%, 7/25/2045(b)	$	151,394
	171,595	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.665%, 1/25/2036(b)(c)		118,901
	240,797	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.325%, 1/25/2047(b)		172,737
	122,225	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		122,840
	176,163	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		185,948
	163,195	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.463%, 9/25/2046(b)		154,929
	272,268	Washington Mutual Mortgage Pass Through Certificates, Series 2006-AR6, Class 2A, 1.099%, 8/25/2046(b)		180,871
				3,154,385
		ABS Other – 0.2%
	117,584	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		126,562
		Aerospace & Defense – 1.8%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		889,425
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		169,261
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		375,215
				1,433,901
		Airlines – 2.9%
	390,000	American Airlines Pass Through Trust, Series 2013-2, Class B, 5.600%, 1/15/2022, 144A		393,900
	200,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		204,048
	110,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		114,950
	8,927	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		9,379
	50,160	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		53,295
	3,772	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,984
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		27,678
	168,187	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		189,631
	451,403	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		507,828
	254,504	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		275,500
	336,785	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		355,308

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	69,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	70,200
	110,000	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		109,887
				2,315,588
		Automotive – 2.0%
	165,000	Ford Motor Co., 6.625%, 2/15/2028		179,555
	35,000	Ford Motor Co., 7.125%, 11/15/2025		40,821
	110,000	Ford Motor Co., 7.500%, 8/01/2026		130,266
	720,000	General Motors Co., 4.875%, 10/02/2023, 144A		729,000
	40,000	General Motors Co., 6.250%, 10/02/2043, 144A		41,550
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		320,000
	175,000	Lear Corp., 4.750%, 1/15/2023, 144A		164,062
				1,605,254
		Banking – 2.0%
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		69,900
	401,000	Ally Financial, Inc., 8.000%, 11/01/2031		479,696
	435,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		492,040
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		411,463
	145,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		146,033
				1,599,132
		Brokerage – 0.9%
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		135,100
	515,000	Jefferies Group LLC, 6.450%, 6/08/2027		535,122
				670,222
		Building Materials – 1.6%
	320,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A		334,400
	138,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		143,520
	60,000	HD Supply, Inc., 7.500%, 7/15/2020		64,650
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		159,500
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		174,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Building Materials – continued
$	206,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018	$	219,390
	110,000	USG Corp., 5.875%, 11/01/2021, 144A		114,400
	15,000	USG Corp., 9.750%, 1/15/2018		17,737
				1,228,097
		Chemicals – 3.2%
	310,000	Chemtura Corp., 5.750%, 7/15/2021		314,262
	200,000	Eagle Spinco, Inc., 4.625%, 2/15/2021, 144A		196,000
	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		14,963
	235,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		269,956
	195,000	PetroLogistics LP/PetroLogistics Finance Corp., 6.250%, 4/01/2020, 144A		195,487
	190,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		201,875
	590,000	Tronox Finance LLC, 6.375%, 8/15/2020		601,800
	150,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		159,938
				2,541,531
		Collateralized Mortgage Obligations – 0.0%
	35,740	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.652%, 1/25/2036(b)		33,809
		Commercial Mortgage-Backed Securities – 0.6%
	90,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(b)		91,444
	135,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(b)		135,765
	250,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.597%, 4/12/2049(b)		272,799
				500,008
		Construction Machinery – 0.5%
	335,000	United Rentals North America, Inc., 7.625%, 4/15/2022		372,269
		Consumer Cyclical Services – 0.7%
	100,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		99,125
	220,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		185,900
	225,000	ServiceMaster Co. (The), 8.000%, 2/15/2020		229,500
				514,525

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Consumer Products – 0.4%
$	340,000	Visant Corp., 10.000%, 10/01/2017	$	329,800
		Electric – 2.8%
	385,000	AES Corp., 4.875%, 5/15/2023		359,975
	190,000	Calpine Corp., 6.000%, 1/15/2022, 144A		194,750
	37,180	CE Generation LLC, 7.416%, 12/15/2018		36,669
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		287,740
	290,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		315,336
	1,073,116	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250% (12.250% PIK), 12/01/2018, 144A(d)		745,816
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		281,160
				2,221,446
		Entertainment – 0.1%
	33,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		34,898
		Financial Other – 0.3%
	258,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		260,580
		Food & Beverage – 0.9%
	260,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		278,850
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		439,900
				718,750
		Gaming – 1.2%
	230,000	MGM Resorts International, 7.500%, 6/01/2016		257,600
	630,000	MGM Resorts International, 7.625%, 1/15/2017		716,625
				974,225
		Healthcare – 4.0%
	185,000	DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018		198,875
	185,000	HCA Holdings, Inc., 6.250%, 2/15/2021		193,556
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021		5,463
	430,000	HCA, Inc., 7.050%, 12/01/2027		423,550
	35,000	HCA, Inc., 7.500%, 12/15/2023		37,800
	790,000	HCA, Inc., 7.500%, 11/06/2033		790,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	40,000	HCA, Inc., 7.690%, 6/15/2025	$	41,800
	40,000	HCA, Inc., 8.360%, 4/15/2024		44,000
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		212,687
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		19,900
	140,000	LifePoint Hospitals, Inc., 5.500%, 12/01/2021, 144A		140,525
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		848,250
	166,000	WellCare Health Plans, Inc., 5.750%, 11/15/2020		169,735
				3,126,141
		Home Construction – 4.5%
	250,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		250,000
	25,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		26,750
	75,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		80,250
	200,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)		28,000
	470,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(e)		52,875
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		232,700
	260,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		285,350
	355,000	KB Home, 7.250%, 6/15/2018		391,387
	305,000	KB Home, 8.000%, 3/15/2020		337,025
	385,000	Lennar Corp., 4.750%, 11/15/2022		357,088
	215,000	Lennar Corp., 6.950%, 6/01/2018		241,875
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		610,200
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		447,975
	160,000	Standard Pacific Corp., 8.375%, 1/15/2021		186,400
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(e)		29,000
				3,556,875
		Independent Energy – 5.9%
	340,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		379,950
	145,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		163,850

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Independent Energy – continued
$	91,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A	$	62,563
	115,000	Continental Resources, Inc., 4.500%, 4/15/2023		116,581
	105,000	Halcon Resources Corp., 8.875%, 5/15/2021		106,050
	215,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		216,344
	20,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		20,250
	554,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022, 144A		587,240
	400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(e)		32,000
	750,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(e)		60,000
	375,000	QEP Resources, Inc., 5.250%, 5/01/2023		351,562
	375,000	Range Resources Corp., 5.000%, 8/15/2022		368,437
	180,000	Rex Energy Corp., 8.875%, 12/01/2020		197,100
	660,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		655,050
	110,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		111,650
	380,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		402,800
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		781,425
				4,612,852
		Industrial Other – 0.2%
	130,000	Dematic S.A./DH Services Luxembourg S.a.r.l., 7.750%, 12/15/2020, 144A		138,125
		Integrated Energy – 0.5%
	400,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A		403,000
		Life Insurance – 0.6%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		447,700
		Lodging – 0.5%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023		375,375
		Media Cable – 2.1%
	215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		199,412
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		65,363
	230,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023, 144A		217,925

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Media Cable – continued
$	30,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024	$	28,350
	430,000	CSC Holdings LLC, 7.625%, 7/15/2018		491,812
	380,000	DISH DBS Corp., 5.125%, 5/01/2020		380,950
	200,000	Quebecor Media, Inc., 5.750%, 1/15/2023		193,500
	60,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		45,454
	45,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		37,288
				1,660,054
		Media Non-Cable – 2.2%
	30,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		28,800
	405,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		425,756
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		86,169
	230,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		234,888
	50,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		53,125
	335,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		359,287
	230,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		246,675
	180,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		193,500
	85,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		97,325
				1,725,525
		Metals & Mining – 2.2%
	235,000	Alcoa, Inc., 5.900%, 2/01/2027		230,260
	50,000	Alcoa, Inc., 6.750%, 1/15/2028		52,475
	25,000	ArcelorMittal, 6.750%, 2/25/2022		27,188
	70,000	ArcelorMittal, 7.250%, 3/01/2041		66,850
	600,000	ArcelorMittal, 7.500%, 10/15/2039		589,500
	40,000	Barrick Gold Corp., 3.850%, 4/01/2022		36,025
	125,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		118,125
	210,000	Inmet Mining Corp., 7.500%, 6/01/2021, 144A		219,450
	80,000	United States Steel Corp., 6.050%, 6/01/2017		86,400

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Metals & Mining – continued
$	370,000	United States Steel Corp., 6.650%, 6/01/2037	$	318,200
				1,744,473
		Non-Captive Consumer – 1.5%
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		144,275
	215,000	SLM Corp., 5.500%, 1/25/2023		203,092
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		302,400
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		119,075
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		214,000
	110,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		120,230
	102,000	Stearns Holdings, Inc., 9.375%, 8/15/2020, 144A		104,040
				1,207,112
		Non-Captive Diversified – 1.6%
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		33,675
	30,000	CIT Group, Inc., 5.000%, 8/15/2022		29,250
	45,000	CIT Group, Inc., 5.000%, 8/01/2023		43,313
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		48,712
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		81,900
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		301,347
	195,000	iStar Financial, Inc., 4.875%, 7/01/2018		194,269
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		80,344
	55,000	iStar Financial, Inc., 7.125%, 2/15/2018		60,637
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		220,500
	125,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		131,562
				1,225,509
		Oil Field Services – 0.7%
	13,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		13,780
	485,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		540,775
				554,555

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Packaging – 1.5%
$	405,000	Ball Corp., 4.000%, 11/15/2023	$	362,475
	55,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 5.625%, 12/15/2016, 144A		56,100
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		427,000
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		111,250
	175,000	Sealed Air Corp., 6.500%, 12/01/2020, 144A		188,125
				1,144,950
		Pharmaceuticals – 1.4%
	115,000	Salix Pharmaceuticals Ltd., 6.000%, 1/15/2021, 144A		117,875
	495,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		521,606
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		403,594
	15,000	VPII Escrow Corp., 6.750%, 8/15/2018, 144A		16,481
	5,000	VPII Escrow Corp., 7.500%, 7/15/2021, 144A		5,488
				1,065,044
		Pipelines – 0.3%
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022, 144A		193,537
		Property & Casualty Insurance – 0.5%
	370,000	Hockey Merger Sub 2, Inc., 7.875%, 10/01/2021, 144A		380,175
		Refining – 0.1%
	110,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 7.625%, 1/15/2022, 144A		111,100
		REITs – Diversified – 0.5%
	390,000	DuPont Fabros Technology LP, 5.875%, 9/15/2021		402,675
		Retailers – 2.3%
	210,000	CST Brands, Inc., 5.000%, 5/01/2023		202,650
	155,000	Dillard’s, Inc., 6.625%, 1/15/2018		171,663
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		489,600
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		198,187
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		82,875

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	280,000	Foot Locker, Inc., 8.500%, 1/15/2022(f)	$	308,966
	95,000	Toys R Us, Inc., 7.375%, 10/15/2018		70,300
	275,000	William Carter Co. (The), 5.250%, 8/15/2021, 144A		279,125
				1,803,366
		Supermarkets – 1.2%
	70,000	American Stores Co., 8.000%, 6/01/2026		97,300
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,100
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		8,650
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		442,800
	400,000	SUPERVALU, Inc., 6.750%, 6/01/2021		395,000
				947,850
		Technology – 5.5%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		114,950
	1,965,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,739,025
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		253,750
	190,000	Amkor Technology, Inc., 6.375%, 10/01/2022		195,225
	590,000	Amkor Technology, Inc., 6.625%, 6/01/2021		612,125
	120,000	Audatex North America, Inc., 6.125%, 11/01/2023, 144A		123,600
	302,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		299,735
	106,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		116,202
	100,000	Equinix, Inc., 4.875%, 4/01/2020		99,500
	140,000	Equinix, Inc., 5.375%, 4/01/2023		136,850
	185,000	First Data Corp., 8.250%, 1/15/2021, 144A		196,794
	485,000	NCR Corp., 5.000%, 7/15/2022		461,356
				4,349,112
		Textile – 1.4%
	745,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		632,319
	125,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		132,500

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Textile – continued
$	320,000	Wolverine World Wide, Inc., 6.125%, 10/15/2020	$	342,400
				1,107,219
		Transportation Services – 0.8%
	185,000	APL Ltd., 8.000%, 1/15/2024(g)		173,900
	10,542	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015(f)		10,726
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h)(i)		454,817
				639,443
		Wireless – 2.7%
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A(e)		45,000
	1,276,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,202,630
	625,000	Sprint Corp., 7.875%, 9/15/2023, 144A		671,875
	170,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		172,975
				2,092,480
		Wirelines – 4.4%
	382,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(j)		354,305
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		20,350
	60,000	CenturyLink, Inc., 7.650%, 3/15/2042		53,550
	55,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		48,950
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		196,350
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		14,025
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		273,000
	465,000	Frontier Communications Corp., 7.875%, 1/15/2027		446,400
	385,000	Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A		388,850
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		440,400
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		330,750
	5,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,331
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		360,937
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		290,000
	150,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		159,354

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036	$	82,676
				3,464,228
		Total Non-Convertible Bonds (Identified Cost $60,221,358)		60,575,725
Convertible Bonds – 13.0%
		Automotive – 1.8%
	765,000	Ford Motor Co., 4.250%, 11/15/2016(k)		1,411,425
		Construction Machinery – 0.8%
	125,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		190,547
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		434,569
				625,116
		Healthcare – 0.2%
	105,000	Hologic, Inc., Series 2010, (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(j)		122,391
	10,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		10,212
				132,603
		Home Construction – 1.6%
	165,000	KB Home, 1.375%, 2/01/2019		163,866
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		27,609
	350,000	Lennar Corp., 3.250%, 11/15/2021, 144A		629,125
	310,000	Standard Pacific Corp., 1.250%, 8/01/2032		410,362
				1,230,962
		Independent Energy – 0.3%
	225,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		228,375
		Metals & Mining – 0.6%
	350,000	Peabody Energy Corp., 4.750%, 12/15/2066		276,719
	95,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		111,803
	95,000	United States Steel Corp., 2.750%, 4/01/2019		125,756
				514,278
		Oil Field Services – 0.7%
	445,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		527,603

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Pharmaceuticals – 0.4%
$	27,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	28,603
	36,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		38,498
	80,000	Mylan, Inc., 3.750%, 9/15/2015		262,300
				329,401
		REITs - Mortgage – 0.3%
	25,000	iStar Financial, Inc., 3.000%, 11/15/2016		34,125
	190,000	Redwood Trust, Inc., 4.625%, 4/15/2018		197,244
				231,369
		Retailers – 0.4%
	210,000	priceline.com, Inc., 0.350%, 6/15/2020, 144A		239,269
	55,000	priceline.com, Inc., 1.000%, 3/15/2018		75,831
				315,100
		Technology – 2.8%
	520,000	Ciena Corp., 3.750%, 10/15/2018, 144A		749,125
	40,000	Intel Corp., 2.950%, 12/15/2035		44,800
	112,045	Liberty Media LLC, 3.500%, 1/15/2031		59,244
	165,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		381,666
	879,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		865,265
	60,000	SanDisk Corp., 1.500%, 8/15/2017		88,425
	30,000	Xilinx, Inc., 2.625%, 6/15/2017		47,850
				2,236,375
		Textile – 0.4%
	235,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		322,978
		Utility Other – 0.8%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		651,750
		Wireless – 0.1%
	40,000	Clearwire Communications LLC/Clearwire Finance, Inc., 8.250%, 12/01/2040, 144A		46,000
		Wirelines – 1.8%
	436,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(f)(g)(j)(l)		58,769

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Wirelines – continued
$	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(g)	$	1,381,575
				1,440,344
		Total Convertible Bonds (Identified Cost $7,446,156)		10,243,679
		Total Bonds and Notes (Identified Cost $67,667,514)		70,819,404
Shares
Preferred Stocks – 3.5%
Non-Convertible Preferred Stocks – 1.8%
		Banking – 1.8%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		304,748
	803	Ally Financial, Inc., Series G, 7.000%, 144A		766,940
	13,577	SunTrust Banks, Inc., Series E, 5.875%		285,117
				1,356,805
		Total Non-Convertible Preferred Stocks (Identified Cost $1,061,965)		1,356,805
Convertible Preferred Stocks – 1.7%
		Electric – 0.2%
	2,211	AES Trust III, 6.750%		110,948
	836	NextEra Energy, Inc., 5.889%		47,343
				158,291
		Independent Energy – 0.1%
	90	Chesapeake Energy Corp., 5.000%		8,775
	85	Chesapeake Energy Corp., Series A, 5.750%, 144A		98,494
				107,269
		Metals & Mining – 0.2%
	3,300	ArcelorMittal, 6.000%		85,800
	4,410	Cliffs Natural Resources, Inc., 7.000%		101,254
				187,054
		Non-Captive Diversified – 0.0%
	30	Bank of America Corp., Series L, 7.250%		31,830
		Pipelines – 0.6%
	8,050	El Paso Energy Capital Trust I, 4.750%		451,846

Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		REITs - Diversified – 0.1%
	1,584	Weyerhaeuser Co., Series A, 6.375%	$	88,767
		REITs - Mortgage – 0.2%
	2,110	iStar Financial, Inc., Series J, 4.500%		130,820
		Wireless – 0.3%
	1,988	Crown Castle International Corp., Series A, 4.500%		199,545
		Total Convertible Preferred Stocks (Identified Cost $1,108,887)		1,355,422
		Total Preferred Stocks (Identified Cost $2,170,852)		2,712,227
Common Stocks – 2.9%
		Automobiles – 2.0%
	38,573	General Motors Co.(h)		1,576,478
		Diversified Telecommunication Services – 0.4%
	10	FairPoint Communications, Inc.(h)		113
	1,017	Hawaiian Telcom Holdco, Inc.(h)		29,870
	16,842	Telefonica S.A., Sponsored ADR		275,198
				305,181
		Household Durables – 0.5%
	23,775	KB Home		434,607
		Total Common Stocks (Identified Cost $1,834,882)		2,316,266
Warrants – 0.0%
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(f)(g)(h) (Identified Cost $0)		—
Principal Amount(‡)
Short-Term Investments – 2.3%
$	1,617,594	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $1,617,594 on 1/02/2014 collateralized by $1,645,000 Federal National Mortgage Association, 1.125% due 4/27/2017 valued at $1,653,225 including accrued interest(m)		1,617,594
	195,000	U.S. Treasury Bill, 0.097%, 7/24/2014(n)(o)		194,915
		Total Short-Term Investments (Identified Cost $1,812,487)		1,812,509
		Total Investments – 98.7% (Identified Cost $73,485,735)(a)		77,660,406
		Other assets less liabilities – 1.3%		1,062,757
		Net Assets – 100.0%	$	78,723,163

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

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

Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $73,599,669 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	$	7,642,306
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,581,569	)
Net unrealized appreciation	$	4,060,737

At September 30, 2013, the Fund had a short-term capital loss carryforward of $3,066,782 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 December 31, 2013 is disclosed.

(c) The issuer is making partial payments with respect to principal.

(d) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2013, the issuer paid out 100% of the interest payments in kind.

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

(f) Fair valued by the Fund’s investment adviser. At December 31, 2013, the value of these securities amounted to $833,278 or 1.1% of net assets.

(g) Illiquid security. At December 31, 2013, the value of these securities amounted to $1,614,244 or 2.1% of net assets.

(h) Non-income producing security.

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

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

(k) All of this security has been designated to cover the Fund’s obligations under open futures contracts.

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

(m) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(o) A portion of this security has been pledged as initial margin for open futures contracts.

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 December 31, 2013, the value of Rule 144A holdings amounted to $21,475,235 or 27.3% of net assets.

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

ABS Asset-Backed Securities

GMTN Global Medium Term Note

MTN Medium Term Note

PIK Payment-in-Kind

REITs Real Estate Investment Trusts

MXN Mexican Peso

USD U.S. Dollar

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 December 31, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2014		4	$	513,250	$	7,743

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	384,135	$	1,931,453	(a)	$	2,315,588
Retailers		—		1,494,400		308,966	(b)		1,803,366
Transportation Services		—		173,900		465,543	(b)		639,443
All Other Non-Convertible Bonds*		—		55,817,328		—			55,817,328
Total Non-Convertible Bonds		—		57,869,763		2,705,962			60,575,725
Convertible Bonds
Wirelines		—		1,381,575		58,769	(b)		1,440,344
All Other Convertible Bonds*		—		8,803,335		—			8,803,335
Total Convertible Bonds		—		10,184,910		58,769			10,243,679
Total Bonds and Notes		—		68,054,673		2,764,731			70,819,404
Preferred Stocks
Non-Convertible Preferred Stocks*		1,356,805		—		—			1,356,805
Convertible Preferred Stocks*		1,025,057		330,365		—			1,355,422
Total Preferred Stocks		2,381,862		330,365		—			2,712,227
Common Stocks*		2,316,266		—		—			2,316,266
Warrants**		—		—		—			—
Short-Term Investments		—		1,812,509		—			1,812,509
Total Investments		4,698,128		70,197,547		2,764,731			77,660,406
Futures Contracts (unrealized appreciation)		7,743		—		—			7,743
Total	$	4,705,871	$	70,197,547	$	2,764,731		$	77,668,149

* 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

A preferred stock valued at $116,852 was transferred from Level 1 to Level 2 during the period ended December 31, 2013. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The significant unobservable inputs used for those securities fair valued by the investment adviser and categorized in Level 3 as of December 31, 2013, were as follows:

Description	Valuation Technique(s)	Unobservable Input	Unobservable Input Value(s)	Value
Bonds and Notes
Non-Convertible Bonds
Retailers	Option Adjusted Spread Model	Option Adjusted Spread1	435.40	$	308,966
Transportation Services	Discounted Cash Flows	Discount Rate2	7.24% - 11.25%		465,543
Convertible Bonds
Wirelines	Market Conversion Price	Parity Discount Rate3	10%		58,769
Total				$	833,278

¹  Security is valued using an option adjusted spread model. The significant unobservable input used in the fair value measurement is the option adjusted spread, which is based on a market comparable company. A significant change in the option adjusted spread could have a material effect on the fair value measurement. There is an inverse relationship between the option adjusted spread and the fair value measurement, meaning a significant increase in the option adjusted spread would result in a lower fair value measurement, and vice versa.

²  Securities are valued using a discounted cash flow model. The significant unobservable input used in the fair value measurement is the discount rate, which is based on the investment adviser’s assumptions about the prepayment rate, credit quality, and liquidity, among other considerations. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.

³  Security is valued at parity value, discounted to reflect the small size and complexity of the issue. The significant unobservable input used in the fair value measurement is the discount rate. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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 pursuant to procedures approved by 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	1,567,904	$	81	$	3	$	47,730		$	390,000	$	(74,265	)	$	—	$	—	$	1,931,453	$	46,095
Retailers		307,438		263		—		1,265			—		—			—		—		308,966		1,265
Transportation Services		466,925		—		186		(210	)		—		(1,358	)		—		—		465,543		—
Convertible Bonds
Wirelines		49,851		—		—		8,918			—		—			—		—		58,769		8,918
Total	$	2,392,118	$	344	$	189	$	57,703		$	390,000	$	(75,623	)	$	—	$	—	$	2,764,731	$	56,278

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 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 December 31, 2013, the Fund engaged in futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2013:

Assets	Unrealized appreciation on futures contracts1
Exchange traded/cleared asset derivatives
Interest rate contracts	$	7,743

¹  Represents cumulative unrealized appreciation (depreciation) on futures contracts.

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.

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. Cash or securities held at or pledged to counterparties for initial/variation margin for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of December 31, 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 that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $41,858.

Industry Summary at December 31, 2013 (Unaudited)

Technology	8.3	%
Independent Energy	6.3
Wirelines	6.2
Home Construction	6.1
Healthcare	4.2
ABS Home Equity	4.0
Automotive	3.8
Banking	3.8
Chemicals	3.2
Wireless	3.1
Metals & Mining	3.0
Electric	3.0
Airlines	2.9
Retailers	2.7
Media Non-Cable	2.2
Media Cable	2.1
Automobiles	2.0
Other Investments, less than 2% each	29.5
Short-Term Investments	2.3
Total Investments	98.7
Other assets less liabilities (including open futures contracts)	1.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 93.3% of Net Assets
		Airlines – 0.4%
$	130,000	United Airlines, Inc., 6.750%, 9/15/2015, 144A	$	134,063
		Automotive – 0.4%
	120,000	General Motors Financial Co., Inc., 2.750%, 5/15/2016, 144A		121,500
		Electric – 1.1%
	140,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		150,115
	150,000	Iberdrola Finance Ireland Ltd., 5.000%, 9/11/2019, 144A		161,386
				311,501
		Independent Energy – 0.5%
	130,000	SandRidge Energy, Inc., 7.500%, 3/15/2021		136,175
		Treasuries – 90.3%
	1,706,712	U.S. Treasury Inflation Indexed Bond, 0.625%, 2/15/2043(b)		1,312,301
	2,534,751	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(b)		2,978,727
	730,302	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)		971,588
	4,375,544	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2017(b)		4,497,237
	5,122,779	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(b)		5,224,835
	2,358,091	U.S. Treasury Inflation Indexed Note, 0.125%, 1/15/2022(b)		2,266,347
	2,935,286	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2022(b)(c)		2,811,684
	4,393,936	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2023(b)		4,237,745
	1,512,139	U.S. Treasury Inflation Indexed Note, 2.125%, 1/15/2019(b)		1,688,635
				25,989,099
		Wirelines – 0.6%
	150,000	Telefonica Emisiones SAU, 6.421%, 6/20/2016		167,152
		Total Bonds and Notes (Identified Cost $28,374,633)		26,859,490
Shares
Preferred Stocks – 0.5%
		Aerospace & Defense – 0.5%
	2,100	United Technologies Corp., 7.500% (Identified Cost $105,000)		137,487

Notional Amount		Description	Value (†)
Purchased Swaptions – 5.6%
		Interest Rate Swaptions – 5.6%
$	17,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 3-month LIBOR, Receive 0.674%(d)(e)	$	44,135
	9,000,000	2-year Interest Rate Swap Put, expiring 9/19/2014, Pay 3-month LIBOR, Receive 1.080%(d)(f)		55,827
	11,750,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 3-month LIBOR, Receive 1.378%(d)(e)		893
	27,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.440%, Receive 3-month LIBOR(d)(e)		1,504,030
		Total Purchased Swaptions (Identified Cost $1,594,997)		1,604,885
Principal Amount
Short-Term Investments – 1.7%
	459,412	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $459,412 on 1/02/2014 collateralized by $435,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $470,344 including accrued interest(g)		459,412
	25,000	U.S. Treasury Bill, 0.021%, 1/02/2014(h)(i)		25,000
		Total Short-Term Investments (Identified Cost $484,412)		484,412
		Total Investments – 101.1% (Identified Cost $30,559,042)(a)		29,086,274
		Other assets less liabilities – (1.1)%		(302,698	)
		Net Assets – 100.0%	$	28,783,576
Notional Amount
Written Swaptions – (3.2%)
		Interest Rate Swaptions – (3.2)%
	$17,500,000	2-year Interest Rate Swap Put, expiring 3/11/2014, Pay 0.398%, Receive 3-month LIBOR(d)(e)	$	(543	)
	11,750,000	5-year Interest Rate Swap Put, expiring 3/27/2014, Pay 0.957%, Receive 3-month LIBOR(d)(e)		—
	27,500,000	10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 3.940%(d)(e)		(932,607	)
		Total Written Swaptions (Premiums Received $927,461)	$	(933,150	)

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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 the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other swaptions not priced through an independent pricing service are valued based on prices obtained from broker-dealers.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized depreciation on investments based on a cost of $30,789,486 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	$	250,825
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,954,037	)
Net unrealized depreciation	$	(1,703,212	)

(b) Treasury Inflation Protected Security (TIPS).

(c) 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) Counterparty is Credit Suisse International.

(g) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(h) A portion of this security has been pledged as initial margin for open futures contracts.

(i) 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 December 31, 2013, the value of Rule 144A holdings amounted to $567,064 or 2.0% 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 December 31, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		3/31/2014		3	$	357,938	$	4,682

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	26,859,490	$	—	$	26,859,490
Preferred Stocks*		137,487		—		—		137,487
Purchased Swaptions*		—		1,604,885		—		1,604,885
Short-Term Investments		—		484,412		—		484,412
Total Investments		137,487		28,948,787		—		29,086,274
Futures Contracts (unrealized appreciation)		4,682		—		—		4,682
Total	$	142,169	$	28,948,787	$	—	$	29,090,956

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Written Swaptions*	$	—	$	(933,150	)	$	—	$	(933,150	)

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

For the period ended December 31, 2013, there were no transfers among 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 December 31, 2013, the Fund engaged in 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 December 31, 2013, the Fund used futures contracts and interest rate swaptions to hedge against changes in interest rates and also used interest rate swaptions to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2013:

Assets	Investments at value1			Unrealized appreciation on futures contracts2		Total
Over-the-counter asset derivatives
Interest rate contracts	$	1,604,885		$	—	$	1,604,885
Exchange traded/cleared asset derivatives
Interest rate contracts		—			4,682		4,682
Total asset derivatives	$	1,604,885		$	4,682	$	1,609,567
Liabilities	Swaptions written at value			Unrealized depreciation on futures contracts2		Total
Over-the-counter liability derivatives
Interest rate contracts	$	(933,150	)	$	—	$	(933,150	)

¹  Represents purchased swaptions, at value.

²  Represents cumulative unrealized appreciation (depreciation) on futures contracts.

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.

Over-the-counter derivatives, including forward foreign currency contracts and interest rate swaptions, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the 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 December 31, 2013, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures 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 for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of December 31, 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 $1,610,166 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $61,108. These amounts include cash received by the Fund in the amount of $640,000.

Industry Summary at December 31, 2013 (Unaudited)

Treasuries	90.3	%
Purchased Swaptions	5.6
Other Investments, less than 2% each	3.5
Short-Term Investments	1.7
Total Investments	101.1
Other assets less liabilities (including open written swaptions and futures contracts)	(1.1	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Institutional High Income Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 79.8% of Net Assets
Non-Convertible Bonds – 64.6%
		Aerospace & Defense – 2.4%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	133,131
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,185,875
	500,000	Ducommun, Inc., 9.750%, 7/15/2018		556,250
	3,220,000	GenCorp, Inc., 7.125%, 3/15/2021		3,445,400
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		761,674
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		4,877,792
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,322,900
	1,580,000	TransDigm, Inc., 7.500%, 7/15/2021		1,698,500
				15,981,522
		Airlines – 3.0%
	4,890,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		4,812,939
	435,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		423,038
	435,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		443,804
	319,879	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		363,062
	81,472	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		86,054
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		67,065
	293,119	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		329,758
	318,014	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		321,989
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,201,750
	408,598	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		445,371
	3,152,423	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		3,310,044
	1,485,412	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,719,364
	362,269	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		378,572
	297,079	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		331,243
	2,934,235	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		3,095,618
	2,250,000	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,216,250

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	300,000	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	305,217
	502,000	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		501,483
				20,352,621
		Automotive – 0.5%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,052,500
	15,000	Ford Motor Co., 6.375%, 2/01/2029		16,503
	95,000	Ford Motor Co., 6.625%, 2/15/2028		103,380
	230,000	Ford Motor Co., 7.125%, 11/15/2025		268,249
	40,000	Ford Motor Co., 7.500%, 8/01/2026		47,370
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,090,000
				3,578,002
		Banking – 5.1%
	2,700,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		1,058,599
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)		1,013,820
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,801,251
	7,410,000	HBOS PLC, 6.000%, 11/01/2033, 144A		7,142,277
	9,495,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		10,740,051
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		562,934
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		858,036
	1,700,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(b)		1,623,500
	475,000	RBS Capital Trust A, 2.393%, (EUR)(b)(c)		592,032
	80,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(b)		97,950
	135,000	RBS Capital Trust I, 2.112%(b)(c)		126,225
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(b)		148,000
	85,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%(b)		82,450
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,601,571
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(b)		119,204
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(b)		1,796,010

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%(b)	$	82,875
	435,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(b)		598,429
				34,045,214
		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		1,085,829
	165,000	Jefferies Group LLC, 6.875%, 4/15/2021		187,940
				2,832,244
		Building Materials – 0.9%
	3,530,000	Building Materials Holding Corp., 9.000%, 9/15/2018, 144A		3,803,575
	670,000	Masco Corp., 6.500%, 8/15/2032		658,275
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,313,274
				5,775,124
		Chemicals – 2.6%
	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		3,829,871
	3,190,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		3,182,025
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(d)		1,623,360
	539,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(d)		528,220
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(d)		2,535,360
	4,658,977	Reichhold Industries, Inc., 9.000% (11.000% PIK), 5/08/2017, 144A(d)(e)(f)		2,376,079
	600,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		639,750
				17,362,075
		Commercial Mortgage-Backed Securities – 0.0%
	320,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.804%, 8/10/2045(c)		325,134
		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		131,625
	1,902,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		1,607,190
				1,738,815

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Consumer Products – 0.3%
$	2,270,000	Visant Corp., 10.000%, 10/01/2017	$	2,201,900
		Electric – 0.7%
	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,119,250
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,072,250
	3,455,828	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250% (12.250% PIK), 12/01/2018, 144A(e)		2,401,800
				4,593,300
		Environmental – 0.1%
	536,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020		581,560
		Food & Beverage – 0.4%
	1,350,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		1,447,875
	1,545,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,568,175
				3,016,050
		Government Guaranteed – 0.9%
	1,185,000	Autonomous Community of Catalonia, 4.950%, 2/11/2020, (EUR)		1,619,340
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,192,477
				5,811,817
		Government Owned - No Guarantee – 0.3%
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,344,782
	75,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		589,372
				1,934,154
		Government Sponsored – 0.7%
	3,440,000	Eksportfinans ASA, 2.000%, 9/15/2015		3,388,400
	1,250,000	Eksportfinans ASA, 2.375%, 5/25/2016		1,229,688
				4,618,088
		Healthcare – 3.2%
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		2,789,687
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,049,025
	970,000	HCA, Inc., 7.500%, 12/15/2023		1,047,600
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		4,660,000
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		1,896,675

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	375,000	HCA, Inc., 8.360%, 4/15/2024	$	412,500
	945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		980,438
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,542,250
	7,644,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		6,650,280
				21,028,455
		Home Construction – 0.8%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		300,000
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		789,390
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		815,400
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		339,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,226,300
	870,000	Pulte Group, Inc., 7.875%, 6/15/2032		893,925
				5,364,015
		Independent Energy – 2.4%
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		224,927
	3,442,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		2,366,375
	5,380,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		3,481,996
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(g)		86,000
	600,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(g)		48,000
	3,680,000	Rex Energy Corp., 8.875%, 12/01/2020		4,029,600
	2,400,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,394,000
	3,360,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		3,410,400
				16,041,298
		Industrial Other – 0.4%
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		688,975
	1,705,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		1,679,425
				2,368,400
		Life Insurance – 2.5%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,600,000

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	6,535,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068	$	7,907,350
	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)		4,301,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		359,800
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,256,750
				16,424,900
		Local Authorities – 0.8%
	1,535,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		1,972,854
	100,000	City of Madrid, Spain, 4.550%, 6/16/2036, (EUR)		102,171
	905,000	City of Rome, Italy, EMTN, 5.345%, 1/27/2048, (EUR)		1,132,957
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		2,047,778
				5,255,760
		Media Cable – 0.7%
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,093,175
	3,130,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		2,371,178
				4,464,353
		Media Non-Cable – 2.4%
	2,210,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		2,121,600
	4,405,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		4,382,975
	1,770,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		1,898,325
	980,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		1,051,050
	480,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		484,800
	1,206,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		1,311,525
	1,185,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		1,315,350
	3,230,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		3,698,350
				16,263,975
		Metals & Mining – 3.6%
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,230,200
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042		1,568,179
	540,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		460,032

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Metals & Mining – continued
$	377,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A	$	356,265
	11,060,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		6,746,600
	3,125,000	Hecla Mining Co., 6.875%, 5/01/2021, 144A		3,000,000
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		816,000
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,737,200
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,910,000
				23,824,476
		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		840,000
	875,000	SLM Corp., MTN, 7.250%, 1/25/2022		925,312
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		112,672
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,770,812
	2,015,000	Springleaf Finance Corp., 7.750%, 10/01/2021		2,176,200
	805,000	Springleaf Finance Corp., 8.250%, 10/01/2023		871,413
	810,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		885,330
				9,581,739
		Non-Captive Diversified – 1.7%
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		214,195
	970,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		814,084
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,581,984
	180,000	International Lease Finance Corp., 5.875%, 4/01/2019		191,700
	135,000	International Lease Finance Corp., 6.250%, 5/15/2019		146,138
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		351,000
	3,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		3,965,075
	840,000	iStar Financial, Inc., 5.850%, 3/15/2017		899,850
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		929,250
	1,040,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,094,600
				11,187,876

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Oil Field Services – 1.4%
$	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022	$	1,848,175
	3,425,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		3,818,875
	3,995,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		3,515,600
				9,182,650
		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		6,458,375
	600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		643,500
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		487,050
				7,588,925
		Pipelines – 0.4%
	2,470,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,043,925
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		962,500
				3,006,425
		Property & Casualty Insurance – 0.7%
	1,920,000	MBIA Insurance Corp., 11.504%, 1/15/2033, 144A(c)(h)		1,449,600
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(b)		3,343,869
				4,793,469
		Railroads – 0.7%
	4,000,000	Hellenic Railways Organization S.A., EMTN, 0.560%, 5/24/2016, (EUR)(c)(d)		4,347,210
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)		259,050
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(d)		27,600
				4,633,860
		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		517,562
		Retailers – 1.5%
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		459,000
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		2,008,700
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		132,500
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		187,850

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022(f)	$	1,852,695
	180,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		134,100
	7,385,000	Toys R Us, Inc., 7.375%, 10/15/2018		5,464,900
				10,239,745
		Sovereigns – 0.8%
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		103,988
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		2,154,787
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		606,178
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,710,067
	66,455,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		391,443
	24,750,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		146,793
	32,615,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		208,530
				5,321,786
		Supermarkets – 3.1%
	425,000	American Stores Co., 7.900%, 5/01/2017		497,250
	360,000	American Stores Co., 8.000%, 6/01/2026		500,400
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		2,480,450
	4,190,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,435,800
	2,170,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,757,700
	9,470,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,812,750
	4,125,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,568,125
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		792,000
				20,844,475
		Supranational – 0.1%
	4,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		355,859
		Technology – 4.3%
	10,465,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		9,261,525
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,683,750
	200,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		207,750

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	2,600,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A	$	2,899,000
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,514,050
	1,590,000	First Data Corp., 11.250%, 1/15/2021, 144A		1,754,963
	3,190,000	First Data Corp., 11.750%, 8/15/2021, 144A		3,365,450
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		11,885
	4,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		4,200,000
				28,898,373
		Textile – 0.9%
	3,235,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		2,745,706
	2,835,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		3,005,100
				5,750,806
		Transportation Services – 1.3%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(d)		3,087,900
	678,618	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015(f)		690,494
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h)(i)		379,014
	135,659	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(f)		136,514
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h)(i)		523,399
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(f)(h)(i)		55,675
	2,710,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		2,920,025
	740,000	Teekay Corp., 8.500%, 1/15/2020		800,125
				8,593,146
		Treasuries – 2.9%
	1,365,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		11,628,088
	1,590,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		282,555
	4,365,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		753,931
	770,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)		934,610
	560,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, 144A, (EUR)		558,495
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, 144A, (EUR)		228,903

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, 144A, (EUR)	$	5,159,657
				19,546,239
		Wireless – 1.5%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		2,115,267
	2,725,000	NII Capital Corp., 7.625%, 4/01/2021		1,117,250
	3,061,000	NII Capital Corp., 10.000%, 8/15/2016		1,622,330
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,850,112
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		917,700
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		230,588
				9,853,247
		Wirelines – 5.3%
	205,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(j)		190,138
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		343,613
	3,465,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		3,638,250
	1,120,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,629,532
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,717,200
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		434,775
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		4,176,960
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		1,001,220
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,554,500
	905,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		959,300
	200,000	Oi S.A., 5.750%, 2/10/2022, 144A		184,000
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		355,962
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,188,604
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		3,026,195
	1,100,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,585,573
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,561,315
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		734,000

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	$	1,454,250
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,105,390
	645,000	Qwest Corp., 7.250%, 9/15/2025		686,902
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,362,734
	1,315,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,139,119
	140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		126,700
				35,156,232
		Total Non-Convertible Bonds (Identified Cost $403,125,916)		430,835,666
Convertible Bonds – 15.1%
		Airlines – 0.3%
	1,705,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,981,022
		Automotive – 1.0%
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		6,512,850
		Construction Machinery – 0.6%
	916,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(j)		876,497
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		3,048,566
				3,925,063
		Healthcare – 0.6%
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		1,353,156
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		934,713
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		1,401,475
				3,689,344
		Home Construction – 1.1%
	440,000	KB Home, 1.375%, 2/01/2019		436,975
	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A		4,125,262
	2,050,000	Standard Pacific Corp., 1.250%, 8/01/2032		2,713,688
				7,275,925
		Independent Energy – 1.4%
	5,585,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		5,208,013

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Independent Energy – continued
$	3,395,000	Chesapeake Energy Corp., 2.500%, 5/15/2037	$	3,445,925
	695,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		726,709
				9,380,647
		Life Insurance – 1.2%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		8,125,419
		Metals & Mining – 0.4%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,471,094
	970,000	United States Steel Corp., 2.750%, 4/01/2019		1,284,037
				2,755,131
		Non-Captive Diversified – 0.3%
	2,145,000	Jefferies Group LLC, 3.875%, 11/01/2029		2,269,678
		Pharmaceuticals – 0.2%
	225,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		238,359
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		331,506
	660,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		916,988
				1,486,853
		REITs - Mortgage – 0.1%
	470,000	iStar Financial, Inc., 3.000%, 11/15/2016		641,550
		Technology – 6.9%
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		8,072,637
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,964,188
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		227,063
	3,595,000	Intel Corp., 3.250%, 8/01/2039		4,886,953
	45,424	Liberty Media LLC, 3.500%, 1/15/2031		24,018
	3,130,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		7,240,081
	855,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032		1,946,728
	12,934,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		12,731,906
	960,000	Nuance Communications, Inc., 2.750%, 11/01/2031		937,800
	230,000	SanDisk Corp., 1.500%, 8/15/2017		338,963

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – continued
$	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014	$	3,379,031
				45,749,368
		Textile – 0.6%
	3,080,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		4,233,075
		Utility Other – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		493,750
		Wirelines – 0.3%
	233,700	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(d)(f)(j)(k)		31,501
	1,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(d)		1,648,625
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		559,084
				2,239,210
		Total Convertible Bonds (Identified Cost $71,075,049)		100,758,885
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)		582,795
		Total Bonds and Notes (Identified Cost $474,740,965)		532,177,346
Senior Loans – 2.2%
		Automotive – 0.2%
	1,245,588	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/28/2019(c)		1,261,157
		Chemicals – 0.3%
	500,000	Allnex USA, Inc., 2nd Lien Term Loan, 8.250%, 4/03/2020(c)		512,190
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(c)		1,622,075
				2,134,265
		Consumer Products – 0.0%
	311,720	Visant Corp., Term Loan B, 5.250%, 12/22/2016(c)		306,785
		Diversified Manufacturing – 0.0%
	275,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(c)		279,813
		Food & Beverage – 0.1%
	503,738	DS Waters of America, Inc., New Term Loan, 5.250%, 8/31/2020(c)		510,664

Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Healthcare – 0.2%
$	1,119,375	Apria Healthcare Group, Inc., Term Loan, 6.750%, 4/05/2020(c)	$	1,121,703
		Media Non-Cable – 0.0%
	55,440	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(c)		41,295
		Metals & Mining – 0.1%
	513,500	Essar Steel Algoma, Inc., ABL Term Loan, 9.250%, 9/19/2014(c)		516,068
		Non-Captive Diversified – 0.6%
	3,672,127	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(c)		3,791,471
		Oil Field Services – 0.2%
	1,493,300	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(c)		1,497,346
		Other Utility – 0.1%
	398,000	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		392,030
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(c)		318,500
	28,250	PowerTeam Services LLC, Delayed Draw Term Loan, 3.250%, 5/06/2020(l)		27,826
	21,750	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(c)		21,424
				759,780
		Retailers – 0.1%
	335,000	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(c)		321,915
		Supermarkets – 0.1%
	916,315	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(c)		924,187
		Wirelines – 0.2%
	744,375	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(c)		768,381
	738,561	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(c)		740,222
	65,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(c)		66,739
				1,575,342
		Total Senior Loans (Identified Cost $14,735,125)		15,041,791
Shares
Common Stocks – 12.2%
		Automobiles – 2.3%
	465,000	Ford Motor Co.		7,174,950
	206,460	General Motors Co.(h)		8,438,020
				15,612,970

Shares		Description	Value (†)
Common Stocks – continued
		Chemicals – 1.9%
	156,958	Dow Chemical Co. (The)	$	6,968,935
	30,167	PPG Industries, Inc.		5,721,473
				12,690,408
		Containers & Packaging – 0.3%
	40,621	Owens-Illinois, Inc.(h)		1,453,419
	2,452	Rock-Tenn Co., Class A		257,485
				1,710,904
		Diversified Telecommunication Services – 0.3%
	22,435	FairPoint Communications, Inc.(h)		253,740
	2,627	Hawaiian Telcom Holdco, Inc.(h)		77,155
	117,962	Telefonica S.A., Sponsored ADR		1,927,499
				2,258,394
		Electronic Equipment, Instruments & Components – 3.0%
	1,119,766	Corning, Inc.		19,954,230
		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		104,470
		Household Durables – 0.0%
	6,775	KB Home		123,847
		Oil, Gas & Consumable Fuels – 0.7%
	2,846	Chesapeake Energy Corp.		77,240
	82,985	Repsol YPF S.A., Sponsored ADR		2,098,691
	33,796	Royal Dutch Shell PLC, ADR		2,408,641
				4,584,572
		Pharmaceuticals – 1.8%
	64,900	Bristol-Myers Squibb Co.		3,449,435
	74,297	Valeant Pharmaceuticals International, Inc.(h)		8,722,468
				12,171,903
		REITs - Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		160,254
	32,565	Associated Estates Realty Corp.		522,668
				682,922
		REITs - Shopping Centers – 0.0%
	7,868	DDR Corp.		120,931
		Semiconductors & Semiconductor Equipment – 1.5%
	372,408	Intel Corp.		9,667,712
		Trading Companies & Distributors – 0.3%
	20,913	United Rentals, Inc.(h)		1,630,168
		Total Common Stocks (Identified Cost $54,595,929)		81,313,431

Shares		Description	Value (†)
Preferred Stocks – 2.9%
Convertible Preferred Stocks – 1.9%
		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%	$	152,490
		Electric – 0.1%
	17,119	AES Trust III, 6.750%		859,031
		Home Construction – 0.1%
	11,000	Hovnanian Enterprises, Inc., 7.250%		353,430
		Independent Energy – 0.2%
	5,543	Chesapeake Energy Corp., 5.000%		540,442
	190	Chesapeake Energy Corp., Series A, 5.750%, 144A		220,163
	3,552	SandRidge Energy, Inc., 7.000%		352,092
				1,112,697
		Metals & Mining – 0.2%
	33,725	ArcelorMittal, 6.000%		876,850
	27,225	Cliffs Natural Resources, Inc., 7.000%		625,086
				1,501,936
		Pipelines – 0.5%
	54,200	El Paso Energy Capital Trust I, 4.750%		3,042,246
		REITs - Diversified – 0.3%
	35,615	Weyerhaeuser Co., Series A, 6.375%		1,995,865
		Technology – 0.5%
	3,260	Lucent Technologies Capital Trust I, 7.750%		3,276,300
		Wirelines – 0.0%
	35	Cincinnati Bell, Inc., 6.750%		1,588
		Total Convertible Preferred Stocks (Identified Cost $10,405,462)		12,295,583
Non-Convertible Preferred Stocks – 1.0%
		Banking – 0.7%
	4,153	Ally Financial, Inc., Series G, 7.000%, 144A		3,966,504
	18,000	Bank of America Corp., 6.375%		418,500
	7,075	Countrywide Capital IV, 6.750%		176,097
				4,561,101

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Home Construction – 0.2%
	96,887	Hovnanian Enterprises, Inc., 7.625%(h)	$	1,361,262
		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		571,355
		Non-Captive Diversified – 0.0%
	5,300	iStar Financial, Inc., Series F, 7.800%		120,469
	2,575	iStar Financial, Inc., Series G, 7.650%		58,813
				179,282
		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		182,275
		Total Non-Convertible Preferred Stocks (Identified Cost $4,930,796)		6,855,275
		Total Preferred Stocks (Identified Cost $15,336,258)		19,150,858
Warrants – 0.0%
	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(d)(f)(h) (Identified Cost $0)		—
Principal Amount (‡)
Short-Term Investments – 1.6%
$	121,975	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2013 at 0.000% to be repurchased at $121,975 on 1/02/2014 collateralized by $140,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $127,746 including accrued interest(m)		121,975
	10,588,968	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $10,588,968 on 1/02/2014 collateralized by $9,990,000 U.S. Treasury Note, 3.250% due 7/31/2016 valued at $10,801,688 including accrued interest(m)		10,588,968
		Total Short-Term Investments (Identified Cost $10,710,943)		10,710,943
		Total Investments – 98.7% (Identified Cost $570,119,220)(a)		658,394,369
		Other assets less liabilities – 1.3%		8,643,847
		Net Assets – 100.0%	$	667,038,216

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $570,437,184 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	$	111,516,141
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(23,558,956	)
Net unrealized appreciation	$	87,957,185

(b) Perpetual bond with no specified maturity date.

(c) Variable rate security. Rate as of December 31, 2013 is disclosed.

(d) Illiquid security. At December 31, 2013, the value of these securities amounted to $16,464,905 or 2.5% of net assets.

(e) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2013, the issuer paid out 100% of the interest payments in-kind.

(f) Fair valued security by the Fund’s investment adviser. At December 31, 2013, the value of these securities amounted to $6,045,371 or 0.9% of net assets.

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

(h) Non-income producing security.

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

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

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

(l) Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.

(m) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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 December 31, 2013, the value of Rule 144A holdings amounted to $152,544,646 or 22.9% 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

PIK Payment-In-Kind

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:

• 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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	7,265,193	$	13,087,428	(a)	$	20,352,621
Chemicals		—		14,985,996		2,376,079	(b)		17,362,075
Retailers		—		8,387,050		1,852,695	(b)		10,239,745
Transportation Services		—		6,808,050		1,785,096	(b)		8,593,146
All Other Non-Convertible Bonds*		—		374,288,079		—			374,288,079
Total Non-Convertible Bonds		—		411,734,368		19,101,298			430,835,666
Convertible Bonds
Wirelines		—		2,207,709		31,501	(b)		2,239,210
All Other Convertible Bonds*		—		98,519,675		—			98,519,675
Total Convertible Bonds		—		100,727,384		31,501			100,758,885
Municipals*		—		582,795		—			582,795
Total Bonds and Notes		—		513,044,547		19,132,799			532,177,346
Senior Loans*		—		15,041,791		—			15,041,791
Common Stocks*		81,313,431		—		—			81,313,431
Preferred Stocks
Convertible Preferred Stocks
Wirelines		—		1,588		—			1,588
All Other Convertible Preferred Stocks*		12,293,995		—		—			12,293,995
Total Convertible Preferred Stocks		12,293,995		1,588		—			12,295,583
Non-Convertible Preferred Stocks*		6,855,275		—		—			6,855,275
Total Preferred Stocks		19,149,270		1,588		—			19,150,858
Warrants**		—		—		—			—
Short-Term Investments		—		10,710,943		—			10,710,943
Total	$	100,462,701	$	538,798,869	$	19,132,799		$	658,394,369

* 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 valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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 pursuant to procedures approved by 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	13,927,958	$	534	$	1,840	$	184,209		$	—	$	(1,027,113	)	$	—	$	—	$	13,087,428	$	232,656
Chemicals		—		11,673		—		(1,278,870	)		242,885		—			3,400,391		—		2,376,079		(1,278,870	)
Retailers		1,843,529		3,805		—		5,361			—		—			—		—		1,852,695		5,361
Transportation Services		1,883,685		—		23,369		(24,959	)		—		(96,999	)		—		—		1,785,096		1
Convertible Bonds
Wirelines		26,720		—		—		4,781			—		—			—		—		31,501		4,781
Total	$	17,681,892	$	16,012	$	25,209	$	(1,109,478	)	$	242,885	$	(1,124,112	)	$	3,400,391	$	—	$	19,132,799	$	(1,036,071	)

A debt security valued at $3,400,391 was transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 2013, this security was valued at fair value as determined in good faith by the Fund’s investment adviser.

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

Industry Summary at December 31, 2013 (Unaudited)

Technology	11.7	%
Wirelines	5.8
Banking	5.8
Chemicals	4.8
Metals & Mining	4.3
Independent Energy	4.0
Healthcare	4.0
Life Insurance	3.7
Airlines	3.3
Supermarkets	3.2
Electronic Equipment, Instruments & Components	3.0
Treasuries	2.9
Non-Captive Diversified	2.6
Media Non-Cable	2.4
Aerospace & Defense	2.4
Automobiles	2.3
Home Construction	2.2
Pharmaceuticals	2.0
Other Investments, less than 2% each	26.7
Short-Term Investments	1.6
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 99.0% of Net Assets
Non-Convertible Bonds – 98.3%
		ABS Car Loan – 6.9%
$	21,824	AmeriCredit Automobile Receivables Trust, Series 2012-2, Class A2, 0.760%, 10/08/2015	$	21,828
	160,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class B, 1.660%, 9/10/2018		160,554
	100,000	AmeriCredit Automobile Receivables Trust, Series 2013-5, Class B, 1.520%, 1/08/2019		99,650
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		125,330
	290,000	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		289,782
	285,000	Capital Auto Receivables Asset Trust, Series 2013-1, Class A3, 0.790%, 6/20/2017		284,657
	265,000	Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.310%, 12/20/2017		266,122
	38,807	Carfinance Capital Auto Trust, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		38,721
	31,983	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		32,012
	105,000	CarMax Auto Owner Trust, Series 2013-4, Class A3, 0.800%, 7/16/2018		104,843
	175,000	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		174,855
	250,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		249,940
	210,000	First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A		209,401
	288,251	Flagship Credit Auto Trust, Series 2013-1, Class A, 1.320%, 4/16/2018, 144A		287,780
	215,000	Santander Drive Auto Receivables Trust, Series 2013-1, Class A3, 0.620%, 6/15/2017		214,853
	165,000	Santander Drive Auto Receivables Trust, Series 2013-3, Class B, 1.190%, 5/15/2018		164,269
	385,000	Santander Drive Auto Receivables Trust, Series 2013-4, Class B, 2.160%, 1/15/2020		390,570
	190,000	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		189,962
	200,000	SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018		197,858
	260,000	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		256,802
	4,303	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		4,304
				3,764,093
		ABS Credit Card – 1.0%
	560,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		575,073
		ABS Home Equity – 0.2%
	75,864	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.198%, 7/25/2021(b)		72,040

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	42,373	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)	$	43,270
				115,310
		ABS Other – 2.2%
	89,540	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		88,838
	390,000	GE Dealer Floorplan Master Note Trust, Series 2012-3, Class A, 0.657%, 6/20/2017(b)		391,045
	305,668	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		305,316
	430,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		436,450
				1,221,649
		ABS Student Loan – 2.6%
	210,308	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.767%, 9/20/2022(b)		210,178
	550,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.038%, 7/25/2025(b)		550,654
	650,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.238%, 7/25/2025(b)		656,870
				1,417,702
		Aerospace & Defense – 0.6%
	285,000	Raytheon Co., 3.125%, 10/15/2020		285,325
	60,000	Rockwell Collins, Inc., 0.593%, 12/15/2016(b)		59,999
				345,324
		Airlines – 0.9%
	320,000	British Airways Pass Through Trust, Series 2013-1, Class A, 4.625%, 6/20/2024, 144A		323,699
	129,307	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		148,703
				472,402
		Automotive – 1.6%
	500,000	Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		625,225
	230,000	Toyota Motor Credit Corp., MTN, 2.000%, 9/15/2016		236,580
				861,805
		Banking – 7.1%
	330,000	Bank of America Corp., 1.281%, 1/15/2019(b)		332,579
	245,000	Bank of America Corp., 6.000%, 9/01/2017		279,739
	330,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018(c)		395,132
	300,000	BNP Paribas S.A., 2.400%, 12/12/2018		300,191

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	182,000	Citigroup, Inc., 6.010%, 1/15/2015	$	191,654
	285,000	Goldman Sachs Group, Inc. (The), 6.250%, 9/01/2017		326,285
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		316,656
	130,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		153,708
	245,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		282,462
	560,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018(c)		655,253
	65,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		65,463
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		42,654
	260,000	Wells Fargo & Co., 3.676%, 6/15/2016		276,833
	245,000	Wells Fargo & Co., 4.125%, 8/15/2023		241,533
				3,860,142
		Building Materials – 0.1%
	30,000	Masco Corp., 7.125%, 3/15/2020		34,245
		Chemicals – 1.5%
	295,000	Alpek S.A. de CV, 5.375%, 8/08/2023, 144A		293,156
	245,000	CF Industries, Inc., 7.125%, 5/01/2020		287,175
	140,000	Eastman Chemical Co., 4.500%, 1/15/2021		143,771
	90,000	Methanex Corp., 3.250%, 12/15/2019		89,325
				813,427
		Collateralized Mortgage Obligations – 12.0%
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		766,422
	570,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023		563,758
	420,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		427,986
	1,035,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019(c)		1,030,767
	360,000	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		356,667
	1,460,000	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,429,016
	1,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019(c)		1,099,413
	446,143	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.518%, 4/25/2019(b)		445,290

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
$	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020	$	144,614
	270,808	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.613%, 10/07/2020(b)		272,265
				6,536,198
		Commercial Mortgage-Backed Securities – 14.5%
	40,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		43,680
	425,000	CGBAM Commercial Mortgage Trust, Series 2013-BREH, Class A2, 1.267%, 5/15/2030, 144A(b)		425,266
	95,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		91,744
	125,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR12, Class A4, 4.046%, 10/10/2046		126,157
	255,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class A4, 4.194%, 10/10/2046(b)		261,539
	295,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046		290,903
	440,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR9, Class A4, 4.237%, 7/10/2045(b)		455,841
	324,279	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.683%, 6/15/2039(b)		355,917
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		397,576
	325,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		362,948
	375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		411,917
	330,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.804%, 8/10/2045(b)		362,362
	380,000	GS Mortgage Securities Corp. II, Series 2013-GC13, Class A5, 4.040%, 7/10/2046(b)		389,246
	275,000	GS Mortgage Securities Corp. II, Series 2013-GC16, Class A4, 4.271%, 11/10/2046		281,908
	610,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.018%, 11/08/2029, 144A(b)		606,563
	410,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.806%, 6/15/2049(b)		456,050
	210,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		230,362
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		260,695
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		442,993
	125,000	SCG Trust, Series 2013-SRP1, Class A, 1.567%, 11/15/2026, 144A(b)		125,144
	410,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.733%, 6/15/2049(b)		453,750
	555,000	Wells Fargo Commercial Mortgage Trust, Series 2012-LC5, Class A3, 2.918%, 10/15/2045		523,529
	425,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class A4, 4.218%, 7/15/2046		437,495

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	140,000	WF-RBS Commercial Mortgage Trust, Series 2013-C17, Class A4, 4.023%, 12/15/2046	$	141,327
				7,934,912
		Construction Machinery – 0.8%
	305,000	Caterpillar Financial Services Corp., MTN, 1.000%, 11/25/2016		303,230
	115,000	John Deere Capital Corp., MTN, 2.000%, 1/13/2017		116,949
				420,179
		Consumer Cyclical Services – 1.1%
	455,000	Amazon.com, Inc., 0.650%, 11/27/2015		454,795
	30,000	Western Union Co. (The), 2.375%, 12/10/2015		30,699
	130,000	Western Union Co. (The), 3.350%, 5/22/2019		129,768
				615,262
		Distributors – 0.5%
	265,000	Centrica PLC, 4.000%, 10/16/2023, 144A		258,101
		Diversified Manufacturing – 0.3%
	50,000	Crane Co., 2.750%, 12/15/2018		49,756
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		96,413
				146,169
		Electric – 3.2%
	190,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		231,487
	260,000	Dominion Resources, Inc., 1.950%, 8/15/2016		264,302
	120,000	Duke Energy Indiana, Inc., 0.596%, 7/11/2016(b)		120,151
	130,000	Exelon Generation Co. LLC, 4.000%, 10/01/2020		129,950
	295,000	Georgia Power Co., 0.563%, 3/15/2016(b)		295,020
	220,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		204,875
	215,000	NextEra Energy Capital Holdings, Inc., 1.611%, 6/01/2014		215,959
	260,000	Southern Co., 1.950%, 9/01/2016		265,335
				1,727,079
		Entertainment – 0.4%
	215,000	Time Warner, Inc., 4.875%, 3/15/2020		235,658

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Environmental – 0.2%
$	90,000	Waste Management, Inc., 6.375%, 3/11/2015	$	95,853
		Food & Beverage – 1.6%
	335,000	Coca-Cola Co. (The), 3.200%, 11/01/2023		322,210
	350,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		350,561
	165,000	Kraft Foods Group, Inc., 5.375%, 2/10/2020		186,153
				858,924
		Government Owned - No Guarantee – 0.7%
	400,000	Petrobras Global Finance BV, 3.000%, 1/15/2019		374,333
		Healthcare – 2.5%
	75,000	Baxter International, Inc., 1.850%, 1/15/2017		75,807
	280,000	Express Scripts, Inc., 3.125%, 5/15/2016		292,240
	205,000	Life Technologies Corp., 6.000%, 3/01/2020		235,549
	330,000	McKesson Corp., 3.250%, 3/01/2016		343,921
	145,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		150,843
	285,000	Stryker Corp., 2.000%, 9/30/2016		292,808
				1,391,168
		Hybrid ARMs – 1.9%
	99,735	FHLMC, 2.365%, 1/01/2035(b)		106,113
	320,401	FHLMC, 2.625%, 5/01/2036(b)		344,464
	360,256	FNMA, 2.551%, 4/01/2037(b)		382,881
	203,000	FNMA, 2.820%, 2/01/2039(b)		216,473
				1,049,931
		Independent Energy – 1.6%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		111,406
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		126,288
	200,000	Encana Corp., 6.500%, 5/15/2019		233,629
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		118,450
	295,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		296,015
				885,788

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Integrated Energy – 0.9%
$	115,000	BP Capital Markets PLC, 1.375%, 11/06/2017	$	113,252
	135,000	BP Capital Markets PLC, 4.500%, 10/01/2020		145,856
	230,000	Total Capital S.A., 4.450%, 6/24/2020		250,541
				509,649
		Life Insurance – 0.8%
	125,000	American International Group, Inc., 4.875%, 9/15/2016		137,291
	160,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		178,835
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,451
	70,000	Unum Group, 5.625%, 9/15/2020		76,730
				424,307
		Media Cable – 1.0%
	170,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		197,378
	325,000	NBCUniversal Enterprise, Inc., 0.781%, 4/15/2016, 144A(b)		326,774
				524,152
		Media Non-Cable – 0.5%
	280,000	Omnicom Group, Inc., 4.450%, 8/15/2020		297,182
		Metals & Mining – 2.8%
	140,000	Alcoa, Inc., 6.750%, 7/15/2018		157,755
	190,000	Allegheny Technologies, Inc., 5.875%, 8/15/2023		191,887
	35,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		36,309
	265,000	ArcelorMittal, 10.350%, 6/01/2019		335,225
	280,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		269,597
	245,000	Newmont Mining Corp., 3.500%, 3/15/2022		208,540
	35,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		34,332
	200,000	Rio Tinto Finance USA Ltd., 3.500%, 11/02/2020		204,195
	85,000	Teck Resources Ltd., 4.500%, 1/15/2021		85,632
				1,523,472
		Mortgage Related – 9.0%
	80,233	FHLMC, 3.000%, with various maturities from 2026 to 2027(d)		81,789

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Mortgage Related – continued
$	1,354	FHLMC, 6.500%, 1/01/2024	$	1,507
	188	FHLMC, 8.000%, 7/01/2025		225
	49,021	FNMA, 3.000%, 7/01/2027		50,086
	646	FNMA, 6.000%, 9/01/2021		684
	318	FNMA, 7.500%, 6/01/2016		331
	319	FNMA, 8.000%, 6/01/2015		327
	304,984	GNMA, 4.312%, 2/20/2063		329,989
	593,299	GNMA, 4.356%, 2/20/2063		643,309
	240,230	GNMA, 4.496%, 10/20/2062		261,851
	516,919	GNMA, 4.500%, 4/20/2063		564,101
	290,208	GNMA, 4.505%, 4/20/2063		316,423
	333,607	GNMA, 4.514%, 5/20/2062		363,428
	324,937	GNMA, 4.520%, 5/20/2062		353,673
	324,048	GNMA, 4.528%, 3/20/2062		352,956
	308,879	GNMA, 4.549%, 3/20/2063		337,638
	333,622	GNMA, 4.560%, 3/20/2062		363,318
	212,695	GNMA, 4.567%, 7/20/2062		232,311
	350,514	GNMA, 4.575%, 2/20/2063		383,421
	244,692	GNMA, 4.604%, 6/20/2062		267,336
	3,971	GNMA, 6.500%, 12/15/2023		4,479
	722	GNMA, 8.500%, 9/15/2022		738
	2,410	GNMA, 9.500%, 1/15/2019		2,681
				4,912,601
		Non-Captive Consumer – 0.4%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		243,000
		Non-Captive Diversified – 1.5%
	465,000	General Electric Capital Corp., 5.500%, 1/08/2020(c)		532,501

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	280,000	International Lease Finance Corp., 2.193%, 6/15/2016(b)	$	281,400
				813,901
		Oil Field Services – 1.4%
	305,000	Cameron International Corp., 1.169%, 6/02/2014(b)		305,899
	235,000	Nabors Industries, Inc., 5.000%, 9/15/2020		244,532
	75,000	Pride International, Inc., 8.500%, 6/15/2019		94,579
	100,000	Rowan Cos., Inc., 5.000%, 9/01/2017		108,377
				753,387
		Pharmaceuticals – 0.5%
	290,000	Mylan, Inc., 4.200%, 11/29/2023		285,242
		Pipelines – 1.4%
	140,000	Energy Transfer Partners LP, 4.650%, 6/01/2021		144,010
	280,000	Enterprise Products Operating LLC, 1.250%, 8/13/2015		281,860
	120,000	NiSource Finance Corp., 6.125%, 3/01/2022		133,051
	175,000	Questar Corp., 2.750%, 2/01/2016		180,314
				739,235
		Property & Casualty Insurance – 1.0%
	260,000	Berkshire Hathaway Finance Corp., 1.600%, 5/15/2017		262,507
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		162,275
	130,000	XLIT Ltd., 2.300%, 12/15/2018		127,685
				552,467
		Railroads – 1.4%
	285,000	Canadian National Railway Co., 1.450%, 12/15/2016		287,021
	230,000	CSX Corp., 3.700%, 10/30/2020		236,911
	30,000	CSX Corp., 6.150%, 5/01/2037		33,497
	240,000	Union Pacific Corp., 3.646%, 2/15/2024, 144A		231,898
				789,327
		REITs - Healthcare – 0.1%
	35,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		32,381

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sovereigns – 0.8%
$	406,000	Mexico Government International Bond, 5.625%, 1/15/2017	$	453,705
		Supranational – 0.4%
	220,000	Nordic Investment Bank, 0.500%, 4/14/2016		219,428
		Technology – 2.2%
	275,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		318,543
	165,000	Apple, Inc., 1.000%, 5/03/2018		159,546
	85,000	Corning, Inc., 4.250%, 8/15/2020		90,565
	275,000	Hewlett-Packard Co., 4.300%, 6/01/2021		278,726
	25,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		29,344
	305,000	Oracle Corp., 1.200%, 10/15/2017		300,138
				1,176,862
		Tobacco – 1.6%
	255,000	Altria Group, Inc., 4.750%, 5/05/2021		273,656
	260,000	Philip Morris International, Inc., 1.875%, 1/15/2019		254,086
	285,000	Philip Morris International, Inc., 2.500%, 5/16/2016		295,771
	40,000	Philip Morris International, Inc., 4.500%, 3/26/2020		43,253
				866,766
		Treasuries – 1.7%
	725,000	U.S. Treasury Note, 1.250%, 11/30/2018		709,481
	200,000	U.S. Treasury Note, 2.750%, 11/15/2023		195,656
				905,137
		Wireless – 1.1%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		258,126
	170,000	Sprint Communications, Inc., 6.000%, 12/01/2016		185,513
	185,000	Vodafone Group PLC, 2.950%, 2/19/2023		168,722
				612,361
		Wirelines – 1.8%
	220,000	British Telecommunications PLC, 1.625%, 6/28/2016		221,938
	395,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		419,632

Principal Amount		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	305,000	Verizon Communications, Inc., 3.650%, 9/14/2018	$	322,862
				964,432
		Total Non-Convertible Bonds (Identified Cost $53,310,212)		53,609,721
Municipals – 0.7%
		Florida – 0.7%
	420,000	Florida Hurricane Catastrophe Fund Finance Corp., Series A, 2.995%, 7/01/2020 (Identified Cost $420,000)		397,517
		Total Bonds and Notes (Identified Cost $53,730,212)		54,007,238
Short-Term Investments – 1.5%
	780,171	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $780,171 on 1/02/2013 collateralized by $795,000 Federal National Mortgage Association, 1.125% due 4/27/2017 valued at $798,975 including accrued interest(e)		780,171
	35,000	U.S. Treasury Bill, 0.060%, 2/06/14(f)(g)		34,999
		Total Short-Term Investments (Identified Cost $815,168)		815,170
		Total Investments – 100.5% (Identified Cost $54,545,380)(a)		54,822,408
		Other assets less liabilities – (0.5)%		(285,968	)
		Net Assets – 100.0%	$	54,536,440

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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 the current settlement price on the exchange on which the adviser believes that, overtime, they are traded most extensively.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $54,762,736 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	$	717,580
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(657,908	)
Net unrealized appreciation	$	59,672

At September 30, 2013, late-year ordinary and post-October capital loss deferrals were $644,876. 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 December 31, 2013 is disclosed.

(c) All of this security has been designated to cover the Fund’s obligations under open futures contracts.

(d) 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.

(e) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(f) A portion of this security has been pledged as initial margin for open futures contracts.

(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 December 31, 2013, the value of Rule 144A holdings amounted to $4,704,610 or 8.6% 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

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 December 31, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		3/31/2014		12	$	1,431,750	$	18,728
10 Year U.S. Treasury Note		3/20/2014		6		738,281		14,052
Total							$	32,780

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	3,317,329	$	446,764	(a)	$	3,764,093
ABS Other		—		785,199		436,450	(a)		1,221,649
ABS Student Loan		—		1,207,524		210,178	(a)		1,417,702
Airlines		—		323,699		148,703	(a)		472,402
Collateralized Mortgage Obligations		—		6,263,933		272,265	(a)		6,536,198
All Other Non-Convertible Bonds*		—		40,197,677		—			40,197,677
Total Non-Convertible Bonds		—		52,095,361		1,514,360			53,609,721
Municipals*		—		397,517		—			397,517
Total Bonds and Notes		—		52,492,878		1,514,360			54,007,238
Short-Term Investments		—		815,170		—			815,170
Total Investments		—		53,308,048		1,514,360			54,822,408
Futures Contracts (unrealized appreciation)		32,780		—		—			32,780
Total	$	32,780	$	53,308,048	$	1,514,360		$	54,855,188

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

(a) Valued using broker-dealer bid prices.

For the period ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

The Fund’s pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	446,125	$	—	$	—		$	639		$	—	$	—		$	—	$	—	$	446,764	$	639
ABS Other		423,550		—		—			12,900			—		—			—		—		436,450		12,900
ABS Student Loan		356,725		—		—			(1,233	)		—		(145,314	)		—		—		210,178		(782	)
Airlines		161,731		—		(435	)		(2,627	)		—		(9,966	)		—		—		148,703		(1,454	)
Collateralized Mortgage Obligations		1,231,636		—		9,185			(5,002	)		—		(963,554	)		—		—		272,265		(95	)
Total	$	2,619,767	$	—	$	8,750		$	4,677		$	—	$	(1,118,834	)	$	—	$	—	$	1,514,360	$	11,208

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 December 31, 2013, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2013:

Asset	Unrealized appreciation  on futures contracts
Exchange traded/cleared asset derivatives Interest rate contracts	$	32,780

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.

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. Cash or securities held at or pledged to counterparties for initial/variation margin for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. 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 that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $27,156

Industry Summary at December 31, 2013 (Unaudited)

Commercial Mortgage-Backed Securities	14.5	%
Collateralized Mortgage Obligations	12.0
Mortgage Related	9.0
Banking	7.1
ABS Car Loan	6.9
Electric	3.2
Metals & Mining	2.8
ABS Student Loan	2.6
Healthcare	2.5
ABS Other	2.2
Technology	2.2
Other Investments, less than 2% each	34.0
Short-Term Investments	1.5
Total Investments	100.5
Other assets less liabilities (including open futures contracts)	(0.5	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 89.4% of Net Assets
Non-Convertible Bonds – 85.0%
		ABS Credit Card – 0.1%
$	759,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019	$	815,580
		ABS Home Equity – 0.0%
	106,556	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.476%, 7/25/2035(b)		98,374
		ABS Other – 1.3%
	1,262,260	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,274,412
	3,153,026	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(c)		3,105,731
	821,556	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		831,815
	633,930	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		719,725
	543,278	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		533,666
	1,350,274	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		1,418,209
				7,883,558
		Aerospace & Defense – 0.1%
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		743,262
		Airlines – 3.5%
	380,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		369,550
	600,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		580,500
	6,286,000	American Airlines Pass Through Trust, Series 2013-2, Class A, 4.950%, 7/15/2024, 144A		6,553,155
	118,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		121,540
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		876,755
	242,990	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		275,794
	714,631	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		780,735
	3,047,473	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		3,474,120
	114,868	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		120,037
	1,088,056	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,224,063
	2,698,210	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		3,102,942
	1,280,834	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		1,428,130

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	574,298	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025	$	647,521
	1,127,118	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		1,144,025
				20,698,867
		Automotive – 0.6%
	1,310,000	Cummins, Inc., 5.650%, 3/01/2098		1,255,873
	2,023,000	Ford Motor Co., 6.375%, 2/01/2029		2,225,713
				3,481,586
		Banking – 12.5%
	74,000	Ally Financial, Inc., 8.000%, 12/31/2018		87,320
	2,027,000	Associates Corp. of North America, 6.950%, 11/01/2018		2,411,743
	2,505,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		982,145
	130,000	Bank of America Corp., 5.420%, 3/15/2017		142,920
	800,000	Bank of America Corp., 5.490%, 3/15/2019		885,620
	400,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		437,109
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		930,245
	2,100,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,024,724
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		88,651
	140,000	Citigroup, Inc., 5.875%, 2/22/2033		143,895
	1,909,000	Citigroup, Inc., 6.125%, 8/25/2036		2,035,319
	3,545,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		2,981,291
	171,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		180,044
	1,010,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		1,015,506
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,892,400
	4,270,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		4,750,567
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		734,005
	3,113,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		3,521,198
	300,000	JPMorgan Chase & Co., EMTN, 1.049%, 5/30/2017, (GBP)(b)		478,156
	3,800,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		305,592

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	5,310,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)	$	414,197
	683,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		751,453
	4,988,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,379,413
	178,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		185,463
	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,345,835
	100,000	Morgan Stanley, 0.724%, 10/15/2015(b)		99,789
	3,166,000	Morgan Stanley, 2.125%, 4/25/2018		3,138,693
	2,060,000	Morgan Stanley, 3.750%, 2/25/2023		2,004,514
	2,262,000	Morgan Stanley, 5.500%, 7/24/2020		2,529,823
	1,355,000	Morgan Stanley, 5.750%, 1/25/2021		1,532,863
	1,518,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,488,406
	100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		112,257
	1,518,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		1,442,778
	3,932,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		3,805,197
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,545,078
	400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		374,204
	1,215,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,381,074
	455,000	Morgan Stanley, Series F, MTN, 0.696%, 10/18/2016(b)		451,253
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		445,256
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		911,444
	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		2,754,293
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		71,873
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		474,671
	76,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		104,553
	200,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		215,268
	626,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		667,537
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		147,021

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	300,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A	$	317,915
	300,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		308,187
	1,500,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, (EUR)(d)		2,240,498
	3,796,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,172,776
	200,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		226,502
	3,416,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		3,553,952
				73,622,486
		Brokerage – 1.2%
	1,294,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,336,055
	581,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		610,050
	2,061,000	Jefferies Group LLC, 5.125%, 1/20/2023		2,084,632
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		901,310
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		454,074
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		91,122
	1,162,000	Jefferies Group LLC, 8.500%, 7/15/2019		1,417,640
				6,894,883
		Building Materials – 1.2%
	892,000	Masco Corp., 4.800%, 6/15/2015		929,910
	554,000	Masco Corp., 5.850%, 3/15/2017		608,015
	1,287,000	Masco Corp., 6.125%, 10/03/2016		1,441,440
	1,010,000	Masco Corp., 6.500%, 8/15/2032		992,325
	285,000	Masco Corp., 7.750%, 8/01/2029		312,968
	2,505,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		878,621
	191,000	Owens Corning, Inc., 6.500%, 12/01/2016		211,951
	1,712,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,835,367
				7,210,597
		Chemicals – 0.2%
	140,000	Methanex Corp., 5.250%, 3/01/2022		148,217

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Chemicals – continued
$	744,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015	$	796,720
				944,937
		Collateralized Mortgage Obligations – 0.1%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		567,684
	11,004	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		12,129
				579,813
		Commercial Mortgage-Backed Securities – 2.9%
	121,466	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.184%, 9/10/2047(b)		129,305
	455,496	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		496,633
	273,298	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		298,678
	308,978	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.706%, 6/11/2040(b)		346,498
	11,865	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		11,875
	800,914	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		877,087
	2,169,458	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.683%, 6/15/2039(b)		2,381,121
	1,541,096	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.760%, 9/15/2039(b)		1,691,051
	520,025	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		574,304
	2,372,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		2,659,797
	1,138,741	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,271,704
	603,225	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		624,906
	265,706	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.804%, 8/10/2045(b)		291,763
	827,485	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.806%, 6/15/2049(b)		920,427
	1,066,620	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,170,042
	329,456	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		342,371
	284,824	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.858%, 6/15/2038(b)		309,791
	296,073	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		322,956
	178,403	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.886%, 6/12/2046(b)		194,867
	265,706	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		277,657

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	322,643	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047	$	338,420
	189,790	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		210,189
	607,328	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.280%, 1/11/2043(b)		700,858
	303,664	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		333,940
	189,790	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.548%, 3/15/2044, 144A(b)		185,964
				16,962,204
		Consumer Products – 0.2%
	459,000	Hasbro, Inc., 6.600%, 7/15/2028		487,978
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		684,149
				1,172,127
		Electric – 2.3%
	1,025,015	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,073,447
	468,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		506,973
	421,000	Commonwealth Edison Co., 4.700%, 4/15/2015		442,173
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,626,168
	607,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		650,856
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		866,269
	759,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		893,042
	683,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		729,205
	4,109,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,941,086
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		550,392
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,347,747
	150,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		153,011
				13,780,369
		Financial Other – 0.4%
	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		2,503,312
		Government Guaranteed – 1.4%
	760,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		725,486
	1,898,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		1,691,464

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Government Guaranteed – continued
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)	$	4,954,764
	736,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		653,742
				8,025,456
		Government Owned – No Guarantee – 1.1%
	1,947,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,307,195
	3,420,000	DP World Ltd., 6.850%, 7/02/2037, 144A		3,360,150
	7,900,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		636,154
				6,303,499
		Health Insurance – 0.0%
	15,000	CIGNA Corp., 7.875%, 5/15/2027		18,655
		Healthcare – 0.7%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		745,072
	42,000	HCA, Inc., 5.875%, 3/15/2022		43,365
	2,327,000	HCA, Inc., 5.875%, 5/01/2023		2,297,913
	72,000	HCA, Inc., 6.375%, 1/15/2015		75,600
	76,000	HCA, Inc., 7.050%, 12/01/2027		74,860
	144,000	HCA, Inc., 7.190%, 11/15/2015		156,960
	57,000	HCA, Inc., 7.500%, 12/15/2023		61,560
	133,000	HCA, Inc., 7.690%, 6/15/2025		138,985
	232,000	HCA, Inc., 8.360%, 4/15/2024		255,200
	8,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,300
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		230,840
				4,088,655
		Home Construction – 0.5%
	2,536,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,149,260
	1,105,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,000,025
				3,149,285
		Hybrid ARMs – 0.0%
	30,825	FNMA, 1.909%, 2/01/2037(b)		32,780

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Hybrid ARMs – continued
$	57,942	FNMA, 2.570%, 9/01/2036(b)	$	61,672
				94,452
		Independent Energy – 1.2%
	907,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,041,299
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		51,405
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		47,460
	2,277,000	EQT Corp., 8.125%, 6/01/2019		2,762,397
	1,632,000	Equitable Resources, Inc., 6.500%, 4/01/2018		1,843,636
	1,317,000	Newfield Exploration Co., 5.625%, 7/01/2024		1,310,415
				7,056,612
		Industrial Other – 0.2%
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		932,806
		Life Insurance – 1.8%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		49,710
	1,215,000	American International Group, Inc., 6.250%, 3/15/2087		1,215,000
	1,974,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		2,388,540
	246,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		282,174
	84,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		93,889
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,972,076
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		1,979,688
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		2,746,387
				10,727,464
		Local Authorities – 2.4%
	2,839,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		3,648,817
	100,000	City of Madrid, Spain, 4.550%, 6/16/2036, (EUR)		102,170
	3,519,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		2,991,844
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		3,335,483
	3,037,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		2,901,153

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Local Authorities – continued
	134,208	Province of Alberta, 5.930%, 9/16/2016, (CAD)	$	135,867
	900,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		771,111
	509,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		467,063
				14,353,508
		Lodging – 0.2%
	1,124,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,239,944
		Media Non-Cable – 0.3%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		232,529
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,129,975
	440,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		503,800
				1,866,304
		Metals & Mining – 1.2%
	319,000	ArcelorMittal, 6.750%, 2/25/2022		346,913
	1,750,000	ArcelorMittal, 7.250%, 3/01/2041		1,671,250
	387,000	ArcelorMittal, 7.500%, 10/15/2039		380,227
	2,642,000	Plains Exploration & Production Co., 6.500%, 11/15/2020		2,917,772
	1,571,000	United States Steel Corp., 7.500%, 3/15/2022		1,669,187
				6,985,349
		Mortgage Related – 0.0%
	1,767	FHLMC, 10.000%, with various maturities in 2018(e)		1,971
	4,340	FNMA, 6.000%, 12/01/2018		4,805
	8,218	GNMA, 10.000%, with various maturities in 2018(e)		8,379
				15,155
		Non-Captive Consumer – 2.2%
	197,000	SLM Corp., 4.875%, 6/17/2019		196,301
	4,297,000	SLM Corp., 5.500%, 1/25/2023		4,058,998
	129,000	SLM Corp., MTN, 4.625%, 9/25/2017		133,905
	159,000	SLM Corp., MTN, 5.500%, 1/15/2019		165,003
	1,382,000	SLM Corp., MTN, 7.250%, 1/25/2022		1,461,465

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	182,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015	$	190,418
	983,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		814,661
	1,359,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		1,583,235
	1,522,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,643,760
	611,000	Springleaf Finance Corp., 8.250%, 10/01/2023		661,407
	987,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,056,090
	611,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		667,823
				12,633,066
		Non-Captive Diversified – 4.2%
	3,826,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,160,519
	620,000	GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		586,563
	65,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		61,669
	12,895,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		10,257,234
	355,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		304,157
	600,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		503,557
	1,675,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,421,604
	497,000	General Electric Capital Corp., Series A, MTN, 0.544%, 5/13/2024(b)		463,236
	4,289,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		3,648,807
	30,000	International Lease Finance Corp., 3.875%, 4/15/2018		30,075
	53,000	International Lease Finance Corp., 4.625%, 4/15/2021		50,615
	133,000	International Lease Finance Corp., 5.875%, 4/01/2019		141,645
	19,000	International Lease Finance Corp., 5.875%, 8/15/2022		18,953
	2,695,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,917,337
	156,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		158,730
				24,724,701
		Oil Field Services – 0.2%
	827,000	Rowan Cos., Inc., 7.875%, 8/01/2019		993,257

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Paper – 0.3%
$	1,139,000	Georgia-Pacific LLC, 7.250%, 6/01/2028	$	1,372,925
	175,000	Mead Corp. (The), 7.550%, 3/01/2047(c)		177,226
	133,000	Westvaco Corp., 8.200%, 1/15/2030		157,597
				1,707,748
		Pipelines – 0.7%
	159,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		161,949
	152,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		185,820
	607,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		639,252
	539,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		487,795
	1,518,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,683,100
	615,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		689,218
				3,847,134
		Property & Casualty Insurance – 0.6%
	87,000	MBIA Insurance Corp., 11.504%, 1/15/2033, 144A(b)(f)		65,685
	167,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		181,008
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,713,796
	1,211,000	XLIT Ltd., 6.375%, 11/15/2024		1,388,017
				3,348,506
		Railroads – 0.0%
	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		118,800
		Refining – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		505,671
		REITs – Office Property – 0.2%
	61,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		67,173
	816,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		952,286
				1,019,459
		REITs – Shopping Centers – 0.3%
	759,000	Equity One, Inc., 6.000%, 9/15/2017		849,834
	1,025,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,127,540
				1,977,374

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		REITs - Single Tenant – 0.1%
$	72,000	Realty Income Corp., 5.750%, 1/15/2021	$	79,623
	307,000	Realty Income Corp., 6.750%, 8/15/2019		359,405
				439,028
		REITs - Warehouse/Industrials – 0.2%
	42,000	ProLogis LP, 5.625%, 11/15/2015		44,660
	182,000	ProLogis LP, 5.625%, 11/15/2016		202,526
	201,000	ProLogis LP, 5.750%, 4/01/2016		220,415
	596,000	ProLogis LP, 7.375%, 10/30/2019		719,635
				1,187,236
		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		415,792
		Retailers – 0.0%
	71,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		52,895
		Sovereigns – 1.3%
	3,986,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,478,330
	2,353,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		2,547,122
	2,429,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		2,477,580
	85,235,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		502,064
	51,425,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		305,003
	64,890,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		414,886
				7,724,985
		Supermarkets – 0.4%
	171,000	Delhaize Group S.A., 5.700%, 10/01/2040		162,127
	197,000	New Albertson’s, Inc., 7.450%, 8/01/2029		161,540
	1,017,000	New Albertson’s, Inc., 8.000%, 5/01/2031		839,025
	87,000	New Albertson’s, Inc., 8.700%, 5/01/2030		75,255
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		1,049,712
				2,287,659

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supranational – 0.9%
	3,035,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)	$	1,283,209
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,832,166
	2,605,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		1,009,869
				5,125,244
		Technology – 1.2%
	615,000	Corning, Inc., 7.000%, 5/15/2024		721,372
	2,706,000	Corning, Inc., 7.250%, 8/15/2036		3,117,634
	2,695,000	Ingram Micro, Inc., 5.250%, 9/01/2017		2,861,697
	37,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		36,647
	266,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		320,880
				7,058,230
		Tobacco – 0.1%
	558,000	Reynolds American, Inc., 6.750%, 6/15/2017		638,721
		Transportation Services – 0.3%
	76,000	APL Ltd., 8.000%, 1/15/2024(c)		71,440
	800,374	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015(g)		814,381
	717,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		795,877
				1,681,698
		Treasuries – 31.1%
	8,301,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		7,973,883
	99,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		96,860
	30,366,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		29,598,739
	23,974,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		24,496,248
	759,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		762,823
	282,400(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,405,694
	28,844,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		5,125,799
	30,112,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		5,201,001
	311,256	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)		377,796
	75,916	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, 144A, (EUR)		99,299

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
	1,404,447	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, 144A, (EUR)	$	1,780,458
	13,554,800	U.S. Treasury Bond, 2.750%, 11/15/2042		10,716,764
	15,183,200	U.S. Treasury Bond, 2.875%, 5/15/2043		12,305,513
	22,619,200	U.S. Treasury Note, 0.125%, 12/31/2014		22,612,143
	17,365,000	U.S. Treasury Note, 0.250%, 1/15/2015		17,379,239
	11,300,100	U.S. Treasury Note, 0.250%, 10/15/2015		11,285,534
	10,377,700	U.S. Treasury Note, 0.250%, 12/15/2015		10,354,589
	20,489,700	U.S. Treasury Note, 0.375%, 11/15/2015		20,501,707
				183,074,089
		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		750,260
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		167,765
	91,000	Sprint Capital Corp., 6.900%, 5/01/2019		99,418
	278,000	Sprint Communications, Inc., 6.000%, 12/01/2016		303,367
				1,320,810
		Wirelines – 2.7%
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,368,090
	2,179,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,266,160
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		171,120
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,529,910
	926,000	Embarq Corp., 7.995%, 6/01/2036		937,519
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		301,113
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		144,105
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		412,300
	2,183,000	Qwest Corp., 6.875%, 9/15/2033		2,095,680
	1,427,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,236,139
	150,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		147,913
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		656,192

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
	1,300,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)	$	2,296,645
	1,647,000	Verizon New England, Inc., 7.875%, 11/15/2029		1,933,030
	209,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		205,839
				15,701,755
		Total Non-Convertible Bonds (Identified Cost $468,104,823)		499,832,957
Convertible Bonds – 3.6%
		Automotive – 0.3%
	786,000	Ford Motor Co., 4.250%, 11/15/2016		1,450,170
		Independent Energy – 0.3%
	1,423,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,444,345
	524,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		547,908
				1,992,253
		Life Insurance – 1.4%
	6,829,000	Old Republic International Corp., 3.750%, 3/15/2018		8,493,569
		Metals & Mining – 0.2%
	850,000	United States Steel Corp., 2.750%, 4/01/2019		1,125,188
		Technology – 1.4%
	2,661,000	Intel Corp., 2.950%, 12/15/2035		2,980,320
	3,568,000	Intel Corp., 3.250%, 8/01/2039		4,850,250
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		488,932
				8,319,502
		Total Convertible Bonds (Identified Cost $16,727,590)		21,380,682
Municipals – 0.8%
		Illinois – 0.4%
	840,000	State of Illinois, 5.100%, 6/01/2033		780,310
	1,705,000	State of Illinois, Series B, 5.520%, 4/01/2038		1,534,483
				2,314,793
		Michigan – 0.1%
	745,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		581,867

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – continued
		Ohio – 0.1%
$	450,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047	$	333,459
		Virginia – 0.2%
	2,080,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,403,875
		Total Municipals (Identified Cost $5,603,486)		4,633,994
		Total Bonds and Notes (Identified Cost $490,435,899)		525,847,633
Senior Loans – 0.6%
		Media Cable – 0.3%
	1,880,857	CSC Holdings, Inc., New Term Loan B, 2.669%, 4/17/2020(b)		1,860,882
		Non-Captive Diversified – 0.3%
	1,878,922	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b)		1,881,271
		Total Senior Loans (Identified Cost $3,751,277)		3,742,153
Shares
Common Stocks – 3.7%
		Biotechnology – 0.1%
	10,408	Vertex Pharmaceuticals, Inc.(f)		773,314
		Chemicals – 0.8%
	23,580	PPG Industries, Inc.		4,472,183
		Electronic Equipment, Instruments & Components – 2.2%
	721,200	Corning, Inc.		12,851,784
		Oil, Gas & Consumable Fuels – 0.6%
	64,896	Repsol YPF S.A., Sponsored ADR		1,641,220
	26,419	Royal Dutch Shell PLC, ADR		1,882,882
				3,524,102
		Total Common Stocks (Identified Cost $14,527,583)		21,621,383
Preferred Stocks – 1.2%
Non-Convertible Preferred Stocks – 0.6%
		Banking – 0.0%
	122	Ally Financial, Inc., Series G, 7.000%, 144A		116,521
		Electric – 0.1%
	213	Connecticut Light & Power Co., 2.200%		10,022

Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Electric – continued
	2,360	Union Electric Co., 4.500%	$	217,120
				227,142
		Government Sponsored – 0.5%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(h)		3,107,813
		Total Non-Convertible Preferred Stocks (Identified Cost $3,161,639)		3,451,476
Convertible Preferred Stocks – 0.6%
		Independent Energy – 0.1%
	4,353	Chesapeake Energy Corp., 5.000%		424,417
		Metals & Mining – 0.2%
	53,180	ArcelorMittal, 6.000%		1,382,680
		Non-Captive Diversified – 0.1%
	714	Bank of America Corp., Series L, 7.250%		757,554
		Pipelines – 0.2%
	15,775	El Paso Energy Capital Trust I, 4.750%		885,451
		Total Convertible Preferred Stocks (Identified Cost $2,817,196)		3,450,102
		Total Preferred Stocks (Identified Cost $5,978,835)		6,901,578
Principal Amount(‡)
Short-Term Investments – 2.9%
$	32,662	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2013 at 0.000%, to be repurchased at $32,662 on 1/02/2014 collateralized by $40,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $36,499 including accrued interest(i)		32,662
	17,100,692	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $17,100,692 on 1/02/2014 collateralized by $17,375,000 U.S. Treasury Note, 0.625% due 7/15/2016 valued at $17,444,934 including accrued interest(i)		17,100,692
		Total Short-Term Investments (Identified Cost $17,133,354)		17,133,354
		Total Investments – 97.8% (Identified Cost $531,826,948)(a)		575,246,101
		Other assets less liabilities – 2.2%		12,908,204
		Net Assets – 100.0%	$	588,154,305

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $533,952,185 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	$	54,385,038
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,091,122	)
Net unrealized appreciation	$	41,293,916

(b) Variable rate security. Rate as of December 31, 2013 is disclosed.

(c) Illiquid security. At December 31, 2013, the value of these securities amounted to $4,171,898 or 0.7% of net assets.

(d) Perpetual bond with no specified maturity date.

(e) 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.

(f) Non-income producing security.

(g) Fair valued by the Fund’s investment adviser. At December 31, 2013, the value of this security amounted to $814,381 or 0.1% of net assets.

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

(i) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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 December 31, 2013, the value of Rule 144A holdings amounted to $80,438,212 or 13.7% 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

ARMs Adjustable Rate Mortgages

EMTN Euro Medium Term Note

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

GNMA Government National Mortgage Association

MTN Medium Term Note

REITs Real Estate Investment Trusts

REMIC Real Estate Mortgage Investment Conduit

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ISK Icelandic Krona

KRW South Korean Won

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	3,524,436	$	4,359,122	(a)	$	7,883,558
Airlines		—		—		20,698,867	(a)		20,698,867
Transportation Services		—		867,317		814,381	(b)		1,681,698
All Other Non-Convertible Bonds*		—		469,568,834		—			469,568,834
Total Non-Convertible Bonds		—		473,960,587		25,872,370			499,832,957
Convertible Bonds*		—		21,380,682		—			21,380,682
Municipals*		—		4,633,994		—			4,633,994
Total Bonds and Notes		—		499,975,263		25,872,370			525,847,633
Senior Loans*		—		3,742,153		—			3,742,153
Common Stocks*		21,621,383		—		—			21,621,383
Preferred Stocks
Non-Convertible Preferred Stocks
Government Sponsored		—		3,107,813		—			3,107,813
All Other Non-Convertible Preferred Stocks*		343,663		—		—			343,663
Total Non-Convertible Preferred Stocks		343,663		3,107,813		—			3,451,476
Convertible Preferred Stocks*		3,450,102		—		—			3,450,102
Total Preferred Stocks		3,793,765		3,107,813		—			6,901,578
Short-Term Investments		—		17,133,354		—			17,133,354
Total	$	25,415,148	$	523,958,583	$	25,872,370		$	575,246,101

* 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 valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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 pursuant to procedures approved by 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	1,682,226	$	—	$	26,571	$	(22,040	)	$	4,106,057	$	(1,433,692	)	$	—	$	—	$	4,359,122	$	2,103
Airlines		26,806,762		482		523,827		(41,270	)		—		(6,911,715	)		320,781		—		20,698,867		408,046
Transportation Services		1,210,793		—		4,441		(6,818	)		—		(394,035	)		—		—		814,381		(1	)
Total	$	29,699,781	$	482	$	554,839	$	(70,128	)	$	4,106,057	$	(8,739,442	)	$	320,781	$	—	$	25,872,370	$	410,148

Debt securities valued at $320,781 were transferred from Level 2 to Level 3 during the period ended December 31, 2013. At December 31, 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.

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

Industry Summary at December 31, 2013 (Unaudited)

Treasuries	31.1	%
Banking	12.5
Non-Captive Diversified	4.6
Airlines	3.5
Life Insurance	3.2
Commercial Mortgage-Backed Securities	2.9
Wirelines	2.7
Technology	2.6
Local Authorities	2.4
Electric	2.4
Electronic Equipment, Instruments & Components	2.2
Non-Captive Consumer	2.2
Other Investments, less than 2% each	22.6
Short-Term Investments	2.9
Total Investments	97.8
Other assets less liabilities	2.2
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2013 (Unaudited)

United States Dollar	71.8	%
Canadian Dollar	12.4
New Zealand Dollar	4.5
Australian Dollar	2.2
Other, less than 2% each	6.9
Total Investments	97.8
Other assets less liabilities	2.2
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Securitized Asset Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 123.1% of Net Assets
		ABS Car Loan – 9.3%
$	1,320,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class B, 1.660%, 9/10/2018	$	1,324,570
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,423,098
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		634,298
	2,129,589	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 8/15/2017, 144A		2,126,878
	2,190,000	Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.310%, 12/20/2017		2,199,272
	617,679	Carfinance Capital Auto Trust, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		616,315
	870,000	CarMax Auto Owner Trust, Series 2013-4, Class B, 1.710%, 7/15/2019		863,771
	326,635	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		337,893
	5,087,373	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		5,118,665
	2,055,000	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		2,053,294
	4,515,000	Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 9/16/2019, 144A		4,546,591
	2,075,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		2,080,829
	2,080,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		2,079,505
	1,035,504	Exeter Automobile Receivables Trust, Series 2012-1A, Class A, 2.020%, 8/15/2016, 144A		1,038,991
	2,000,000	First Investors Auto Owner Trust, Series 2012-2A, Class B, 2.470%, 5/15/2018, 144A		2,041,072
	979,683	First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A		980,127
	3,500,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,483,904
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,335,802
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,542,922
	552,570	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.165%, 9/20/2016, 144A(b)		548,813
	1,307,885	Prestige Auto Receivables Trust, Series 2013-1A, Class A2, 1.090%, 2/15/2018, 144A		1,311,287
	8,067	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		8,083
	1,275,000	Santander Drive Auto Receivables Trust, Series 2013-3, Class B, 1.190%, 5/15/2018		1,269,350
	6,245,000	Santander Drive Auto Receivables Trust, Series 2013-4, Class B, 2.160%, 1/15/2020		6,335,346
	3,395,000	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		3,394,321
	212,997	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		213,272

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Car Loan – continued
$	1,400,000	SNAAC Auto Receivables Trust, Series 2012-1A, Class B, 3.110%, 6/15/2017, 144A	$	1,413,160
	7,100,000	Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A		7,117,807
				63,439,236
		ABS Credit Card – 3.3%
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		2,914,868
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,422,859
	3,195,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		3,338,280
	10,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(c)		10,489,947
				22,165,954
		ABS Home Equity – 3.5%
	2,969,918	Citigroup Mortgage Loan Trust, Series 2013-J1, Class A2, 3.500%, 10/25/2043, 144A		2,813,021
	684,207	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		504,677
	381,995	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.198%, 7/25/2021(b)		362,743
	312,304	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		318,916
	1,215,922	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		1,144,735
	358,868	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB5, Class 6A2, 2.608%, 4/20/2035(b)		138,843
	6,511,838	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.590%, 5/19/2034(b)		6,374,529
	346,643	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.476%, 7/25/2035(b)		320,028
	212,941	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		210,512
	947,024	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		923,020
	46,970	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		47,146
	404,811	Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.855%, 2/25/2043		345,493
	3,966,894	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		3,602,824
	1,513,068	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.315%, 7/25/2036(b)		1,130,330
	6,487,967	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.527%, 11/25/2036(b)		5,501,809
				23,738,626
		ABS Other – 6.5%
	1,685,113	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		1,683,537
	1,250,000	CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A		1,250,379

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Other – continued
$	2,680,556	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A	$	2,756,451
	8,170,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		8,181,201
	971,510	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		963,890
	3,291,806	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		3,288,017
	427,625	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		439,967
	7,169,571	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		7,361,192
	372,865	Sierra Timeshare Receivables Funding LLC, Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		373,510
	600,071	Sierra Timeshare Receivables Funding LLC, Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		606,031
	772,673	Sierra Timeshare Receivables Funding LLC, Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		787,231
	899,519	Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		922,948
	1,601,137	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		1,630,489
	718,751	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		715,298
	6,800,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		6,902,000
	2,213,429	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		2,207,010
	3,841,663	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.667%, 7/15/2041, 144A(b)		3,941,474
				44,010,625
		ABS Student Loan – 3.1%
	5,175,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.198%, 7/01/2024(b)		5,179,513
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.238%, 7/25/2025(b)(c)		15,729,522
				20,909,035
		Collateralized Mortgage Obligations – 25.6%
	285,860	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(c)		317,306
	425,178	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(c)(d)		104,877
	7,277,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(c)		8,061,613
	16,151,392	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 7.033%, 5/15/2036(b)(c)(d)		3,282,034
	4,625,049	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class B1, 6.083%, 2/15/2038(b)(d)		632,462
	3,443,484	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.664%, 6/15/2048(b)(c)		3,669,717
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		490,906
	4,120,678	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.535%, 12/15/2036(b)(c)		4,396,455

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,594,353	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(c)(d)	$	275,101
	701,766	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 7.085%, 1/25/2024(b)(d)		123,681
	1,343,818	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(c)(d)		63,216
	458,562	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 7.135%, 8/25/2036(b)(d)		78,353
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(c)		1,087,572
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(c)		10,899,050
	5,711,486	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.911%, 8/25/2038(b)(c)		5,607,630
	1,665,513	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 3.637%, 3/25/2039(b)(c)		1,585,064
	365,873	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		395,335
	1,503,521	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 4.775%, 12/25/2039(b)		1,520,984
	4,684,784	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 5.985%, 8/25/2042(b)(d)		908,800
	2,009,483	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/01/2033(c)(d)		380,597
	412,666	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/01/2033(c)(d)		108,253
	2,241,174	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 8/01/2033(c)(d)		456,343
	420,317	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 8/01/2033(c)(d)		81,128
	4,817,710	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/01/2035(c)(d)		900,805
	1,978,670	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/01/2035(c)(d)		391,642
	1,444,040	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/01/2036(c)(d)		256,667
	2,951,975	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/01/2036(c)(d)		527,623
	1,190,871	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/01/2036(c)(d)		253,219
	1,485,129	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/01/2036(c)(d)		315,194
	1,714,451	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/01/2037(c)(d)		363,750
	1,646,218	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(c)(d)		314,948
	767,628	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(c)(d)		149,107
	1,288,996	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(c)(d)		265,317
	828,909	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(c)(d)		172,069
	233,969	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/01/2038(c)(d)		40,376
	5,657,535	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(c)(d)		1,050,154

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,904,842	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(c)(d)	$	374,110
	1,642,685	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(c)(d)		306,735
	1,714,251	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(c)(d)		267,981
	1,113,029	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(c)(d)		231,688
	203,217	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(d)		44,836
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 11.743%, 7/25/2043(b)		1,494,208
	11,745,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(c)		12,578,061
	9,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(c)		10,165,391
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023		6,057,925
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(c)		17,687,489
	2,670,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018(c)		2,758,524
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2021(c)		28,029,670
	4,699,849	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.649%, 1/25/2023(b)(d)		427,837
	21,067,241	Government National Mortgage Association, Series 2006-46, Class IO, 0.189%, 4/16/2046(b)(d)		420,418
	17,785,324	Government National Mortgage Association, Series 2006-51, Class IO, 0.461%, 8/16/2046(b)(c)(d)		548,766
	365,921	Government National Mortgage Association, Series 2007-75, Class C, 5.533%, 9/16/2038		369,963
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(c)		4,335,856
	25,614,626	Government National Mortgage Association, Series 2009-114, Class IO, 0.860%, 10/16/2049(b)(d)		716,492
	14,503,061	Government National Mortgage Association, Series 2010-49, Class IA, 1.097%, 10/16/2052(b)(d)		1,033,242
	54,242,382	Government National Mortgage Association, Series 2010-83, Class IO, 0.520%, 7/16/2050(b)(c)(d)		1,803,397
	972,035	Government National Mortgage Association, Series 2010-H20, Class AF, 0.499%, 10/20/2060(b)		960,456
	67,777,904	Government National Mortgage Association, Series 2010-I24, Class X, 1.100%, 12/16/2052(b)(c)(d)		4,817,653
	19,040,606	Government National Mortgage Association, Series 2011-119, Class IO, 1.193%, 8/16/2051(d)		1,114,199
	37,658,998	Government National Mortgage Association, Series 2011-161, Class IO, 1.212%, 4/16/2045(d)		2,238,790
	22,332,605	Government National Mortgage Association, Series 2011-38, Class IO, 0.884%, 4/16/2053(b)(c)(d)		1,051,933
	9,979,077	Government National Mortgage Association, Series 2011-53, Class IO, 0.881%, 5/16/2051(b)(c)(d)		487,787
	1,738,596	Government National Mortgage Association, Series 2011-H01, Class AF, 0.619%, 11/20/2060(b)		1,704,125
	17,000,000	Government National Mortgage Association, Series 2012-100, Class IC, 1.557%, 9/16/2050(b)(d)		1,885,623

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	25,310,021	Government National Mortgage Association, Series 2012-100, Class IO, 0.891%, 8/16/2052(b)(d)	$	1,656,313
	12,925,139	Government National Mortgage Association, Series 2012-111, Class IC, 1.457%, 9/16/2050(b)(d)		1,363,408
	34,061,990	Government National Mortgage Association, Series 2012-23, Class IO, 1.541%, 6/16/2053(b)(c)(d)		2,303,953
	32,651,183	Government National Mortgage Association, Series 2012-53, Class IO, 1.021%, 3/16/2047(b)(c)(d)		2,250,450
	38,902,825	Government National Mortgage Association, Series 2012-55, Class IO, 1.225%, 4/16/2052(b)(c)(d)		2,304,798
	29,250,205	Government National Mortgage Association, Series 2012-58, Class IO, 1.029%, 2/16/2053(b)(c)(d)		2,373,449
	29,263,036	Government National Mortgage Association, Series 2012-70, Class IO, 0.964%, 8/16/2052(b)(c)(d)		1,914,593
	17,804,653	Government National Mortgage Association, Series 2012-78, Class IO, 1.059%, 6/16/2052(b)(d)		1,276,754
	24,345,483	Government National Mortgage Association, Series 2012-79, Class IO, 1.050%, 3/16/2053(b)(d)		1,900,798
	24,365,674	Government National Mortgage Association, Series 2012-95, Class IO, 1.040%, 2/16/2053(b)(d)		2,073,251
	7,991,853	Government National Mortgage Association, Series 2013-175, Class IO, 0.996%, 5/16/2055(d)		514,300
	409,688	Government National Mortgage Association, Series 2013-H22, Class FT, 0.760%, 4/20/2063(b)		410,320
				173,782,890
		Commercial Mortgage-Backed Securities – 30.9%
	4,300,000	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		4,285,617
	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.184%, 9/10/2047(b)		201,197
	1,502,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,640,178
	1,090,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,183,923
	3,385,000	CGBAM Commercial Mortgage Trust, Series 2013-BREH, Class A2, 1.267%, 5/15/2030, 144A(b)		3,387,116
	4,170,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		4,566,600
	4,562,369	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047		5,033,169
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.752%, 6/10/2046(b)		271,852
	1,325,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,279,591
	2,778,669	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.791%, 6/15/2038(b)		3,025,462
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,775,021
	5,705,687	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.683%, 6/15/2039(b)		6,262,362
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.760%, 9/15/2039(b)		5,486,520
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(c)		12,328,160

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.032%, 2/15/2041(b)	$	4,639,592
	3,400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)		3,412,107
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049(c)		15,299,653
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039(c)		9,605,893
	96,848	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		97,818
	36,389	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		36,383
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.804%, 8/10/2045(b)(c)		13,725,850
	3,296,000	GS Mortgage Securities Corp. II, Series 2013-GC16, Class B, 5.161%, 11/10/2046		3,384,699
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.435%, 12/10/2027, 144A(b)		5,081,326
	10,115,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.018%, 11/08/2029, 144A(b)		10,058,012
	7,520,461	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043		8,113,555
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,516,707
	1,200,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,316,354
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		5,118,291
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		8,277,334
	6,730,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		7,477,716
	8,200	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.741%, 8/12/2041(b)		8,185
	7,282,738	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.597%, 4/12/2049(b)		7,995,004
	7,216,000	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044		7,783,387
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(c)		10,111,320
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.910%, 6/11/2049(b)		8,234,052
	14,000,000	Motel 6 Trust, Series 2012-MTL6, Class B, 2.743%, 10/05/2025, 144A(c)		13,885,648
	3,475,000	RBS Commercial Funding Inc. Trust, Series 2013-SMV, Class C, 3.584%, 3/11/2031, 144A(b)		3,186,304
	1,585,000	SCG Trust, Series 2013-SRP1, Class A, 1.567%, 11/15/2026, 144A(b)		1,586,826
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		2,661,281
				209,340,065

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Hybrid ARMs – 4.5%
$	2,426,670	FHLMC, 2.124%, 5/01/2037(b)(c)	$	2,568,535
	3,427,780	FHLMC, 2.345%, 6/01/2035(b)(c)		3,637,227
	146,897	FHLMC, 2.366%, 1/01/2035(b)(c)		156,290
	549,168	FHLMC, 2.375%, 11/01/2036(b)(c)		584,625
	2,524,736	FHLMC, 2.386%, 11/01/2036(b)(c)		2,692,649
	1,581,134	FHLMC, 2.410%, 4/01/2035(b)(c)		1,687,082
	2,338,222	FHLMC, 3.065%, 2/01/2037(b)(c)		2,464,579
	638,458	FHLMC, 4.428%, 1/01/2036(b)(c)		682,122
	780,210	FNMA, 1.909%, 2/01/2037(b)(c)		829,712
	1,631,392	FNMA, 2.296%, 9/01/2034(b)(c)		1,737,981
	743,005	FNMA, 2.570%, 9/01/2036(b)(c)		790,832
	3,025,684	FNMA, 3.974%, 8/01/2038(b)(c)		3,227,645
	447,335	FNMA, 5.372%, 10/01/2035(b)(c)		482,123
	8,401,023	FNMA, 5.722%, 9/01/2037(b)(c)		8,917,055
				30,458,457
		Mortgage Related – 36.4%
	180,749	FHLMC, 5.000%, 9/01/2035(c)		195,205
	20,000,000	FHLMC (TBA), 3.500%, 1/01/2044(e)		19,843,750
	1,109,438	FNMA, 5.500%, 8/01/2034(c)		1,238,397
	15,098	FNMA, 6.000%, 10/01/2034(c)		16,925
	4,835	FNMA, 7.000%, 12/01/2037(c)		5,293
	35,500,000	FNMA (TBA), 2.500%, 1/01/2029(e)		35,133,906
	52,270,000	FNMA (TBA), 3.500%, 1/01/2044(e)		51,922,896
	13,000,000	FNMA (TBA), 4.000%, 1/01/2044(e)		13,381,875
	45,700,000	FNMA (TBA), 4.500%, 1/01/2044(e)		48,422,363
	886,399	GNMA, 0.719%, 8/20/2063(b)		879,249
	2,579,379	GNMA, 1.862%, 2/20/2061(b)		2,689,751
	618,916	GNMA, 1.915%, 7/20/2060(b)		644,676
	492,054	GNMA, 1.935%, 9/20/2060(b)		514,024

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – continued
$	3,881,831	GNMA, 2.193%, 2/20/2063(b)	$	4,109,838
	1,957,305	GNMA, 4.479%, 2/20/2062		2,127,980
	3,520,480	GNMA, 4.521%, 12/20/2061		3,829,142
	1,010,540	GNMA, 4.524%, 7/20/2062		1,101,468
	495,276	GNMA, 4.570%, 10/20/2061		539,470
	4,654,808	GNMA, 4.577%, 6/20/2063		5,091,852
	511,742	GNMA, 4.578%, 11/20/2061		557,569
	1,036,873	GNMA, 4.600%, 10/20/2061		1,130,439
	997,005	GNMA, 4.626%, 6/20/2062		1,090,145
	11,557,024	GNMA, 4.659%, 2/20/2062(c)		12,632,463
	12,949,607	GNMA, 4.670%, 12/20/2061(c)		14,167,802
	712,147	GNMA, 4.684%, 1/20/2062		779,296
	3,379,379	GNMA, 4.700%, with various maturities in 2061(f)		3,689,631
	2,989,173	GNMA, 4.720%, 6/20/2061		3,259,706
	4,153,867	GNMA, 4.767%, 7/20/2063		4,551,093
	996,615	GNMA, 4.798%, 5/20/2061		1,089,104
	1,487,048	GNMA, 4.808%, 8/20/2062		1,629,747
	4,877,484	GNMA, 4.810%, 5/20/2061		5,327,198
	1,018,530	GNMA, 4.951%, 1/20/2062		1,117,681
	738,515	GNMA, 5.500%, with various maturities in 2059(f)		795,962
	3,160,990	GNMA, 6.514%, 5/20/2061		3,429,001
				246,934,897
		Total Bonds and Notes (Identified Cost $818,691,376)		834,779,785
Short-Term Investments – 1.6%
	9,952,148	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $9,952,148 on 1/02/2014 collateralized by $10,105,000 Federal National Mortgage Association, 1.125% due 4/27/2017 valued at $10,155,525 including accrued interest(g)		9,952,148
	850,000	U.S. Treasury Bills, 0.033%-0.037%, 2/27/2014(h)(i)(j)		849,967
		Total Short-Term Investments (Identified Cost $10,802,101)		10,802,115
		Total Investments – 124.7% (Identified Cost $829,493,477)(a)		845,581,900
		Other assets less liabilities – (24.7)%		(167,423,542	)
		Net Assets – 100.0%	$	678,158,358

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service, using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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 the current settlement price on the exchange on which the adviser believe that, over time, they are traded most extensively.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $829,493,477 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	$	28,364,276
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,275,853	)
Net unrealized appreciation	$	16,088,423

At September 30, 2013, post-October capital loss deferrals were $9,896,941. 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 December 31, 2013 is disclosed.

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

(d) 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.

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

(f) 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.

(g) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(h) A portion of this security has been pledged as initial margin for open futures contracts.

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

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, the value of Rule 144A holdings amounted to $146,276,900 or 21.6% 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 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 December 31, 2013, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2014		305	$	39,135,313	$	(447,196	)

At December 31, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		3/31/2014		359	$	42,833,188	$	560,281

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 December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Car Loan	$	—	$	59,488,019	$	3,951,217	(a)	$	63,439,236
ABS Other		—		34,352,174		9,658,451	(a)		44,010,625
All Other Bonds and Notes*		—		727,329,924		—			727,329,924
Total Bonds and Notes		—		821,170,117		13,609,668			834,779,785
Short-Term Investments		—		10,802,115		—			10,802,115
Total Investments		—		831,972,232		13,609,668			845,581,900
Futures Contracts (unrealized appreciation)		560,281		—		—			560,281
Total	$	560,281	$	831,972,232	$	13,609,668		$	846,142,181

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(447,196	)	$	—	$	—	$	(447,196	)

* 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 valued based on 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 and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid 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, 2013 and/or December 31, 2013:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2013		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 December 31, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2013
Bonds and Notes
ABS Car Loan	$	4,488,465	$	—	$	5,610	$	(548	)	$	—	$	(542,310	)	$	—	$	—		$	3,951,217	$	4,806
ABS Other		9,692,953		—		1,766		219,387			—		(255,655	)		—		—			9,658,451		226,268
Collateralized Mortgage Obligations		105,086		—		—		—			—		—			—		(105,086	)		—		—
Total	$	14,286,504	$	—	$	7,376	$	218,839		$	—	$	(797,965	)	$	—	$	(105,086	)	$	13,609,668	$	231,074

A debt security valued at $105,086 was transferred from Level 3 to Level 2 during the period ended December 31, 2013. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include 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 December 31, 2013, the Fund used futures contracts for hedging purposes and to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2013:

Assets	Unrealized appreciation on futures contracts1
Exchange traded/cleared asset derivatives
Interest rate contracts	$	560,281
Liabilities	Unrealized depreciation on futures contracts1
Exchange traded/cleared asset derivatives
Interest rate contracts	$	(447,196	)

¹  Represents cumulative unrealized appreciation (depreciation) on futures contracts.

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.

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. Cash or securities held at or pledged to counterparties for initial/variation margin for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of December 31, 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 that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $799,969.

Industry Summary at December 31, 2013 (Unaudited)

Mortgage Related	36.4	%
Commercial Mortgage-Backed Securities	30.9
Collateralized Mortgage Obligations	25.6
ABS Car Loan	9.3
ABS Other	6.5
Hybrid ARMs	4.5
ABS Home Equity	3.5
ABS Credit Card	3.3
ABS Student Loan	3.1
Short-Term Investments	1.6
Total Investments	124.7
Other assets less liabilities (including open futures contracts)	(24.7	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2013 (Unaudited)

Loomis Sayles Small Cap Value Fund

Shares		Description	Value (†)
Common Stocks – 99.0% of Net Assets
		Auto Components – 1.5%
	386,750	Dana Holding Corp.	$	7,588,035
	204,378	Remy International, Inc.		4,766,095
	123,821	Tenneco, Inc.(b)		7,004,554
				19,358,684
		Building Products – 1.2%
	146,078	Armstrong World Industries, Inc.(b)		8,415,554
	115,068	Masonite International Corp.		6,904,080
				15,319,634
		Capital Markets – 1.4%
	313,442	Safeguard Scientifics, Inc.(b)		6,297,050
	238,176	Stifel Financial Corp.(b)		11,413,394
				17,710,444
		Chemicals – 2.7%
	235,502	Cabot Corp.		12,104,803
	67,602	Minerals Technologies, Inc.		4,060,852
	114,497	Olin Corp.		3,303,238
	331,159	Tronox Ltd., Class A		7,639,838
	56,578	WR Grace & Co.(b)		5,593,867
	130,830	Zep, Inc.		2,375,873
				35,078,471
		Commercial Banks – 12.3%
	525,299	BancorpSouth, Inc.		13,353,100
	618,248	Cathay General Bancorp		16,525,769
	159,134	City National Corp.		12,606,595
	495,700	CVB Financial Corp.		8,461,599
	482,130	First Financial Bancorp		8,403,526
	114,187	First Financial Bankshares, Inc.		7,572,882
	160,056	IBERIABANK Corp.		10,059,520
	302,929	PacWest Bancorp		12,789,662
	249,560	Pinnacle Financial Partners, Inc.		8,118,187
	226,020	Popular, Inc.(b)		6,493,555
	183,036	Prosperity Bancshares, Inc.		11,602,652
	133,352	Signature Bank(b)		14,324,672
	163,937	Texas Capital Bancshares, Inc.(b)		10,196,881
	426,402	Tristate Capital Holdings, Inc.(b)		5,057,128
	264,608	Wintrust Financial Corp.		12,203,721
				157,769,449
		Commercial Services & Supplies – 5.0%
	683,448	ACCO Brands Corp.(b)		4,592,771
	452,349	KAR Auction Services, Inc.		13,366,913
	423,274	Knoll, Inc.		7,750,147
	144,766	McGrath Rentcorp		5,761,687
	241,139	Performant Financial Corp.(b)		2,483,732
	292,380	Rollins, Inc.		8,856,190
	218,610	Viad Corp.		6,072,986

Shares		Description	Value (†)
Common Stocks – continued
		Commercial Services & Supplies – continued
	182,077	Waste Connections, Inc.	$	7,944,019
	282,006	West Corp.		7,250,374
				64,078,819
		Communications Equipment – 0.4%
	328,835	Harmonic, Inc.(b)		2,426,802
	99,537	NETGEAR, Inc.(b)		3,278,749
				5,705,551
		Computers & Peripherals – 0.5%
	526,686	QLogic Corp.(b)		6,230,695
		Construction & Engineering – 1.3%
	258,200	MYR Group, Inc.(b)		6,475,656
	327,074	Primoris Services Corp.		10,181,814
				16,657,470
		Consumer Finance – 0.7%
	45,299	Credit Acceptance Corp.(b)		5,888,417
	295,124	DFC Global Corp.(b)		3,379,170
				9,267,587
		Distributors – 0.5%
	89,097	Core-Mark Holding Co., Inc.		6,765,135
		Diversified Financial Services – 0.8%
	154,739	MarketAxess Holdings, Inc.		10,347,397
		Electric Utilities – 2.5%
	273,388	ALLETE, Inc.		13,636,593
	60,113	ITC Holdings Corp.		5,760,028
	316,693	UIL Holdings Corp.		12,271,854
				31,668,475
		Electrical Equipment – 2.4%
	250,413	AZZ, Inc.		12,235,179
	146,460	EnerSys		10,265,382
	165,240	General Cable Corp.		4,859,708
	148,139	Global Power Equipment Group, Inc.		2,899,080
				30,259,349
		Electronic Equipment, Instruments & Components – 4.8%
	155,737	Belden, Inc.		10,971,672
	338,515	Checkpoint Systems, Inc.		5,338,382
	105,162	Cognex Corp.		4,015,085
	153,412	Littelfuse, Inc.		14,256,577
	234,217	Methode Electronics, Inc.		8,007,879
	166,474	Rogers Corp.(b)		10,238,151
	696,707	Vishay Intertechnology, Inc.(b)		9,238,335
				62,066,081
		Energy Equipment & Services – 2.7%
	147,478	Bristow Group, Inc.		11,069,699
	529,929	Helix Energy Solutions Group, Inc.(b)		12,283,754

Shares		Description	Value (†)
Common Stocks – continued
		Energy Equipment & Services – continued
	1,447,550	Parker Drilling Co.(b)	$	11,768,581
				35,122,034
		Food & Staples Retailing – 1.1%
	93,950	Casey’s General Stores, Inc.		6,599,987
	312,584	Spartan Stores, Inc.		7,589,540
				14,189,527
		Food Products – 1.3%
	320,320	Darling International, Inc.(b)		6,688,282
	75,683	Ingredion, Inc.		5,181,258
	52,080	J & J Snack Foods Corp.		4,613,767
				16,483,307
		Health Care Equipment & Supplies – 1.1%
	139,809	SurModics, Inc.(b)		3,409,942
	112,062	Teleflex, Inc.		10,518,139
				13,928,081
		Health Care Providers & Services – 2.2%
	234,354	Bio-Reference Labs, Inc.(b)		5,985,401
	193,013	Hanger Orthopedic Group, Inc.(b)		7,593,131
	118,084	MEDNAX, Inc.(b)		6,303,324
	120,925	WellCare Health Plans, Inc.(b)		8,515,539
				28,397,395
		Health Care Technology – 0.6%
	372,581	MedAssets, Inc.(b)		7,388,281
		Hotels, Restaurants & Leisure – 3.9%
	139,446	Churchill Downs, Inc.		12,501,334
	58,331	Cracker Barrel Old Country Store, Inc.		6,420,493
	482,098	Diamond Resorts International, Inc.(b)		8,899,529
	233,793	Marriott Vacations Worldwide Corp.(b)		12,334,919
	269,261	Six Flags Entertainment Corp.		9,914,190
				50,070,465
		Household Durables – 1.6%
	249,633	Jarden Corp.(b)		15,314,985
	160,487	La-Z-Boy, Inc.		4,975,097
				20,290,082
		Industrial Conglomerates – 1.0%
	314,611	Raven Industries, Inc.		12,943,097
		Insurance – 3.9%
	446,540	Employers Holdings, Inc.		14,132,991
	326,467	HCC Insurance Holdings, Inc.		15,063,187
	216,618	ProAssurance Corp.		10,501,641
	133,959	Reinsurance Group of America, Inc., Class A		10,369,766
				50,067,585
		Internet & Catalog Retail – 1.6%
	153,101	HSN, Inc.		9,538,192

Shares		Description	Value (†)
Common Stocks – continued
		Internet & Catalog Retail – continued
	87,030	Liberty Ventures, Series A(b)	$	10,669,008
				20,207,200
		Internet Software & Services – 0.6%
	341,227	Perficient, Inc.(b)		7,991,536
		IT Services – 3.0%
	459,809	Convergys Corp.		9,678,979
	317,545	Euronet Worldwide, Inc.(b)		15,194,528
	142,959	WEX, Inc.(b)		14,157,230
				39,030,737
		Machinery – 6.2%
	156,182	Actuant Corp., Class A		5,722,509
	79,516	Alamo Group, Inc.		4,825,826
	225,097	Albany International Corp., Class A		8,087,735
	369,810	Altra Industrial Motion Corp.		12,654,898
	384,683	John Bean Technologies Corp.		11,282,753
	179,900	RBC Bearings, Inc.(b)		12,727,925
	280,407	TriMas Corp.(b)		11,185,435
	173,008	Wabtec Corp.		12,849,304
				79,336,385
		Marine – 0.9%
	121,016	Kirby Corp.(b)		12,010,838
		Media – 3.1%
	345,302	Carmike Cinemas, Inc.(b)		9,613,208
	303,683	E.W. Scripps Co. (The), Class A(b)		6,595,995
	186,322	John Wiley & Sons, Inc., Class A		10,284,974
	283,832	Live Nation Entertainment, Inc.(b)		5,608,520
	383,413	National CineMedia, Inc.		7,652,924
				39,755,621
		Metals & Mining – 2.9%
	266,475	Globe Specialty Metals, Inc.		4,799,215
	179,793	Haynes International, Inc.		9,931,765
	495,942	Horsehead Holding Corp.(b)		8,039,220
	40,984	Reliance Steel & Aluminum Co.		3,108,227
	497,029	SunCoke Energy, Inc.(b)		11,337,231
				37,215,658
		Multi Utilities – 0.8%
	233,898	NorthWestern Corp.		10,132,461
		Multiline Retail – 0.4%
	293,168	Fred’s, Inc. Class A		5,429,471
		Oil, Gas & Consumable Fuels – 1.0%
	440,037	EPL Oil & Gas, Inc.(b)		12,541,054
		Pharmaceuticals – 0.5%
	122,062	Mallinckrodt PLC(b)		6,378,960

Shares		Description	Value (†)
Common Stocks – continued
		Professional Services – 0.1%
	50,260	Insperity, Inc.	$	1,815,894
		REITs - Apartments – 1.7%
	157,654	American Campus Communities, Inc.		5,078,035
	124,279	Home Properties, Inc.		6,663,840
	159,735	Mid-America Apartment Communities, Inc.		9,702,304
				21,444,179
		REITs - Diversified – 1.0%
	136,113	DuPont Fabros Technology, Inc.		3,363,352
	227,288	Potlatch Corp.		9,487,001
				12,850,353
		REITs - Healthcare – 0.8%
	324,457	Omega Healthcare Investors, Inc.		9,668,819
		REITs - Hotels – 0.7%
	1,629,443	Hersha Hospitality Trust		9,075,998
		REITs - Office Property – 0.8%
	532,268	BioMed Realty Trust, Inc.		9,644,696
		REITs - Shopping Centers – 0.7%
	613,792	Retail Opportunity Investments Corp.		9,035,018
		REITs - Single Tenant – 0.5%
	195,910	National Retail Properties, Inc.		5,941,950
		REITs - Storage – 1.8%
	701,228	CubeSmart		11,177,575
	180,366	Sovran Self Storage, Inc.		11,754,452
				22,932,027
		Road & Rail – 2.4%
	228,320	Avis Budget Group, Inc.(b)		9,228,694
	62,675	Genesee & Wyoming, Inc., Class A(b)		6,019,934
	293,871	Old Dominion Freight Line, Inc.(b)		15,581,041
				30,829,669
		Semiconductors & Semiconductor Equipment – 2.0%
	352,473	Magnachip Semiconductor Corp.(b)		6,873,224
	315,850	Semtech Corp.(b)		7,984,688
	637,778	Teradyne, Inc.(b)		11,237,648
				26,095,560
		Software – 2.4%
	152,828	Monotype Imaging Holdings, Inc.		4,869,100
	234,725	SS&C Technologies Holdings, Inc.(b)		10,388,928
	294,282	Synchronoss Technologies, Inc.(b)		9,143,342
	139,350	Verint Systems, Inc.(b)		5,983,689
				30,385,059
		Specialty Retail – 2.4%
	282,867	Barnes & Noble, Inc.(b)		4,228,862
	170,258	Genesco, Inc.(b)		12,439,049

Shares		Description	Value (†)
Common Stocks – continued
		Specialty Retail – continued
	141,156	Rent-A-Center, Inc.	$	4,706,141
	298,836	Sally Beauty Holdings, Inc.(b)		9,033,812
				30,407,864
		Thrifts & Mortgage Finance – 0.7%
	485,003	Capitol Federal Financial, Inc.		5,873,386
	92,992	Federal Agricultural Mortgage Corp., Class C		3,184,976
				9,058,362
		Trading Companies & Distributors – 1.8%
	96,969	DXP Enterprises, Inc.(b)		11,170,829
	156,263	H&E Equipment Services, Inc.		4,630,072
	267,058	Rush Enterprises, Inc., Class A(b)		7,918,270
				23,719,171
		Transportation Infrastructure – 0.6%
	147,211	Macquarie Infrastructure Co. LLC		8,012,695
		Water Utilities – 0.2%
	112,681	Middlesex Water Co.		2,359,540
		Total Common Stocks (Identified Cost $781,440,549)		1,270,469,870
Closed-End Investment Companies – 1.6%
	468,764	Ares Capital Corp.		8,329,936
	663,018	Fifth Street Finance Corp.		6,132,917
	367,336	Hercules Technology Growth Capital, Inc.		6,024,310
		Total Closed End Investment Companies (Identified Cost $18,224,072)		20,487,163
Principal Amount
Short-Term Investments – 1.1%
$	14,937,987	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2013 at 0.000% to be repurchased at $14,937,987 on 1/02/2014 collateralized by $13,360,000 Federal Farm Credit Bank, 4.875% due 1/17/2017 valued at $15,237,654 including accrued interest(c) (Identified Cost $14,937,987)		14,937,987
		Total Investments – 101.7% (Identified Cost $814,602,608)(a)		1,305,895,020
		Other assets less liabilities – (1.7)%		(22,294,695	)
		Net Assets – 100.0%	$	1,283,600,325

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may 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.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 December 31, 2013, the net unrealized appreciation on investments based on a cost of $814,604,980 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	$	501,527,638
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,237,598	)
Net unrealized appreciation	$	491,290,040

(b) Non-income producing security.

(c) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of December 31, 2013, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

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

• Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,270,469,870	$	—	$	—	$	1,270,469,870
Closed End Investment Companies		20,487,163		—		—		20,487,163
Short-Term Investments		—		14,937,987		—		14,937,987
Total	$	1,290,957,033	$	14,937,987	$	—	$	1,305,895,020

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

For the period ended December 31, 2013, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2013 (Unaudited)

Commercial Banks	12.3	%
Machinery	6.2
Commercial Services & Supplies	5.0
Electronic Equipment, Instruments & Components	4.8
Hotels, Restaurants & Leisure	3.9
Insurance	3.9
Media	3.1
IT Services	3.0
Metals & Mining	2.9
Energy Equipment & Services	2.7
Chemicals	2.7
Electric Utilities	2.5
Road & Rail	2.4
Specialty Retail	2.4
Software	2.4
Electrical Equipment	2.4
Health Care Providers & Services	2.2
Semiconductors & Semiconductor Equipment	2.0
Capital Markets	2.0
Other Investments, less than 2% each	31.8
Short-Term Investments	1.1
Total Investments	101.7
Other assets less liabilities	(1.7	)
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:	February 24, 2014

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:	February 24, 2014

By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 24, 2014