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, 2014

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 88.0% of Net Assets
	Non-Convertible Bonds – 81.7%
		ABS Car Loan – 0.1%
$	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	6,152,733
	22,950,000	Ford Auto Securitization Trust, Series 2014-R2A, Class A2, 1.593%, 12/15/2017, 144A, (CAD)		19,768,646
				25,921,379
		ABS Home Equity – 0.1%
	14,755,186	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.609%, 4/25/2035(b)		14,919,589
		ABS Other – 0.4%
	31,500,113	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(c)		31,210,312
	32,585,000	GCA2014 Holdings Ltd., Zero Coupon, 1/05/2030, 144A(c)(d)		29,630,880
	21,595,000	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d)		21,595,000
	7,850,000	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d)		7,850,000
				90,286,192
		Aerospace & Defense – 0.8%
	36,735,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		37,102,350
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,363,068
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,937,280
	5,200,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		5,668,000
	24,503,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		23,277,850
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		26,244,400
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		6,295,500
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		43,180,834
	27,711,000	TransDigm, Inc., 6.500%, 7/15/2024		27,849,555
				184,918,837
		Airlines – 2.8%
	22,705,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		20,788,814
	4,855,898	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,928,737
	232,615,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		236,685,762
	21,156,536	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		21,952,444

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	7,914,933	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A	$	8,102,913
	14,273,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		14,344,365
	4,480,078	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		4,636,881
	32,200,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		34,212,500
	252,250	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		256,185
	351,253	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		365,303
	3,085,364	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		3,224,205
	912,144	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		958,299
	2,147,973	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,435,157
	1,845,603	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,070,398
	1,155,415	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		1,244,960
	2,668,114	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,881,563
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,560,971
	14,613,896	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		16,038,751
	24,113,467	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		25,499,991
	18,985,168	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		20,883,685
	22,949,053	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		26,506,156
	5,015,748	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		5,266,535
	2,319,903	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,691,088
	3,194,948	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		3,690,165
	1,449,992	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		1,559,612
	16,373,373	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		18,307,068
	20,760,859	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		22,421,728
	662,303	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		738,004
	6,915,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		7,087,668
	12,595,000	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		12,421,819
	16,088,959	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		17,536,965

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	15,574,163	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025	$	18,143,900
	18,695,633	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		20,845,631
	9,673,679	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		10,737,784
	4,756,653	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		4,923,136
	6,747,341	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		7,084,708
	56,320,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		57,024,000
	8,450,974	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		8,651,684
	13,895,788	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		14,312,662
				683,022,197
		Automotive – 1.4%
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		4,079,528
	12,977,000	Ford Motor Co., 6.375%, 2/01/2029		15,668,430
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,986,926
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,818,935
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		79,770,616
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		3,342,592
	46,387,000	Ford Motor Co., 7.400%, 11/01/2046		66,796,491
	65,430,000	Ford Motor Co., 7.450%, 7/16/2031		88,827,441
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		2,013,048
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		39,532,031
	8,755,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		9,455,400
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,252,435
	8,935,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		8,666,950
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,088,500
				333,299,323
		Banking – 10.9%
	6,000,000	ABN Amro Bank NV, (fixed rate to 3/10/2016, variable rate thereafter), 4.310%, (EUR)(e)		7,351,004
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		128,359,418

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	40,568,000	Ally Financial, Inc., 7.500%, 9/15/2020	$	47,565,980
	42,006,000	Ally Financial, Inc., 8.000%, 12/31/2018		47,676,810
	40,627,000	Ally Financial, Inc., 8.000%, 11/01/2031		51,799,425
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		38,628,933
	99,300,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		35,693,759
	1,400,000	Bank of America Corp., 5.490%, 3/15/2019		1,549,121
	1,065,000	Bank of America Corp., 5.650%, 5/01/2018		1,183,186
	4,887,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		6,635,449
	18,860,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		18,861,452
	33,133,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		40,044,941
	16,525,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		14,412,650
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		80,749,020
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(e)		46,356,302
	30,900,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, (EUR)(e)		38,325,315
	23,400,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e)		29,589,357
	35,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(e)		56,872,184
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(e)		25,724,250
	31,050,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 144A(e)		31,050,000
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, (GBP)(e)		20,905,516
	12,230,000	Citigroup, Inc., 3.375%, 3/01/2023		12,339,373
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		8,020,844
	52,380,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		41,411,273
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		5,486,269
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		41,704,323
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		15,588,183
	24,080,000	Citigroup, Inc., 6.125%, 5/15/2018		27,250,710
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		10,496,185

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)	$	32,361,805
	4,900,000	Citigroup, Inc., EMTN, 1.352%, 11/30/2017, (EUR)(b)		5,916,795
	16,780,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		17,850,161
	4,045,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		4,120,354
	27,405,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		24,315,156
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,087,834
	61,880,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		77,806,365
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,555,633
	33,280,000	HBOS PLC, 6.000%, 11/01/2033, 144A		37,583,636
	65,355,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		72,837,886
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		12,684,488
	45,415,000	Intesa Sanpaolo SpA, 3.875%, 1/15/2019		47,022,373
	55,385,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		53,751,973
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		53,656,961
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		21,213,419
	83,493,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		96,745,092
	34,800,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(e)		34,539,000
	4,745,000	Lloyds Banking Group PLC, (fixed rate to 5/21/2037, variable rate thereafter), 6.657%, 144A(e)		5,065,288
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		5,215,854
	36,435,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		43,020,772
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.632%, 9/14/2018, (EUR)(b)		1,888,646
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		4,325,522
	82,175,000	Morgan Stanley, 2.125%, 4/25/2018		82,222,579
	42,630,000	Morgan Stanley, 2.500%, 1/24/2019		42,668,665
	6,600,000	Morgan Stanley, 3.750%, 2/25/2023		6,770,419
	35,925,000	Morgan Stanley, 4.350%, 9/08/2026		36,139,652
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		45,385,128

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	26,800,000	Morgan Stanley, 4.875%, 11/01/2022	$	28,463,690
	75,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		64,287,385
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		126,421,729
	149,700,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		134,505,858
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,374,079
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		100,499,820
	107,640,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		108,978,826
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		18,084,045
	19,400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		16,093,943
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		13,326,710
	18,000,000	Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(b)		17,945,982
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		59,465,395
	2,819,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(e)		3,377,020
	6,633,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(e)		6,831,990
	3,060,000	RBS Capital Trust III, 2.095%(b)(e)		3,043,170
	1,385,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e)		1,579,554
	22,591,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		25,969,432
	34,220,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		37,039,660
	32,250,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		35,101,094
	15,425,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e)		16,196,250
	1,300,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,653,358
	11,450,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		15,952,691
	3,200,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		3,967,412
	950,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		994,639
	2,269,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		2,364,586
	3,070,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(e)		3,714,854
	6,000,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(e)		10,427,041

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A	$	3,169,550
				2,664,212,451
		Brokerage – 0.9%
	5,996,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		5,486,340
	29,995,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		27,895,350
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,867,528
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		52,116,878
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		28,959,874
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		23,269,970
	58,180,000	Jefferies Group LLC, 6.875%, 4/15/2021		66,136,697
				224,732,637
		Building Materials – 0.7%
	14,395,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		12,091,800
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,879,035
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,523,163
	19,873,000	Masco Corp., 6.125%, 10/03/2016		21,075,317
	15,272,000	Masco Corp., 6.500%, 8/15/2032		15,615,620
	23,972,000	Masco Corp., 7.125%, 3/15/2020		27,687,660
	9,733,000	Masco Corp., 7.750%, 8/01/2029		11,192,950
	9,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		3,147,054
	214,000	Owens Corning, 6.500%, 12/01/2016		233,159
	51,180,000	Owens Corning, 7.000%, 12/01/2036		63,404,138
	17,605,000	USG Corp., 9.750%, 1/15/2018		20,069,700
				182,919,596
		Cable Satellite – 0.3%
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,348,150
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		36,656,536
	535,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		637,910
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		13,718,583

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – continued
$	9,660,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A	$	10,106,775
				64,467,954
		Chemicals – 1.1%
	54,240,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		53,019,600
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		20,300,000
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		20,960,100
	4,075,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,626,750
	3,230,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,309,450
	119,535,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		119,535,000
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,299,298
	33,969,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		20,721,090
	2,257,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		1,884,595
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		8,054,812
				257,710,695
		Construction Machinery – 0.2%
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,385,051
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		31,905,644
	5,825,000	United Rentals North America, Inc., 7.625%, 4/15/2022		6,404,588
				40,695,283
		Consumer Cyclical Services – 0.1%
	3,591,000	ServiceMaster Co. LLC (The), 7.000%, 8/15/2020		3,716,685
	1,000,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		1,020,000
	8,164,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		7,796,620
				12,533,305
		Consumer Products – 0.3%
	14,000,000	Avon Products, Inc., 6.950%, 3/15/2043		11,550,000
	57,550,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		58,734,091
	2,043,000	Visant Corp., 10.000%, 10/01/2017		1,772,303
				72,056,394

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – 2.1%
$	3,075,000	AES Corp. (The), 4.875%, 5/15/2023	$	3,051,938
	10,815,000	AES Corp. (The), 5.500%, 3/15/2024		10,975,062
	61,089,168	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		69,377,563
	78,043,538	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		86,616,620
	2,725,751	CE Generation LLC, 7.416%, 12/15/2018		2,698,493
	49,684,000	DPL, Inc., 6.750%, 10/01/2019, 144A		50,180,840
	12,250,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.375%, 11/01/2022, 144A		12,464,375
	69,835,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.625%, 11/01/2024, 144A		71,231,700
	70,000,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		70,392,000
	65,185,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		67,845,852
	22,441,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		24,286,997
	3,700,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		7,539,592
	8,663,000	Endesa S.A., 7.875%, 2/01/2027		11,273,638
	11,600,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		13,630,313
	800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,022,840
	2,250,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		4,326,621
	898,751	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		959,417
	112,789	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		116,771
				507,990,632
		Finance Companies – 5.7%
	3,100,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		2,294,000
	4,145,000	Aircastle Ltd., 7.625%, 4/15/2020		4,590,588
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		80,701,950
	64,245,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		49,954,752
	89,985,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		73,193,828
	45,800,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		36,629,847
	12,965,000	General Electric Capital Corp., Series A, MTN, 0.531%, 5/13/2024(b)		12,165,111
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		211,820,955

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	455,000	International Lease Finance Corp., 3.875%, 4/15/2018	$	455,000
	9,248,000	International Lease Finance Corp., 4.625%, 4/15/2021		9,409,840
	11,568,000	International Lease Finance Corp., 5.875%, 4/01/2019		12,464,520
	37,015,000	International Lease Finance Corp., 5.875%, 8/15/2022		40,161,275
	5,265,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,752,013
	17,700,000	International Lease Finance Corp., 8.250%, 12/15/2020		21,328,500
	6,070,000	iStar Financial, Inc., 3.875%, 7/01/2016		6,077,284
	18,205,000	iStar Financial, Inc., 4.875%, 7/01/2018		17,886,413
	20,095,000	iStar Financial, Inc., 5.000%, 7/01/2019		19,492,150
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		34,803,875
	4,865,000	iStar Financial, Inc., 6.050%, 4/15/2015		4,913,650
	29,130,000	iStar Financial, Inc., 7.125%, 2/15/2018		30,586,500
	29,955,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		30,853,650
	34,415,000	Navient LLC, 4.875%, 6/17/2019		34,514,803
	27,345,000	Navient LLC, 5.500%, 1/25/2023		26,182,837
	150,125(††)	Navient LLC, 6.000%, 12/15/2043		3,228,313
	9,995,000	Navient LLC, MTN, 4.625%, 9/25/2017		10,144,925
	11,528,000	Navient LLC, MTN, 5.500%, 1/15/2019		11,787,380
	68,000,000	Navient LLC, MTN, 6.125%, 3/25/2024		66,810,000
	8,000,000	Navient LLC, MTN, 7.250%, 1/25/2022		8,680,000
	2,030,000	Navient LLC, MTN, 8.000%, 3/25/2020		2,248,225
	23,623,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		23,445,828
	49,494,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033		37,367,970
	74,428,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		82,987,220
	78,860,000	Springleaf Finance Corp., 5.250%, 12/15/2019		77,282,800
	194,610,000	Springleaf Finance Corp., 7.750%, 10/01/2021		217,963,200
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		87,186,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	4,690,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016	$	4,842,425
	935,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		981,750
				1,401,189,777
		Financial Other – 0.2%
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		60,808,394
		Food & Beverage – 0.2%
	3,420,000	Constellation Brands, Inc., 4.750%, 11/15/2024		3,462,750
	36,595,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		42,267,225
				45,729,975
		Government Owned - No Guarantee – 0.2%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		38,925,327
		Healthcare – 3.1%
	3,240,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A		2,916,000
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		17,366,746
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		7,735,999
	4,895,000	HCA Holdings, Inc., 6.250%, 2/15/2021		5,213,175
	237,365,000	HCA, Inc., 5.250%, 4/15/2025		248,046,425
	12,860,000	HCA, Inc., 5.875%, 3/15/2022		14,081,700
	162,835,000	HCA, Inc., 5.875%, 5/01/2023		171,587,381
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		27,612,060
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		30,405,760
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		27,788,250
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		79,313,625
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		52,856,200
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		24,445,260
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		13,317,220
	1,430,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,419,275
	2,250,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,255,625

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	32,146,120
				758,506,821
		Home Construction – 0.7%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		7,163,450
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		14,219,650
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		1,732,500
	52,688,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		50,580,480
	2,835,000	KB Home, 8.000%, 3/15/2020		3,104,325
	7,820,000	Lennar Corp., 4.500%, 6/15/2019		7,820,000
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		62,414,025
	18,575,000	Pulte Group, Inc., 6.375%, 5/15/2033		18,575,000
	8,975,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		8,851,594
				174,461,024
		Independent Energy – 1.1%
	6,620,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		5,627,000
	5,962,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,067,700
	6,416,000	California Resources Corp., 5.000%, 1/15/2020, 144A		5,565,880
	106,031,000	California Resources Corp., 5.500%, 9/15/2021, 144A		90,656,505
	14,139,000	California Resources Corp., 6.000%, 11/15/2024, 144A		11,947,455
	1,200,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,167,000
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		2,085,500
	3,410,000	Continental Resources, Inc., 3.800%, 6/01/2024		3,050,398
	705,000	Continental Resources, Inc., 4.500%, 4/15/2023		670,562
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,139,894
	7,470,000	Halcon Resources Corp., 9.250%, 2/15/2022		5,509,125
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,070,625
	12,745,000	Rex Energy Corp., 6.250%, 8/01/2022, 144A		9,495,025
	1,690,000	Rex Energy Corp., 8.875%, 12/01/2020		1,512,550

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	9,500,000	Rice Energy, Inc., 6.250%, 5/01/2022, 144A	$	8,835,000
	12,249,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		11,391,570
	13,180,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		11,071,200
	7,440,000	Sanchez Energy Corp., 7.750%, 6/15/2021		6,919,200
	5,560,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		3,502,800
	20,822,000	SM Energy Co., 6.125%, 11/15/2022, 144A		19,572,680
	1,060,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		977,850
	57,730,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		49,647,800
				266,483,319
		Industrial Other – 0.2%
	10,205,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		10,434,613
	10,640,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		10,879,400
	9,280,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		6,960,000
	8,025,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		8,546,625
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,973,018
				48,793,656
		Life Insurance – 1.4%
	16,485,000	American International Group, Inc., 4.125%, 2/15/2024		17,548,480
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,978,213
	910,000	American International Group, Inc., 6.250%, 3/15/2087		1,015,514
	6,981,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		9,459,255
	8,400,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		15,050,928
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,486,996
	6,368,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		7,120,061
	7,075,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		7,719,518
	97,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)		106,009,225
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e)		1,985,832
	13,250,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		18,225,684

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A	$	17,181,225
	4,075,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		3,303,305
	13,905,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		11,203,217
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,902,900
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		16,534,375
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		76,248,246
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		14,740,234
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		7,419,121
				344,132,329
		Local Authorities – 1.3%
	38,490,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		32,743,351
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		87,376,481
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		129,224,243
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,138,137
	5,353,265	Province of Alberta, 5.930%, 9/16/2016, (CAD)		4,816,556
	1,490,000	Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)		1,307,937
	75,000,000	Province of Ontario Canada, GMTN, 6.250%, 6/16/2015, (NZD)		59,073,582
				315,680,287
		Media Entertainment – 0.7%
	9,335,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.250%, 2/15/2022, 144A		9,405,013
	23,335,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.875%, 3/15/2025, 144A		23,510,012
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		9,542,851
	66,150,000	iHeartCommunications, Inc., 9.000%, 9/15/2022, 144A		64,827,000
	31,905,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		31,426,425
	3,610,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		3,700,250
	26,090,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		27,981,525
	8,890,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		9,823,450
				180,216,526

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – 1.6%
$	6,209,524	1839688 Alberta ULC, 14.000% (14.000% PIK), 2/13/2020(f)	$	5,495,429
	13,492,000	Alcoa, Inc., 5.870%, 2/23/2022		14,923,623
	11,795,000	Alcoa, Inc., 5.900%, 2/01/2027		12,846,453
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		2,094,192
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		7,298,550
	35,180,000	ArcelorMittal, 7.250%, 3/01/2041		35,531,800
	3,635,000	ArcelorMittal, 7.500%, 10/15/2039		3,762,225
	3,950,000	Barrick Gold Corp., 5.800%, 11/15/2034		3,629,035
	23,735,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		23,550,555
	11,380,000	Cliffs Natural Resources, Inc., 4.800%, 10/01/2020		6,145,200
	5,260,000	Cliffs Natural Resources, Inc., 4.875%, 4/01/2021		2,827,250
	56,877,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		29,576,040
	12,128,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		9,217,280
	34,330,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		34,587,475
	12,000,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		10,800,000
	19,165,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		18,973,350
	66,420,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		66,420,000
	6,500,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		6,646,250
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		10,427,408
	9,625,000	United States Steel Corp., 6.650%, 6/01/2037		8,758,750
	8,015,000	United States Steel Corp., 6.875%, 4/01/2021		8,135,225
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		24,931,200
	37,725,000	United States Steel Corp., 7.500%, 3/15/2022		39,422,625
				385,999,915
		Midstream – 0.8%
	9,050,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		9,472,563
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,217,631
	7,325,000	Energy Transfer Partners LP, 4.150%, 10/01/2020		7,509,443

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A	$	9,013,125
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		34,135,003
	33,023,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		32,445,097
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		212,175
	4,130,000	NiSource Finance Corp., 6.125%, 3/01/2022		4,895,545
	52,880,000	NiSource Finance Corp., 6.400%, 3/15/2018		60,226,513
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,449,891
	26,020,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		28,357,507
	4,258,531	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		4,258,531
				193,193,024
		Mortgage Related – 0.0%
	62,348	FHLMC, 5.000%, 12/01/2031		68,761
		Non-Agency Commercial Mortgage-Backed Securities – 0.2%
	12,805,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		11,546,323
	11,090,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)		11,330,609
	24,777,194	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		21,328,690
				44,205,622
		Oil Field Services – 0.6%
	4,015,000	FTS International, Inc., 6.250%, 5/01/2022, 144A		2,930,950
	9,404,000	Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A		4,043,720
	2,464,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		1,084,160
	15,933,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		7,488,510
	2,507,000	Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A		1,328,710
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		14,241,795
	29,152,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		17,782,720
	46,242,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		27,745,200
	28,720,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		29,983,680
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		26,266,028

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	10,342,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A	$	5,765,665
	13,540,000	Transocean, Inc., 3.800%, 10/15/2022		10,971,801
	6,530,000	Transocean, Inc., 6.375%, 12/15/2021		6,023,592
				155,656,531
		Packaging – 0.0%
	10,351,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		10,609,775
	1,100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		1,138,500
				11,748,275
		Paper – 1.1%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		38,456,895
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		483,618
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		123,989,892
	12,590,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		19,511,428
	9,625,000	International Paper Co., 8.700%, 6/15/2038		14,507,984
	8,214,000	Westvaco Corp., 7.950%, 2/15/2031		10,833,584
	34,428,000	Westvaco Corp., 8.200%, 1/15/2030		45,553,787
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,060,833
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		18,685,483
				277,083,504
		Pharmaceuticals – 0.0%
	1,722,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,799,490
		Property & Casualty Insurance – 0.4%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		24,990,186
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		20,556,213
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		2,050,000
	13,975,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(b)(g)		8,385,000
	6,555,000	Old Republic International Corp., 4.875%, 10/01/2024		6,842,601
	12,080,000	Sirius International Group, 6.375%, 3/20/2017, 144A		13,267,029

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	6,575,000	XLIT Ltd., 6.250%, 5/15/2027	$	7,938,865
	2,110,000	XLIT Ltd., 6.375%, 11/15/2024		2,510,305
				86,540,199
		Railroads – 0.5%
	128,700,000	Hellenic Railways Organization S.A., EMTN, 0.663%, 5/24/2016, (EUR)(b)(c)		127,701,437
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		7,618,590
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		62,897
				135,382,924
		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		8,389,724
		Retailers – 0.6%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,960,800
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,948,800
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,989,975
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		1,117,500
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022(d)		15,716,408
	7,675,000	GameStop Corp., 5.500%, 10/01/2019, 144A		7,694,188
	9,800,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		8,526,000
	36,895,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		23,981,750
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,319,900
	33,425,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		29,414,000
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		17,291,528
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		11,016,887
	26,880,000	Toys R Us, Inc., 7.375%, 10/15/2018		17,606,400
				149,584,136
		Sovereigns – 0.4%
	102,800,000	Republic of Portugal, 5.125%, 10/15/2024, 144A		107,993,250
		Supermarkets – 1.2%
	111,762,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		114,556,050

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
$	103,430,000	New Albertson’s, Inc., 7.450%, 8/01/2029	$	92,569,850
	24,565,000	New Albertson’s, Inc., 7.750%, 6/15/2026		21,985,675
	18,727,000	New Albertson’s, Inc., 8.000%, 5/01/2031		16,947,935
	6,350,000	New Albertson’s, Inc., 8.700%, 5/01/2030		6,096,000
	20,303,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		16,140,885
	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021		3,522,262
	34,115,000	SUPERVALU, Inc., 7.750%, 11/15/2022		33,432,700
				305,251,357
		Supranational – 1.4%
	11,505,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		4,118,636
	348,600,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		27,983,700
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		17,447,822
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		58,720,889
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		152,967,269
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		37,911,355
	109,670,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		39,165,499
				338,315,170
		Technology – 1.9%
	137,419,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		131,235,145
	5,166,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,972,275
	3,105,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		3,277,328
	36,000,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A		39,150,000
	57,898,000	Amkor Technology, Inc., 6.375%, 10/01/2022		55,871,570
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,979,067
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		7,333,589
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		20,284,566
	13,000,000	First Data Corp., 10.625%, 6/15/2021		14,722,500
	8,684,000	First Data Corp., 11.250%, 1/15/2021		9,856,340

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	57,009,000	First Data Corp., 11.750%, 8/15/2021	$	65,417,827
	73,905,000	KLA-Tencor Corp., 4.650%, 11/01/2024		76,509,930
	12,970,000	KLA-Tencor Corp., 5.650%, 11/01/2034		13,760,288
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		5,030,305
	3,289,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		4,128,484
	7,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		7,070,000
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,229
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		658,528
				462,302,971
		Transportation Services – 0.3%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(c)		18,264,780
	11,219,429	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(d)		11,415,769
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(g)(h)		8,583,152
	4,837,198	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020(d)		4,933,942
	4,407,355	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(d)		4,473,465
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(g)(h)		20,553,896
	3,242,878	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(d)		3,486,094
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(d)(g)(h)		278,373
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,604,865
				75,594,336
		Treasuries – 29.3%
	913,810,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		786,609,662
	445,239,000	Canadian Government, 1.250%, 2/01/2016, (CAD)		384,236,122
	254,495,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		219,578,058
	597,515,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		517,474,322
	157,595,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		139,563,408
	201,175,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		176,261,023
	1,345,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		1,310,737

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	545,000		Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2024, (EUR)(i)	$	414,270
	730,000		Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2041, (EUR)(i)		441,668
	10,000,000,000		Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		878,886
	25,000,000,000		Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		2,355,672
	88,974,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		8,082,015
	498,832,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		45,372,164
	317,658,000,000		Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		30,457,721
	8,357,200	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		57,938,118
	8,554,600	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		60,893,850
	4,555,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		35,065,728
	10,085,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		76,280,845
	39,135,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		304,855,133
	3,270,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		26,781,563
	34,470,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		306,014,398
	137,580,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		113,299,118
	128,565,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		113,788,794
	1,316,210,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)		190,666,255
	2,107,745,000		Norway Government Bond, 5.000%, 5/15/2015, (NOK)		286,722,324
	253,010,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		87,328,521
	97,345,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		36,767,128
	10,025,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		3,799,634
	8,742,110,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		53,043,273
	2,331,740,000		Republic of Iceland, 7.250%, 10/26/2022, (ISK)		15,010,576
	5,523,835,000		Republic of Iceland, 8.750%, 2/26/2019, (ISK)		36,932,427
	350,000,000		U.S. Treasury Note, 0.250%, 2/29/2016		349,562,500
	940,000,000		U.S. Treasury Note, 0.375%, 1/31/2016		940,440,860
	1,088,000,000		U.S. Treasury Note, 0.375%, 3/31/2016		1,087,830,272

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
$	250,000,000	U.S. Treasury Note, 0.375%, 4/30/2016	$	249,961,000
	100,000,000	U.S. Treasury Note, 0.375%, 5/31/2016		99,937,500
	299,660,000	U.S. Treasury Note, 0.500%, 6/30/2016		299,753,494
				7,145,709,039
		Wireless – 0.5%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		18,650,597
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		9,761,462
	41,804,000	Sprint Capital Corp., 6.875%, 11/15/2028		36,787,520
	21,749,000	Sprint Capital Corp., 6.900%, 5/01/2019		22,183,980
	8,390,000	Sprint Capital Corp., 8.750%, 3/15/2032		8,117,325
	16,537,000	Sprint Communications, Inc., 6.000%, 11/15/2022		15,214,040
	11,346,000	Sprint Corp., 7.250%, 9/15/2021		11,246,722
				121,961,646
		Wirelines – 3.9%
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,202,845
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,219,068
	10,946,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		11,356,216
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		115,213,312
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		11,005,000
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		7,182,450
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		940,000
	6,595,000	Consolidated Communications, Inc., 6.500%, 10/01/2022, 144A		6,611,488
	27,075,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		35,342,125
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		9,761,363
	11,505,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		11,562,525
	21,745,000	Frontier Communications Corp., 6.250%, 9/15/2021		21,853,725
	24,305,000	Frontier Communications Corp., 6.875%, 1/15/2025		24,305,000
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,067,313

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	730,000	Frontier Communications Corp., 9.000%, 8/15/2031	$	770,150
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,628,365
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,383,962
	36,535,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		36,763,344
	385,000	Level 3 Escrow II, Inc., 5.375%, 8/15/2022, 144A		386,925
	38,760,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		40,843,350
	10,655,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		11,494,081
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		3,739,975
	950,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		1,163,342
	24,010,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		28,823,784
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		54,686,578
	1,000,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,248,398
	30,015,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		32,956,470
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		64,147,000
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		17,159,187
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		41,026,300
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		38,141,585
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,510,290
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		12,648,144
	62,599,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		62,599,000
	32,061,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		32,862,525
	10,500,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		12,693,330
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		7,268,423
	7,950,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		8,511,628
	1,850,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		2,047,961
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,341,483
	36,465,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		47,969,015

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	4,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)	$	8,432,465
	18,145,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		32,763,099
	3,900,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		7,149,960
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		41,643,577
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		26,009,715
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,801,256
	3,130,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		3,500,144
				961,737,241
		Total Non-Convertible Bonds (Identified Cost $19,613,163,330)		19,963,131,014
	Convertible Bonds – 5.2%
		Chemicals – 0.0%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		6,916,819
		Communications – 0.2%
	22,100,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		40,111,500
		Construction Machinery – 0.1%
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		31,578,609
		Consumer Products – 0.1%
	13,670,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		13,900,681
	13,560,000	Jarden Corp., 1.125%, 3/15/2034, 144A		15,195,675
				29,096,356
		Energy – 0.5%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		24,922,969
	75,524,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		73,352,685
	21,431,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		21,404,211
				119,679,865
		Finance Companies – 0.0%
	880,000	Jefferies Group LLC, 3.875%, 11/01/2029		909,150
		Healthcare – 0.5%
	26,370,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		29,369,588

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
			Healthcare – continued
$	2,144,000		Omnicare, Inc., 3.250%, 12/15/2035	$	2,480,340
	29,850,000		Omnicare, Inc., 3.750%, 12/15/2025		82,348,687
					114,198,615
			Home Construction – 0.5%
	13,852,000		KB Home, 1.375%, 2/01/2019		13,730,795
	47,320,000		Lennar Corp., 3.250%, 11/15/2021, 144A		91,800,800
					105,531,595
			Pharmaceuticals – 0.0%
	2,042,000		BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		2,400,626
	2,844,000		BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		3,485,678
					5,886,304
			Property & Casualty Insurance – 0.4%
	72,915,000		Old Republic International Corp., 3.750%, 3/15/2018		84,490,256
			REITs—Mortgage – 0.0%
	1,761,000		iStar Financial, Inc., 3.000%, 11/15/2016		2,226,564
			REITs—Warehouse/Industrials – 0.1%
	28,230,000		ProLogis LP, 3.250%, 3/15/2015		31,370,588
			Technology – 2.8%
	3,300,000	(††††)	Alcatel-Lucent, Series ALU, 0.125%, 1/30/2020, (EUR)		16,352,778
	65,744,000		Ciena Corp., 0.875%, 6/15/2017		65,127,650
	14,150,000		Ciena Corp., 3.750%, 10/15/2018, 144A		17,519,469
	8,680,000		Ciena Corp., 4.000%, 3/15/2015, 144A		9,000,075
	2,469,000		Intel Corp., 3.482%, 12/15/2035(b)		3,243,649
	318,925,000		Intel Corp., 3.250%, 8/01/2039		554,530,844
	15,145,000		JDS Uniphase Corp., 0.625%, 8/15/2033		15,996,906
	1,605,000		Lam Research Corp., Series B, 1.250%, 5/15/2018		2,269,069
	7,325,559		Liberty Media LLC, 3.500%, 1/15/2031		6,607,822
					690,648,262
			Total Convertible Bonds (Identified Cost $853,268,070)		1,262,644,483

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 1.1%
		District of Columbia – 0.0%
$	5,610,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047	$	7,816,525
		Illinois – 0.5%
	69,245,000	State of Illinois, 5.100%, 6/01/2033		68,738,819
	38,330,000	State of Illinois, Series B, 5.520%, 4/01/2038		37,764,633
				106,503,452
		Michigan – 0.1%
	20,115,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		17,411,946
		Ohio – 0.0%
	8,200,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		6,669,880
		Virginia – 0.5%
	171,050,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		128,506,444
		Total Municipals (Identified Cost $295,821,218)		266,908,247
		Total Bonds and Notes (Identified Cost $20,762,252,618)		21,492,683,744
	Senior Loans – 2.0%
		Automotive – 0.1%
	9,494,660	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b)		9,443,199
	7,744,876	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)		7,706,152
				17,149,351
		Cable Satellite – 0.0%
	9,427,835	CSC Holdings, Inc., New Term Loan B, 2.669%, 4/17/2020(b)		9,205,621
		Chemicals – 0.3%
	7,341,933	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b)		7,158,385
	7,953,832	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(b)		7,720,228
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b)		47,993,825
				62,872,438
		Construction Machinery – 0.1%
	29,113,058	Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(b)		29,113,058

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Consumer Cyclical Services – 0.4%
$	55,700,000	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)	$	54,029,000
	55,750,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(b)		53,101,875
				107,130,875
		Consumer Products – 0.1%
	24,810,680	Visant Corp., New Term Loan, 7.000%, 9/23/2021(b)		24,066,359
		Diversified Manufacturing – 0.1%
	9,683,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b)		9,483,336
		Finance Companies – 0.4%
	94,583,905	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(b)		97,421,422
		Media Entertainment – 0.1%
	12,865,790	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		10,247,602
		Natural Gas – 0.0%
	10,100,245	Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(b)		8,938,717
		Oil Field Services – 0.0%
	3,109,527	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b)		2,440,979
		Other Utility – 0.0%
	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		4,366,625
		Retailers – 0.1%
	18,505,003	J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(b)		17,746,297
	4,950,000	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b)		4,713,341
				22,459,638
		Supermarkets – 0.2%
	35,778,061	Albertson’s Holdings LLC, Term Loan B4, 4.500%, 8/25/2021(b)		35,740,852
	22,606,841	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)		22,168,947
				57,909,799
		Technology – 0.0%
	5,596,800	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(b)		5,316,960
		Transportation Services – 0.0%
	5,716,904	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		5,559,689

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – 0.1%
$	6,465,771	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)	$	6,452,516
	9,465,000	Integra Telecom, Inc., 2nd Lien Term Loan, 2/21/2020 (j)		9,382,181
	2,283,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		2,263,024
	2,548,975	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		2,501,182
				20,598,903
		Total Senior Loans (Identified Cost $495,406,125)		494,281,372
Shares
	Common Stocks – 6.5%
		Airlines – 0.1%
	197,487	United Continental Holdings, Inc.(g)		13,209,905
		Automobiles – 1.3%
	21,300,409	Ford Motor Co.		330,156,340
		Chemicals – 0.7%
	750,000	PPG Industries, Inc.		173,362,500
		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(g)		17,422,261
		Diversified Telecommunication Services – 0.2%
	403,884	Hawaiian Telcom Holdco, Inc.(g)		11,135,082
	2,629,337	Telefonica S.A., Sponsored ADR		37,362,879
				48,497,961
		Electronic Equipment, Instruments & Components – 0.1%
	630,490	Corning, Inc.		14,457,136
		Multi-Utilities – 0.0%
	40,899	CMS Energy Corp.		1,421,240
		Oil, Gas & Consumable Fuels – 0.4%
	1,026,979	Chesapeake Energy Corp.		20,097,979
	850,302	Repsol YPF S.A., Sponsored ADR		15,798,611
	750,000	Royal Dutch Shell PLC, ADR		50,212,500
				86,109,090
		Pharmaceuticals – 0.8%
	3,372,358	Bristol-Myers Squibb Co.		199,070,293
		Semiconductors & Semiconductor Equipment – 2.7%
	18,411,567	Intel Corp.		668,155,766
		Trading Companies & Distributors – 0.1%
	203,019	United Rentals, Inc.(g)		20,709,968
		Total Common Stocks (Identified Cost $885,675,651)		1,572,572,460

Shares		Description	Value (†)
	Preferred Stocks – 1.9%
	Convertible Preferred Stocks – 1.3%
		Banking – 0.2%
	25,823	Bank of America Corp., Series L, 7.250%	$	30,031,374
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		15,054,498
				45,085,872
		Communications – 0.0%
	14,753	Cincinnati Bell, Inc., 6.750%		726,438
		Energy – 0.4%
	249,961	Chesapeake Energy Corp., 4.500%(d)		22,730,828
	265,228	Chesapeake Energy Corp., 5.000%(d)		25,080,623
	15,276	Chesapeake Energy Corp., Series A, 5.750%, 144A(d)		15,638,805
	325,710	El Paso Energy Capital Trust I, 4.750%		19,751,054
	122,944	SandRidge Energy, Inc., 7.000%		5,040,704
	144,600	SandRidge Energy, Inc., 8.500%(d)		6,028,013
				94,270,027
		Metals & Mining – 0.3%
	195,123	Alcoa, Inc., Series 1, 5.375%		9,843,956
	4,148,477	ArcelorMittal, 6.000%		71,768,652
	342,780	Cliffs Natural Resources, Inc., 7.000%		2,296,626
				83,909,234
		Natural Gas – 0.1%
	409,305	AES Trust III, 6.750%		20,829,531
		REITs—Diversified – 0.1%
	37,810	Crown Castle International Corp., Series A, 4.500%		3,894,052
	561,271	Weyerhaeuser Co., Series A, 6.375%		32,385,337
				36,279,389
		REITs—Health Care – 0.1%
	172,150	Health Care REIT, Inc., Series I, 6.500%		11,336,078
		REITs—Hotels – 0.0%
	230,173	FelCor Lodging Trust, Inc., Series A, 1.950%		5,878,618
		REITs—Mortgage – 0.1%
	222,459	iStar Financial, Inc., Series J, 4.500%(d)		13,151,776

Shares		Description	Value (†)
	Preferred Stocks – continued
		Total Convertible Preferred Stocks (Identified Cost $316,445,766)	$	311,466,963
	Non-Convertible Preferred Stocks – 0.6%
		Banking – 0.3%
	65,854	Ally Financial, Inc., Series G, 7.000%, 144A		65,827,250
	53,000	Bank of America Corp., 6.375%		1,340,370
	534,725	Countrywide Capital IV, 6.750%		13,549,931
				80,717,551
		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		142,320
	100	Entergy Arkansas, Inc., 4.320%(d)		9,409
	5,000	Entergy Mississippi, Inc., 4.360%(d)		510,156
	665	Entergy New Orleans, Inc., 4.360%(d)		66,168
	200	Entergy New Orleans, Inc., 4.750%(d)		21,100
	50,100	Southern California Edison Co., 4.780%		1,202,901
				1,952,054
		Finance Companies – 0.1%
	58,400	iStar Financial, Inc., Series E, 7.875%		1,442,480
	58,575	iStar Financial, Inc., Series F, 7.800%		1,443,874
	15,550	iStar Financial, Inc., Series G, 7.650%		377,088
	149,767	SLM Corp., Series A, 6.970%		7,386,508
				10,649,950
		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(d)(i)		38,950,000
		Home Construction – 0.0%
	41,783	Hovnanian Enterprises, Inc., 7.625%		636,773
		REITs—Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,825,787
		REITs—Warehouse/Industrials – 0.0%
	169,007	ProLogis, Inc., Series Q, 8.540%(d)		10,415,056

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Total Non-Convertible Preferred Stocks (Identified Cost $91,856,549)	$	146,147,171
		Total Preferred Stocks (Identified Cost $408,302,315)		457,614,134
	Closed-End Investment Companies – 0.0%
	680,008	NexPoint Credit Strategies Fund (Identified Cost $9,807,936)	$	7,636,490
Principal Amount (‡)
	Short-Term Investments – 0.5%
$	2,233,662	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $2,233,662 on 1/02/2015 collateralized by $2,256,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $2,278,434 including accrued interest(k)		2,233,662
	126,566,321	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $126,566,391 on 1/02/2015 collateralized by $108,715,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $129,099,063 including accrued interest(k)		126,566,321
		Total Short-Term Investments (Identified Cost $128,799,983)		128,799,983
		Total Investments – 98.9% (Identified Cost $22,690,244,628)(a)		24,153,588,183
		Other assets less liabilities – 1.1%		264,067,393
		Net Assets – 100.0%	$	24,417,655,576

(‡) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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.

(††††) Amount shown represents units. One unit represents a principal amount of 4.02.

(a) Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $22,763,317,778 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	$	2,542,910,498
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,152,640,093	)
Net unrealized appreciation	$	1,390,270,405

(b) Variable rate security. Rate as of December 31, 2014 is disclosed.

(c) Illiquid security. At December 31, 2014, the value of these securities amounted to $352,097,806 or 1.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(d) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $261,118,913 or 1.1% of net assets.

(e) Perpetual bond with no specified maturity date.

(f) 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, 2014, the issuer has not paid out any interest payments.

(g) Non-income producing security.

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

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

(j) Position is unsettled. Contract rate was not determined at December 31, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(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, 2014, 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, 2014, the value of Rule 144A holdings amounted to $3,760,051,772 or 15.4% 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

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

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	90,286,192	(a)	$	90,286,192
Airlines		—		401,372,131		281,650,066	(b)		683,022,197
Banking		—		2,599,925,066		64,287,385	(b)		2,664,212,451
Finance Companies		3,228,313		1,397,961,464		—			1,401,189,777
Retailers		—		133,867,728		15,716,408	(c)		149,584,136
Transportation Services		—		21,869,645		53,724,691	(c)		75,594,336
All Other Non-Convertible Bonds*		—		14,899,241,925		—			14,899,241,925
Total Non-Convertible Bonds		3,228,313		19,454,237,959		505,664,742			19,963,131,014
Convertible Bonds*		—		1,262,644,483		—			1,262,644,483

Municipals*		—		266,908,247		—			266,908,247
Total Bonds and Notes		3,228,313		20,983,790,689		505,664,742			21,492,683,744
Senior Loans*		—		494,281,372		—			494,281,372
Common Stocks*		1,572,572,460		—		—			1,572,572,460
Preferred Stocks
Convertible Preferred Stocks
Energy		19,751,054		69,478,269		5,040,704	(b)		94,270,027
REITs—Mortgage		—		13,151,776		—			13,151,776
All Other Convertible Preferred Stocks*		204,045,160		—		—			204,045,160
Total Convertible Preferred Stocks		223,796,214		82,630,045		5,040,704			311,466,963
Non-Convertible Preferred Stocks
Electric		1,202,901		749,153		—			1,952,054
Government Sponsored		—		38,950,000		—			38,950,000
REITs—Office Property		—		2,825,787		—			2,825,787
REITs—Warehouse/Industrials		—		10,415,056		—			10,415,056
All Other Non-Convertible Preferred Stocks*		92,004,274		—		—			92,004,274
Total Non-Convertible Preferred Stocks		93,207,175		52,939,996		—			146,147,171
Total Preferred Stocks		317,003,389		135,570,041		5,040,704			457,614,134
Closed-End Investment Companies		7,636,490		—		—			7,636,490
Short-Term Investments		—		128,799,983		—			128,799,983
Total	$	1,900,440,652	$	21,742,442,085	$	510,705,446		$	24,153,588,183

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

(a) Valued using broker-dealer bid prices ($31,210,312) or fair valued by the Fund’s adviser ($59,075,880).

(b) Valued using broker-dealer bid prices.

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

Preferred stocks valued at $53,890,925 were transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, these securities were fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the securities.

A preferred stock valued at $664,024 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 Fund’s 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs
Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	31,219,633	$	—	$	1,210		$	72,192		$	59,075,880	$	(82,723	)	$	—	$	—	$	90,286,192	$	72,451
Airlines		292,696,690		80,417		183,543			(2,751,454	)		—		(8,559,130	)		—		—		281,650,066		(1,626,367	)
Banking		65,928,928		—		—			(1,641,543	)		—		—			—		—		64,287,385		(1,641,543	)
Life Insurance		8,500,000		37,832		547,875			914,293			—		(10,000,000	)		—		—		—		—
Metals & Mining		7,011,500		45,708		2,350			2,194,396			—		(9,253,954	)		—		—		—		—
Retailers		15,605,595		18,267		—			92,546			—		—			—		—		15,716,408		92,546
Transportation Services		54,906,286		—		182,643			(203,795	)		—		(1,160,443	)		—		—		53,724,691		1
Convertible Bonds
Wirelines		80,044		—		(32,132	)		25,503			—		(73,415	)		—		—		—		—
Preferred Stocks
Convertible Preferred Stocks
Energy		—		—		—			(5,965,009	)		438,368		—			10,567,345		—		5,040,704		(5,965,009	)
Total	$	475,948,676	$	182,224	$	885,489		$	(7,262,871	)	$	59,514,248	$	(29,129,665	)	$	10,567,345	$	—	$	510,705,446	$	(9,067,921	)

A preferred stock valued at $10,567,345 was transferred from Level 1 to Level 3 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Industry Summary at December 31, 2014 (Unaudited)

Treasuries	29.3	%
Banking	11.4
Finance Companies	6.2
Technology	4.7
Wirelines	4.0
Healthcare	3.6
Airlines	2.9
Semiconductors & Semiconductor Equipment	2.7
Electric	2.1
Chemicals	2.1
Other Investments, less than 2% each	29.4
Short-Term Investments	0.5
Total Investments	98.9
Other assets less liabilities	1.1
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)

United States Dollar	70.3	%
Canadian Dollar	10.7
New Zealand Dollar	4.5
Mexican Peso	3.5
Australian Dollar	3.1
Norwegian Krone	2.0
Other, less than 2% each	4.8
Total Investments	98.9
Other assets less liabilities	1.1
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 88.3% of Net Assets
	Non-Convertible Bonds – 82.0%
		ABS Car Loan – 0.4%
	7,000,000	Ford Auto Securitization Trust, Series 2014-R2A, Class A2, 1.593%, 12/15/2017, 144A, (CAD)	$	6,029,652
		ABS Home Equity – 0.0%
	588,127	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.609%, 4/25/2035(b)		594,680
		ABS Other – 0.3%
	379,583	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		382,910
	1,855,000	GCA2014 Holdings Ltd., Zero Coupon, 1/05/2030, 144A(c)(d)		1,686,828
	1,265,000	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d)		1,265,000
	460,000	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d)		460,000
				3,794,738
		Aerospace & Defense – 1.9%
	11,120,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		11,231,200
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		178,500
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		654,000
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,805,000
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,751,000
	245,000	Textron, Inc., 5.600%, 12/01/2017		269,232
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,940,325
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,531,294
	1,468,000	TransDigm, Inc., 6.500%, 7/15/2024		1,475,340
				26,835,891
		Airlines – 2.4%
	5,550,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		5,081,608
	724,692	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		735,562
	13,360,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		13,593,800
	1,138,468	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		1,181,298
	376,902	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		385,853

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	800,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A	$	804,000
	231,025	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		239,111
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,854,063
	10,502	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		10,665
	17,053	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		18,374
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		74,562
	233,192	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		244,852
	219,056	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		247,533
	849,725	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		917,704
	1,690,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		1,732,199
	1,345,734	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,567,780
	903,257	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		1,007,132
	483,550	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		536,740
	792,776	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		820,523
	2,246,095	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		2,358,400
	467,423	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		478,524
	768,620	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		791,678
				34,681,961
		Automotive – 1.9%
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,871,470
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,178,297
	165,000	Ford Motor Co., 6.625%, 2/15/2028		192,387
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		5,195,223
	690,000	Ford Motor Co., 7.125%, 11/15/2025		847,937
	3,510,000	Ford Motor Co., 7.400%, 11/01/2046		5,054,340
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,726,883
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		2,095,863
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		651,929

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015	$	656,099
	2,175,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,270,156
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		388,125
	515,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		499,550
				27,628,259
		Banking – 12.4%
	6,735,000	Ally Financial, Inc., 5.125%, 9/30/2024		6,836,025
	1,817,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,130,432
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,657,100
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,461,150
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,997,263
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		2,102,379
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,177,631
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,357,776
	1,700,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		1,700,131
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,715,751
	14,790,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		12,899,431
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,223,630
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(e)		2,223,734
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, (EUR)(e)		1,798,437
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e)		2,718,680
	2,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(e)		4,666,841
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(e)		1,158,750
	1,150,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 144A(e)		1,150,000
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, (GBP)(e)		1,669,262
	3,340,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		2,640,581
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		278,963
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		3,829,577

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033	$	1,433,735
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		947,696
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		11,484,267
	200,000	Citigroup, Inc., EMTN, 1.352%, 11/30/2017, (EUR)(b)		241,502
	6,560,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,820,377
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,211,819
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,190,963
	7,400,000	HBOS PLC, 6.000%, 11/01/2033, 144A		8,356,938
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,798,426
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,788,228
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,435,495
	5,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,612,222
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.632%, 9/14/2018, (EUR)(b)		59,020
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		360,460
	200,000	Morgan Stanley, 0.711%, 10/15/2015(b)		200,327
	5,125,000	Morgan Stanley, 2.125%, 4/25/2018		5,127,967
	1,360,000	Morgan Stanley, 2.500%, 1/24/2019		1,361,234
	130,000	Morgan Stanley, 3.450%, 11/02/2015		132,537
	2,120,000	Morgan Stanley, 3.750%, 2/25/2023		2,174,741
	300,000	Morgan Stanley, 4.350%, 9/08/2026		301,793
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,354,150
	4,149,000	Morgan Stanley, 5.500%, 7/24/2020		4,681,014
	3,115,000	Morgan Stanley, 5.750%, 1/25/2021		3,575,867
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		4,402,663
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		84,789
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		3,506,802
	13,040,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		13,202,192

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	1,600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)	$	1,327,336
	900,000	Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(b)		897,299
	300,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		483,725
	3,950,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		3,414,074
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e)		210,987
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		2,873,869
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		2,078,204
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e)		2,415,000
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		63,591
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		905,611
	150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		185,972
	300,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		314,096
	800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		833,702
	150,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(e)		181,508
	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(e)		1,270,178
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,659,910
				178,355,810
		Brokerage – 1.2%
	549,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		502,335
	2,890,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		2,687,700
	1,495,000	Jefferies Group LLC, 3.875%, 11/09/2015		1,526,591
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,312,987
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,278,271
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		3,002,118
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,872,761
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,876,003
				17,058,766

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 1.0%
$	4,135,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A	$	3,473,400
	860,000	Masco Corp., 4.800%, 6/15/2015		873,251
	240,000	Masco Corp., 5.850%, 3/15/2017		257,400
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,757,300
	800,000	Masco Corp., 6.500%, 8/15/2032		818,000
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,628,550
	815,000	Masco Corp., 7.750%, 8/01/2029		937,250
	2,400,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		762,922
	10,000	Owens Corning, 6.500%, 12/01/2016		10,895
	2,050,000	Owens Corning, 7.000%, 12/01/2036		2,539,635
				14,058,603
		Cable Satellite – 0.6%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		671,650
	715,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		718,575
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,931,234
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		4,443,304
	800,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		837,000
				8,601,763
		Chemicals – 1.9%
	9,280,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		9,071,200
	275,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		244,750
	7,395,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		5,287,425
	6,830,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		6,830,000
	620,000	Methanex Corp., 5.250%, 3/01/2022		666,014
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,612,349
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		3,196,400
	35,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		29,225
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		644,812
				27,582,175

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – 0.2%
$	965,000	Toro Co., 6.625%, 5/01/2037(c)	$	1,139,066
	1,155,000	United Rentals North America, Inc., 7.625%, 4/15/2022		1,269,922
				2,408,988
		Consumer Products – 0.3%
	820,000	Avon Products, Inc., 6.950%, 3/15/2043		676,500
	3,380,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		3,449,544
	260,000	Visant Corp., 10.000%, 10/01/2017		225,550
				4,351,594
		Electric – 3.3%
	1,970,000	AES Corp. (The), 4.875%, 5/15/2023		1,955,225
	595,000	AES Corp. (The), 5.500%, 3/15/2024		603,806
	2,507,865	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,848,125
	3,458,757	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		3,838,701
	2,850,000	DPL, Inc., 6.750%, 10/01/2019, 144A		2,878,500
	4,120,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		4,143,072
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,603,190
	5,455,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		5,903,728
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,445,273
	1,589,000	Endesa S.A., 7.875%, 2/01/2027		2,067,853
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,465,103
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		127,855
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,442,207
	4,000,000	Enersis S.A., 7.400%, 12/01/2016		4,363,260
	2,211,060	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		2,432,166
				47,118,064
		Finance Companies – 5.0%
	300,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		222,000
	1,630,000	GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		1,370,244
	45,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		45,562

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Finance Companies – continued
	1,345,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)	$	1,094,023
	2,390,000		General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		1,911,470
	1,145,000		General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,153,378
	9,210,000		General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,316,416
	1,680,000		International Lease Finance Corp., 4.625%, 4/15/2021		1,709,400
	3,045,000		International Lease Finance Corp., 5.875%, 8/15/2022		3,303,825
	4,695,000		International Lease Finance Corp., 6.250%, 5/15/2019		5,129,287
	4,905,000		International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,493,600
	635,000		International Lease Finance Corp., 8.250%, 12/15/2020		765,175
	945,000		iStar Financial, Inc., 4.875%, 7/01/2018		928,463
	225,000		iStar Financial, Inc., 5.850%, 3/15/2017		230,625
	1,505,000		iStar Financial, Inc., 7.125%, 2/15/2018		1,580,250
	1,525,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,570,750
	3,488,000		Navient Corp., 5.875%, 10/25/2024		3,322,320
	2,167,000		Navient LLC, 4.875%, 6/17/2019		2,173,284
	4,668,000		Navient LLC, 5.500%, 1/25/2023		4,469,610
	31,725	(††)	Navient LLC, 6.000%, 12/15/2043		682,219
	722,000		Navient LLC, MTN, 3.875%, 9/10/2015		727,415
	726,000		Navient LLC, MTN, 5.500%, 1/15/2019		742,335
	5,900,000		Navient LLC, MTN, 6.125%, 3/25/2024		5,796,750
	200,000		Navient LLC, Series A, MTN, 5.000%, 4/15/2015		201,500
	145,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		143,913
	5,185,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		3,914,675
	4,681,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		5,219,315
	725,000		Springleaf Finance Corp., 5.250%, 12/15/2019		710,500
	3,770,000		Springleaf Finance Corp., 6.000%, 6/01/2020		3,732,300
	1,805,000		Springleaf Finance Corp., 7.750%, 10/01/2021		2,021,600

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	725,000	Springleaf Finance Corp., 8.250%, 10/01/2023	$	812,000
	300,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		309,750
	595,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		609,875
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		2,205,000
				71,618,829
		Food & Beverage – 0.3%
	2,445,000	Constellation Brands, Inc., 4.750%, 11/15/2024		2,475,563
	1,995,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		2,304,225
				4,779,788
		Government Owned—No Guarantee – 0.2%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,706,672
		Healthcare – 2.1%
	650,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A		585,000
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		450,506
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		465,444
	610,000	HCA, Inc., 5.875%, 3/15/2022		667,950
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		5,226,600
	410,000	HCA, Inc., 6.375%, 1/15/2015		410,000
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,598,175
	820,000	HCA, Inc., 7.190%, 11/15/2015		853,825
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,652,000
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,512,000
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,992,500
	2,220,000	HCA, Inc., 8 .360%, 4/15/2024		2,608,500
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,266,950
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		460,100
	1,425,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,414,313
	2,245,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,250,612

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	1,668,500
				30,082,975
		Home Construction – 1.4%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		533,500
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		229,500
	5,051,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		4,848,960
	835,000	KB Home, 8.000%, 3/15/2020		914,325
	4,235,000	Lennar Corp., 4.500%, 6/15/2019		4,235,000
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,725,500
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,743,600
	3,020,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,020,000
	515,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		507,919
				19,758,304
		Independent Energy – 1.8%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,454,097
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,129,101
	370,000	California Resources Corp., 5.000%, 1/15/2020, 144A		320,975
	6,085,000	California Resources Corp., 5.500%, 9/15/2021, 144A		5,202,675
	810,000	California Resources Corp., 6.000%, 11/15/2024, 144A		684,450
	100,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		106,250
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,069,625
	390,000	Continental Resources, Inc., 3.800%, 6/01/2024		348,873
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		76,092
	2,015,000	Halcon Resources Corp., 8.875%, 5/15/2021		1,516,287
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		5,891,728
	500,000	QEP Resources, Inc., 5.250%, 5/01/2023		467,500
	690,000	Rice Energy, Inc., 6.250%, 5/01/2022, 144A		641,700
	1,600,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		1,488,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	2,940,000	SandRidge Energy, Inc., 7.500%, 2/15/2023	$	1,852,200
	1,221,000	SM Energy Co., 6.125%, 11/15/2022, 144A		1,147,740
				26,397,293
		Industrial Other – 0.2%
	385,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		393,663
	405,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		414,112
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,210,375
	295,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		221,250
	660,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		702,900
				2,942,300
		Life Insurance – 1.4%
	160,000	American International Group, Inc., 4.125%, 2/15/2024		170,322
	130,000	American International Group, Inc., 4.875%, 6/01/2022		146,035
	161,000	American International Group, Inc., 6.250%, 3/15/2087		179,668
	711,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		963,405
	325,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		363,383
	175,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		190,942
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)		4,005,250
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		275,105
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,976,828
	720,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		583,651
	1,205,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		970,865
	840,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		694,868
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		3,246,100
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,811,875
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,524,387
				20,102,684

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – 2.2%
	830,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)	$	706,079
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		8,720,183
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		3,732,334
	269,871	Province of Alberta, 5.930%, 9/16/2016, (CAD)		242,814
	19,825,000	Province of Ontario Canada, 4.200%, 3/08/2018, (CAD)		18,502,708
				31,904,118
		Media Entertainment – 1.0%
	500,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.250%, 2/15/2022, 144A		503,750
	1,250,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.875%, 3/15/2025, 144A		1,259,375
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,393,032
	3,805,000	iHeartCommunications, Inc., 9.000%, 9/15/2022, 144A		3,728,900
	2,420,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		2,383,700
	120,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		123,000
	4,030,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		4,322,175
	295,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		325,975
				14,039,907
		Metals & Mining – 1.7%
	2,346,184	1839688 Alberta ULC, 14.000% (14.000% PIK), 2/13/2020(f)		2,076,373
	1,400,000	Alcoa, Inc., 5.870%, 2/23/2022		1,548,553
	400,000	Alcoa, Inc., 5.900%, 2/01/2027		435,658
	6,630,000	ArcelorMittal, 7.250%, 3/01/2041		6,696,300
	3,300,000	ArcelorMittal, 7.500%, 10/15/2039		3,415,500
	660,000	Cliffs Natural Resources, Inc., 4.800%, 10/01/2020		356,400
	305,000	Cliffs Natural Resources, Inc., 4.875%, 4/01/2021		163,937
	3,265,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		1,697,800
	398,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		302,480
	2,015,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		2,030,112
	2,525,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		2,272,500

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	1,400,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A	$	1,431,500
	1,760,000	United States Steel Corp., 7.500%, 3/15/2022		1,839,200
				24,266,313
		Midstream – 0.4%
	575,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		601,848
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		304,408
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,576,394
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		360,525
	1,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,413,233
	95,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		98,325
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		273,379
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,945,355
				6,573,467
		Non-Agency Commercial Mortgage-Backed Securities – 0.3%
	1,061,000	Column Canada Issuer Corp., Series 2006-WEM, Class D, 5.101%, 1/15/2022, (CAD)		951,219
	50,295	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		50,344
	530,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)		541,499
	1,434,103	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		1,234,504
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,073,599
				3,851,165
		Oil Field Services – 1.0%
	6,230,000	FTS International, Inc., 6.250%, 5/01/2022, 144A		4,547,900
	10,140,000	Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A		4,360,200
	640,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		281,600
	3,050,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		1,860,500
	1,317,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		790,200
	1,715,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		1,790,460
	775,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		432,063

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	400,000	Transocean, Inc., 3.800%, 10/15/2022	$	324,130
				14,387,053
		Packaging – 1.0%
	3,550,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 5.625%, 12/15/2016, 144A		3,479,000
	11,450,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		11,564,500
				15,043,500
		Paper – 1.2%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,646,267
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,757,908
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		8,508,931
	350,000	Westvaco Corp., 7.950%, 2/15/2031		461,621
	1,035,000	Westvaco Corp., 8.200%, 1/15/2030		1,369,472
				16,744,199
		Pharmaceuticals – 0.0%
	90,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		94,050
		Property & Casualty Insurance – 1.0%
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		4,038,532
	1,630,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(b)(g)		978,000
	3,275,000	Old Republic International Corp., 4.875%, 10/01/2024		3,418,690
	2,140,000	Sirius International Group, 6.375%, 3/20/2017, 144A		2,350,285
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,726,628
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,350,330
				13,862,465
		Railroads – 0.5%
	7,100,000	Hellenic Railways Organization S.A., EMTN, 0.663%, 5/24/2016, (EUR)(b)(c)		7,044,912
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		479,519
				7,524,431
		REITs—Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,628,783

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs—Diversified – 0.0%
$	210,000	Duke Realty LP, 5.950%, 2/15/2017	$	227,714
		REITs—Office Property – 0.3%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,782,093
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		550,430
				4,332,523
		REITs—Single Tenant – 0.1%
	275,000	Realty Income Corp., 5.750%, 1/15/2021		315,112
	725,000	Realty Income Corp., 6.750%, 8/15/2019		854,020
				1,169,132
		Retailers – 0.8%
	5,005,000	Best Buy Co., Inc., 5.000%, 8/01/2018		5,177,047
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,140,312
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022(d)		1,211,581
	440,000	GameStop Corp., 5.500%, 10/01/2019, 144A		441,100
	793,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		515,450
	1,680,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,478,400
	2,345,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,535,975
				11,499,865
		Sovereigns – 0.4%
	5,980,000	Republic of Portugal, 5.125%, 10/15/2024, 144A		6,282,098
		Supermarkets – 1.1%
	3,346,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		3,429,650
	7,240,000	New Albertson’s, Inc., 7.450%, 8/01/2029		6,479,800
	1,810,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,619,950
	3,230,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,923,150
	455,000	New Albertson’s, Inc., 8.700%, 5/01/2030		436,800
	2,020,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,605,900
				16,495,250

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – 1.3%
	7,000,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)	$	561,922
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		16,244,130
	5,580,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		1,992,737
				18,798,789
		Technology – 1.4%
	1,225,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		1,038,188
	2,415,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,306,325
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		77,000
	3,580,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		3,778,690
	2,950,000	Amkor Technology, Inc., 6.375%, 10/01/2022		2,846,750
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,696,548
	130,000	Avnet, Inc., 6.625%, 9/15/2016		140,499
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,526,478
	1,300,000	First Data Corp., 10.625%, 6/15/2021		1,472,250
	952,000	First Data Corp., 11.250%, 1/15/2021		1,080,520
	2,665,000	First Data Corp., 11.750%, 8/15/2021		3,058,087
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		190,429
	752,700	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		944,819
				20,156,583
		Tobacco – 0.3%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,698,258
		Transportation Services – 0.2%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(c)		2,175,000
	421,593	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(d)		428,971
	321,783	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(d)		326,610
	138,101	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(d)		148,458
				3,079,039
		Treasuries – 21.7%
	31,645,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		27,240,086

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	10,950,000		Canadian Government, 1.250%, 9/01/2018, (CAD)	$	9,447,650
	8,305,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		7,279,921
	29,780,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		25,790,792
	8,185,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		7,248,494
	13,195,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		11,560,901
	1,787,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		162,323
	33,387,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,036,775
	414,800	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		2,875,692
	424,300	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		3,020,277
	200,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,539,659
	595,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		4,500,456
	847,500	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		6,601,766
	150,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,228,512
	1,455,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		12,917,057
	21,085,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		17,363,802
	63,235,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)		9,160,226
	28,230,000		Norway Government Bond, 5.000%, 5/15/2015, (NOK)		3,840,204
	10,150,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		3,503,358
	14,635,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		5,527,628
	264,630,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		1,605,658
	107,395,000		Republic of Iceland, 7.250%, 10/26/2022, (ISK)		691,355
	271,710,000		Republic of Iceland, 8.750%, 2/26/2019, (ISK)		1,816,656
	25,000,000		U.S. Treasury Note, 0.250%, 2/29/2016		24,968,750
	70,000,000		U.S. Treasury Note, 0.375%, 3/31/2016		69,989,080
	25,000,000		U.S. Treasury Note, 0.375%, 4/30/2016		24,996,100
	25,000,000		U.S. Treasury Note, 0.375%, 5/31/2016		24,984,375
					312,897,553

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – 0.6%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)	$	4,796,814
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,311,760
	575,000	Sprint Capital Corp., 6.900%, 5/01/2019		586,500
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		290,250
	898,000	Sprint Communications, Inc., 6.000%, 12/01/2016		939,331
	445,000	Sprint Communications, Inc., 6.000%, 11/15/2022		409,400
				9,334,055
		Wirelines – 3.2%
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		208,904
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		787,864
	210,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		217,870
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		4,161,300
	545,000	Consolidated Communications, Inc., 6.500%, 10/01/2022, 144A		546,363
	1,400,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,827,478
	200,000	Embarq Corp., 7.995%, 6/01/2036		223,500
	2,535,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		2,550,844
	55,000	Level 3 Escrow II, Inc., 5.375%, 8/15/2022, 144A		55,275
	560,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		590,100
	1,960,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		2,114,350
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		147,700
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		244,914
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,080,442
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,150,475
	550,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		686,619
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,628,890
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		7,205,000
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		377,125
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		786,625

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	5,275,000	Qwest Corp., 6.875%, 9/15/2033	$	5,291,173
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,786,257
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,452,988
	2,290,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,290,000
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,429,875
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		725,333
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		481,790
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		538,242
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,805,627
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,466,659
				46,859,582
		Total Non-Convertible Bonds (Identified Cost $1,151,370,780)		1,182,239,681
	Convertible Bonds – 5.5%
		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		386,988
		Communications – 0.1%
	905,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		1,642,575
		Construction Machinery – 0.1%
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		670,012
		Consumer Products – 0.3%
	2,840,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		2,887,925
	1,595,000	Jarden Corp., 1.125%, 3/15/2034, 144A		1,787,397
				4,675,322
		Energy – 0.4%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,405,566
	3,885,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,773,306
	1,090,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		1,088,637
				6,267,509

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Finance Companies – 0.0%
$	550,000	Jefferies Group LLC, 3.875%, 11/01/2029	$	568,219
		Healthcare – 0.3%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		233,888
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		3,503,612
				3,737,500
		Home Construction – 0.1%
	1,535,000	KB Home, 1.375%, 2/01/2019		1,521,569
		Pharmaceuticals – 0.0%
	205,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		241,003
	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		349,303
				590,306
		Property & Casualty Insurance – 1.5%
	18,045,000	Old Republic International Corp., 3.750%, 3/15/2018		20,909,644
		REITs—Mortgage – 0.0%
	90,000	iStar Financial, Inc., 3.000%, 11/15/2016		113,794
		Technology – 2.7%
	9,060,000	Ciena Corp., 0.875%, 6/15/2017		8,975,063
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,277,722
	1,783,000	Intel Corp., 3.482%, 12/15/2035(b)		2,342,416
	7,000,000	Intel Corp., 3.250%, 8/01/2039		12,171,250
	2,020,000	JDS Uniphase Corp., 0.625%, 8/15/2033		2,133,625
	325,449	Liberty Media LLC, 3.500%, 1/15/2031		293,562
	7,935,000	Nuance Communications, Inc., 2.750%, 11/01/2031		7,910,203
				38,103,841
		Total Convertible Bonds (Identified Cost $65,120,259)		79,187,279
	Municipals – 0.8%
		Illinois – 0.3%
	4,075,000	State of Illinois, Series B, 5.520%, 4/01/2038		4,014,894

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Michigan – 0.1%
$	2,195,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034	$	1,900,036
		Virginia – 0.4%
	7,380,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		5,544,446
		Total Municipals (Identified Cost $13,631,439)		11,459,376
		Total Bonds and Notes (Identified Cost $1,230,122,478)		1,272,886,336
	Senior Loans – 1.1%
		Chemicals – 0.1%
	1,081,371	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b)		1,054,336
	463,910	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(b)		450,285
				1,504,621
		Construction Machinery – 0.3%
	4,081,660	Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(b)		4,081,660
		Consumer Products – 0.1%
	983,872	Visant Corp., New Term Loan, 7.000%, 9/23/2021(b)		954,356
		Diversified Manufacturing – 0.1%
	510,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b)		499,484
		Media Entertainment – 0.0%
	156,173	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		124,392
		Other Utility – 0.1%
	1,147,525	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		1,115,015
	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		762,350
	61,010	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		59,282
				1,936,647
		Retailers – 0.1%
	1,089,755	J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(b)		1,045,075
		Supermarkets – 0.3%
	2,109,972	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)		2,069,102
	2,725,304	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(b)		2,672,324
				4,741,426

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – 0.0%
$	120,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)	$	118,950
		Total Senior Loans (Identified Cost $15,241,975)		15,006,611
Shares
	Preferred Stocks – 2.3%
	Convertible Preferred Stocks – 1.7%
		Banking – 0.2%
	2,844	Bank of America Corp., Series L, 7.250%		3,307,487
		Communications – 0.0%
	816	Cincinnati Bell, Inc., 6.750%		40,180
		Energy – 0.6%
	9,801	Chesapeake Energy Corp., 4.500%(d)		891,278
	12,055	Chesapeake Energy Corp., 5.000%(d)		1,139,951
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A(d)		675,675
	96,065	El Paso Energy Capital Trust I, 4.750%		5,825,382
	13,689	SandRidge Energy, Inc., 7.000%		561,249
				9,093,535
		Metals & Mining – 0.3%
	11,465	Alcoa, Inc., Series 1, 5.375%		578,409
	229,499	ArcelorMittal, 6.000%		3,970,333
				4,548,742
		Natural Gas – 0.2%
	43,912	AES Trust III, 6.750%		2,234,682
		REITs—Diversified – 0.3%
	1,667	Crown Castle International Corp., Series A, 4.500%		171,684
	76,518	Weyerhaeuser Co., Series A, 6.375%		4,415,088
				4,586,772
		REITs—Health Care – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		487,290
		REITs—Mortgage – 0.1%
	11,825	iStar Financial, Inc., Series J, 4.500%(d)		699,094
		Total Convertible Preferred Stocks (Identified Cost $22,797,297)		24,997,782

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – 0.6%
		Banking – 0.2%
	2,571	Ally Financial, Inc., Series G, 7.000%, 144A	$	2,569,956
	5,000	Bank of America Corp., 6.375%		126,450
	20,975	Countrywide Capital IV, 6.750%		531,506
				3,227,912
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%(d)		8,955
	2,876	Entergy New Orleans, Inc., 4.750%(d)		303,418
	4,670	Union Electric Co., 4.500%(d)		443,650
				756,023
		Finance Companies – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,237,932
		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(d)(h)		3,075,000
		Total Non-Convertible Preferred Stocks (Identified Cost $6,439,666)		8,296,867
		Total Preferred Stocks (Identified Cost $29,236,963)		33,294,649
	Common Stocks – 5.6%
		Airlines – 0.1%
	14,401	United Continental Holdings, Inc.(g)		963,283
		Automobiles – 0.4%
	341,305	Ford Motor Co.		5,290,227
		Chemicals – 1.0%
	62,529	PPG Industries, Inc.		14,453,578
		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(g)		954,177
		Diversified Telecommunication Services – 0.2%
	8,050	Hawaiian Telcom Holdco, Inc.(g)		221,939
	241,163	Telefonica S.A., Sponsored ADR		3,426,926
				3,648,865
		Electronic Equipment, Instruments & Components – 0.3%
	205,167	Corning, Inc.		4,704,479

Shares		Description	Value (†)
	Common Stocks – continued
		Multi-Utilities – 0.0%
	20,449	CMS Energy Corp.	$	710,603
		Oil, Gas & Consumable Fuels – 0.6%
	54,259	Chesapeake Energy Corp.		1,061,849
	172,008	Repsol YPF S.A., Sponsored ADR		3,195,909
	70,051	Royal Dutch Shell PLC, ADR		4,689,914
				8,947,672
		Pharmaceuticals – 0.6%
	160,000	Bristol-Myers Squibb Co.		9,444,800
		Semiconductors & Semiconductor Equipment – 2.1%
	822,858	Intel Corp.		29,861,517
		Trading Companies & Distributors – 0.2%
	23,272	United Rentals, Inc.(g)		2,373,977
		Total Common Stocks (Identified Cost $47,788,610)		81,353,178
Principal Amount (‡)
	Short-Term Investments – 1.7%
$	10,730	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $10,730 on 1/02/2015 collateralized by $10,900 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $11,008 including accrued interest(i)		10,730
	24,756,019	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $24,756,033 on 1/02/2015 collateralized by $21,265,000 U.S. Treasury Note, 3.625% due 8/15/2043 valued at $25,252,188 including accrued interest(i)		24,756,019
		Total Short-Term Investments (Identified Cost $24,766,749)		24,766,749
		Total Investments – 99.0% (Identified Cost $1,347,156,775)(a)		1,427,307,523
		Other assets less liabilities – 1.0%		15,114,894
		Net Assets – 100.0%	$	1,442,422,417

(‡) 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 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. 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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $1,350,090,225 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	$	140,534,622
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(63,317,324	)
Net unrealized appreciation	$	77,217,298

(b) Variable rate security. Rate as of December 31, 2014 is disclosed.

(c) Illiquid security. At December 31, 2014, the value of these securities amounted to $22,474,466 or 1.6% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(d) Fair valued by the Fund’s adviser. At December 31, 2014, the value of these securities amounted to $12,764,469 or 0.9% of net assets.

(e) Perpetual bond with no specified maturity date.

(f) 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, 2014, the issuer has not paid out any interest payments.

(g) Non-income producing security.

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

(i) 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, 2014, 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, 2014, the value of Rule 144A holdings amounted to $259,776,816 or 18.0% of net assets.

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

ABS Asset-Backed Securities

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

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

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	382,910	$	3,411,828	(a)	$	3,794,738
Airlines		—		24,048,960		10,633,001	(b)		34,681,961
Finance Companies		682,219		70,936,610		—			71,618,829
Retailers		—		10,288,284		1,211,581	(a)		11,499,865
Transportation Services		—		2,175,000		904,039	(a)		3,079,039
All Other Non-Convertible Bonds*		—		1,057,565,249		—			1,057,565,249
Total Non-Convertible Bonds		682,219		1,165,397,013		16,160,449			1,182,239,681
Convertible Bonds*		—		79,187,279		—			79,187,279
Municipals*		—		11,459,376		—			11,459,376
Total Bonds and Notes		682,219		1,256,043,668		16,160,449			1,272,886,336
Senior Loans*		—		15,006,611		—			15,006,611
Preferred Stocks
Convertible Preferred Stocks
Energy		5,825,382		2,706,904		561,249	(b)		9,093,535
REITs— Mortgage		—		699,094		—			699,094
All Other Convertible Preferred Stocks*		15,205,153		—		—			15,205,153
Total Convertible Preferred Stocks		21,028,535		3,405,998		561,249			24,997,782
Non-Convertible Preferred Stocks
Electric		—		756,023		—			756,023
Government Sponsored		—		3,075,000		—			3,075,000
All Other Non-Convertible Preferred Stocks*		4,465,844		—		—			4,465,844
Total Non-Convertible Preferred Stocks		4,465,844		3,831,023		—			8,296,867
Total Preferred Stocks		25,496,379		7,237,021		561,249			33,294,649
Common Stocks*		81,353,178		—		—			81,353,178
Short-Term Investments		—		24,766,749		—			24,766,749
Total Investments	$	107,531,776	$	1,303,054,049	$	16,721,698		$	1,427,307,523

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

(a) Fair valued by the Fund’s adviser.

(b) Valued using broker-dealer bid prices.

Preferred stocks valued at $2,392,559 were transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A preferred stock valued at $36,744 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	—		$	—		$	3,411,828	$	—		$	—	$	—	$	3,411,828	$	—
Airlines		11,166,164		—		1,063			(37,864	)		—		(496,362	)		—		—		10,633,001		(4,166	)
Metals & Mining		2,649,200		12,353		526			859,859			—		(3,521,938	)		—		—		—		—
Retailers		1,203,038		1,574		—			6,969			—		—			—		—		1,211,581		6,969
Transportation Services		934,527		—		10,605			(11,055	)		—		(30,038	)		—		—		904,039		1
Convertible Bonds
Wirelines		3,023		—		(1,196	)		975			—		(2,802	)		—		—		—		—
Preferred Stocks
Convertible Preferred Stocks
Energy		—		—		—			(665,700	)		25,196		—			1,201,753		—		561,249		(665,700	)
Total	$	15,955,952	$	13,927	$	10,998		$	153,184		$	3,437,024	$	(4,051,140	)	$	1,201,753	$	—	$	16,721,698	$	(662,896	)

A preferred stock valued at $1,201,753 was transferred from Level 1 to Level 3 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Industry Summary at December 31, 2014 (Unaudited)

Treasuries	21.7	%
Banking	12.8
Finance Companies	5.1
Technology	4.1
Electric	3.4
Wirelines	3.2
Chemicals	3.0
Airlines	2.5
Property & Casualty Insurance	2.5
Healthcare	2.4
Local Authorities	2.2
Semiconductors & Semiconductor Equipment	2.1
Metals & Mining	2.0
Other Investments, less than 2% each	30.3
Short-Term Investments	1.7
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)

United States Dollar	74.6	%
Canadian Dollar	10.0
New Zealand Dollar	4.2
Mexican Peso	2.7
Euro	2.0
Other, less than 2% each	5.5
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Global Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 95.8% of Net Assets
	Non-Convertible Bonds – 95.8%
		Australia – 1.8%
$	4,695,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A	$	4,902,791
	5,000,000	New South Wales Treasury Corp., 6.000%, 5/01/2020, (AUD)		4,777,890
	24,075,000	New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(b)		23,733,144
	5,010,000	WEA Finance LLC/Westfield UK & Europe Finance PLC, 2.700%, 9/17/2019, 144A		5,008,542
				38,422,367
		Barbados – 0.2%
	1,250,000	Global SC Finance II S.r.l., Series 2013-1A, Class A, 2.980%, 4/17/2028, 144A		1,237,585
	3,497,917	Global SC Finance II S.r.l., Series 2014-1A, Class A1, 3.190%, 7/17/2029, 144A		3,464,623
				4,702,208
		Belgium – 2.1%
	29,360,000	Belgium Government Bond, Series 65, 4.250%, 9/28/2022, (EUR)(b)		45,457,601
		Bermuda – 0.4%
	2,140,000	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A		2,138,449
	7,075,000	Global Container Assets Ltd., Series 2013-1A, Class A2, 3.300%, 11/05/2028, 144A		6,928,151
				9,066,600
		Brazil – 1.5%
	585,000	Banco Santander Brasil S.A., 4.250%, 1/14/2016		593,190
	5,000,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		5,181,500
	11,922,659	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		4,288,964
	1,264,000	CSN Islands IX Corp., 10.000%, 1/15/2015		1,267,160
	5,636,350	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		5,269,987
	12,535,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		4,291,193
	4,600,000	Republic of Brazil, 2.875%, 4/01/2021, (EUR)		5,566,231
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,416,109
	3,600,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,795,084
				32,669,418

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Canada – 5.1%
	15,030,000	Canadian Government, 2.750%, 6/01/2022, (CAD)	$	13,966,593
	25,480,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(b)		22,324,498
	6,744,000	Canadian Government, 4.000%, 6/01/2041, (CAD)		7,699,120
	4,734,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,092,803
	2,375,839	Ford Auto Securitization Trust, Series 2013-R1A, Class A2, 1.676%, 9/15/2016, 144A, (CAD)		2,047,356
	2,651,081	Ford Auto Securitization Trust, Series 2013-R4A, Class A2, 1.824%, 7/15/2017, 144A, (CAD)		2,286,985
	5,232,275	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		4,504,044
	3,100,000	Master Credit Card Trust II, Series 2012-2A, Class C, 1.970%, 4/21/2017, 144A		3,116,142
	12,805,000	Province of Alberta Canada, 4.000%, 12/01/2019, (CAD)(b)		12,202,444
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)		7,706,624
	9,400,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		9,348,866
	11,400,000	Royal Bank of Canada, 2.200%, 9/23/2019(b)		11,483,448
	6,280,000	SCG Hotel Issuer, Inc., Series 2013-CWPA, Class A2, 3.442%, 10/12/2018, 144A, (CAD)		5,585,297
	4,290,000	Talisman Energy, Inc., 5.500%, 5/15/2042		4,049,447
				110,413,667
		Cayman Islands – 0.1%
	2,815,000	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.212%, 4/15/2032, 144A(c)		2,811,918
		Chile – 0.5%
	2,950,000	Banco Santander Chile, 1.130%, 4/11/2017, 144A(c)		2,936,831
	1,070,000	Celulosa Arauco y Constitucion S.A., 5.625%, 4/20/2015		1,080,377
	400,000	Corpbanca S.A., 3.125%, 1/15/2018		397,500
	5,490,000	Corpbanca S.A., 3.875%, 9/22/2019, 144A		5,503,725
				9,918,433
		China – 0.3%
	2,500,000	Baidu, Inc., 3.250%, 8/06/2018		2,555,535
	1,150,000	Tencent Holdings Ltd., 2.000%, 5/02/2017, 144A		1,146,711
	2,756,000	Tingyi Cayman Islands Holding Corp., 3.875%, 6/20/2017		2,833,967
				6,536,213

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Colombia – 0.2%
$	1,540,000	Banco de Bogota S.A., 5.000%, 1/15/2017	$	1,601,600
	3,600,000	Ecopetrol S.A., 4.125%, 1/16/2025		3,420,000
				5,021,600
		Czech Republic – 0.3%
	6,000,000	CEZ AS, 4.250%, 4/03/2022, 144A		6,379,866
		Denmark – 1.0%
	110,500,000	Denmark Government Bond, 4.000%, 11/15/2019, (DKK)(b)		21,331,368
		Finland – 0.6%
	9,525,000	Finland Government Bond, 1.500%, 4/15/2023, 144A, (EUR)(b)		12,432,572
		France – 2.2%
	2,370,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		4,439,942
	2,600,000	AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)		4,407,674
	1,800,000	AXA S.A., EMTN, (fixed rate to 7/04/2023, variable rate thereafter), 5.125%, 7/04/2043, (EUR)		2,552,473
	3,135,000	BNP Paribas S.A., EMTN, 5.750%, 1/24/2022, (GBP)		5,568,770
	19,155,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)		27,415,080
	3,324,000	Pernod Ricard S.A., 4.450%, 1/15/2022, 144A		3,558,934
				47,942,873
		Germany – 5.0%
	7,200,000	Allianz Finance II BV, EMTN, (fixed rate to 7/08/2021, variable rate thereafter), 5.750%, 7/08/2041, (EUR)(b)		10,389,622
	2,325,000	Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR)(b)		3,268,851
	41,390,000	Bundesrepublik Deutschland, 4.250%, 7/04/2039, (EUR)(b)		81,039,381
	1,035,000,000	KfW, 2.600%, 6/20/2037, (JPY)		11,174,777
	800,000	Muenchener Rueckversicherungs AG, EMTN, (fixed rate to 5/26/2021, variable rate thereafter), 6.000%, 5/26/2041, (EUR)		1,172,494
				107,045,125
		India – 0.5%
	4,400,000	Bharti Airtel International BV, 5.125%, 3/11/2023, 144A		4,696,032
	3,575,000	ICICI Bank Ltd., 3.500%, 3/18/2020, 144A		3,597,540

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		India – continued
$	2,924,000	ICICI Bank Ltd., MTN, 4.750%, 11/25/2016	$	3,055,814
				11,349,386
		Indonesia – 1.6%
	274,572,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)		22,308,282
	7,165,000	Majapahit Holding BV, 7.250%, 6/28/2017		7,892,248
	4,000,000	Pertamina Persero PT, 5.625%, 5/20/2043, 144A		3,760,000
				33,960,530
		Ireland – 0.7%
	3,625,000	AIB Mortgage Bank, EMTN, 4.875%, 6/29/2017, (EUR)		4,875,607
	6,860,000	Bank of Ireland Mortgage Bank, 1.875%, 5/13/2017, (EUR)(b)		8,596,475
	1,771,373	Fastnet Securities 9 Ltd., Series 9, Class A1, 1.730%, 8/10/2053, (EUR)(c)		2,189,718
				15,661,800
		Italy – 4.6%
	4,122,907	Asti RMBS S.r.l., Series 1, Class A, 1.329%, 12/27/2060, (EUR)(c)		5,068,368
	3,221,318	Berica ABS S.r.l., Series 2012-2, Class A1, 0.382%, 11/30/2051, (EUR)(c)		3,882,489
	1,918,345	Berica ABS S.r.l., Series 3, Class A, 1.129%, 6/30/2061, (EUR)(c)		2,356,899
	2,077,120	Berica Residential S.r.l., Series 8, Class A, 0.383%, 3/31/2048, (EUR)(c)		2,466,383
	1,736,467	Claris Finance S.r.l., Series 2014-1, Class A1, 1.229%, 12/28/2061, (EUR)(c)		2,137,290
	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,760,086
	2,300,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		4,372,639
	8,935,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)		12,480,621
	15,670,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)		23,554,565
	2,000,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,060,000
	4,751,000	Republic of Italy, 6.875%, 9/27/2023		5,996,684
	8,100,000	Siena Mortgages SpA/S.r.l., Series 2010-7, Class A3, 0.381%, 11/22/2070, (EUR)(c)		9,685,015
	6,172,458	Siviglia SPV S.r.l., Series 2012-1, Class A, 0.585%, 10/25/2055, (EUR)(c)		7,386,953
	4,485,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,485,000
	3,755,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		3,848,875
	2,376,342	Vela Home S.r.l., Series 4, Class A2, 0.275%, 10/25/2042, (EUR)(c)		2,825,946

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Italy – continued
	2,696,124		Voba N 3 S.r.l., Series 2011-3, Class A2, 1.081%, 11/23/2047, (EUR)(c)	$	3,297,710
					99,665,523
			Japan – 10.4%
	10,300,000		Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.450%, 9/08/2017, 144A		10,204,715
	1,131,450,000		Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		10,095,258
	11,099,000,000		Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		97,682,134
	1,121,550,000		Japan Government Ten Year Bond, 1.700%, 3/20/2017, (JPY)		9,720,003
	1,720,000,000		Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)		15,886,838
	1,843,000,000		Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)		18,053,476
	781,100,000		Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)		7,058,398
	655,350,000		Japan Government Twenty Year Bond, 2.000%, 12/20/2024, (JPY)		6,367,985
	1,540,000,000		Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		15,404,217
	3,366,450,000		Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		33,753,734
					224,226,758
			Korea – 0.8%
	56,100,000		Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		7,834,362
	8,538,000		Korea Finance Corp., 4.625%, 11/16/2021(b)		9,460,795
	200,000		Lotte Shopping Co. Ltd., 3.375%, 5/09/2017		205,780
					17,500,937
			Luxembourg – 0.2%
	4,385,000		ArcelorMittal, 6.000%, 3/01/2021		4,560,400
			Malaysia – 2.3%
	300,000		Malayan Banking Bhd, 3.000%, 2/10/2017		306,918
	175,375,000		Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)(b)		49,695,502
					50,002,420
			Mexico – 3.5%
	2,215,000		Cemex SAB de CV, 5.875%, 3/25/2019		2,248,225
	7,014,986	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		49,934,481
	1,050,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)		7,465,384

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Mexico – continued
	1,247,129	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(b)	$	9,714,753
	2,080,000		Mexichem SAB de CV, 5.875%, 9/17/2044, 144A		1,965,600
	3,900,000		Sigma Alimentos S.A. de CV, 5.625%, 4/14/2018		4,231,500
					75,559,943
			Morocco – 0.1%
	1,015,000		OCP S.A., 6.875%, 4/25/2044, 144A		1,088,689
			Namibia – 0.2%
	3,588,000		Namibia International Bond, 5.500%, 11/03/2021, 144A		3,767,400
			Netherlands – 1.3%
	21,030,000		Netherlands Government Bond, 2.250%, 7/15/2022, 144A, (EUR)(b)		28,910,512
			New Zealand – 2.1%
	54,235,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(b)		44,663,306
			Norway – 2.4%
	156,540,000		Norway Government Bond, 2.000%, 5/24/2023, (NOK)		21,919,002
	136,200,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)(b)		19,729,940
	61,605,000		Norway Government Bond, 4.500%, 5/22/2019, (NOK)(b)		9,504,925
					51,153,867
			Philippines – 0.6%
	100,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		2,319,343
	259,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		6,507,930
	4,265,000		Power Sector Assets and Liabilities Management Corp., 6.875%, 11/02/2016		4,664,844
					13,492,117
			Poland – 1.4%
	87,500,000		Poland Government Bond, 3.250%, 7/25/2019, (PLN)		25,898,646
	4,145,000		Poland Government International Bond, 4.000%, 1/22/2024		4,406,218
					30,304,864
			Portugal – 0.2%
	3,355,000		EDP Finance BV, 4.125%, 1/15/2020, 144A		3,373,788

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		South Africa – 0.7%
$	3,529,000	Myriad International Holding BV, 6.375%, 7/28/2017	$	3,846,610
	127,260,000	Transnet SOC Ltd., 9.500%, 5/13/2021, 144A, (ZAR)(b)		11,051,221
				14,897,831
		Spain – 2.0%
	1,000,000	Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)		1,320,829
	21,990,000	Spain Government Bond, 5.850%, 1/31/2022, (EUR)(b)		35,060,556
	1,410,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		1,560,878
	950,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,249,707
	1,817,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,280,824
				42,472,794
		Sweden – 1.0%
	138,245,000	Sweden Government Bond, Series 1052, 4.250%, 3/12/2019, (SEK)(b)		20,774,833
		Switzerland – 0.4%
	4,150,000	Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A		4,626,453
	2,907,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		3,570,057
				8,196,510
		Turkey – 0.6%
	18,870,000	Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)		7,398,620
	2,400,000	Arcelik AS, 5.000%, 4/03/2023, 144A		2,311,440
	2,300,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A		2,297,240
	1,795,000	Turkiye Is Bankasi, 5.000%, 4/30/2020, 144A		1,828,656
				13,835,956
		United Arab Emirates – 0.4%
	2,930,000	DP World Sukuk Ltd., 6.250%, 7/02/2017		3,179,050
	455,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016		490,262
	4,996,000	IPIC GMTN Ltd., 5.000%, 11/15/2020, 144A		5,514,585
				9,183,897
		United Kingdom – 7.6%
	5,945,000	Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)		8,584,890

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – continued
	3,203,000	Bank of Scotland PLC, EMTN, 4.875%, 11/08/2016, (GBP)	$	5,356,874
	891,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		980,022
	3,458,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		6,067,379
	460,000	HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)		610,894
	3,906,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,228,159
	3,175,000	HSBC Holdings PLC, 4.000%, 3/30/2022		3,379,140
	3,500,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)		6,269,605
	5,830,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		5,930,223
	425,000	Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter), 3.625%, 3/25/2024, (EUR)		519,336
	6,490,000	Sky PLC, 3.750%, 9/16/2024, 144A		6,529,745
	9,250,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A(b)		8,926,611
	4,845,000	Tesco PLC, EMTN, 5.000%, 3/24/2023, (GBP)		7,700,276
	620,000	United Kingdom Gilt, 4.250%, 12/07/2027, (GBP)		1,217,090
	22,410,000	United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(b)		46,865,608
	5,600,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)		8,950,385
	2,431,209	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)(b)		4,444,596
	17,473,827	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)(b)		32,030,761
	700,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		1,172,847
	1,370,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, (GBP)		2,199,342
	445,000	Virgin Media Secured Finance PLC, 6.250%, 3/28/2029, (GBP)		749,064
	2,305,000	WPP Finance 2010, 3.750%, 9/19/2024		2,313,510
				165,026,357
		United States – 28.9%
	2,934,362	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		2,942,443
	4,178,493	A10 Securitization LLC, Series 2013-2, Class A, 2.620%, 11/15/2027, 144A		4,196,937
	320,000	AES Corp. (The), 5.500%, 3/15/2024		324,736
	1,410,000	Ally Financial, Inc., 2.750%, 1/30/2017		1,405,601

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	3,445,000	Ally Financial, Inc., 3.500%, 7/18/2016	$	3,483,756
	4,650,000	Ally Financial, Inc., 3.750%, 11/18/2019		4,580,250
	3,210,000	Ally Financial, Inc., 4.750%, 9/10/2018		3,322,350
	3,086,292	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,505,031
	4,700,000	Altria Group, Inc., 4.000%, 1/31/2024		4,900,131
	2,285,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		2,230,706
	384,917	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		384,911
	6,283,000	Ball Corp., 4.000%, 11/15/2023		6,063,095
	5,125,000	Bank of America Corp., 2.650%, 4/01/2019		5,162,592
	4,510,000	Bank of America Corp., 4.100%, 7/24/2023		4,749,706
	3,860,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 2.661%, 8/15/2029, 144A(c)		3,863,821
	3,785,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.550%, 12/15/2027, 144A(c)		3,786,245
	5,708,658	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		5,667,248
	3,295,000	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.111%, 6/15/2031, 144A(c)		3,289,636
	1,520,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,478,200
	2,515,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		2,513,428
	510,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		525,300
	895,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		950,938
	4,102,000	CHS/Community Health Systems, Inc., 5.125%, 8/15/2018		4,245,570
	2,370,000	CIT Group, Inc., 4.250%, 8/15/2017		2,417,400
	4,000,000	Citigroup, Inc., 1.700%, 7/25/2016		4,027,396
	4,465,000	Citigroup, Inc., 3.375%, 3/01/2023		4,504,930
	5,435,000	Citigroup, Inc., 4.000%, 8/05/2024		5,456,854
	7,965,000	CLI Funding LLC, Series 2014-2A, Class A, 3.380%, 10/18/2029, 144A		7,914,470
	7,005,000	Comcast Corp., 4.200%, 8/15/2034		7,324,750
	3,520,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 1.861%, 5/13/2031(c)(d)		3,525,505
	3,245,000	Commercial Mortgage Pass Through Certificates, Series 2014-KYO, Class A, 1.059%, 6/11/2027, 144A(c)		3,239,678

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A	$	2,588,537
	2,800,000	Commercial Mortgage Trust, Series 2014-PAT, Class D, 2.311%, 8/13/2027, 144A(c)		2,773,772
	4,000,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.911%, 6/15/2034, 144A(c)		3,987,340
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,631,250
	209,494	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		225,730
	181,095	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		190,711
	4,360,000	Continental Resources, Inc., 3.800%, 6/01/2024		3,900,216
	1,015,000	Continental Resources, Inc., 4.500%, 4/15/2023		965,418
	3,555,000	Corning, Inc., 4.700%, 3/15/2037		3,833,595
	3,195,048	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		3,256,668
	2,337,746	Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 2.234%, 11/26/2036, 144A(c)		2,307,561
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,548,155
	1,885,000	CSMC Series, Series 2010-RR1, Class 2B, 5.695%, 9/15/2040, 144A		1,996,447
	1,555,000	Discovery Communications LLC, 4.950%, 5/15/2042		1,613,061
	3,725,000	DR Horton, Inc., 3.750%, 3/01/2019		3,687,750
	3,273,000	Energy Transfer Partners LP, 3.600%, 2/01/2023		3,167,177
	1,440,000	Energy Transfer Partners LP, 4.900%, 2/01/2024		1,508,933
	2,485,000	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A		2,478,899
	5,470,000	Extended Stay America Trust, Series 2013-ESH5, Class A15, 1.278%, 12/05/2031, 144A		5,426,787
	5,700,000	Extended Stay America Trust, Series 2013-ESH7, Class A17, 2.295%, 12/05/2031, 144A		5,623,050
	3,900,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,940,322
	34,385,000	FNMA (TBA), 2.500%, 1/01/2030(e)		35,008,228
	1,285,000	FNMA (TBA), 3.000%, 1/01/2030(e)		1,335,647
	36,460,000	FNMA (TBA), 3.500%, 1/01/2045(e)		38,006,706
	30,960,000	FNMA (TBA), 4.500%, 1/01/2045(e)		33,606,114
	4,380,000	Ford Motor Credit Co. LLC, 3.664%, 9/08/2024		4,388,751
	4,723,000	Ford Motor Credit Co. LLC, 4.207%, 4/15/2016		4,888,518

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	5,508,000	Ford Motor Credit Co. LLC, 4.375%, 8/06/2023	$	5,888,300
	50,000,000	General Electric Capital Corp., EMTN, 4.208%, 12/06/2021, (SEK)		7,461,731
	3,900,000	General Motors Co., 4.000%, 4/01/2025		3,909,750
	7,975,000	General Motors Financial Co., Inc., 3.000%, 9/25/2017		8,064,958
	1,325,212	GNMA, 1.945%, 5/20/2064(c)		1,406,932
	3,617,659	GNMA, 2.506%, 10/20/2063(c)		3,923,738
	4,279,747	GNMA, 4.556%, 12/20/2061		4,616,413
	2,049,991	GNMA, 4.622%, 7/20/2064		2,292,289
	1,881,372	GNMA, 4.674%, 7/20/2064		2,109,761
	2,000,000	Goldman Sachs Group, Inc. (The), 3.625%, 2/07/2016		2,052,116
	1,630,000	Goldman Sachs Group, Inc. (The), 5.750%, 1/24/2022		1,885,563
	2,030,000	Goldman Sachs Group, Inc. (The), MTN, 3.850%, 7/08/2024		2,081,964
	707,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		754,141
	4,426,141	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.796%, 8/10/2045(c)		4,791,577
	2,435,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,593,275
	1,550,000	Hewlett-Packard Co., 3.750%, 12/01/2020		1,603,416
	3,728,000	Hewlett-Packard Co., 4.650%, 12/09/2021		3,991,816
	3,169,969	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A		3,187,157
	3,080,000	Host Hotels & Resorts LP, Series D, 3.750%, 10/15/2023		3,072,143
	2,460,000	International Lease Finance Corp., 5.750%, 5/15/2016		2,552,250
	7,800,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		7,800,000
	5,720,000	Johnson & Johnson, 4.375%, 12/05/2033		6,406,978
	7,935,000	JPMorgan Chase & Co., 3.250%, 9/23/2022		7,981,221
	6,454,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,995,988
	4,000,000	JPMorgan Chase & Co., 4.500%, 1/24/2022		4,367,008
	7,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FL4, Class B, 1.911%, 12/15/2030, 144A(c)		7,001,736
	3,800,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A, 1.361%, 8/15/2027, 144A(c)		3,792,522

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	2,270,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.141%, 7/15/2031, 144A(c)	$	2,272,393
	1,684,269	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.104%, 9/26/2035, 144A(c)		1,690,721
	3,140,000	KB Home, 4.750%, 5/15/2019		3,092,900
	1,020,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,050,600
	5,210,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A		5,295,830
	2,278,591	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A		2,336,255
	4,723,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 0.381%, 3/19/2018, (EUR)(c)		5,690,435
	4,985,000	Morgan Stanley, 3.750%, 2/25/2023		5,113,718
	1,795,000	Morgan Stanley, 4.350%, 9/08/2026		1,805,725
	1,100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		1,237,642
	1,490,000	Morgan Stanley, GMTN, 5.500%, 7/28/2021		1,690,973
	460,000	Morgan Stanley, Series F, 3.875%, 4/29/2024		471,977
	4,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.796%, 8/12/2045, 144A(c)		4,735,051
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.796%, 8/15/2045, 144A(c)		1,614,188
	6,300,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		6,229,579
	2,100,000	Newfield Exploration Co., 5.625%, 7/01/2024		2,077,688
	4,980,000	Noble Energy, Inc., 5.250%, 11/15/2043		5,057,424
	960,000	NRG Energy, Inc., 6.250%, 7/15/2022		981,600
	3,540,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		3,553,877
	1,026,249	Orange Lake Timeshare Trust, Series 2012-AA, Class B, 4.870%, 3/10/2027, 144A		1,071,890
	2,620,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		1,598,200
	5,600,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		3,360,000
	1,890,000	Pioneer Natural Resources Co., 3.950%, 7/15/2022		1,870,718
	2,670,000	RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A		2,819,995
	1,763,756	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A		1,831,345
	7,300,059	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		6,948,174
	6,272,000	Sirius International Group, 6.375%, 3/20/2017, 144A		6,888,312

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	725,000	SNAAC Auto Receivables Trust, Series 2014-1A, Class B, 1.750%, 7/15/2019, 144A	$	725,895
	895,000	SNAAC Auto Receivables Trust, Series 2014-1A, Class C, 2.210%, 1/15/2020, 144A		895,592
	3,631,560	SpringCastle America Funding LLC, Series 2014-AA, Class A, 2.700%, 5/25/2023, 144A		3,625,775
	8,000,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		8,084,800
	5,775,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		5,770,218
	1,934,075	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		1,923,065
	3,218,917	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A		3,258,207
	455,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		451,588
	4,415,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		4,426,037
	1,545,000	Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP)		2,817,246
	95,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		113,274
	250,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		321,872
	885,000	Time Warner Cable, Inc., 6.750%, 6/15/2039		1,156,944
	665,000	Time Warner Cable, Inc., 7.300%, 7/01/2038		916,938
	1,850,000	Time Warner, Inc., 4.650%, 6/01/2044		1,928,762
	955,000	Time Warner, Inc., 5.350%, 12/15/2043		1,084,666
	1,240,000	Time Warner, Inc., 6.100%, 7/15/2040		1,510,101
	9,655,053	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(b)		10,317,110
	13,970,000	U.S. Treasury Bond, 2.875%, 5/15/2043		14,288,684
	33,990,000	U.S. Treasury Note, 0.625%, 11/30/2017		33,554,520
	5,000,000	U.S. Treasury Note, 1.375%, 5/31/2020(f)		4,907,030
	2,000,000	U.S. Treasury Note, 1.500%, 12/31/2018(g)		2,002,656
	6,140,818	US Airways Pass Through Trust, Series 2013-1, Class A, 3.950%, 5/15/2027		6,263,634
	1,402,000	Verizon Communications, Inc., 2.625%, 2/21/2020, 144A		1,385,971
	1,300,000	Verizon Communications, Inc., 3.000%, 11/01/2021		1,282,104
	2,560,000	Verizon Communications, Inc., 3.500%, 11/01/2024		2,515,197
	2,150,000	Verizon Communications, Inc., 4.400%, 11/01/2034		2,137,059

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	2,138,000	Verizon Communications, Inc., 4.862%, 8/21/2046, 144A	$	2,196,211
	5,155,000	Verizon Communications, Inc., 5.050%, 3/15/2034		5,498,967
	1,230,000	Verizon Communications, Inc., 5.150%, 9/15/2023		1,358,207
	2,060,000	Verizon Communications, Inc., 6.400%, 9/15/2033		2,537,473
	655,000	Virginia Electric and Power Co., 4.450%, 2/15/2044		715,463
	3,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		3,361,441
	5,130,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		4,796,550
				624,970,167
		Total Non-Convertible Bonds (Identified Cost $2,173,919,117)		2,068,752,414
	Convertible Bonds – 0.0%
		United States – 0.0%
	868,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019 (Identified Cost $868,000)		986,265
		Total Bonds and Notes (Identified Cost $2,174,787,117)		2,069,738,679
Shares
	Preferred Stocks – 1.2%
	Non-Convertible Preferred Stocks – 0.2%
		United States – 0.2%
	186,207	PNC Financial Services Group, Inc. (The), 5.375% (Identified Cost $4,655,175)		4,452,209
	Convertible Preferred Stocks – 1.0%
		United States – 1.0%
	123,700	Alcoa, Inc., Series 1, 5.375%		6,240,665
	35,803	Crown Castle International Corp., Series A, 4.500%		3,687,351
	37,200	Dominion Resources, Inc., 6.375%		1,934,772
	24,832	Dominion Resources, Inc., Series A, 6.125%		1,490,169
	9,494	Dominion Resources, Inc., Series B, 6.000%		570,779
	112,924	Tyson Foods, Inc., 4.750%		5,684,594

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		United States – continued
	51,967	Weyerhaeuser Co., Series A, 6.375%	$	2,998,496
				22,606,826
		Total Convertible Preferred Stocks (Identified Cost $21,919,913)		22,606,826
		Total Preferred Stocks (Identified Cost $26,575,088)		27,059,035
Principal Amount (‡)
	Short-Term Investments – 5.3%
$	18,333,359	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $18,333,369 on 1/02/2015 collateralized by $18,200,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $18,700,500 including accrued interest(h)		18,333,359
	95,620,000	U.S. Treasury Bills, 0.012%, 2/19/2015(b)(i)		95,617,801
		Total Short-Term Investments (Identified Cost $113,951,736)		113,951,160
		Total Investments – 102.3% (Identified Cost $2,315,313,941)(a)		2,210,748,874
		Other assets less liabilities – (2.3)%		(50,625,532	)
		Net Assets – 100.0%	$	2,160,123,342

(‡) 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 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized depreciation on investments based on a cost of $2,327,796,647 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	$	38,631,513
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(155,679,286	)
Net unrealized depreciation	$	(117,047,773	)

(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, 2014 is disclosed.

(d) Illiquid security. At December 31, 2014, the value of this security amounted to $3,525,505 or 0.2% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(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. 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.

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

(g) A portion of this security has been pledged as collateral for open forward foreign currency contracts.

(h) 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, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(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, 2014, the value of Rule 144A holdings amounted to $416,670,651 or 19.3% of net assets.

EMTN Euro Medium Term Note

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

GNMA Government National Mortgage Association

MTN Medium Term Note

REMIC Real Estate Mortgage Investment Conduit

TBA To Be Announced

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

DKK Danish Krone

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

JPY Japanese Yen

MXN Mexican Peso

MYR Malaysian Ringgit

NOK Norwegian Krone

NZD New Zealand Dollar

PHP Philippine Peso

PLN Polish Zloty

SEK Swedish Krona

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, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. 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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. At December 31, 2014, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		2/27/2015	Australian Dollar		5,320,000	$	4,326,558	$	226,941
Buy2		1/05/2015	Brazilian Real		29,850,000		11,229,403		198,361
Sell3		1/05/2015	Brazilian Real		29,850,000		11,229,403		448,087
Sell2		2/03/2015	Brazilian Real		29,850,000		11,141,962		(197,272	)
Sell4		3/24/2015	British Pound		11,600,000		18,068,432		57,148
Sell1		3/05/2015	Canadian Dollar		37,810,000		32,499,615		639,290
Sell5		3/30/2015	Euro		21,000,000		25,430,374		331,796
Sell6		2/18/2015	Japanese Yen		6,580,000,000		54,954,098		2,140,663
Buy7		3/18/2015	Malaysian Ringgit		62,652,000		17,811,886		52,376
Sell4		3/18/2015	Mexican Peso		160,000,000		10,795,765		(55,528	)
Buy3		3/18/2015	Philippine Peso		210,000,000		4,678,599		(7,332	)
Buy3		3/11/2015	South Korean Won		34,055,768,988		30,888,973		377,152
Buy1		3/11/2015	South Korean Won		6,499,000,000		5,894,667		74,320
Buy1		3/18/2015	Swiss Franc		12,900,000		12,992,539		(200,612	)
Sell1		3/18/2015	Turkish Lira		17,495,000		7,369,464		369,701
Total								$	4,455,091

At December 31, 2014, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
1/07/2015	Japanese Yen	2,057,328,000	Singapore Dollar3	24,000,000	$	940,989
1/29/2015	Swedish Krona	83,500,000	Norwegian Krone1	75,840,145		(543,443	)
3/18/2015	New Zealand Dollar	57,000,000	Euro6	35,471,365		(1,204,017	)
3/18/2015	Swedish Krona	50,000,000	Euro3	5,375,564		93,393
1/07/2015	Singapore Dollar	24,000,000	Japanese Yen3	2,126,184,000		(366,130	)
3/04/2015	Malaysian Ringgit	240,070,000	Japanese Yen1	8,394,023,543		1,783,775
					$	704,567

¹  Counterparty is Credit Suisse International.

²  Counterparty is Deutsche Bank AG.

³  Counterparty is Barclays Bank PLC.

⁴  Counterparty is UBS AG.

⁵  Counterparty is Citibank N.A.

⁶  Counterparty is Bank of America, N.A.

⁷  Counterparty is JPMorgan Chase Bank N.A.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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 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 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, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/20/2015		340	$	56,163,750	$	2,499,322

At December 31, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2015		800	$	115,650,000	$	(3,144,449	)

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
United States	$	—	$	573,883,000	$	51,087,167	(a)	$	624,970,167
All Other Non-Convertible Bonds*		—		1,443,782,247		—			1,443,782,247
Total Non-Convertible Bonds		—		2,017,665,247		51,087,167			2,068,752,414
Convertible Bonds*		—		986,265		—			986,265
Total Bonds and Notes		—		2,018,651,512		51,087,167			2,069,738,679

Preferred Stocks
Non-Convertible Preferred Stocks*		4,452,209			—			—		4,452,209
Convertible Preferred Stocks*		22,606,826			—			—		22,606,826
Total Preferred Stocks		27,059,035			—			—		27,059,035
Short-Term Investments		—			113,951,160			—		113,951,160
Total Investments		27,059,035			2,132,602,672			51,087,167		2,210,748,874
Forward Foreign Currency Contracts (unrealized appreciation)		—			7,733,992			—		7,733,992
Futures Contracts (unrealized appreciation)		2,499,322			—			—		2,499,322
Total	$	29,558,357		$	2,140,336,664		$	51,087,167	$	2,220,982,188
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,574,334	)	$	—	$	(2,574,334	)
Futures Contracts (unrealized depreciation)		(3,144,449	)		—			—		(3,144,449	)
Total	$	(3,144,449	)	$	(2,574,334	)	$	—	$	(5,718,783	)

* 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 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, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
Australia	$	4,732,900	$	—	$	36,005	$	(33,839	)	$	—	$	(4,735,066	)	$	—	$	—		$	—	$	—
Cayman Islands		1,441,270		—		5,899		(6,491	)		—		(1,440,678	)		—		—			—		—
United States		58,041,992		3,098		12,689		213,002			—		(382,264	)		—		(6,801,350	)		51,087,167		242,513
Total	$	64,216,162	$	3,098	$	54,593	$	172,672		$	—	$	(6,558,008	)	$	—	$	(6,801,350	)	$	51,087,167	$	242,513

Debt securities valued at $6,801,350 were transferred from Level 3 to Level 2 during the period ended December 31, 2014. 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. At December 31, 2014, 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, 2014, 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, 2014, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2014:

Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	7,733,992		$	—		$	7,733,992
Exchange traded/cleared asset derivatives
Interest rate contracts		—			2,499,322			2,499,322
Total asset derivatives	$	7,733,992		$	2,499,322		$	10,233,314
Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,574,334	)	$	—		$	(2,574,334	)
Exchange traded/cleared liability derivatives
Interest rate contracts		—			(3,144,449	)		(3,144,449	)
Total liability derivatives	$	(2,574,334	)	$	(3,144,449	)	$	(5,718,783	)

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 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, 2014, 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 may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$        14,092,422	$        6,792,572

These amounts include cash and securities received as collateral by the Fund in the amount of $5,343,177.

Industry Summary at December 31, 2014 (Unaudited)

Treasuries	45.9	%
Banking	9.0
Mortgage Related	5.8
Non-Agency Commercial Mortgage-Backed Securities	4.4
ABS Other	3.2
Government Owned—No Guarantee	2.8
Local Authorities	2.7
ABS Home Equity	2.5
Other Investments, less than 2% each	20.7
Short-Term Investments	5.3
Total Investments	102.3
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(2.3	)
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)

United States Dollar	46.1	%
Euro	16.9
Japanese Yen	10.4
British Pound	6.8
Canadian Dollar	4.3
Mexican Peso	3.1
Norwegian Krone	2.8
Malaysian Ringgit	2.3
New Zealand Dollar	2.1
Other, less than 2% each	7.5
Total Investments	102.3
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(2.3	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles High Income Opportunities Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 61.5% of Net Assets
	Non-Convertible Bonds – 54.1%
		ABS Home Equity – 2.9%
$	82,509	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.832%, 9/25/2045(b)	$	79,382
	165,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.912%, 6/17/2031, 144A(b)		155,992
	175,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		178,564
	83,613	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		86,118
	128,956	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		132,291
	408,148	Banc of America Alternative Loan Trust, Series 2004-9, Class 2CB1, 6.000%, 10/25/2034(c)		421,737
	94,877	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		97,268
	47,042	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-9, Class 12A3, 2.780%, 11/25/2034(b)		46,449
	43,126	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.552%, 5/25/2035(b)		41,484
	241,554	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		241,343
	122,773	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.380%, 5/25/2035(b)		103,824
	59,700	Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036		56,418
	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		78,415
	23,257	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		23,343
	139,534	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)		139,115
	122,503	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(b)		116,881
	98,851	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.733%, 12/25/2034(b)		98,163
	202,740	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.687%, 9/25/2035(b)		203,870
	149,345	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.810%, 7/25/2045(b)		131,170
	147,004	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.670%, 1/25/2036(b)(d)		104,039
	220,015	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.330%, 1/25/2047(b)		171,111
	102,909	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		104,769
	118,190	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		124,262
	145,871	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.163%, 9/25/2046(b)		133,043

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	258,204	Washington Mutual Mortgage Pass Through Certificates, Series 2006-AR6, Class 2A, 1.073%, 8/25/2046(b)	$	176,640
				3,245,691
		ABS Other – 0.1%
	77,162	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		82,552
		Aerospace & Defense – 1.3%
	45,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		45,788
	545,000	KLX, Inc., 5.875%, 12/01/2022, 144A(c)		550,450
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		190,000
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		412,000
	265,000	TransDigm, Inc., 6.000%, 7/15/2022		264,337
				1,462,575
		Airlines – 0.9%
	157,260	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		182,422
	410,018	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		473,571
	238,737	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		266,932
	93,942	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		96,761
				1,019,686
		Automotive – 0.7%
	365,000	General Motors Co., 4.875%, 10/02/2023(c)		390,550
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		331,200
	40,000	Lear Corp., 5.375%, 3/15/2024		40,900
	70,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		67,900
				830,550
		Banking – 1.5%
	980,000	Ally Financial, Inc., 5.125%, 9/30/2024(c)		994,700
	48,000	Ally Financial, Inc., 7.500%, 9/15/2020		56,280
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018(c)		419,152
	145,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		156,948
				1,627,080

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – 0.8%
$	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A	$	183,000
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		137,576
	515,000	Jefferies Group LLC, 6.450%, 6/08/2027(c)		534,334
				854,910
		Building Materials – 1.2%
	365,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		306,600
	320,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A		328,000
	165,000	Building Materials Holding Corp., 9.000%, 9/15/2018, 144A		173,250
	168,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		171,780
	80,000	Masco Corp., 5.950%, 3/15/2022		88,800
	15,000	Masco Corp., 7.750%, 8/01/2029		17,250
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		171,500
	110,000	USG Corp., 5.875%, 11/01/2021, 144A		111,100
	15,000	USG Corp., 9.750%, 1/15/2018		17,100
				1,385,380
		Cable Satellite – 2.4%
	255,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		249,263
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		69,825
	230,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023		232,875
	80,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		80,800
	160,000	DISH DBS Corp., 5.000%, 3/15/2023		154,800
	380,000	DISH DBS Corp., 5.125%, 5/01/2020(c)		382,850
	500,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A(c)		502,500
	315,000	Numericable-SFR, 6.000%, 5/15/2022, 144A		316,732
	495,000	Unitymedia KabelBW GmbH, 6.125%, 1/15/2025, 144A(c)		511,087
	200,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		206,500
				2,707,232

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Chemicals – 1.6%
$	150,000	Axalta Coating Systems U.S. Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 7.375%, 5/01/2021, 144A	$	159,000
	200,000	Braskem Finance Ltd., 6.450%, 2/03/2024		200,500
	200,000	Eagle Spinco, Inc., 4.625%, 2/15/2021		189,500
	675,000	Hercules, Inc., 6.500%, 6/30/2029(c)		607,500
	15,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		10,725
	200,000	Perstorp Holding AB, 11.000%, 8/15/2017, 144A		196,000
	195,000	PetroLogistics LP/PetroLogistics Finance Corp., 6.250%, 4/01/2020		210,113
	190,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		184,775
				1,758,113
		Construction Machinery – 0.2%
	255,000	United Rentals North America, Inc., 6.125%, 6/15/2023		267,750
		Consumer Cyclical Services – 0.9%
	155,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A		150,738
	459,000	ServiceMaster Co. LLC (The), 7.000%, 8/15/2020		475,065
	220,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		210,100
	146,000	ServiceMaster Co. LLC (The), 8.000%, 2/15/2020		153,665
				989,568
		Diversified Manufacturing – 0.1%
	75,000	Entegris, Inc., 6.000%, 4/01/2022, 144A		75,938
		Electric – 1.2%
	5,000	AES Corp. (The), 5.500%, 3/15/2024		5,074
	355,000	Calpine Corp., 5.375%, 1/15/2023(c)		358,550
	30,730	CE Generation LLC, 7.416%, 12/15/2018		30,423
	190,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.375%, 11/01/2022, 144A		193,325
	200,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		201,120
	490,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c)		569,012
				1,357,504

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – 4.1%
$	375,000	Aircastle Ltd., 5.125%, 3/15/2021(c)	$	375,000
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		33,225
	165,000	CIT Group, Inc., 3.875%, 2/19/2019		164,588
	30,000	CIT Group, Inc., 5.000%, 8/15/2022		30,825
	1,225,000	CIT Group, Inc., 5.000%, 8/01/2023(e)		1,258,687
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		49,163
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		84,350
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		316,200
	135,000	iStar Financial, Inc., 4.000%, 11/01/2017		131,288
	195,000	iStar Financial, Inc., 4.875%, 7/01/2018		191,587
	115,000	iStar Financial, Inc., 5.000%, 7/01/2019		111,550
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		76,875
	55,000	iStar Financial, Inc., 7.125%, 2/15/2018		57,750
	420,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A(c)		399,000
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		216,300
	215,000	Navient LLC, 5.500%, 1/25/2023		205,862
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		140,650
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		313,600
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		123,200
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		210,000
	102,000	Stearns Holdings, Inc., 9.375%, 8/15/2020, 144A		102,000
				4,591,700
		Financial Other – 0.9%
	450,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(c)		448,875
	135,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		135,591
	388,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c)		393,820
				978,286

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Food & Beverage – 0.4%
$	260,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A	$	300,300
	120,000	TreeHouse Foods, Inc., 4.875%, 3/15/2022		121,500
				421,800
		Gaming – 1.2%
	185,000	GLP Capital LP/GLP Financing II, Inc., 4.875%, 11/01/2020		187,313
	1,120,000	MGM Resorts International, 6.000%, 3/15/2023(c)		1,125,600
				1,312,913
		Government Owned—No Guarantee – 0.4%
	260,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		247,400
	250,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		239,083
				486,483
		Health Insurance – 0.2%
	166,000	WellCare Health Plans, Inc., 5.750%, 11/15/2020		171,395
		Healthcare – 5.3%
	135,000	Amsurg Corp., 5.625%, 7/15/2022, 144A		138,375
	190,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A		171,000
	115,000	Catamaran Corp., 4.750%, 3/15/2021		115,000
	555,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022(c)		587,953
	1,095,000	Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A(c)		1,100,475
	55,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		55,550
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021		5,325
	430,000	HCA, Inc., 7.050%, 12/01/2027		436,450
	35,000	HCA, Inc., 7.500%, 12/15/2023		39,200
	790,000	HCA, Inc., 7.500%, 11/06/2033(c)		829,500
	40,000	HCA, Inc., 7.690%, 6/15/2025		45,000
	40,000	HCA, Inc., 8.360%, 4/15/2024		47,000
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		228,575
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		21,400
	70,000	Kindred Escrow Corp. II , 8.000%, 1/15/2020, 144A		74,375

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	190,000	Kindred Escrow Corp. II , 8.750%, 1/15/2023, 144A	$	204,487
	140,000	LifePoint Hospitals, Inc., 5.500%, 12/01/2021		143,150
	25,000	Omnicare, Inc., 4.750%, 12/01/2022		25,313
	20,000	Omnicare, Inc., 5.000%, 12/01/2024		20,500
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031(c)		916,500
	445,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A(c)		445,000
	285,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		285,000
				5,935,128
		Home Construction – 2.5%
	200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)		10,200
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		221,000
	260,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		276,900
	305,000	KB Home, 8.000%, 3/15/2020		333,975
	385,000	Lennar Corp., 4.750%, 11/15/2022(c)		377,300
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035(c)		687,600
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033(c)		495,000
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f)		20,000
	380,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		374,775
				2,796,750
		Independent Energy – 5.1%
	120,000	Antero Resources Corp., 5.125%, 12/01/2022, 144A		113,100
	40,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		34,000
	350,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		297,500
	130,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		102,700
	40,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		35,200
	30,000	California Resources Corp., 5.000%, 1/15/2020, 144A		26,025
	310,000	California Resources Corp., 5.500%, 9/15/2021, 144A		265,050
	150,000	California Resources Corp., 6.000%, 11/15/2024, 144A		126,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	155,000	Chesapeake Energy Corp., 4.875%, 4/15/2022	$	150,738
	5,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		4,997
	170,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		180,625
	120,000	Cimarex Energy Co., 4.375%, 6/01/2024		114,600
	65,000	Concho Resources, Inc., 5.500%, 10/01/2022		65,650
	160,000	Concho Resources, Inc., 5.500%, 4/01/2023		160,752
	185,000	Continental Resources, Inc., 3.800%, 6/01/2024		165,491
	75,000	Continental Resources, Inc., 4.500%, 4/15/2023		71,336
	105,000	Halcon Resources Corp., 8.875%, 5/15/2021		79,013
	90,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022, 144A		68,400
	250,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		223,125
	20,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		18,250
	50,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		45,250
	359,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		326,690
	555,000	QEP Resources, Inc., 5.250%, 5/01/2023(c)		518,925
	205,000	QEP Resources, Inc., 5.375%, 10/01/2022		193,725
	165,000	Rex Energy Corp., 6.250%, 8/01/2022, 144A		122,925
	215,000	Rex Energy Corp., 8.875%, 12/01/2020		192,425
	370,000	Rice Energy, Inc., 6.250%, 5/01/2022, 144A		344,100
	660,000	Rosetta Resources, Inc., 5.875%, 6/01/2022(c)		594,000
	115,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		106,950
	100,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		84,000
	55,000	SM Energy Co., 5.000%, 1/15/2024		47,575
	80,000	SM Energy Co., 6.125%, 11/15/2022, 144A		75,200
	5,000	SM Energy Co., 6.625%, 2/15/2019		4,900
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021(c)		700,262
				5,660,229

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Industrial Other – 0.2%
$	130,000	Dematic S.A./DH Services Luxembourg S.a.r.l., 7.750%, 12/15/2020, 144A	$	136,175
	130,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		138,450
				274,625
		Integrated Energy – 0.3%
	400,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A(c)		344,600
		Leisure – 0.2%
	275,000	24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A		220,000
		Lodging – 0.5%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023(c)		381,150
	135,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021		141,075
				522,225
		Media Entertainment – 0.5%
	405,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c)		426,262
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		86,488
	33,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		33,825
				546,575
		Metals & Mining – 1.9%
	235,000	Alcoa, Inc., 5.900%, 2/01/2027		255,949
	50,000	Alcoa, Inc., 6.750%, 1/15/2028		56,229
	70,000	ArcelorMittal, 7.250%, 3/01/2041		70,700
	930,000	ArcelorMittal, 7.500%, 10/15/2039		962,550
	315,000	CONSOL Energy, Inc., 5.875%, 4/15/2022, 144A		292,950
	200,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		152,000
	160,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		161,200
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		157,500
				2,109,078
		Midstream – 1.2%
	35,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		34,913
	115,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019, 144A		110,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	195,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023	$	178,912
	175,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		175,437
	130,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		129,675
	160,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		149,600
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		197,925
	155,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		149,187
	10,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		9,100
	40,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		38,600
	105,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		106,313
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,338
				1,295,400
		Non-Agency Commercial Mortgage-Backed Securities – 0.9%
	335,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)		342,268
	385,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(b)(c)		394,457
	250,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.592%, 4/12/2049(b)		265,989
				1,002,714
		Oil Field Services – 0.4%
	155,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		72,850
	155,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		94,550
	310,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		186,000
	15,000	Parker Drilling Co., 6.750%, 7/15/2022		10,781
	150,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		120,000
				484,181
		Packaging – 0.2%
	270,000	Berry Plastics Corp., 5.500%, 5/15/2022		274,050
		Pharmaceuticals – 0.6%
	200,000	Grifols Worldwide Operations Ltd., 5.250%, 4/01/2022, 144A		204,540
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		399,844

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – continued
$	15,000	Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A	$	15,956
				620,340
		Property & Casualty Insurance – 0.3%
	370,000	Hockey Merger Sub 2, Inc., 7.875%, 10/01/2021, 144A		368,150
		REITs – Diversified – 0.4%
	390,000	DuPont Fabros Technology LP, 5.875%, 9/15/2021(c)		397,313
		Retailers – 1.4%
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028(c)		508,800
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		86,625
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022(g)		308,402
	160,000	GameStop Corp., 5.500%, 10/01/2019, 144A		160,400
	125,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A		122,188
	95,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		82,650
	90,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		79,200
	225,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		135,000
	60,000	Toys R Us, Inc., 7.375%, 10/15/2018		39,300
				1,522,565
		Supermarkets – 0.9%
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A(c)		440,938
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,475
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		9,600
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028(c)		488,925
	50,000	SUPERVALU, Inc., 7.750%, 11/15/2022		49,000
				992,938
		Technology – 3.2%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		114,950
	90,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		76,275
	1,965,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(c)		1,876,575
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		279,125

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	273,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A	$	273,682
	185,000	BMC Software Finance, Inc., 8.125%, 7/15/2021, 144A		173,900
	140,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		137,900
	100,000	Equinix, Inc., 4.875%, 4/01/2020		99,500
	90,000	Equinix, Inc., 5.375%, 1/01/2022		90,846
	140,000	Equinix, Inc., 5.375%, 4/01/2023		140,000
	75,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		77,625
	200,000	Rolta Americas LLC, 8.875%, 7/24/2019, 144A		172,000
				3,512,378
		Transportation Services – 0.7%
	185,000	APL Ltd., 8.000%, 1/15/2024(h)		160,950
	9,637	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(g)		9,805
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)(i)(j)		454,817
	115,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A		116,150
				741,722
		Wireless – 1.6%
	200,000	Altice S.A., 7.750%, 5/15/2022, 144A		200,375
	500,000	Crown Castle International Corp., 5.250%, 1/15/2023(c)		510,000
	536,000	Sprint Capital Corp., 6.875%, 11/15/2028		471,680
	170,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		172,550
	395,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A(c)		369,325
				1,723,930
		Wirelines – 2.8%
	382,000	Axtel SAB de CV, (Step to 9.000% on 1/31/2015), 8.000%, 1/31/2020, 144A(k)		367,197
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		20,750
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		206,800
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		14,550
	235,000	Frontier Communications Corp., 7.450%, 7/01/2035		223,250
	595,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A(c)		598,719

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	5,000	Level 3 Escrow II, Inc., 5.375%, 8/15/2022, 144A	$	5,025
	385,000	Level 3 Financing, Inc., 6.125%, 1/15/2021		398,475
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028(c)		480,000
	5,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		5,000
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		403,125
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		323,350
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		98,661
				3,144,902
		Total Non-Convertible Bonds (Identified Cost $59,636,394)		60,116,899
	Convertible Bonds – 7.4%
		Communications – 1.7%
	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(h)		1,840,410
		Construction Machinery – 0.5%
	135,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		182,419
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036(c)		433,537
				615,956
		Consumer Products – 0.2%
	170,000	Jarden Corp., 1.125%, 3/15/2034, 144A		190,506
		Energy – 0.6%
	185,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		179,681
	475,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019(c)		394,844
	225,000	Peabody Energy Corp., 4.750%, 12/15/2066		118,125
				692,650
		Home Construction – 1.3%
	165,000	KB Home, 1.375%, 2/01/2019		163,556
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		30,300
	405,000	Lennar Corp., 3.250%, 11/15/2021, 144A(c)		785,700
	380,000	Standard Pacific Corp., 1.250%, 8/01/2032(c)		426,075
				1,405,631

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – 1.3%
$	27,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	31,742
	106,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		129,916
	346,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A(c)		389,034
	60,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		248,325
	155,000	Mylan, Inc., 3.750%, 9/15/2015(c)		655,069
				1,454,086
		REITs – Mortgage – 0.0%
	25,000	iStar Financial, Inc., 3.000%, 11/15/2016		31,610
		Retailers – 0.6%
	225,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		264,797
	210,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020		234,150
	95,000	Priceline Group, Inc. (The), 1.000%, 3/15/2018		126,231
				625,178
		Technology – 1.2%
	520,000	Ciena Corp., 3.750%, 10/15/2018, 144A(c)		643,825
	175,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A		207,813
	60,000	Novellus Systems, Inc., 2.625%, 5/15/2041		137,550
	55,000	Nuance Communications, Inc., 2.750%, 11/01/2031		54,828
	180,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		227,362
	80,000	Xilinx, Inc., 2.625%, 6/15/2017		120,400
				1,391,778
		Transportation Services – 0.0%
	40,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019		45,450
		Total Convertible Bonds (Identified Cost $6,438,853)		8,293,255
		Total Bonds and Notes (Identified Cost $66,075,247)		68,410,154

Shares		Description	Value (†)
	Preferred Stocks – 3.8%
	Convertible Preferred Stocks – 2.5%
		Electric – 0.3%
	4,388	NextEra Energy, Inc., 5.889%	$	293,733
		Food Products – 0.5%
	11,950	Tyson Foods, Inc., 4.750%(c)		601,563
		Metals & Mining – 0.6%
	11,458	Alcoa, Inc., Series 1, 5.375%(c)		578,056
	5,370	ArcelorMittal, 6.000%		92,901
				670,957
		REITs—Diversified – 0.6%
	3,371	Crown Castle International Corp., Series A, 4.500%		347,179
	5,493	Weyerhaeuser Co., Series A, 6.375%		316,946
				664,125
		REITs—Mortgage – 0.1%
	2,110	iStar Financial, Inc., Series J, 4.500%(g)		124,743
		Utility Other – 0.4%
	3,103	Dominion Resources, Inc., 6.375%		161,387
	546	Dominion Resources, Inc., Series A, 6.125%		32,766
	4,143	Dominion Resources, Inc., Series B, 6.000%		249,077
				443,230
		Total Convertible Preferred Stocks (Identified Cost $2,711,152)		2,798,351
	Non-Convertible Preferred Stocks – 1.3%
		Banking – 1.3%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		305,088
	803	Ally Financial, Inc., Series G, 7.000%, 144A(c)		802,674
	13,577	SunTrust Banks, Inc., Series E, 5.875%		325,997
		Total Non-Convertible Preferred Stocks (Identified Cost $1,061,965)		1,433,759
		Total Preferred Stocks (Identified Cost $3,773,117)		4,232,110
	Common Stocks – 0.8%
		Automobiles – 0.8%
	11,668	Ford Motor Co.		180,854

Shares		Description	Value (†)
	Common Stocks – continued
		Automobiles – continued
	19,032	General Motors Co.(c)	$	664,407
				845,261
		Total Common Stocks (Identified Cost $770,738)		845,261
	Warrants – 0.0%
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(g)(h)(i) (Identified Cost $0)		—
Principal Amount (‡)
	Short-Term Investments – 32.7%
$	36,152,105	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $36,152,125 on 1/02/2015 collateralized by $35,715,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $36,875,738 including accrued interest(l)		36,152,105
	180,000	U.S. Treasury Bills, 0.037%, 2/05/2015(m)(n)		179,996
		Total Short-Term Investments (Identified Cost $36,332,099)		36,332,101
		Total Investments – 98.8% (Identified Cost $106,951,201)(a)		109,819,626
		Other assets less liabilities – 1.2%		1,355,581
		Net Assets – 100.0%	$	111,175,207

(‡) 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 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.

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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $107,022,979 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	5,345,579
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,548,932	)
Net unrealized appreciation	$	2,796,647

At September 30, 2014, the Fund had a short-term capital loss carryforward of $460,542 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, 2014 is disclosed.

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

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

(e) A portion of this security has been designated to cover the Fund’s obligations under open futures contracts or swap agreements.

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

(g) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $897,767 or 0.8% of net assets.

(h) Illiquid security. At December 31, 2014, the value of these securities amounted to $2,001,360 or 1.8% of net assets.

(i) Non-income producing security.

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

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

(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, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(n) 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, 2014, the value of Rule 144A holdings amounted to $25,289,124 or 22.7% of net assets.

ABS Asset-Backed Securities

MTN Medium Term Note

REITs Real Estate Investment Trusts

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as fees receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At December 31, 2014, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value		Market Value		Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
CDX.NA.HY* Series 23, 5-Year		5.00	%		12/20/2019		3.56	%	$	22,000,000	$	1,364,022	$	(143,492	)	$	3,056

^ Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

* CDX.NA.HY is an index composed of North American high yield credit default swaps.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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 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 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, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2015		25	$	3,614,063	$	(98,264	)

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	96,761	$	922,925	(a)	$	1,019,686
Retailers		—		1,214,163		308,402	(b)		1,522,565
Transportation Services		—		277,100		464,622	(b)		741,722
All Other Non-Convertible Bonds*		—		56,832,926		—			56,832,926
Total Non-Convertible Bonds		—		58,420,950		1,695,949			60,116,899
Convertible Bonds*		—		8,293,255		—			8,293,255
Total Bonds and Notes		—		66,714,205		1,695,949			68,410,154
Preferred Stocks
Convertible Preferred Stocks
REITs—Mortgage		—		124,743		—			124,743
All Other Convertible Preferred Stocks*		2,673,608		—		—			2,673,608
Total Convertible Preferred Stocks		2,673,608		124,743		—			2,798,351
Non-Convertible Preferred Stocks*		1,433,759		—		—			1,433,759

Total Preferred Stocks		4,107,367			124,743		—		4,232,110
Common Stocks*		845,261			—		—		845,261
Warrants**		—			—		—		—
Short-Term Investments		—			36,332,101		—		36,332,101
Total	$	4,952,628		$	103,171,049	$	1,695,949	$	109,819,626
Liability Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)	$	(143,492	)	$	—	$	—	$	(143,492	)
Futures Contracts (unrealized depreciation)		(98,264	)		—		—		(98,264	)
Total	$	(241,756	)	$	—	$	—	$	(241,756	)

* 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 adviser.

A preferred stock valued at $365,027 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 Fund’s adviser pursuant to procedures approved by the Board of Trustees. Securities fair valued using significant unobservable inputs are 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
Airlines	$	936,830	$	81	$	—		$	(6,153	)	$	—	$	(7,833	)	$	—	$	—	$	922,925	$	(5,253	)
Retailers		306,228		288		—			1,886			—		—			—		—		308,402		1,886
Transportation Services		464,622		—		—			—			—		—			—		—		464,622		—
Convertible Bonds
Wirelines		6,963		—		(2,813	)		2,233			—		(6,383	)		—		—		—		—
Total	$	1,714,643	$	369	$	(2,813	)	$	(2,034	)	$	—	$	(14,216	)	$	—	$	—	$	1,695,949	$	(3,367	)

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 swap agreements.

The Fund seeks to achieve high current income. The Fund may use a number of derivative instruments for risk management or as part of their investment strategies. During the period ended December 31, 2014, the Fund used credit default swap agreements (as a protection seller) to gain investment exposure in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage their duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended December 31, 2014, 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, 2014:

Assets	Swap agreements at value
Exchange traded/ cleared asset derivatives Credit contracts	$	1,364,022

Liabilities	Unrealized depreciation on futures contracts
Exchange traded/cleared liability derivatives Interest rate contracts	$	(98,264	)

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. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund as of December 31, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$1,171,999	$	1,171,999

Industry Summary at December 31, 2014 (Unaudited)

Healthcare	5.3	%
Independent Energy	5.1
Technology	4.4
Finance Companies	4.1
Home Construction	3.8
ABS Home Equity	2.9
Wirelines	2.8
Banking	2.8
Metals & Mining	2.5
Cable Satellite	2.4
Retailers	2.0
Other Investments, less than 2% each	28.0
Short-Term Investments	32.7
Total Investments	98.8
Other assets less liabilities (including open swap agreements and futures contracts)	1.2
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 96.5% of Net Assets
		Treasuries – 96.5%
$	6,621,899	U.S. Treasury Inflation Indexed Bond, 0.125%, 7/15/2024(b)	$	6,377,199
	1,850,741	U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(b)(c)		2,094,663
	3,324,334	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)		4,714,839
	2,214,990	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2016(b)		2,208,241
	14,472,646	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2019(b)		14,313,216
		Total Bonds and Notes (Identified Cost $30,286,458)		29,708,158
Shares
	Preferred Stocks – 0.4%
		Aerospace & Defense – 0.4%
	2,100	United Technologies Corp., 7.500% (Identified Cost $105,000)		128,793
Principal Amount
	Short-Term Investments – 2.7%
$	822,838	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $822,838 on 1/02/2015 collateralized by $710,000 U.S. Treasury Note, 3.625% due 8/15/2043 valued at $843,125 including accrued interest(d)		822,838
	5,000	U.S. Treasury Bills, 0.055%, 1/02/2015(e)(f)		5,000
		Total Short-Term Investments (Identified Cost $827,838)		827,838
		Total Investments – 99.6% (Identified Cost $31,219,296)(a)		30,664,789
		Other assets less liabilities – 0.4%		111,071
		Net Assets – 100.0%	$	30,775,860

(†) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized depreciation on investments based on a cost of $31,210,932 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	145,509
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(691,652	)
Net unrealized depreciation	$	(546,143	)

At September 30, 2014, the Fund had a short-term capital loss carryforward of $410,895 with no expiration date and a long-term capital loss carryforward of $787,258 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(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.

(d) 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, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

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

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, commodities 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, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		3/31/2015		2	$	237,859	$	106

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, 2014, at value:

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	29,708,158	$	—	$	29,708,158
Preferred Stocks*		128,793		—		—		128,793
Short-Term Investments		—		827,838		—		827,838
Total Investments		128,793		30,535,996		—		30,664,789
Futures Contracts (unrealized appreciation)		106		—		—		106
Total	$	128,899	$	30,535,996	$	—	$	30,664,895

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

For the period ended December 31, 2014 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 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, 2014, 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 contract 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, 2014, the Fund used futures contracts and interest rate swaptions to manage duration and also used interest rate swaptions to hedge against changes in interest rates.

The following is a summary of derivative instruments for the Fund, as of December 31, 2014:

Assets	Unrealized appreciation on futures contracts
Exchange traded/cleared asset derivatives Interest rate contracts	$	106
Industry Summary at December 31, 2014 (Unaudited)
Treasuries		96.5	%
Other Investments, less than 2% each		0.4
Short-Term Investments		2.7
Total Investments		99.6
Other assets less liabilities (including futures contracts)		0.4
Net Assets		100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Institutional High Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 77.5% of Net Assets
	Non-Convertible Bonds – 67.7%
		Aerospace & Defense – 2.2%
$	345,000	Bombardier, Inc., 6.125%, 1/15/2023, 144A	$	351,900
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		121,864
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,218,500
	3,220,000	GenCorp, Inc., 7.125%, 3/15/2021		3,372,306
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		855,000
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		5,356,000
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,349,000
				14,624,570
		Airlines – 3.3%
	4,890,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		4,477,309
	4,080,000	Air Canada, 7.750%, 4/15/2021, 144A		4,248,300
	401,581	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		407,605
	810,000	Allegiant Travel Co., 5.500%, 7/15/2019		824,175
	435,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		437,175
	263,865	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		296,004
	46,043	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		49,611
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		66,161
	266,246	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		307,514
	385,000	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		379,706
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,216,125
	338,040	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		368,463
	1,382,719	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,541,731
	277,593	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		308,129
	1,945,650	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		2,013,748
	2,225,596	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,264,544
	1,750,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		1,771,875

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	260,645	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	266,835
	428,719	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		441,580
				21,686,590
		Automotive – 1.1%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,060,000
	15,000	Ford Motor Co., 6.375%, 2/01/2029		18,111
	95,000	Ford Motor Co., 6.625%, 2/15/2028		110,768
	230,000	Ford Motor Co., 7.125%, 11/15/2025		282,646
	40,000	Ford Motor Co., 7.500%, 8/01/2026		50,963
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,163,150
	3,505,000	Lear Corp., 5.375%, 3/15/2024		3,583,863
				7,269,501
		Banking – 3.5%
	2,700,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		970,525
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)		982,481
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,663,295
	7,410,000	HBOS PLC, 6.000%, 11/01/2033, 144A		8,368,231
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		877,247
	1,700,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(b)		1,687,250
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(b)		164,800
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,668,876
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(b)		119,750
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(b)		1,776,051
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(b)		89,250
	435,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(b)		526,372
				22,894,128
		Brokerage – 0.5%
	350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		320,250

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – continued
$	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036	$	1,587,045
	1,045,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,084,230
				2,991,525
		Building Materials – 0.9%
	4,325,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,633,000
	670,000	Masco Corp., 6.500%, 8/15/2032		685,075
	1,225,000	Owens Corning, 7.000%, 12/01/2036		1,517,586
				5,835,661
		Cable Satellite – 1.0%
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,237,150
	1,390,000	DISH DBS Corp., 5.000%, 3/15/2023		1,344,825
	346,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		347,730
	1,770,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021		1,774,425
	980,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023		999,600
				6,703,730
		Chemicals – 2.0%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,738,700
	3,687,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,281,430
	3,190,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,280,850
	1,405,000	INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A		1,331,238
	2,564,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		1,564,040
	359,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		299,765
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		1,881,712
				13,377,735
		Construction Machinery – 0.4%
	2,320,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,389,600
		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		137,700
	1,902,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,816,410
				1,954,110

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	$	1,969,225
		Electric – 0.8%
	655,000	AES Corp. (The), 5.500%, 3/15/2024		664,694
	1,423,000	DPL, Inc., 6.750%, 10/01/2019, 144A		1,437,230
	340,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.375%, 11/01/2022, 144A		345,950
	665,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.625%, 11/01/2024, 144A		678,300
	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,144,902
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,082,260
				5,353,336
		Environmental – 0.1%
	536,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020		536,000
		Finance Companies – 4.3%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		740,000
	5,250,000	Aircastle Ltd., 5.125%, 3/15/2021		5,250,000
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		203,350
	970,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		775,785
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,411,001
	240,000	International Lease Finance Corp., 4.625%, 4/15/2021		244,200
	15,000	International Lease Finance Corp., 5.875%, 8/15/2022		16,275
	60,000	International Lease Finance Corp., 6.250%, 5/15/2019		65,550
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		361,500
	3,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		3,910,350
	1,190,000	iStar Financial, Inc., 5.000%, 7/01/2019		1,154,300
	840,000	iStar Financial, Inc., 5.850%, 3/15/2017		861,000
	1,984,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,884,800
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		911,550
	875,000	Navient LLC, MTN, 7.250%, 1/25/2022		949,375
	115,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		114,138

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Finance Companies – continued
$	4,550,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033	$	3,435,250
	1,040,000		Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,071,200
	810,000		Springleaf Finance Corp., 5.250%, 12/15/2019		793,800
	2,015,000		Springleaf Finance Corp., 7.750%, 10/01/2021		2,256,800
	805,000		Springleaf Finance Corp., 8.250%, 10/01/2023		901,600
					28,311,824
			Food & Beverage – 0.4%
	1,350,000		DS Services of America, Inc., 10.000%, 9/01/2021, 144A		1,559,250
	1,236,000		Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,266,900
					2,826,150
			Government Guaranteed – 0.6%
	4,720,000		Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		3,970,039
			Government Owned—No Guarantee – 0.1%
	75,000	(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		540,066
			Healthcare – 4.2%
	1,080,000		BioScrip, Inc., 8.875%, 2/15/2021, 144A		972,000
	2,825,000		HCA, Inc., 5.875%, 5/01/2023		2,976,844
	1,065,000		HCA, Inc., 7.050%, 12/01/2027		1,080,975
	970,000		HCA, Inc., 7.500%, 12/15/2023		1,086,400
	4,660,000		HCA, Inc., 7.500%, 11/06/2033		4,893,000
	1,815,000		HCA, Inc., 7.690%, 6/15/2025		2,041,875
	375,000		HCA, Inc., 8.360%, 4/15/2024		440,625
	945,000		HCA, Inc., MTN, 7.580%, 9/15/2025		1,053,675
	1,550,000		HCA, Inc., MTN, 7.750%, 7/15/2036		1,658,500
	540,000		Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		540,675
	7,644,000		Tenet Healthcare Corp., 6.875%, 11/15/2031		7,185,360
	1,323,000		Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		1,323,000
	2,554,000		Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		2,554,000
					27,806,929

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – 1.7%
$	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023	$	291,000
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		749,700
	703,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		674,880
	4,885,000	Lennar Corp., 4.500%, 6/15/2019		4,885,000
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		382,000
	3,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,960,000
				10,942,580
		Independent Energy – 2.9%
	370,000	California Resources Corp., 5.000%, 1/15/2020, 144A		320,975
	6,115,000	California Resources Corp., 5.500%, 9/15/2021, 144A		5,228,325
	815,000	California Resources Corp., 6.000%, 11/15/2024, 144A		688,675
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		189,222
	265,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022, 144A		201,400
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)		10,642
	400,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)		496
	830,000	QEP Resources, Inc., 5.250%, 5/01/2023		776,050
	1,570,000	Rex Energy Corp., 6.250%, 8/01/2022, 144A		1,169,650
	3,680,000	Rex Energy Corp., 8.875%, 12/01/2020		3,293,600
	2,400,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,196,240
	2,241,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		2,084,130
	640,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		537,600
	3,360,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		2,116,800
	572,000	SM Energy Co., 6.125%, 11/15/2022, 144A		537,680
				19,351,485
		Industrial Other – 0.5%
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		668,338
	1,845,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		1,383,750
	1,340,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		1,427,100
				3,479,188

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – 1.3%
$	112,000	American International Group, Inc., 6.250%, 3/15/2087	$	124,986
	457,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		619,235
	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)		4,763,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		400,400
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,486,250
				8,393,871
		Local Authorities – 0.3%
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		1,895,102
		Media Entertainment – 0.4%
	1,890,000	iHeartCommunications, Inc., 9.000%, 9/15/2022, 144A		1,852,200
	739,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		811,053
				2,663,253
		Metals & Mining – 4.1%
	3,738,821	1839688 Alberta ULC, 14.000% (14.000% PIK), 2/13/2020(e)		3,308,857
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,173,350
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042		1,737,776
	540,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		280,800
	439,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		333,640
	945,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		952,087
	3,515,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		3,163,500
	3,460,000	Hecla Mining Co., 6.875%, 5/01/2021		3,044,800
	535,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		529,650
	1,860,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		1,860,000
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		818,000
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,838,200
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,845,600
				26,886,260

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – 1.3%
$	800,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A	$	772,000
	2,545,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		2,100,206
	5,415,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		5,117,175
	764,273	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		764,273
				8,753,654
		Non-Agency Commercial Mortgage-Backed Securities – 0.0%
	320,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(f)		326,943
		Oil Field Services – 2.3%
	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		1,342,500
	3,255,000	FTS International, Inc., 6.250%, 5/01/2022, 144A		2,376,150
	5,215,000	Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A		2,242,450
	3,430,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		1,612,100
	250,000	Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A		132,500
	1,330,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		811,300
	3,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		1,843,200
	2,885,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		2,308,000
	3,995,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		2,227,212
				14,895,412
		Packaging – 0.9%
	335,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.000%, 6/30/2021, 144A		319,925
	4,050,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		4,151,250
	600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		621,000
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		521,475
				5,613,650
		Property & Casualty Insurance – 0.7%
	1,920,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(f)(g)		1,152,000
	3,245,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(b)		3,378,045
				4,530,045

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Railroads – 0.7%
	4,000,000	Hellenic Railways Organization S.A., EMTN, 0.663%, 5/24/2016, (EUR)(c)(f)	$	3,968,965
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		301,137
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		29,809
				4,299,911
		REITs—Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		510,067
		Retailers – 1.8%
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		477,000
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		2,108,187
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		139,688
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022(h)		1,849,313
	170,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		147,900
	165,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		107,250
	1,975,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,738,000
	3,120,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		1,872,000
	4,975,000	Toys R Us, Inc., 7.375%, 10/15/2018		3,258,625
				11,697,963
		Supermarkets – 3.1%
	4,190,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,750,050
	2,170,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,942,150
	9,470,000	New Albertson’s, Inc., 8.000%, 5/01/2031		8,570,350
	4,125,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,960,000
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		874,500
	1,525,000	SUPERVALU, Inc., 7.750%, 11/15/2022		1,494,500
				20,591,550
		Supranational – 0.1%
	4,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		361,235
		Technology – 4.0%
	1,245,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		1,055,137

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	10,465,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029	$	9,994,075
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,052,125
	200,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		211,100
	2,600,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A		2,827,500
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,300,300
	1,034,000	First Data Corp., 11.250%, 1/15/2021		1,173,590
	2,074,000	First Data Corp., 11.750%, 8/15/2021		2,379,915
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		13,766
	1,555,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		1,570,550
				26,578,058
		Transportation Services – 1.2%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)		2,857,950
	620,344	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(h)		631,200
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(g)(h)(i)		379,014
	96,535	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(h)		97,983
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(g)(h)(i)		523,399
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(h)(i)		55,675
	2,710,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		2,804,850
	740,000	Teekay Corp., 8.500%, 1/15/2020		823,028
				8,173,099
		Treasuries – 8.5%
	580,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		565,225
	215,000	Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2024, (EUR)		163,428
	290,000	Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2041, (EUR)		175,457
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		104,734
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		2,202,428
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		629,083
	110,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		846,812

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	310,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)	$	2,344,776
	1,595,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		12,424,562
	75,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		614,256
	490,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		4,350,074
	15,955,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		13,139,173
	1,590,000	Norway Government Bond, 4.250%, 5/19/2017, (NOK)		230,327
	4,365,000	Norway Government Bond, 5.000%, 5/15/2015, (NOK)		593,783
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,575,006
	48,865,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		296,491
	24,750,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		159,328
	50,205,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		335,671
	15,285,000	U.S. Treasury Note, 0.375%, 3/31/2016		15,282,616
				56,033,230
		Wireless – 1.0%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,985,643
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,594,800
	475,000	Sprint Capital Corp., 6.900%, 5/01/2019		484,500
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		208,012
	365,000	Sprint Communications, Inc., 6.000%, 11/15/2022		335,800
				6,608,755
		Wirelines – 4.8%
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		361,900
	1,120,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,461,983
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,628,100
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		451,050
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		4,340,122
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		1,007,985
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,743,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,160,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A	$	1,167,250
	1,375,000	Level 3 Escrow II, Inc., 5.375%, 8/15/2022, 144A		1,381,875
	905,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		953,644
	200,000	Oi S.A., 5.750%, 2/10/2022, 144A		183,000
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,080,442
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,656,469
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		800,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,492,338
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,411,980
	645,000	Qwest Corp., 7.250%, 9/15/2025		768,178
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,450,241
	1,827,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,827,000
	140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		143,500
				31,310,057
		Total Non-Convertible Bonds (Identified Cost $437,569,952)		444,936,087
	Convertible Bonds – 9.7%
		Construction Machinery – 0.5%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		3,041,331
		Consumer Products – 0.1%
	390,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		396,581
	435,000	Jarden Corp., 1.125%, 3/15/2034, 144A		487,472
				884,053
		Energy – 1.4%
	5,585,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		5,016,028
	3,395,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,297,394
	695,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		694,131
				9,007,553
		Finance Companies – 0.3%
	2,145,000	Jefferies Group LLC, 3.875%, 11/01/2029		2,216,053

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Healthcare – 0.5%
$	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)	$	1,475,719
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		1,682,837
				3,158,556
		Home Construction – 1.6%
	770,000	KB Home, 1.375%, 2/01/2019		763,263
	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A		4,452,300
	3,510,000	Ryland Group, Inc. (The), 0.250%, 6/01/2019		3,248,944
	2,050,000	Standard Pacific Corp., 1.250%, 8/01/2032		2,298,562
				10,763,069
		Pharmaceuticals – 0.3%
	225,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		264,516
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		379,944
	660,000	Illumina, Inc., 0.250%, 3/15/2016		1,458,187
				2,102,647
		Property & Casualty Insurance – 1.2%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		7,570,114
		REITs—Mortgage – 0.0%
	50,000	iStar Financial, Inc., 3.000%, 11/15/2016		63,219
		Retailers – 0.6%
	3,080,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		3,624,775
		Technology – 3.2%
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		7,820,984
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,125,838
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		181,453
	3,595,000	Intel Corp., 3.250%, 8/01/2039		6,250,806
	830,000	JDS Uniphase Corp., 0.625%, 8/15/2033		876,688
	44,379	Liberty Media LLC, 3.500%, 1/15/2031		40,031

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – continued
$	960,000	Nuance Communications, Inc., 2.750%, 11/01/2031	$	957,000
				21,252,800
		Total Convertible Bonds (Identified Cost $50,082,542)		63,684,170
	Municipals – 0.1%
		District of Columbia – 0.1%
	540,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047 (Identified Cost $540,000)		752,393
		Total Bonds and Notes (Identified Cost $488,192,494)		509,372,650
	Loan Participations – 0.1%
		ABS Other – 0.1%
	734,635	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(c)(f)(k) (Identified Cost $740,145)		738,308
	Senior Loans – 2.0%
		Chemicals – 0.4%
	549,064	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(f)		535,337
	235,214	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(f)		228,306
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(f)		1,601,950
				2,365,593
		Construction Machinery – 0.3%
	1,707,631	Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(f)		1,707,631
		Diversified Manufacturing – 0.0%
	275,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(f)		269,330
		Finance Companies – 0.5%
	3,051,094	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(f)		3,142,626
		Media Entertainment – 0.0%
	49,565	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(f)		39,479
		Oil Field Services – 0.1%
	436,364	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(f)		342,545

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Other Utility – 0.1%
$	394,000	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f)	$	382,838
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f)		313,625
	21,038	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(f)		20,442
				716,905
		Retailers – 0.1%
	551,474	J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(f)		528,863
	331,650	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(f)		315,794
				844,657
		Supermarkets – 0.3%
	1,205,698	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(f)		1,182,344
	908,435	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(f)		890,775
				2,073,119
		Transportation Services – 0.0%
	175,905	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(f)		171,068
		Wirelines – 0.2%
	736,875	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(f)		729,050
	731,154	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(f)		729,655
	65,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(f)		64,431
				1,523,136
		Total Senior Loans (Identified Cost $13,277,361)		13,196,089
Shares
	Common Stocks – 12.9%
		Airlines – 0.5%
	52,244	United Continental Holdings, Inc.(g)		3,494,601
		Automobiles – 2.1%
	876,900	Ford Motor Co.		13,591,950
		Chemicals – 2.1%
	156,958	Dow Chemical Co. (The)		7,158,855
	30,167	PPG Industries, Inc.		6,973,102
				14,131,957
		Containers & Packaging – 0.2%
	40,621	Owens-Illinois, Inc.(g)		1,096,361
		Diversified Telecommunication Services – 0.3%
	2,627	Hawaiian Telcom Holdco, Inc.(g)		72,426

Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Telecommunication Services – continued
	117,962	Telefonica S.A., Sponsored ADR	$	1,676,240
				1,748,666
		Electronic Equipment, Instruments & Components – 3.9%
	1,119,766	Corning, Inc.		25,676,234
		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		112,468
		Household Durables – 0.0%
	6,775	KB Home		112,126
		Multi-Utilities – 0.1%
	10,224	CMS Energy Corp.		355,284
		Oil, Gas & Consumable Fuels – 0.6%
	2,846	Chesapeake Energy Corp.		55,696
	82,985	Repsol YPF S.A., Sponsored ADR		1,541,862
	33,796	Royal Dutch Shell PLC, ADR		2,262,642
				3,860,200
		Pharmaceuticals – 0.6%
	64,900	Bristol-Myers Squibb Co.		3,831,047
		REITs—Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		229,773
	32,565	Associated Estates Realty Corp.		755,833
				985,606
		REITs—Shopping Centers – 0.0%
	7,868	DDR Corp.		144,457
		Semiconductors & Semiconductor Equipment – 2.1%
	372,408	Intel Corp.		13,514,686
		Trading Companies & Distributors – 0.3%
	20,913	United Rentals, Inc.(g)		2,133,335
		Total Common Stocks (Identified Cost $50,502,002)		84,788,978
	Preferred Stocks – 1.9%
	Convertible Preferred Stocks – 1.4%
		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		166,428
		Communications – 0.0%
	191	Cincinnati Bell, Inc., 6.750%		9,405
		Energy – 0.6%
	5,543	Chesapeake Energy Corp., 5.000%(h)		524,160
	190	Chesapeake Energy Corp., Series A, 5.750%, 144A(h)		194,512

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Energy – continued
	54,200	El Paso Energy Capital Trust I, 4.750%	$	3,286,688
	3,848	SandRidge Energy, Inc., 7.000%		157,768
				4,163,128
		Metals & Mining – 0.4%
	129,203	ArcelorMittal, 6.000%		2,235,212
	7,229	Cliffs Natural Resources, Inc., 7.000%		48,434
				2,283,646
		Natural Gas – 0.1%
	17,119	AES Trust III, 6.750%		871,186
		REITs—Diversified – 0.3%
	15	Crown Castle International Corp., Series A, 4.500%		1,545
	35,615	Weyerhaeuser Co., Series A, 6.375%		2,054,986
				2,056,531
		Total Convertible Preferred Stocks (Identified Cost $9,213,217)		9,550,324
	Non-Convertible Preferred Stocks – 0.5%
		Banking – 0.1%
	18,000	Bank of America Corp., 6.375%		455,220
	7,075	Countrywide Capital IV, 6.750%		179,280
				634,500
		Finance Companies – 0.1%
	5,300	iStar Financial, Inc., Series F, 7.800%		130,645
	2,575	iStar Financial, Inc., Series G, 7.650%		62,444
	12,475	SLM Corp., Series A, 6.970%		615,267
				808,356
		Home Construction – 0.2%
	96,887	Hovnanian Enterprises, Inc., 7.625%		1,476,558
		REITs—Warehouse/Industrials – 0.1%
	3,363	ProLogis, Inc., Series Q, 8.540%(h)		207,245
		Total Non-Convertible Preferred Stocks (Identified Cost $1,932,685)		3,126,659
		Total Preferred Stocks (Identified Cost $11,145,902)		12,676,983

Shares		Description	Value (†)
	Warrants – 0.0%
$	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(g)(h) (Identified Cost $0)	$	—
Principal Amount (‡)
	Short-Term Investments – 4.4%
	4,367	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $4,367 on 1/02/2015 collateralized by $4,500 U.S.Treasury Note,1.500% due 8/31/2018 valued at $4,545 including accrued interest(l)		4,367
	28,602,848	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $28,602,864 on 1/02/2015 collateralized by $28,395,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $29,175,863 including accrued interest(l)		28,602,848
		Total Short-Term Investments (Identified Cost $28,607,215)		28,607,215
		Total Investments – 98.8% (Identified Cost $592,465,119)(a)		649,380,223
		Other assets less liabilities – 1.2%		7,612,268
		Net Assets – 100.0%	$	656,992,491

(‡) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $593,029,211 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	$	90,482,822
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(34,131,810	)
Net unrealized appreciation	$	56,351,012

(b) Perpetual bond with no specified maturity date.

(c) Illiquid security. At December 31, 2014, the value of these securities amounted to $11,641,686 or 1.8% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

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

(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, 2014, the issuer has not paid out any interest payments.

(f) Variable rate security. Rate as of December 31, 2014 is disclosed.

(g) Non-income producing security.

(h) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $4,462,501 or 0.7% of net assets.

(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) The Fund may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.

(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, 2014, 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, 2014, the value of Rule 144A holdings amounted to $140,050,329 or 21.3% 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

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	14,063,080	$	7,623,510	(a)	$	21,686,590
Retailers		—		9,848,650		1,849,313	(b)		11,697,963
Transportation Services		—		6,485,828		1,687,271	(b)		8,173,099
All Other Non-Convertible Bonds*		—		403,378,435		—			403,378,435
Total Non-Convertible Bonds		—		433,775,993		11,160,094			444,936,087
Convertible Bonds*		—		63,684,170		—			63,684,170
Municipals*		—		752,393		—			752,393
Total Bonds and Notes		—		498,212,556		11,160,094			509,372,650
Loan Participations		—		—		738,308	(a)		738,308
Senior Loans*		—		13,196,089		—			13,196,089
Common Stocks*		84,788,978		—		—			84,788,978
Preferred Stocks
Convertible Preferred Stocks
Energy		3,286,688		718,672		157,768	(a)		4,163,128
All Other Convertible Preferred Stocks*		5,387,196		—		—			5,387,196
Total Convertible Preferred Stocks		8,673,884		718,672		157,768			9,550,324
Non-Convertible Preferred Stocks
REITs—Warehouse/Industrials		—		207,245		—			207,245
All Other Non-Convertible Preferred Stocks*		2,919,414		—		—			2,919,414
Total Preferred Stocks		11,593,298		925,917		157,768			12,676,983
Warrants		—		—		—			—
Short-Term Investments		—		28,607,215		—			28,607,215
Total Investments		96,382,276		540,941,777		12,056,170			649,380,223
Total	$	96,382,276	$	540,941,777	$	12,056,170		$	649,380,223

* 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 adviser.

Preferred stocks valued at $749,568 were transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, these securities were fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the securities.

A preferred stock valued at $9,138 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2013 and/or December 31, 2014:

Asset Valuation Inputs
Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
Airlines	$	11,705,083	$	536	$	13,456		$	(224,034	)	$	—	$	(3,871,531	)	$	—	$	—	$	7,623,510	$	(142,161	)
Metals & Mining		4,221,700		23,313		1,048			1,348,480			—		(5,594,541	)		—		—		—		—
Retailers		1,836,274		4,286		—			8,753			—		—			—		—		1,849,313		8,753
Transportation Services		1,696,418		—		2,636			(2,772	)		—		(9,011	)		—		—		1,687,271		—
Convertible Bonds
Wirelines		2,529		—		(1,024	)		816			—		(2,321	)		—		—		—		—
Loan Participations
ABS Other		755,145		—		(91	)		(4,637	)		—		(12,109	)		—		—		738,308		(4,592	)
Preferred Stocks
Convertible Preferred Stocks
Energy		—		—		—			(187,590	)		—		—			345,358		—		157,768		(187,590	)
Total	$	20,217,149	$	28,135	$	16,025		$	939,016		$	—	$	(9,489,513	)	$	345,358	$	—	$	12,056,170	$	(325,590	)

A preferred stock valued at $345,358 was transferred from Level 1 to Level 3 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Industry Summary at December 31, 2014 (Unaudited)
Treasuries	8.5	%
Technology	7.2
Finance Companies	5.2
Wirelines	5.0
Healthcare	4.7
Chemicals	4.5
Metals & Mining	4.5
Electronic Equipment, Instruments & Components	3.9
Airlines	3.8
Banking	3.6
Home Construction	3.5
Supermarkets	3.4
Independent Energy	2.9
Retailers	2.5
Oil Field Services	2.4
Aerospace & Defense	2.2
Automobiles	2.1
Semiconductors & Semiconductor Equipment	2.1
Energy	2.0
Other Investments, less than 2% each	20.4
Short-Term Investments	4.4
Total Investments	98.8
Other assets less liabilities	1.2
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 97.6% of Net Assets
	Non-Convertible Bonds – 97.2%
		ABS Car Loan – 10.3%
$	195,000	Ally Master Owner Trust, Series 2014-1, Class A2, 1.290%, 1/15/2019	$	194,244
	160,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class B, 1.660%, 9/10/2018		160,829
	100,000	AmeriCredit Automobile Receivables Trust, Series 2013-5, Class B, 1.520%, 1/08/2019		100,116
	100,000	AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019		99,627
	185,000	AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019		183,935
	200,000	AmeriCredit Automobile Receivables Trust, Series 2014-3, Class B, 1.920%, 11/08/2019		199,455
	165,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020		164,692
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		210,655
	219,471	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		220,273
	115,000	California Republic Auto Receivables Trust, Series 2014-1, Class A3, 0.850%, 5/15/2018		114,899
	285,000	Capital Auto Receivables Asset Trust, Series 2013-1, Class A3, 0.790%, 6/20/2017		285,244
	265,000	Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.310%, 12/20/2017		266,179
	125,000	Capital Auto Receivables Asset Trust, Series 2014-1, Class A2, 0.960%, 4/20/2017		125,145
	155,000	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		155,346
	175,000	Capital Auto Receivables Asset Trust, Series 2014-3, Class A3, 1.480%, 11/20/2018		174,810
	10,705	CarFinance Capital Auto Trust, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		10,716
	42,889	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		42,948
	451,419	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		451,044
	105,000	CarMax Auto Owner Trust, Series 2013-4, Class A3, 0.800%, 7/16/2018		104,879
	100,000	CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018		99,703
	245,673	CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A		244,894
	109,726	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		109,822
	250,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		250,495
	345,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		345,012
	155,000	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		154,923

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	93,679	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A	$	93,663
	275,000	Fifth Third Auto Trust, Series 2014-3, Class A3, 0.960%, 3/15/2019		273,876
	210,000	First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A		210,383
	100,000	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		100,045
	143,804	Flagship Credit Auto Trust, Series 2013-1, Class A, 1.320%, 4/16/2018, 144A		143,923
	115,000	Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		115,614
	230,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		230,593
	595,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		593,676
	76,091	Prestige Auto Receivables Trust, Series 2014-1A, Class A2, 0.970%, 3/15/2018, 144A		76,100
	85,630	Santander Drive Auto Receivables Trust, Series 2013-1, Class A3, 0.620%, 6/15/2017		85,627
	315,000	Santander Drive Auto Receivables Trust, Series 2014-2, Class B, 1.620%, 2/15/2019		315,050
	195,000	Santander Drive Auto Receivables Trust, Series 2014-3, Class B, 1.450%, 5/15/2019		194,654
	160,000	Santander Drive Auto Receivables Trust, Series 2014-4, Class B, 1.820%, 5/15/2019		160,061
	330,000	Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.460%, 6/15/2020		329,021
	147,761	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		147,657
	200,000	SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018		199,260
	260,000	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		257,426
	370,000	World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020		367,955
				8,364,469
		ABS Credit Card – 1.6%
	415,000	Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022		419,450
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		266,625
	560,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		582,193
				1,268,268
		ABS Home Equity – 1.1%
	232,063	Colony American Homes, Series 2014-1A, Class A, 1.400%, 5/17/2031, 144A		230,568
	48,550	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.852%, 7/25/2021(b)(c)		47,247
	32,804	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035		33,447

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	340,709	Federal Home Loan Mortgage Corp., Series 2014-DN2, Class M1, 1.020%, 4/25/2024(b)	$	338,159
	99,875	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A		103,703
	155,573	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)		156,097
				909,221
		ABS Other – 3.8%
	209,008	Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2, 1.040%, 1/10/2017, 144A		209,064
	135,000	CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A		134,825
	71,045	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		70,195
	390,000	GE Dealer Floorplan Master Note Trust, Series 2012-3, Class A, 0.656%, 6/20/2017(b)		390,168
	208,860	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		208,437
	445,000	John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021		444,701
	150,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		149,997
	230,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		230,902
	430,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		434,558
	200,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		199,834
	252,083	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		253,211
	96,254	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		96,188
	247,917	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		249,495
				3,071,575
		ABS Student Loan – 1.4%
	550,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.034%, 7/25/2025(b)		551,595
	584,159	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.234%, 7/25/2025(b)		587,827
				1,139,422
		Aerospace & Defense – 0.1%
	60,000	Rockwell Collins, Inc., 0.591%, 12/15/2016(b)		60,010
		Agency Commercial Mortgage-Backed Securities – 7.3%
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		791,041
	570,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023		599,972
	420,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		430,185

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	1,035,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019	$	1,046,598
	360,000	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		363,217
	1,460,000	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,459,723
	1,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		1,125,666
	151,977	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.520%, 4/25/2019(b)		152,049
				5,968,451
		Airlines – 0.2%
	110,080	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		127,417
		Automotive – 1.1%
	360,000	Ford Motor Credit Co. LLC, 5.750%, 2/01/2021		412,536
	320,000	General Motors Financial Co., Inc., 6.750%, 6/01/2018		362,400
	115,000	Magna International, Inc., 3.625%, 6/15/2024		115,235
				890,171
		Banking – 7.8%
	230,000	American Express Credit Corp., 1.125%, 6/05/2017		229,276
	115,000	Bank of America Corp., 6.000%, 9/01/2017		126,805
	205,000	Bank of America Corp., MTN, 1.317%, 3/22/2018(b)		206,498
	55,000	Bank of Montreal, MTN, 1.400%, 9/11/2017		54,941
	365,000	Bank of Nova Scotia, 2.800%, 7/21/2021		365,152
	330,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		380,342
	130,000	BNP Paribas S.A., 5.000%, 1/15/2021		147,033
	290,000	Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018		322,181
	330,000	HSBC USA, Inc., 2.250%, 6/23/2019		329,495
	375,000	HSBC USA, Inc., 2.375%, 11/13/2019		374,891
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		307,681
	595,000	Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A		591,090
	130,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		149,315
	245,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		272,971

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	435,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018	$	495,480
	395,000	PNC Bank NA, 2.400%, 10/18/2019		396,659
	330,000	Royal Bank of Canada, 1.250%, 6/16/2017		328,570
	355,000	Royal Bank of Canada, 1.400%, 10/13/2017		353,838
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		41,668
	275,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		276,507
	265,000	State Street Corp., 3.300%, 12/16/2024		268,960
	150,000	Wells Fargo & Co., 3.676%, 6/15/2016		155,595
	190,000	Wells Fargo & Co., MTN, 3.500%, 3/08/2022		198,346
				6,373,294
		Brokerage – 0.2%
	140,000	Ameriprise Financial, Inc., 3.700%, 10/15/2024		143,180
		Building Materials – 0.0%
	30,000	Masco Corp., 7.125%, 3/15/2020		34,650
		Cable Satellite – 0.7%
	170,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		216,145
	325,000	NBCUniversal Enterprise, Inc., 0.768%, 4/15/2016, 144A(b)		325,586
				541,731
		Chemicals – 0.4%
	120,000	Albemarle Corp., 3.000%, 12/01/2019		120,018
	140,000	Eastman Chemical Co., 4.500%, 1/15/2021		149,395
	90,000	Methanex Corp., 3.250%, 12/15/2019		89,243
				358,656
		Collateralized Mortgage Obligations – 0.5%
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		143,752
	232,372	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.607%, 10/07/2020(b)		233,767
				377,519
		Consumer Cyclical Services – 0.9%
	425,000	Alibaba Group Holding Ltd., 2.500%, 11/28/2019, 144A		419,270

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Cyclical Services – continued
$	80,000	Amazon.com, Inc., 3.300%, 12/05/2021	$	81,095
	30,000	Western Union Co. (The), 2.375%, 12/10/2015		30,275
	75,000	Western Union Co. (The), 3.350%, 5/22/2019		76,822
	130,000	Western Union Co. (The), 3.650%, 8/22/2018		134,871
				742,333
		Diversified Manufacturing – 0.5%
	350,000	Ingersoll-Rand Luxembourg Finance S.A., 3.550%, 11/01/2024		347,867
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		95,396
				443,263
		Electric – 2.1%
	220,000	Delmarva Power & Light Co., 3.500%, 11/15/2023		228,975
	260,000	Dominion Resources, Inc., 1.950%, 8/15/2016		262,793
	280,000	Dominion Resources, Inc., 2.500%, 12/01/2019		280,818
	120,000	Duke Energy Indiana, Inc., 0.579%, 7/11/2016(b)		120,200
	145,000	Duke Energy Progress, Inc., 0.435%, 3/06/2017(b)		144,559
	130,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		135,093
	295,000	Georgia Power Co., 0.561%, 3/15/2016(b)		294,699
	220,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		218,020
				1,685,157
		Environmental – 0.1%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		90,927
		Finance Companies – 1.3%
	290,000	Ares Capital Corp., 3.875%, 1/15/2020		289,168
	290,000	FS Investment Corp., 4.250%, 1/15/2020		288,595
	280,000	International Lease Finance Corp., 2.191%, 6/15/2016(b)		279,650
	225,000	Navient LLC, MTN, 6.250%, 1/25/2016		234,000
				1,091,413
		Food & Beverage – 0.5%
	10,000	Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019		11,120

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Food & Beverage – continued
$	350,000	Coca-Cola Co. (The), 3.300%, 9/01/2021	$	367,492
				378,612
		Government Owned—No Guarantee – 0.7%
	285,000	Ecopetrol S.A., 4.125%, 1/16/2025		270,750
	225,000	Petrobras International Finance Co., 5.375%, 1/27/2021		208,478
	50,000	Petrobras International Finance Co., 5.750%, 1/20/2020		48,286
				527,514
		Health Insurance – 1.1%
	355,000	Anthem, Inc., 3.500%, 8/15/2024		357,574
	505,000	UnitedHealth Group, Inc., 2.875%, 12/15/2021		510,746
				868,320
		Healthcare – 2.1%
	75,000	Baxter International, Inc., 1.850%, 1/15/2017		75,854
	195,000	Becton Dickinson and Co., 2.675%, 12/15/2019		197,564
	280,000	Express Scripts, Inc., 3.125%, 5/15/2016		287,824
	205,000	Life Technologies Corp., 6.000%, 3/01/2020		234,205
	330,000	McKesson Corp., 3.250%, 3/01/2016		337,875
	145,000	Medtronic, Inc., 3.500%, 3/15/2025, 144A		148,331
	40,000	Quest Diagnostics, Inc., 4.700%, 4/01/2021		43,310
	105,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		113,245
	285,000	Stryker Corp., 2.000%, 9/30/2016		289,799
				1,728,007
		Hybrid ARMs – 0.5%
	91,812	FHLMC, 2.367%, 1/01/2035(b)		97,651
	278,663	FHLMC, 2.620%, 5/01/2036(b)		299,815
				397,466
		Independent Energy – 1.5%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		106,938
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		122,298
	265,000	ConocoPhillips Co., 3.350%, 11/15/2024		267,742

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	200,000	Encana Corp., 6.500%, 5/15/2019	$	227,023
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		113,850
	100,000	Noble Energy, Inc., 3.900%, 11/15/2024		98,835
	295,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		296,702
				1,233,388
		Industrial Other – 0.5%
	440,000	Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A		436,374
		Integrated Energy – 1.2%
	160,000	BP Capital Markets PLC, 2.521%, 1/15/2020		160,187
	175,000	BP Capital Markets PLC, 3.561%, 11/01/2021		178,796
	225,000	BP Capital Markets PLC, 4.500%, 10/01/2020		243,443
	200,000	Chevron Corp., 2.193%, 11/15/2019		200,740
	165,000	Total Capital International S.A., 2.750%, 6/19/2021		165,617
				948,783
		Life Insurance – 1.7%
	150,000	Aflac, Inc., 3.625%, 11/15/2024		152,942
	185,000	AIG Global Funding, 1.650%, 12/15/2017, 144A		184,968
	160,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		174,576
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		30,475
	415,000	New York Life Global Funding , 1.450%, 12/15/2017, 144A		413,879
	320,000	Prudential Financial, Inc., 3.500%, 5/15/2024		325,266
	70,000	Unum Group, 5.625%, 9/15/2020		78,823
				1,360,929
		Media Entertainment – 0.6%
	225,000	Time Warner, Inc., 3.550%, 6/01/2024		224,124
	215,000	Time Warner, Inc., 4.875%, 3/15/2020		236,571
				460,695
		Metals & Mining – 1.7%
	140,000	Alcoa, Inc., 6.750%, 7/15/2018		157,268

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	145,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021	$	148,538
	280,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		282,730
	370,000	Freeport-McMoRan, Inc., 2.300%, 11/14/2017		370,444
	35,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		34,302
	85,000	Rio Tinto Finance USA Ltd., 3.500%, 11/02/2020		88,193
	115,000	Rio Tinto Finance USA PLC, 3.500%, 3/22/2022		114,968
	180,000	Teck Resources Ltd., 4.500%, 1/15/2021		176,061
				1,372,504
		Midstream – 2.0%
	130,000	DCP Midstream Operating LP, 4.950%, 4/01/2022		137,987
	330,000	Dominion Gas Holdings LLC, 3.600%, 12/15/2024		335,692
	140,000	Energy Transfer Partners LP, 4.650%, 6/01/2021		146,347
	280,000	Enterprise Products Operating LLC, 1.250%, 8/13/2015		280,740
	175,000	Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022		176,353
	120,000	NiSource Finance Corp., 6.125%, 3/01/2022		142,243
	175,000	Questar Corp., 2.750%, 2/01/2016		178,155
	225,000	Williams Partners LP, 5.250%, 3/15/2020		244,244
				1,641,761
		Mortgage Related – 6.1%
	9,328	FHLMC, 3.000%, 10/01/2026		9,707
	1,054	FHLMC, 6.500%, 1/01/2024		1,198
	167	FHLMC, 8.000%, 7/01/2025		198
	328	FNMA, 6.000%, 9/01/2021		340
	115	FNMA, 7.500%, 6/01/2016		118
	33	FNMA, 8.000%, 6/01/2015		33
	298,828	GNMA, 4.312%, 2/20/2063		324,936
	562,918	GNMA, 4.356%, 2/20/2063		611,415
	234,353	GNMA, 4.496%, 10/20/2062		255,317

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Mortgage Related – continued
$	535,339	GNMA, 4.500%, 4/20/2063	$	585,292
	295,504	GNMA, 4.505%, 4/20/2063		323,084
	339,430	GNMA, 4.514%, 5/20/2062		367,481
	316,397	GNMA, 4.520%, 5/20/2062		341,626
	303,850	GNMA, 4.549%, 3/20/2063		332,638
	326,545	GNMA, 4.560%, 3/20/2062		352,493
	212,664	GNMA, 4.567%, 7/20/2062		231,306
	343,142	GNMA, 4.575%, 2/20/2063		375,133
	248,237	GNMA, 4.604%, 6/20/2062		269,540
	3,292	GNMA, 6.500%, 12/15/2023		3,756
	585	GNMA, 8.500%, 9/15/2022		595
	1,945	GNMA, 9.500%, 1/15/2019		2,134
	552,493	Government National Mortgage Association, Series 2014-H15, Class FA, 0.656%, with various maturities in 2064(b)		548,810
				4,937,150
		Non-Agency Commercial Mortgage-Backed Securities – 10.0%
	40,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		42,692
	95,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		97,321
	295,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046		309,057
	95,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		98,582
	260,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		267,621
	230,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		241,644
	535,000	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047		562,442
	311,156	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		332,361
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		388,313
	305,000	GP Portfolio Trust, Series 2014-GPP, Class A, 1.111%, 2/15/2027, 144A(b)		304,228
	325,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		351,990
	375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		400,004

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	297,934	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.796%, 8/10/2045(b)	$	322,533
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		342,235
	265,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		277,883
	70,562	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FL4, Class A, 1.111%, 12/15/2030, 144A(b)		70,570
	410,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.787%, 6/15/2049(b)		440,160
	197,733	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		211,095
	135,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		141,780
	505,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.141%, 7/15/2031, 144A(b)		505,532
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		254,443
	295,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		309,163
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		430,687
	202,573	PFP III Ltd., Series 2014-1, Class A, 1.331%, 6/14/2031, 144A(b)		201,972
	185,000	SCG Trust, Series 2013-SRP1, Class B, 2.656%, 11/15/2026, 144A(b)		185,473
	410,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.716%, 6/15/2049(b)		440,091
	200,000	WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047		209,620
	390,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047		410,387
				8,149,879
		Oil Field Services – 1.1%
	235,000	Nabors Industries, Inc., 5.000%, 9/15/2020		230,810
	160,000	Oceaneering International, Inc., 4.650%, 11/15/2024		156,665
	75,000	Pride International, Inc., 8.500%, 6/15/2019		89,776
	100,000	Rowan Cos., Inc., 5.000%, 9/01/2017		104,200
	315,000	Transocean, Inc., 6.375%, 12/15/2021		290,571
				872,022
		Pharmaceuticals – 1.0%
	25,000	Amgen, Inc., 2.200%, 5/22/2019		24,895
	75,000	Amgen, Inc., 5.700%, 2/01/2019		84,366

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – continued
$	165,000	Eli Lilly & Co., 1.950%, 3/15/2019	$	165,886
	290,000	Mylan, Inc., 4.200%, 11/29/2023		300,565
	235,000	Perrigo Finance PLC, 3.500%, 12/15/2021		237,741
				813,453
		Property & Casualty Insurance – 0.3%
	70,000	Brown & Brown, Inc., 4.200%, 9/15/2024		70,795
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		159,751
				230,546
		Railroads – 1.0%
	285,000	Canadian National Railway Co., 1.450%, 12/15/2016		286,947
	230,000	CSX Corp., 3.700%, 10/30/2020		242,723
	30,000	CSX Corp., 6.150%, 5/01/2037		38,802
	240,000	Union Pacific Corp., 3.646%, 2/15/2024		254,018
				822,490
		REITs—Health Care – 0.0%
	35,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		34,354
		Retailers – 0.3%
	245,000	Ross Stores, Inc., 3.375%, 9/15/2024		245,217
		Sovereigns – 0.7%
	415,000	Mexico Government International Bond, 3.600%, 1/30/2025		413,548
	150,000	Mexico Government International Bond, 5.625%, 1/15/2017		162,750
				576,298
		Supermarkets – 0.1%
	95,000	Kroger Co. (The), 2.950%, 11/01/2021		94,221
		Supranational – 0.3%
	220,000	Nordic Investment Bank, 0.500%, 4/14/2016		219,927
		Technology – 1.4%
	46,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		51,059
	155,000	Apple, Inc., 2.850%, 5/06/2021		158,559

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	275,000	Hewlett-Packard Co., 4.300%, 6/01/2021	$	289,549
	540,000	Ingram Micro, Inc., 4.950%, 12/15/2024		539,822
	100,000	Jabil Circuit, Inc., 5.625%, 12/15/2020		105,940
	25,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		28,422
				1,173,351
		Tobacco – 0.7%
	275,000	Altria Group, Inc., 2.850%, 8/09/2022		267,216
	285,000	Philip Morris International, Inc., 2.500%, 5/16/2016		291,778
	35,000	Philip Morris International, Inc., 2.900%, 11/15/2021		35,516
	5,000	Philip Morris International, Inc., 5.650%, 5/16/2018		5,633
				600,143
		Treasuries – 17.2%
	195,000	U.S. Treasury Note, 0.625%, 2/15/2017		194,513
	325,000	U.S. Treasury Note, 0.625%, 9/30/2017		321,522
	1,520,000	U.S. Treasury Note, 0.625%, 11/30/2017		1,500,526
	4,570,000	U.S. Treasury Note, 0.875%, 10/15/2017		4,552,506
	1,380,000	U.S. Treasury Note, 1.500%, 10/31/2019		1,371,590
	130,000	U.S. Treasury Note, 1.500%, 11/30/2019		129,177
	215,000	U.S. Treasury Note, 2.000%, 2/28/2021		216,478
	1,555,000	U.S. Treasury Note, 2.000%, 10/31/2021		1,559,009
	1,630,000	U.S. Treasury Note, 2.000%, 11/15/2021		1,635,985
	2,440,000	U.S. Treasury Note, 2.250%, 11/15/2024		2,456,394
				13,937,700
		Wireless – 1.0%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		251,417
	365,000	American Tower Corp., 3.450%, 9/15/2021		358,846
	185,000	Vodafone Group PLC, 2.950%, 2/19/2023		178,318
				788,581

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – 0.5%
$	220,000	British Telecommunications PLC, 1.625%, 6/28/2016	$	221,584
	200,000	Verizon Communications, Inc., 5.150%, 9/15/2023		220,847
				442,431
		Total Non-Convertible Bonds (Identified Cost $78,512,603)		78,973,243
	Municipals – 0.4%
		New Jersey – 0.4%
	310,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017 (Identified Cost $310,000)		307,827
		Total Bonds and Notes (Identified Cost $78,822,603)		79,281,070
	Short-Term Investments – 2.1%
	1,661,638	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $1,661,639 on 1/02/2015 collateralized by $1,430,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $1,698,125 including accrued interest(d)		1,661,638
	35,000	U.S. Treasury Bills, 0.045%, 5/28/2015(e)		34,991
		Total Short-Term Investments (Identified Cost $1,696,632)		1,696,629
		Total Investments – 99.7% (Identified Cost $80,519,235)(a)		80,977,699
		Other assets less liabilities – 0.3%		276,319
		Net Assets – 100.0%	$	81,254,018

(†) 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 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.

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. 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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $80,748,790 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	$	764,433
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(535,524	)
Net unrealized appreciation	$	228,909

At December 31, 2014, the Fund had a short-term capital loss carryforward of $63,908 with no expiration date. 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, 2014 is disclosed.

(c) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of this security amounted to $47,247 or 0.1% of net assets.

(d) 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, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

(e) 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, 2014, the value of Rule 144A holdings amounted to $10,577,643 or 13.0% of net assets.

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

GNMA Government National Mortgage Association

MTN Medium Term Note

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	7,959,386	$	405,083	(a)	$	8,364,469
ABS Home Equity		—		861,974		47,247	(b)		909,221
ABS Other		—		2,056,284		1,015,291	(a)		3,071,575
Airlines		—		—		127,417	(a)		127,417
All Other Non-Convertible Bonds*		—		66,500,561		—			66,500,561
Total Non-Convertible Bonds		—		77,378,205		1,595,038			78,973,243
Municipals*		—		307,827		—			307,827
Total Bonds and Notes		—		77,686,032		1,595,038			79,281,070
Short-Term Investments		—		1,696,629		—			1,696,629
Total	$	—	$	79,382,661	$	1,595,038		$	80,977,699

* 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 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Net Purchases		Net Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	781,677	$	—	$	1		$	(1,307	)	$	—	$	(30,347	)	$	—	$	(344,941	)	$	405,083	$	(1,270	)
ABS Home Equity		59,427		—		(56	)		1,604			—		(13,728	)		—		—			47,247		920
ABS Other		1,118,344		—		—			(4,743	)		—		—			—		(98,310	)		1,015,291		(4,743	)
Airlines		139,910		—		(415	)		(2,576	)		—		(9,502	)		—		—			127,417		(1,377	)
Total	$	2,099,358	$	—	$	(470	)	$	(7,022	)	$	—	$	(53,577	)	$	—	$	(443,251	)	$	1,595,038	$	(6,470	)

Debt securities valued at $443,251 were transferred from Level 3 to Level 2 during the period ended December 31, 2014. 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. At December 31, 2014, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at December 31, 2014 (Unaudited)
Treasuries	17.2	%
ABS Car Loan	10.3
Non-Agency Commercial Mortgage-Backed Securities	10.0
Banking	7.8
Agency Commercial Mortgage-Backed Securities	7.3
Mortgage Related	6.1
ABS Other	3.8
Healthcare	2.1
Electric	2.1
Midstream	2.0
Other Investments, less than 2% each	28.9
Short-Term Investments	2.1
Total Investments	99.7
Other assets less liabilities	0.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 90.9% of Net Assets
	Non-Convertible Bonds – 86.8%
		ABS Car Loan – 0.3%
	2,000,000	Ford Auto Securitization Trust, Series 2014-R2A, Class A2, 1.593%, 12/15/2017, 144A, (CAD)	$	1,722,758
		ABS Credit Card – 0.1%
	759,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		777,147
		ABS Home Equity – 0.0%
	80,809	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.349%, 7/25/2035(b)(c)		76,662
		ABS Other – 1.4%
	993,722	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,002,434
	2,372,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		2,724,579
	2,980,848	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)		2,953,425
	296,507	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		298,567
	601,337	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		704,737
	465,344	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		454,194
	1,118,012	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		1,159,936
				9,297,872
		Aerospace & Defense – 0.1%
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		748,336
		Airlines – 3.3%
	350,806	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		356,069
	569,234	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		590,649
	5,933,784	American Airlines Pass Through Trust, Series 2013-2, Class A, 4.950%, 7/15/2024		6,366,713
	106,906	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		110,648
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		891,438
	200,441	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		224,854
	686,071	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		752,963
	2,833,184	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		3,116,502
	102,605	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		107,735

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	988,304	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024	$	1,141,491
	2,296,994	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		2,658,770
	1,122,156	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		1,234,372
	2,185,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		2,239,559
	533,077	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		621,035
	1,024,328	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		1,075,544
				21,488,342
		Automotive – 0.5%
	840,000	Cummins, Inc., 5.650%, 3/01/2098		1,033,052
	2,023,000	Ford Motor Co., 6.375%, 2/01/2029		2,442,570
				3,475,622
		Banking – 12.8%
	74,000	Ally Financial, Inc., 8.000%, 12/31/2018		83,990
	2,027,000	Associates Corp. of North America, 6.950%, 11/01/2018		2,367,516
	2,505,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		900,432
	130,000	Bank of America Corp., 5.420%, 3/15/2017		139,379
	800,000	Bank of America Corp., 5.490%, 3/15/2019		885,212
	683,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		683,053
	400,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		399,102
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		906,459
	2,100,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		1,929,596
	3,305,000	Capital One NA, 2.400%, 9/05/2019		3,288,865
	1,045,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		826,170
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(d)		92,988
	140,000	Citigroup, Inc., 5.875%, 2/22/2033		161,488
	1,909,000	Citigroup, Inc., 6.125%, 8/25/2036		2,275,664
	3,545,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		2,873,093
	250,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018		249,563

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	815,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022	$	866,977
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,632,191
	6,050,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,367,878
	4,270,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,368,991
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		739,660
	3,113,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		3,469,426
	4,110,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		4,114,151
	300,000	JPMorgan Chase & Co., EMTN, 1.064%, 5/30/2017, (GBP)(b)		461,198
	5,310,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		423,471
	4,988,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,889,601
	178,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		178,205
	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,551,180
	100,000	Morgan Stanley, 0.711%, 10/15/2015(b)		100,164
	2,501,000	Morgan Stanley, 2.125%, 4/25/2018		2,502,448
	665,000	Morgan Stanley, 2.500%, 1/24/2019		665,603
	615,000	Morgan Stanley, 3.750%, 2/25/2023		630,880
	1,215,000	Morgan Stanley, 4.350%, 9/08/2026		1,222,260
	2,262,000	Morgan Stanley, 5.500%, 7/24/2020		2,552,049
	840,000	Morgan Stanley, 5.750%, 1/25/2021		964,279
	1,518,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,363,927
	1,518,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		1,298,372
	5,992,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		6,066,528
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,654,738
	400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		331,834
	455,000	Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(b)		453,635
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		449,114
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		979,570

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022	$	2,933,254
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		63,591
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		423,547
	76,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		94,226
	200,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		209,398
	626,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		652,105
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		130,046
	300,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		312,638
	1,500,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(e)		2,606,760
	3,796,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,297,004
	200,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		223,111
				84,306,580
		Brokerage – 0.9%
	1,038,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,063,570
	3,223,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,276,238
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		917,832
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		453,405
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		90,941
				5,801,986
		Building Materials – 1.1%
	892,000	Masco Corp., 4.800%, 6/15/2015		905,744
	554,000	Masco Corp., 5.850%, 3/15/2017		594,165
	1,287,000	Masco Corp., 6.125%, 10/03/2016		1,364,864
	1,010,000	Masco Corp., 6.500%, 8/15/2032		1,032,725
	285,000	Masco Corp., 7.750%, 8/01/2029		327,750
	2,505,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		796,300
	11,000	Owens Corning, 6.500%, 12/01/2016		11,985

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	1,712,000	Owens Corning, 7.000%, 12/01/2036	$	2,120,904
				7,154,437
		Chemicals – 0.6%
	2,995,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		2,995,000
	140,000	Methanex Corp., 5.250%, 3/01/2022		150,390
	744,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		766,510
				3,911,900
		Collateralized Mortgage Obligations – 0.1%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		576,710
	9,172	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		9,935
				586,645
		Consumer Products – 0.2%
	459,000	Hasbro, Inc., 6.600%, 7/15/2028		541,905
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		680,602
				1,222,507
		Electric – 2.7%
	985,000	Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039, 144A		1,047,096
	956,747	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		1,061,845
	468,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		504,721
	421,000	Commonwealth Edison Co., 4.700%, 4/15/2015		425,959
	1,800,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		1,810,080
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,686,357
	607,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		656,932
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		916,977
	759,000	Endesa S.A., 7.875%, 2/01/2027		987,729
	683,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		754,681
	4,109,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,828,186
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		678,910

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)	$	1,682,575
				18,042,048
		Finance Companies – 5.3%
	3,826,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,332,945
	620,000	GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		521,197
	65,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		65,812
	12,895,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		10,026,719
	355,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		288,757
	600,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		479,867
	286,000	General Electric Capital Corp., Series A, MTN, 0.531%, 5/13/2024(b)		268,355
	4,289,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		3,407,178
	30,000	International Lease Finance Corp., 3.875%, 4/15/2018		30,000
	889,000	International Lease Finance Corp., 4.625%, 4/15/2021		904,557
	19,000	International Lease Finance Corp., 5.875%, 8/15/2022		20,615
	2,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,272,400
	490,000	Navient LLC, 4.875%, 6/17/2019		491,421
	4,297,000	Navient LLC, 5.500%, 1/25/2023		4,114,377
	129,000	Navient LLC, MTN, 4.625%, 9/25/2017		130,935
	159,000	Navient LLC, MTN, 5.500%, 1/15/2019		162,578
	1,382,000	Navient LLC, MTN, 7.250%, 1/25/2022		1,499,470
	182,000	Navient LLC, Series A, MTN, 5.000%, 4/15/2015		183,365
	983,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033		742,165
	1,066,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		1,188,590
	611,000	Springleaf Finance Corp., 5.250%, 12/15/2019		598,780
	1,522,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,704,640
	611,000	Springleaf Finance Corp., 8.250%, 10/01/2023		684,320
	987,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,036,350
				35,155,393

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Financial Other – 0.4%
$	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A	$	2,999,645
		Government Guaranteed – 0.9%
	760,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		666,639
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		4,649,041
	736,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		619,057
				5,934,737
		Government Owned—No Guarantee – 0.9%
	1,947,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,267,106
	3,420,000	DP World Ltd., 6.850%, 7/02/2037, 144A		3,857,008
				6,124,114
		Health Insurance – 0.0%
	15,000	CIGNA Corp., 7.875%, 5/15/2027		20,495
		Healthcare – 1.3%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		731,410
	4,388,000	HCA, Inc., 5.250%, 4/15/2025		4,585,460
	42,000	HCA, Inc., 5.875%, 3/15/2022		45,990
	2,327,000	HCA, Inc., 5.875%, 5/01/2023		2,452,076
	72,000	HCA, Inc., 6.375%, 1/15/2015		72,000
	76,000	HCA, Inc., 7.050%, 12/01/2027		77,140
	144,000	HCA, Inc., 7.190%, 11/15/2015		149,940
	57,000	HCA, Inc., 7.500%, 12/15/2023		63,840
	133,000	HCA, Inc., 7.690%, 6/15/2025		149,625
	232,000	HCA, Inc., 8.360%, 4/15/2024		272,600
	8,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,920
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		248,240
				8,857,241
		Home Construction – 0.5%
	2,536,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,421,880

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	1,105,000	Pulte Group, Inc., 6.375%, 5/15/2033	$	1,105,000
				3,526,880
		Hybrid ARMs – 0.0%
	30,553	FNMA, 1.909%, 2/01/2037(b)		32,199
	46,302	FNMA, 2.379%, 9/01/2036(b)		49,793
				81,992
		Independent Energy – 1.1%
	907,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,008,405
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		48,875
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		45,150
	175,000	Continental Resources, Inc., 3.800%, 6/01/2024		156,545
	35,000	Continental Resources, Inc., 4.500%, 4/15/2023		33,290
	2,277,000	EQT Corp., 8.125%, 6/01/2019		2,745,092
	1,632,000	Equitable Resources, Inc., 6.500%, 4/01/2018		1,836,555
	1,317,000	Newfield Exploration Co., 5.625%, 7/01/2024		1,303,007
				7,176,919
		Industrial Other – 0.1%
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		991,693
		Life Insurance – 1.2%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		53,226
	71,000	American International Group, Inc., 4.875%, 6/01/2022		79,757
	100,000	American International Group, Inc., 6.250%, 3/15/2087		111,595
	138,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		186,990
	175,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		195,668
	84,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		91,652
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,048,002
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		2,263,963
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,192,950
				8,223,803

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – 1.7%
	3,519,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)	$	2,783,456
	2,407,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		2,047,629
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		3,086,800
	3,037,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		2,648,388
	92,059	Province of Alberta, 5.930%, 9/16/2016, (CAD)		82,830
	900,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		717,828
				11,366,931
		Lodging – 0.2%
	1,124,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,208,637
		Media Entertainment – 0.2%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		267,150
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,057,544
				1,324,694
		Metals & Mining – 0.9%
	319,000	ArcelorMittal, 6.750%, 2/25/2022		340,532
	1,750,000	ArcelorMittal, 7.250%, 3/01/2041		1,767,500
	387,000	ArcelorMittal, 7.500%, 10/15/2039		400,545
	1,717,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		1,858,601
	1,571,000	United States Steel Corp., 7.500%, 3/15/2022		1,641,695
				6,008,873
		Midstream – 0.6%
	159,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		166,424
	152,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		182,666
	607,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		659,871
	213,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		209,272
	1,518,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,799,380
	615,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		661,273
				3,678,886

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Mortgage Related – 0.0%
$	1,204	FHLMC, 10.000%, with various maturities in 2018(f)	$	1,318
	2,939	FNMA, 6.000%, 12/01/2018		3,328
	3,884	GNMA, 10.000%, 5/15/2018		3,960
				8,606
		Non-Agency Commercial Mortgage-Backed Securities – 2.9%
	110,599	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.152%, 9/10/2047(b)		112,881
	432,367	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		454,689
	257,373	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		271,467
	308,978	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.707%, 6/11/2040(b)		333,262
	800,914	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		847,977
	1,655,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV2, 2.503%, 10/15/2031, 144A(b)(d)		1,656,523
	580,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.103%, 10/15/2031, 144A(b)(d)		580,528
	505,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.303%, 10/15/2031, 144A(b)(d)		506,374
	2,081,666	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		2,223,527
	1,279,924	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.898%, 9/15/2039(b)		1,376,188
	520,025	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		560,924
	1,138,741	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,233,310
	323,545	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		323,857
	239,888	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.796%, 8/10/2045(b)		259,693
	636,292	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		547,732
	827,485	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.787%, 6/15/2049(b)		888,356
	1,004,312	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,072,182
	184,381	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		185,458
	276,476	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.833%, 6/15/2038(b)		290,413
	296,073	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		312,986
	172,498	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.869%, 6/12/2046(b)		181,014
	248,367	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		248,962

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	284,161	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047	$	286,565
	189,790	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		204,350
	553,034	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.278%, 1/11/2043(b)		616,861
	303,664	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		324,047
	3,515,000	West Edmonton Mall Property, Inc., 4.309%, 2/13/2024, (CAD)		3,240,196
	94,890	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.550%, 3/15/2044, 144A(b)		100,709
				19,241,031
		Oil Field Services – 0.3%
	780,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		814,320
	827,000	Rowan Cos., Inc., 7.875%, 8/01/2019		942,386
				1,756,706
		Paper – 0.3%
	1,139,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,495,831
	175,000	Mead Corp. (The), 7.550%, 3/01/2047(d)		219,517
	133,000	Westvaco Corp., 8.200%, 1/15/2030		175,980
				1,891,328
		Property & Casualty Insurance – 0.8%
	87,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(b)(g)		52,200
	1,640,000	Old Republic International Corp., 4.875%, 10/01/2024		1,711,955
	167,000	Sirius International Group, 6.375%, 3/20/2017, 144A		183,410
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,847,371
	1,211,000	XLIT Ltd., 6.375%, 11/15/2024		1,440,749
				5,235,685
		Railroads – 0.0%
	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)		138,101
		Refining – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		541,654
		REITs—Office Property – 0.1%
	61,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		66,200

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs—Office Property – continued
$	816,000	Highwoods Properties, Inc., 7.500%, 4/15/2018	$	945,581
				1,011,781
		REITs—Shopping Centers – 0.1%
	759,000	Equity One, Inc., 6.000%, 9/15/2017		832,738
		REITs—Single Tenant – 0.1%
	109,000	Realty Income Corp., 5.750%, 1/15/2021		124,899
	270,000	Realty Income Corp., 6.750%, 8/15/2019		318,049
				442,948
		REITs—Warehouse/Industrials – 0.1%
	596,000	ProLogis LP, 7.375%, 10/30/2019		716,787
		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		467,587
		Retailers – 0.0%
	66,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		42,900
		Sovereigns – 0.4%
	2,429,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		2,722,217
		Supermarkets – 0.4%
	171,000	Delhaize Group S.A., 5.700%, 10/01/2040		179,406
	197,000	New Albertson’s, Inc., 7.450%, 8/01/2029		176,315
	1,017,000	New Albertson’s, Inc., 8.000%, 5/01/2031		920,385
	87,000	New Albertson’s, Inc., 8.700%, 5/01/2030		83,520
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		1,044,397
				2,404,023
		Supranational – 0.6%
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,733,557
	2,605,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		930,301
				3,663,858
		Technology – 1.2%
	2,706,000	Corning, Inc., 7.250%, 8/15/2036		3,515,446

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	2,695,000		Ingram Micro, Inc., 5.250%, 9/01/2017	$	2,915,809
	990,000		KLA-Tencor Corp., 5.650%, 11/01/2034		1,050,323
	37,000		Motorola Solutions, Inc., 6.625%, 11/15/2037		42,445
	247,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		310,044
					7,834,067
			Tobacco – 0.1%
	558,000		Reynolds American, Inc., 6.750%, 6/15/2017		621,575
			Transportation Services – 0.3%
	76,000		APL Ltd., 8.000%, 1/15/2024(d)		66,120
	731,644		Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(c)		744,448
	717,000		Erac USA Finance Co., 6.700%, 6/01/2034, 144A		922,344
					1,732,912
			Treasuries – 36.7%
	26,800,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		23,492,099
	8,301,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		7,189,032
	99,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		87,673
	30,366,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		26,605,404
	759,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		680,729
	255,000	(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,963,065
	265,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		2,004,405
	737,400	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		5,744,120
	175,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,433,264
	1,165,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		10,342,523
	1,675,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		1,379,387
	28,844,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)		4,178,344
	30,112,000		Norway Government Bond, 5.000%, 5/15/2015, (NOK)		4,096,218
	3,986,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,375,801
	62,675,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		380,284

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	51,425,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)	$	331,048
	87,450,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		584,692
	17,365,000	U.S. Treasury Note, 0.250%, 1/15/2015		17,365,000
	11,300,100	U.S. Treasury Note, 0.250%, 10/15/2015		11,300,981
	10,377,700	U.S. Treasury Note, 0.250%, 12/15/2015		10,378,509
	10,000,000	U.S. Treasury Note, 0.250%, 2/29/2016		9,987,500
	20,489,700	U.S. Treasury Note, 0.375%, 11/15/2015		20,508,919
	16,000,000	U.S. Treasury Note, 0.375%, 3/31/2016		15,997,504
	15,000,000	U.S. Treasury Note, 0.375%, 4/30/2016		14,997,660
	50,000,000	U.S. Treasury Note, 0.625%, 12/31/2016		49,933,600
				242,337,761
		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		704,284
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		156,640
	51,000	Sprint Capital Corp., 6.900%, 5/01/2019		52,020
	278,000	Sprint Communications, Inc., 6.000%, 12/01/2016		290,795
	40,000	Sprint Communications, Inc., 6.000%, 11/15/2022		36,800
				1,240,539
		Wirelines – 2.6%
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,649,730
	2,179,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,336,977
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		186,000
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,701,810
	926,000	Embarq Corp., 7.995%, 6/01/2036		1,034,805
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		273,712
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		126,499
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		417,240
	2,183,000	Qwest Corp., 6.875%, 9/15/2033		2,189,693

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	1,427,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	1,427,000
	150,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		160,597
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		538,242
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,805,627
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		733,329
	1,647,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,155,136
	209,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		233,716
				16,970,113
		Total Non-Convertible Bonds (Identified Cost $551,132,013)		573,148,692
	Convertible Bonds – 3.3%
		Energy – 0.3%
	1,423,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,382,089
	524,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		523,345
				1,905,434
		Property & Casualty Insurance – 1.2%
	6,829,000	Old Republic International Corp., 3.750%, 3/15/2018		7,913,104
		Retailers – 0.2%
	1,645,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		1,566,863
		Technology – 1.6%
	2,661,000	Intel Corp., 3.482%, 12/15/2035(b)		3,495,889
	3,568,000	Intel Corp., 3.250%, 8/01/2039		6,203,860
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		568,327
				10,268,076
		Total Convertible Bonds (Identified Cost $16,668,341)		21,653,477
	Municipals – 0.8%
		Illinois – 0.4%
	840,000	State of Illinois, 5.100%, 6/01/2033		833,860
	1,705,000	State of Illinois, Series B, 5.520%, 4/01/2038		1,679,851
				2,513,711

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Michigan – 0.1%
$	735,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034	$	636,231
		Ohio – 0.1%
	450,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		366,030
		Virginia – 0.2%
	2,045,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,536,367
		Total Municipals (Identified Cost $5,563,452)		5,052,339
		Total Bonds and Notes (Identified Cost $573,363,806)		599,854,508
	Senior Loans – 0.4%
		Cable Satellite – 0.1%
	1,103,158	CSC Holdings, Inc., New Term Loan B, 2.669%, 4/17/2020(b)		1,077,157
		Finance Companies – 0.3%
	1,878,922	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b)		1,850,738
		Total Senior Loans (Identified Cost $2,977,864)		2,927,895
Shares
	Common Stocks – 4.0%
		Automobiles – 0.2%
	91,715	Ford Motor Co.		1,421,582
		Chemicals – 0.8%
	23,580	PPG Industries, Inc.		5,450,517
		Electronic Equipment, Instruments & Components – 2.5%
	721,200	Corning, Inc.		16,537,116
		Oil, Gas & Consumable Fuels – 0.5%
	64,896	Repsol YPF S.A., Sponsored ADR		1,205,768
	26,419	Royal Dutch Shell PLC, ADR		1,768,752
				2,974,520
		Total Common Stocks (Identified Cost $15,083,888)		26,383,735
	Preferred Stocks – 1.0%
	Non-Convertible Preferred Stocks – 0.5%
		Banking – 0.0%
	122	Ally Financial, Inc., Series G, 7.000%, 144A		121,951

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Electric – 0.0%
	213	Connecticut Light & Power Co., 2.200%(c)	$	10,663
	2,360	Union Electric Co., 4.500%(c)		224,200
				234,863
		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(c)(h)		3,075,000
		Total Non-Convertible Preferred Stocks (Identified Cost $3,161,639)		3,431,814
	Convertible Preferred Stocks – 0.5%
		Banking – 0.1%
	714	Bank of America Corp., Series L, 7.250%		830,361
		Energy – 0.2%
	4,353	Chesapeake Energy Corp., 5.000%(c)		411,630
	15,775	El Paso Energy Capital Trust I, 4.750%		956,596
				1,368,226
		Metals & Mining – 0.2%
	5,205	Alcoa, Inc., Series 1, 5.375%		262,592
	53,705	ArcelorMittal, 6.000%		929,097
				1,191,689
		Total Convertible Preferred Stocks (Identified Cost $3,079,363)		3,390,276
		Total Preferred Stocks (Identified Cost $6,241,002)		6,822,090

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 10.5%
$	69,006,094	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $69,006,132 on 1/02/2015 collateralized by $66,800,000 U.S. Treasury Note, 2.625% due 8/15/2020 valued at $70,390,500 including accrued interest(i) (Identified Cost $69,006,094)		69,006,094
		Total Investments – 106.8% (Identified Cost $666,672,654)(a)		704,994,322
		Other assets less liabilities – (6.8)%		(44,834,989	)
		Net Assets – 100.0%	$	660,159,333

(‡) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be 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, 2014, the net unrealized appreciation on investments based on a cost of $668,950,552 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	$	56,732,627
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(20,688,857	)
Net unrealized appreciation	$	36,043,770

(b) Variable rate security. Rate as of December 31, 2014 is disclosed.

(c) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $4,542,603 or 0.7% of net assets.

(d) Illiquid security. At December 31, 2014, the value of these securities amounted to $6,213,576 or 0.9% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(e) Perpetual bond with no specified maturity date.

(f) 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.

(g) Non-income producing security.

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

(i) 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, 2014, 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, 2014, the value of Rule 144A holdings amounted to $74,479,510 or 11.3% of net assets.

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

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

EMTN Euro Medium Term Note

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

GNMA Government National Mortgage Association

MTN Medium Term Note

REITs Real Estate Investment Trusts

REMIC Real Estate Mortgage Investment Conduit

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ISK Icelandic Krona

KRW South Korean Won

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	—	$	76,662	(a)	$	76,662
ABS Other		—		5,185,516		4,112,356	(b)		9,297,872
Airlines		—		9,196,921		12,291,421	(b)		21,488,342
Non-Agency Commercial Mortgage-Backed Securities		—		16,497,606		2,743,425	(b)		19,241,031
Transportation Services		—		988,464		744,448	(a)		1,732,912

All Other Non-Convertible Bonds*		—		521,311,873		—		521,311,873
Total Non-Convertible Bonds		—		553,180,380		19,968,312		573,148,692
Convertible Bonds*		—		21,653,477		—		21,653,477
Municipals*		—		5,052,339		—		5,052,339
Total Bonds and Notes		—		579,886,196		19,968,312		599,854,508
Senior Loans*		—		2,927,895		—		2,927,895
Common Stocks*		26,383,735		—		—		26,383,735
Preferred Stocks
Non-Convertible Preferred Stocks
Electric		—		234,863		—		234,863
Government Sponsored		—		3,075,000		—		3,075,000
All Other Non-Convertible Preferred Stocks*		121,951		—		—		121,951
Total Non-Convertible Preferred Stocks		121,951		3,309,863		—		3,431,814
Convertible Preferred Stocks
Energy		956,596		411,630		—		1,368,226
All Other Convertible Preferred Stocks*		2,022,050		—		—		2,022,050
Total Convertible Preferred Stocks		2,978,646		411,630		—		3,390,276
Total Preferred Stocks		3,100,597		3,721,493		—		6,822,090
Short-Term Investments		—		69,006,094		—		69,006,094
Total	$	29,484,332	$	655,541,678	$	19,968,312	$	704,994,322

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

(a) Fair valued by the Fund’s adviser.

(b) Valued using broker-dealer bid prices.

Preferred stocks valued at $651,152 were transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, these securities were fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the securities.

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

The Fund’s pricing policies and procedures are recommended by the 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 Fund’s 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases		Net Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	81,101	$	—	$	111	$	1,415		$	—	$	(5,965	)	$	—	$	—	$	76,662	$	1,136
ABS Other		4,147,971		—		115		6,075			—		(41,805	)		—		—		4,112,356		7,262
Airlines		12,747,321		404		8,853		(110,921	)		—		(354,236	)		—		—		12,291,421		(54,804	)
Non-Agency Commercial Mortgage-Backed Securities		—		—		—		(11	)		2,743,436		—			—		—		2,743,425		(11	)
Transportation Services		744,448		—		—		—			—		—			—		—		744,448		—
Total	$	17,720,841	$	404	$	9,079	$	(103,442	)	$	2,743,436	$	(402,006	)	$	—	$	—	$	19,968,312	$	(46,417	)

Industry Summary at December 31, 2014 (Unaudited)

Treasuries	36.7	%
Banking	12.9
Finance Companies	5.6
Airlines	3.3
Non-Agency Commercial Mortgage-Backed Securities	2.9
Technology	2.8
Electric	2.7
Wirelines	2.6
Electronic Equipment, Instruments & Components	2.5
Property & Casualty Insurance	2.0
Other Investments, less than 2% each	22.3
Short-Term Investments	10.5
Total Investments	106.8
Other assets less liabilities	(6.8	)
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)

United States Dollar	81.8	%
Canadian Dollar	11.8
New Zealand Dollar	3.8
Mexican Peso	3.6
Other, less than 2% each	5.8
Total Investments	106.8
Other assets less liabilities	(6.8	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Securitized Asset Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 117.8% of Net Assets
		ABS Car Loan – 14.0%
$	1,965,000	AmeriCredit Automobile Receivables Trust, Series 2013-4, Class B, 1.660%, 9/10/2018	$	1,975,187
	1,070,000	AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019		1,063,840
	3,700,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020		3,693,085
	3,529,167	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		3,559,218
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		638,545
	2,630,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		2,638,203
	300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/2021, 144A		299,984
	923,299	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 8/15/2017, 144A		925,196
	2,190,000	Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.310%, 12/20/2017		2,199,746
	1,845,000	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		1,849,122
	170,384	CarFinance Capital Auto Trust, Series 2013-1A, Class A, 1.650%, 7/17/2017, 144A		170,569
	498,177	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		498,857
	9,847,946	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		9,839,763
	870,000	CarMax Auto Owner Trust, Series 2013-4, Class B, 1.710%, 7/15/2019		859,922
	201,414	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		204,066
	3,871,357	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		3,843,274
	4,000,000	CPS Auto Receivables Trust, Series 2014-C, Class B, 2.670%, 8/17/2020, 144A		3,971,276
	1,288,502	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		1,289,619
	2,225,000	CPS Auto Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		2,224,749
	112,855	Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 9/16/2019, 144A		113,081
	1,406,415	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		1,409,348
	2,080,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		2,084,118
	450,000	Credit Acceptance Auto Loan Trust, Series 2014-1A, Class B, 2.290%, 4/15/2022, 144A		450,461
	3,240,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		3,240,117
	900,000	DT Auto Owner Trust, Series 2014-1A, Class B, 1.430%, 3/15/2018, 144A		900,317
	3,700,000	DT Auto Owner Trust, Series 2014-2A, Class C, 2.460%, 1/15/2020, 144A		3,681,134

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	1,975,000	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A	$	1,974,024
	7,822,213	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A		7,820,852
	4,200,000	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A		4,189,689
	2,000,000	First Investors Auto Owner Trust, Series 2012-2A, Class B, 2.470%, 5/15/2018, 144A		2,018,612
	436,049	First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A		435,966
	2,000,000	First Investors Auto Owner Trust, Series 2014-1A, Class B, 2.260%, 1/15/2020, 144A		2,005,358
	1,915,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		1,893,330
	3,500,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,536,186
	5,530,000	Flagship Credit Auto Trust, Series 2014-2, Class B, 2.840%, 11/16/2020, 144A		5,520,217
	1,390,000	Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		1,397,420
	3,900,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		3,910,046
	1,595,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		1,603,919
	1,220,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		1,226,556
	73,610	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.162%, 9/20/2016, 144A(b)		73,632
	8,605,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A(c)		8,585,845
	491,804	Prestige Auto Receivables Trust, Series 2013-1A, Class A2, 1.090%, 2/15/2018, 144A		492,423
	1,275,000	Santander Drive Auto Receivables Trust, Series 2013-3, Class B, 1.190%, 5/15/2018		1,275,525
	2,240,000	Santander Drive Auto Receivables Trust, Series 2014-3, Class B, 1.450%, 5/15/2019		2,236,024
	1,725,000	Santander Drive Auto Receivables Trust, Series 2014-4, Class B, 1.820%, 5/15/2019		1,725,661
	7,120,000	Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.460%, 6/15/2020(c)		7,098,882
	2,640,252	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		2,638,404
	1,895,453	Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A		1,902,244
	2,380,000	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A		2,374,581
	1,820,000	Westlake Automobile Receivables Trust, Series 2014-2A, Class C, 2.240%, 4/15/2020, 144A		1,822,748
				121,380,941
		ABS Credit Card – 2.2%
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,283,510
	3,195,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		3,243,401
	9,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(c)		9,580,190

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		ABS Credit Card – continued
$	1,000,000	World Financial Network Credit Card Master Trust, Series 2012-C, Class M, 3.320%, 8/15/2022	$	1,036,688
				19,143,789
		ABS Home Equity – 3.0%
	2,818,957	Citigroup Mortgage Loan Trust, Series 2013-J1, Class A2, 3.500%, 10/25/2043, 144A		2,878,710
	1,500,000	Colony American Homes, Series 2014-1A, Class B, 1.600%, 5/17/2031, 144A		1,471,997
	618,208	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036(d)		496,503
	244,463	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.852%, 7/25/2021(b)(d)		237,904
	241,781	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035		246,515
	1,033,797	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		1,005,837
	323,033	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB5, Class 6A2, 2.443%, 4/20/2035(b)(d)		132,143
	5,671,006	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.582%, 5/19/2034(b)		5,651,464
	4,000,000	Invitation Homes Trust, Series 2014-SRF2, 2.362%, 9/17/2031, 144A(b)		3,934,192
	262,884	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.349%, 7/25/2035(b)(d)		249,393
	158,861	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(d)		155,101
	754,875	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021(d)		719,144
	35,074	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(d)		33,200
	369,538	Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.855%, 2/25/2043		336,130
	3,741,280	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A		3,560,939
	5,903,293	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.337%, 11/25/2036(b)		5,153,923
				26,263,095
		ABS Other – 5.7%
	327,180	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 9/15/2019, 144A		327,174
	1,000,000	Ascentium Equipment Receivables LLC, Series 2014-1A, Class C, 2.460%, 11/13/2018, 144A		1,001,326
	586,076	CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A		586,924
	1,470,148	CLI Funding V LLC, Series 2014-1A, Class A, 3.290%, 6/18/2029, 144A		1,463,534
	1,851,501	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,880,437
	770,839	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		761,619
	2,249,264	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		2,244,702
	227,008	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		228,583

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
$	1,770,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A	$	1,769,965
	4,995,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		5,014,580
	5,187,220	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		5,339,003
	485,003	Sierra Timeshare Receivables Funding LLC, Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		491,200
	590,285	Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		601,988
	1,029,018	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		1,043,542
	428,695	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		427,645
	7,110,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		7,185,366
	2,260,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		2,258,129
	1,637,685	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		1,628,361
	2,002,917	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		2,011,876
	726,716	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		726,219
	4,829,417	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		4,860,161
	4,680,667	Textainer Marine Containers Ltd., Series 2014-1A, Class A, 3.270%, 10/20/2039, 144A		4,674,610
	3,180,856	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.661%, 7/15/2041, 144A(b)		3,259,385
				49,786,329
		ABS Student Loan – 2.3%
	4,477,014	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.205%, 7/01/2024(b)		4,495,500
	311,231	SoFi Professional Loan Program LLC, Series 2014-A, Class A2, 3.020%, 10/25/2027, 144A		314,789
	1,150,000	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.405%, 8/25/2032, 144A(b)		1,151,321
	13,988,351	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.234%, 7/25/2025(b)(c)		14,076,198
				20,037,808
		Agency Commercial Mortgage-Backed Securities – 6.3%
	5,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(c)		6,127,567
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(c)		6,447,065
	89,810,636	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.266%, 4/25/2023(b)(e)		1,578,602
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2021(c)		28,970,698
	4,609,551	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.640%, 1/25/2023(b)(e)		377,255
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(c)		5,288,864

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	2,000,000	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042	$	2,294,268
	17,088,796	Government National Mortgage Association, Series 2014-101, Class IO, 0.989%, 4/16/2056(b)(e)		1,346,341
	26,390,501	Government National Mortgage Association, Series 2014-86, Class IO, 0.964%, 4/16/2056(b)(e)		1,933,579
				54,364,239
		Collateralized Mortgage Obligations – 12.0%
	217,914	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(c)		243,107
	2,121,990	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 14.598%, 6/15/2023(b)		2,605,154
	325,574	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(c)(e)		75,439
	7,282,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(c)		8,195,425
	13,695,361	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 7.039%, 5/15/2036(b)(c)(e)		2,491,718
	3,752,698	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class B1, 6.089%, 2/15/2038(b)(e)		556,924
	2,739,001	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.149%, 6/15/2048(c)		2,862,590
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		499,104
	3,296,464	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.244%, 12/15/2036(c)		3,436,943
	1,232,509	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(c)(e)		270,547
	569,293	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 7.081%, 1/25/2024(b)(e)		104,525
	799,389	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(c)(e)		42,405
	298,398	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 7.131%, 8/25/2036(b)(e)		46,482
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(c)		1,074,825
	4,154,279	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.776%, 8/25/2038(b)(c)		4,201,475
	1,298,497	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 3.376%, 3/25/2039(b)(c)		1,280,862
	267,588	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		286,526
	1,111,517	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 4.343%, 12/25/2039(b)		1,133,511
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 11.731%, 7/25/2043(b)		1,792,242
	770,590	Federal National Mortgage Association, REMIC, Series 2013-26, Class SJ, 5.273%, 4/25/2033(b)		673,138
	7,862,160	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 5.981%, 8/25/2042(b)(e)		1,532,296
	448,852	Federal National Mortgage Association, REMIC, Series 2014-67, Class PT, 6.000%, 10/25/2044		446,248
	939,818	Federal National Mortgage Association, Series 2013-23, Class TS, 5.916%, 3/25/2043(b)		869,828
	1,521,265	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(c)(e)		233,624

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	324,321	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(c)(e)	$	74,396
	1,690,927	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(c)(e)		330,415
	324,460	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(c)(e)		58,631
	3,656,858	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(c)(e)		553,891
	1,435,868	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(c)(e)		241,376
	995,144	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(c)(e)		188,571
	1,971,532	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(c)(e)		379,869
	852,088	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(c)(e)		180,461
	1,067,568	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(c)(e)		230,412
	1,234,418	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(c)(e)		263,685
	1,246,749	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(c)(e)		197,442
	610,646	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(c)(e)		97,344
	912,601	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(c)(e)		171,700
	600,048	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(c)(e)		112,414
	161,798	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(c)(e)		26,035
	4,391,003	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(c)(e)		643,571
	1,480,465	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(c)(e)		272,250
	1,292,978	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(c)(e)		231,376
	1,332,731	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(c)(e)		166,291
	756,043	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(c)(e)		160,126
	132,282	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(e)		27,078
	13,750,897	Government National Mortgage Association, Series 2006-46, Class IO, 0.192%, 4/16/2046(b)(e)		257,334
	13,100,462	Government National Mortgage Association, Series 2006-51, Class IO, 0.394%, 8/16/2046(b)(c)(e)		355,586
	15,286,065	Government National Mortgage Association, Series 2009-114, Class IO, 0.230%, 10/16/2049(b)(e)		343,906
	3,255,378	Government National Mortgage Association, Series 2010-49, Class IA, 0.857%, 10/16/2052(b)(e)		184,935
	912,109	Government National Mortgage Association, Series 2010-H20, Class AF, 0.486%, 10/20/2060(b)		903,576
	57,795,295	Government National Mortgage Association, Series 2010-I24, Class X, 1.166%, 12/16/2052(b)(c)(e)		3,734,790
	17,786,327	Government National Mortgage Association, Series 2011-119, Class IO, 1.180%, 8/16/2051(b)(e)		894,688

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	35,254,763	Government National Mortgage Association, Series 2011-161, Class IO, 1.115%, 4/16/2045(b)(e)	$	1,773,491
	18,042,271	Government National Mortgage Association, Series 2011-38, Class IO, 0.598%, 4/16/2053(b)(c)(e)		636,694
	8,725,927	Government National Mortgage Association, Series 2011-53, Class IO, 0.589%, 5/16/2051(b)(c)(e)		339,962
	1,625,797	Government National Mortgage Association, Series 2011-H01, Class AF, 0.606%, 11/20/2060(b)		1,618,533
	17,000,000	Government National Mortgage Association, Series 2012-100, Class IC, 1.515%, 9/16/2050(b)(e)		1,666,051
	24,654,405	Government National Mortgage Association, Series 2012-100, Class IO, 0.828%, 8/16/2052(b)(e)		1,555,520
	12,925,139	Government National Mortgage Association, Series 2012-111, Class IC, 1.415%, 9/16/2050(b)(e)		1,200,435
	30,621,720	Government National Mortgage Association, Series 2012-23, Class IO, 1.402%, 6/16/2053(b)(c)(e)		1,739,099
	36,100,747	Government National Mortgage Association, Series 2012-55, Class IO, 1.197%, 4/16/2052(b)(c)(e)		2,012,797
	26,730,698	Government National Mortgage Association, Series 2012-70, Class IO, 0.957%, 8/16/2052(b)(c)(e)		1,583,660
	23,112,014	Government National Mortgage Association, Series 2012-79, Class IO, 1.016%, 3/16/2053(b)(e)		1,561,240
	374,374	Government National Mortgage Association, Series 2012-H24, Class FE, 0.756%, 10/20/2062(b)		373,789
	3,501,644	Government National Mortgage Association, Series 2012-H30, Class GA, 0.506%, 12/20/2062(b)		3,467,975
	7,649,122	Government National Mortgage Association, Series 2013-175, Class IO, 0.988%, 5/16/2055(b)(e)		473,940
	27,816,745	Government National Mortgage Association, Series 2013-H16, Class AI, 1.612%, 7/20/2063(b)(e)		2,165,186
	18,129,187	Government National Mortgage Association, Series 2013-H18, Class EI, 1.709%, 7/20/2063(b)(e)		1,554,578
	3,543,319	Government National Mortgage Association, Series 2013-H18, Class JI, 1.388%, 8/20/2063(b)(e)		240,281
	379,602	Government National Mortgage Association, Series 2013-H22, Class FT, 0.760%, 4/20/2063(b)		380,687
	62,847,397	Government National Mortgage Association, Series 2014-24, Class IX, 1.016%, 1/16/2054(b)(e)		4,050,640
	19,574,759	Government National Mortgage Association, Series 2014-H03, Class FS, 0.806%, 2/20/2064(b)(c)		19,654,918
	4,928,486	Government National Mortgage Association, Series 2014-H05, Class FB, 0.756%, 12/20/2063(b)		4,931,852
	4,733,828	Government National Mortgage Association, Series 2014-H06, Class FA, 0.726%, 3/20/2064(b)		4,735,921
				103,954,336
		Hybrid ARMs – 2.2%
	2,971,847	FHLMC, 2.333%, 6/01/2035(b)(c)		3,164,180
	135,227	FHLMC, 2.367%, 1/01/2035(b)(c)		143,827
	2,325,087	FHLMC, 2.815%, 2/01/2037(b)(c)		2,495,789
	446,082	FHLMC, 2.989%, 1/01/2036(b)(c)		476,176
	773,336	FNMA, 1.909%, 2/01/2037(b)(c)		814,984

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	1,356,278	FNMA, 2.255%, 9/01/2034(b)(c)	$	1,456,156
	6,384,480	FNMA, 2.372%, 9/01/2037(b)(c)		6,818,226
	593,739	FNMA, 2.379%, 9/01/2036(b)(c)		638,509
	2,405,899	FNMA, 3.333%, 8/01/2038(b)(c)		2,575,055
	251,822	FNMA, 5.420%, 10/01/2035(b)(c)		266,164
				18,849,066
		Mortgage Related – 39.6%
	1,344,678	FHLMC, 4.000%, 2/01/2044		1,449,691
	141,849	FHLMC, 5.000%, 9/01/2035(c)		156,682
	12,585,646	FNMA, 3.000%, with various maturities in 2043(f)		12,738,742
	31,816,792	FNMA, 3.500%, with various maturities from 2037 to 2042(c)(f)		33,209,409
	12,404,290	FNMA, 4.000%, with various maturities from 2042 to 2052(f)		13,307,192
	1,925,909	FNMA, 4.500%, 2/01/2041		2,106,451
	872,412	FNMA, 5.500%, 8/01/2034(c)		990,582
	11,050	FNMA, 6.000%, 10/01/2034(c)		12,613
	72,305,000	FNMA (TBA), 3.500%, 1/01/2045(g)		75,372,323
	93,595,000	FNMA (TBA), 4.000%, with various maturities in 2045(g)		99,669,252
	787,998	GNMA, 0.690%, 8/20/2063(b)		787,887
	2,393,009	GNMA, 1.859%, 2/20/2061(b)		2,508,517
	566,076	GNMA, 1.889%, 7/20/2060(b)		593,365
	485,337	GNMA, 1.910%, 9/20/2060(b)		509,692
	3,466,111	GNMA, 2.166%, 2/20/2063(b)		3,678,508
	1,916,495	GNMA, 4.479%, 2/20/2062		2,069,686
	3,442,297	GNMA, 4.521%, 12/20/2061		3,712,018
	997,993	GNMA, 4.524%, 7/20/2062		1,083,276
	1,556,189	GNMA, 4.556%, 12/20/2061		1,678,607
	481,357	GNMA, 4.570%, 10/20/2061		518,304
	1,093,889	GNMA, 4.576%, 9/20/2063		1,207,014
	4,667,346	GNMA, 4.577%, 6/20/2063		5,130,753

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	508,684	GNMA, 4.578%, 11/20/2061	$	547,379
	1,025,688	GNMA, 4.600%, 10/20/2061		1,104,101
	977,557	GNMA, 4.626%, 6/20/2062		1,061,348
	10,955,546	GNMA, 4.659%, 2/20/2062(c)		11,872,164
	12,516,938	GNMA, 4.670%, 12/20/2061(c)		13,533,376
	716,387	GNMA, 4.684%, 1/20/2062		774,466
	3,324,201	GNMA, 4.700%, with various maturities in 2061(h)		3,577,475
	614,894	GNMA, 4.709%, 12/20/2063		687,514
	2,875,642	GNMA, 4.720%, 6/20/2061		3,088,206
	4,046,414	GNMA, 4.767%, 7/20/2063		4,374,323
	992,020	GNMA, 4.798%, 5/20/2061		1,067,350
	1,396,281	GNMA, 4.808%, 8/20/2062		1,511,136
	4,802,955	GNMA, 4.810%, 5/20/2061		5,161,385
	962,582	GNMA, 4.951%, 1/20/2062		1,044,020
	617,343	GNMA, 5.500%, with various maturities in 2059(h)		652,230
	2,400,259	GNMA, 6.514%, 5/20/2061		2,571,752
	4,000,000	Government National Mortgage Association, 1.000%, 1/31/2064		4,453,750
	2,940,511	Government National Mortgage Association, 1.301%, 6/20/2063(b)(e)		200,322
	5,811,302	Government National Mortgage Association, Series 2012-H26, Class BA, 0.506%, 10/20/2062(b)		5,763,074
	7,316,202	Government National Mortgage Association, Series 2014-H12, Class HZ, 4.604%, 6/20/2064(b)		8,456,878
	7,828,085	Government National Mortgage Association, Series 2014-H15, Class FA, 0.656%, with various maturities in 2064(b)		7,776,077
	27,646,543	Government National Mortgage Association, Series 2014-H24, Class HI, 0.915%, 11/20/2064(b)(e)		1,637,194
				343,406,084
		Non-Agency Commercial Mortgage-Backed Securities – 30.5%
	2,120,631	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		2,126,471
	1,438,000	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		1,435,952
	172,091	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.152%, 9/10/2047(b)		175,641
	1,502,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,603,083

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	946,247	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044	$	1,011,000
	13,100,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.550%, 12/15/2027, 144A(b)		13,104,310
	3,076,000	CGBAM Commercial Mortgage Trust, Series 2014-HD, Class B, 1.361%, 2/15/2031, 144A(b)		3,065,575
	4,170,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		4,415,038
	4,374,373	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047		4,681,384
	232,028	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.756%, 6/10/2046(b)		243,201
	1,325,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,357,367
	3,010,000	Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A, 0.961%, 3/15/2029, 144A(b)		2,996,831
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		1,265,999
	2,670,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		2,805,169
	2,797,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 3.911%, 5/13/2031, 144A(b)(i)		2,801,520
	5,380,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV1, 2.003%, 10/15/2031, 144A(b)(i)		5,386,940
	2,682,230	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.806%, 6/15/2038(b)		2,802,715
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,623,973
	5,474,792	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(b)		5,847,888
	1,719,193	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.898%, 9/15/2039(b)		1,848,496
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(c)		12,040,948
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 5.970%, 2/15/2041(b)		4,503,087
	3,400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.053%, 12/05/2031, 144A(b)		3,494,517
	3,495,000	GP Portfolio Trust, Series 2014-GPP, Class A, 1.111%, 2/15/2027, 144A(b)		3,486,154
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049(c)		14,837,744
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039(c)		9,328,099
	11,285,387	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.796%, 8/10/2045(b)(c)		12,217,143
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.435%, 12/10/2027, 144A(b)		5,244,366
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		5,812,959
	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046		3,825,741
	3,205,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		3,360,805
	6,465,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.061%, 10/15/2029, 144A(b)		6,469,183

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	6,733,299	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043(c)	$	7,058,713
	3,082,306	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,277,330
	2,482,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.787%, 6/15/2049(b)		2,664,581
	1,129,900	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,206,258
	1,628,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		1,709,766
	5,545,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.141%, 7/15/2031, 144A(b)		5,550,844
	4,496,006	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		4,776,098
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(c)		8,078,832
	6,730,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		7,278,307
	3,390,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		3,552,754
	7,282,738	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.592%, 4/12/2049(b)		7,759,102
	7,216,000	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044		7,748,130
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(c)		9,830,435
	7,137,590	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.908%, 6/11/2049(b)(c)		7,760,723
	14,000,000	Motel 6 Trust, Series 2012-MTL6, Class B, 2.743%, 10/05/2025, 144A(c)		13,947,122
	1,361,288	PFP III Ltd., Series 2014-1, Class A, 1.331%, 6/14/2031, 144A(b)		1,357,248
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.584%, 3/11/2031, 144A(b)		3,377,224
	680,000	SCG Trust, Series 2013-SRP1, Class A, 1.556%, 11/15/2026, 144A(b)		680,826
	905,000	SCG Trust, Series 2013-SRP1, Class B, 2.656%, 11/15/2026, 144A(b)		907,316
	2,100,000	Starwood Retail Property Trust, Inc., 1.381%, 11/15/2027, 144A(b)		2,110,649
	6,500,000	Starwood Retail Property Trust, Inc., 1.811%, 11/15/2027, 144A(b)		6,529,419
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		2,582,440
	4,632,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047		4,874,138
				263,837,554
		Total Bonds and Notes (Identified Cost $1,005,000,518)		1,021,023,241

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 2.3%
$	19,929,909	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $19,929,920 on 1/02/2015 collateralized by $19,910,000 Federal Home Loan Bank, 2.875% due 6/14/2024 valued at $20,333,088 including accrued interest(j) (Identified Cost $19,929,909)	$	19,929,909
		Total Investments – 120.1% (Identified Cost $1,024,930,427)(a)		1,040,953,150
		Other assets less liabilities – (20.1)%		(174,402,398	)
		Net Assets – 100.0%	$	866,550,752

(‡) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $1,024,930,427 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	$	28,052,310
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,029,587	)
Net unrealized appreciation	$	16,022,723

At September 30, 2014, the Fund had a short-term capital loss carryforward of $1,086,466 with no expiration date and a long-term capital loss carryforward of $8,438,729 with no expiration date. These amounts 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, 2014 is disclosed.

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

(d) Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $2,023,388 or 0.2% of net assets.

(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

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

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

(h) 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.

(i) Illiquid security. At December 31, 2014, the value of these securities amounted to $8,188,460 or 0.9% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(j) 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, 2014, 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, 2014, the value of Rule 144A holdings amounted to $247,744,776 or 27.6% 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 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, commodities 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, 2014, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2015		305	$	44,091,563	$	1,195,876

At December 31, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		3/31/2015		359	$	42,695,758	$	18,976

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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	116,444,156	$	4,936,785	(a)	$	121,380,941
ABS Home Equity		—		24,239,707		2,023,388	(b)		26,263,095
ABS Other		—		31,677,852		18,108,477	(a)		49,786,329
Collateralized Mortgage Obligations		—		99,994,291		3,960,045	(a)		103,954,336
Mortgage Related		—		337,114,818		6,291,266	(a)		343,406,084
Non-Agency Commercial Mortgage-Backed Securities		—		258,450,614		5,386,940	(a)		263,837,554
All Other Non-Convertible Bonds*		—		112,394,902		—			112,394,902
Total Non-Convertible Bonds		—		980,316,340		40,706,901			1,021,023,241
Total Bonds and Notes		—		980,316,340		40,706,901			1,021,023,241
Short-Term Investments		—		19,929,909		—			19,929,909
Total Investments		—		1,000,246,249		40,706,901			1,040,953,150
Futures Contracts (unrealized appreciation)		1,214,852		—		—			1,214,852
Total	$	1,214,852	$	1,000,246,249	$	40,706,901		$	1,042,168,002

* 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 adviser.

The Fund’s pricing policies and procedures are recommended by the 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2014		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, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	6,589,923	$	—	$	2,829		$	(8,490	)	$	2,224,748	$	(632,776	)	$	—	$	(3,239,449	)	$	4,936,785	$	(5,001	)
ABS Home Equity		2,142,704		—		(1,559	)		30,197			—		(147,954	)		—		—			2,023,388		24,886
ABS Other		19,114,510		—		1,224			(87,897	)		—		(177,123	)		—		(742,237	)		18,108,477		(83,152	)
Collateralized
Mortgage Obligations		4,280,249		—		(111,518	)		(208,686	)		—		—			—		—			3,960,045		(208,685	)
Mortgage Related		—		—		—			4,260			6,287,006		—			—		—			6,291,266		4,260
Non-Agency
Commercial
Mortgage-Backed
Securities		—		—		—			(50	)		5,386,990		—			—		—			5,386,940		(50	)
Total	$	32,127,386	$	—	$	(109,024	)	$	(270,666	)	$	13,898,744	$	(957,853	)	$	—	$	(3,981,686	)	$	40,706,901	$	(267,742	)

Debt securities valued at $3,981,686 were transferred from Level 3 to Level 2 during the period ended December 31, 2014. 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. At December 31, 2014, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.

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

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2014, 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, 2014:

Assets	Unrealized appreciation on futures contracts1
Exchange traded/cleared asset derivatives Interest rate contracts	$	1,214,852

¹  Represents cumulative unrealized appreciation 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. The Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker

for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$800,000	$	800,000

Industry Summary at December 31, 2014 (Unaudited)

Mortgage Related	39.6	%
Non-Agency Commercial Mortgage-Backed Securities	30.5
ABS Car Loan	14.0
Collateralized Mortgage Obligations	12.0
Agency Commercial Mortgage-Backed Securities	6.3
ABS Other	5.7
ABS Home Equity	3.0
ABS Student Loan	2.3
ABS Credit Card	2.2
Hybrid ARMs	2.2
Short-Term Investments	2.3
Total Investments	120.1
Other assets less liabilities (including futures contracts)	(20.1	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks – 98.9% of Net Assets
		Aerospace & Defense – 0.9%
	317,534	Exelis, Inc.	$	5,566,371
	69,470	KLX, Inc.(b)		2,865,637
	93,324	Vectrus, Inc.(b)		2,557,078
				10,989,086
		Auto Components – 2.0%
	370,510	Dana Holding Corp.		8,054,887
	451,308	Fox Factory Holding Corp.(b)		7,324,729
	263,991	Remy International, Inc.		5,522,692
	55,196	Tenneco, Inc.(b)		3,124,646
				24,026,954
		Banks – 12.9%
	473,508	BancorpSouth, Inc.		10,658,665
	561,999	Cathay General Bancorp		14,381,554
	136,524	City National Corp.		11,032,504
	497,576	CVB Financial Corp.		7,971,168
	505,905	First Financial Bancorp		9,404,774
	199,943	First Financial Bankshares, Inc.		5,974,297
	132,386	IBERIABANK Corp.		8,585,232
	290,210	PacWest Bancorp		13,192,947
	219,281	Pinnacle Financial Partners, Inc.		8,670,371
	216,530	Popular, Inc.(b)		7,372,846
	196,088	Prosperity Bancshares, Inc.		10,855,432
	118,843	Signature Bank(b)		14,969,464
	570,972	Talmer Bancorp, Inc., Class A		8,016,447
	157,054	Texas Capital Bancshares, Inc.(b)		8,532,744
	323,032	Tristate Capital Holdings, Inc.(b)		3,307,848
	238,400	Wintrust Financial Corp.		11,147,584
				154,073,877
		Building Products – 1.3%
	139,945	Armstrong World Industries, Inc.(b)		7,153,988
	135,913	Masonite International Corp.(b)		8,353,213
				15,507,201
		Capital Markets – 1.3%
	177,681	Safeguard Scientifics, Inc.(b)		3,521,637
	228,175	Stifel Financial Corp.(b)		11,641,489
				15,163,126
		Chemicals – 2.0%
	183,026	Cabot Corp.		8,027,520
	143,561	Minerals Technologies, Inc.		9,970,312
	264,656	Tronox Ltd., Class A		6,319,985
				24,317,817
		Commercial Services & Supplies – 3.9%
	345,742	KAR Auction Services, Inc.		11,979,960
	306,797	Knoll, Inc.		6,494,893

Shares		Description	Value (†)
	Common Stocks – continued
		Commercial Services & Supplies – continued
	138,688	McGrath Rentcorp	$	4,973,352
	149,809	Rollins, Inc.		4,958,678
	232,305	Viad Corp.		6,193,251
	130,366	Waste Connections, Inc.		5,734,800
	202,358	West Corp.		6,677,814
				47,012,748
		Communications Equipment – 0.6%
	675,373	Calix, Inc.(b)		6,767,237
		Construction & Engineering – 1.4%
	275,303	MYR Group, Inc.(b)		7,543,302
	374,848	Primoris Services Corp.		8,711,468
				16,254,770
		Consumer Finance – 0.3%
	26,695	Credit Acceptance Corp.(b)		3,641,465
		Distributors – 0.7%
	143,568	Core-Mark Holding Co., Inc.		8,891,166
		Diversified Financial Services – 1.5%
	681,200	FNFV Group(b)		10,722,088
	95,413	MarketAxess Holdings, Inc.		6,842,066
				17,564,154
		Electric Utilities – 2.4%
	243,095	ALLETE, Inc.		13,404,259
	88,533	ITC Holdings Corp.		3,579,389
	276,380	UIL Holdings Corp.		12,033,585
				29,017,233
		Electrical Equipment – 1.8%
	63,044	AZZ, Inc.		2,958,024
	293,545	Babcock & Wilcox Co.		8,894,414
	150,472	EnerSys		9,287,132
				21,139,570
		Electronic Equipment, Instruments & Components – 5.1%
	149,198	Belden, Inc.		11,758,294
	368,712	Checkpoint Systems, Inc.(b)		5,062,416
	155,962	Littelfuse, Inc.		15,076,847
	181,189	Methode Electronics, Inc.		6,615,210
	159,484	Rogers Corp.(b)		12,988,377
	667,453	Vishay Intertechnology, Inc.		9,444,460
				60,945,604
		Energy Equipment & Services – 2.0%
	134,585	Bristow Group, Inc.		8,854,347
	507,678	Helix Energy Solutions Group, Inc.(b)		11,016,613
	1,386,770	Parker Drilling Co.(b)		4,257,384
				24,128,344
		Food & Staples Retailing – 0.9%
	400,846	SpartanNash Co.		10,478,114

Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – 1.3%
	28,478	J & J Snack Foods Corp.	$	3,097,552
	286,174	Post Holdings, Inc.(b)		11,987,829
				15,085,381
		Health Care Equipment & Supplies – 1.3%
	153,448	Cynosure, Inc., Class A(b)		4,207,544
	170,898	SurModics, Inc.(b)		3,776,846
	69,153	Teleflex, Inc.		7,940,147
				15,924,537
		Health Care Providers & Services – 1.4%
	169,768	Bio-Reference Laboratories, Inc.(b)		5,454,646
	847,987	BioScrip, Inc.(b)		5,927,429
	65,656	WellCare Health Plans, Inc.(b)		5,387,731
				16,769,806
		Health Care Technology – 0.4%
	234,379	MedAssets, Inc.(b)		4,631,329
		Hotels, Restaurants & Leisure – 4.4%
	120,984	Churchill Downs, Inc.		11,529,775
	42,155	Cracker Barrel Old Country Store, Inc.		5,933,738
	387,079	Diamond Resorts International, Inc.(b)		10,799,504
	182,077	Marriott Vacations Worldwide Corp.		13,572,020
	257,955	Six Flags Entertainment Corp.		11,130,758
				52,965,795
		Household Durables – 1.8%
	214,991	Jarden Corp.(b)		10,293,769
	145,184	La-Z-Boy, Inc.		3,896,738
	218,731	Libbey, Inc.(b)		6,876,903
				21,067,410
		Industrial Conglomerates – 0.6%
	301,400	Raven Industries, Inc.		7,535,000
		Insurance – 3.7%
	472,159	Employers Holdings, Inc.		11,100,458
	275,557	HCC Insurance Holdings, Inc.		14,747,810
	181,171	ProAssurance Corp.		8,179,871
	111,529	Reinsurance Group of America, Inc., Class A		9,772,171
				43,800,310
		Internet & Catalog Retail – 1.2%
	123,622	HSN, Inc.		9,395,272
	130,426	Liberty Ventures, Series A(b)		4,919,669
				14,314,941
		Internet Software & Services – 0.5%
	340,631	Perficient, Inc.(b)		6,345,956
		IT Services – 4.1%
	440,501	Convergys Corp.		8,973,006
	262,300	CSG Systems International, Inc.		6,575,861
	91,007	DST Systems, Inc.		8,568,309

Shares		Description	Value (†)
	Common Stocks – continued
		IT Services – continued
	237,247	Euronet Worldwide, Inc.(b)	$	13,024,860
	113,774	WEX, Inc.(b)		11,254,524
				48,396,560
		Machinery – 5.3%
	76,178	Alamo Group, Inc.		3,690,062
	194,753	Albany International Corp., Class A		7,398,666
	354,281	Altra Industrial Motion Corp.		10,058,038
	432,385	John Bean Technologies Corp.		14,208,171
	172,346	RBC Bearings, Inc.		11,121,487
	268,633	TriMas Corp.(b)		8,405,527
	93,820	Wabtec Corp.		8,152,020
				63,033,971
		Marine – 0.5%
	77,157	Kirby Corp.(b)		6,229,656
		Media – 4.6%
	297,021	Carmike Cinemas, Inc.(b)		7,802,742
	402,605	E.W. Scripps Co. (The), Class A(b)		8,998,222
	158,806	John Wiley & Sons, Inc., Class A		9,407,667
	223,669	Journal Communications, Inc.(b)		2,556,537
	496,822	National CineMedia, Inc.		7,139,332
	429,756	New Media Investment Group, Inc.		10,155,134
	344,733	Time, Inc.		8,483,879
				54,543,513
		Metals & Mining – 3.0%
	322,094	Globe Specialty Metals, Inc.		5,549,679
	172,244	Haynes International, Inc.		8,353,834
	476,708	Horsehead Holding Corp.(b)		7,546,288
	247,359	RTI International Metals, Inc.(b)		6,248,288
	420,776	SunCoke Energy, Inc.		8,137,808
				35,835,897
		Multi-Utilities – 1.1%
	224,077	NorthWestern Corp.		12,678,277
		Oil, Gas & Consumable Fuels – 0.8%
	47,937	Clayton Williams Energy, Inc.(b)		3,058,381
	295,474	QEP Resources, Inc.		5,974,484
				9,032,865
		Paper & Forest Products – 0.5%
	214,355	PH Glatfelter Co.		5,481,057
		Professional Services – 1.5%
	185,605	FTI Consulting, Inc.(b)		7,169,921
	118,319	Insperity, Inc.		4,009,831
	490,539	RPX Corp.(b)		6,759,628
				17,939,380
		REITs—Apartments – 2.1%
	209,828	American Campus Communities, Inc.		8,678,486
	100,751	Home Properties, Inc.		6,609,266

Shares		Description	Value (†)
	Common Stocks – continued
		REITs—Apartments – continued
	130,670	Mid-America Apartment Communities, Inc.	$	9,758,435
				25,046,187
		REITs—Diversified – 0.8%
	217,745	Potlatch Corp.		9,116,983
		REITs—Health Care – 0.9%
	193,520	Omega Healthcare Investors, Inc.		7,560,826
	112,953	Sabra Healthcare REIT, Inc.		3,430,383
				10,991,209
		REITs—Hotels – 0.7%
	1,193,183	Hersha Hospitality Trust		8,388,077
		REITs—Office Property – 0.8%
	455,686	BioMed Realty Trust, Inc.		9,815,476
		REITs—Shopping Centers – 1.1%
	787,609	Retail Opportunity Investments Corp.		13,223,955
		REITs—Single Tenant – 0.6%
	167,884	National Retail Properties, Inc.		6,609,593
		REITs—Storage – 2.1%
	606,404	CubeSmart		13,383,336
	131,255	Sovran Self Storage, Inc.		11,448,061
				24,831,397
		Road & Rail – 1.7%
	83,036	Avis Budget Group, Inc.(b)		5,507,778
	60,044	Genesee & Wyoming, Inc., Class A(b)		5,399,157
	114,466	Old Dominion Freight Line, Inc.(b)		8,887,140
				19,794,075
		Semiconductors & Semiconductor Equipment – 1.8%
	163,295	Diodes, Inc.(b)		4,502,043
	272,224	Semtech Corp.(b)		7,505,216
	463,409	Teradyne, Inc.		9,170,864
				21,178,123
		Software – 1.9%
	104,301	Monotype Imaging Holdings, Inc.		3,006,998
	42,273	SS&C Technologies Holdings, Inc.		2,472,548
	176,066	Synchronoss Technologies, Inc.(b)		7,370,123
	173,981	Verint Systems, Inc.(b)		10,139,612
				22,989,281
		Specialty Retail – 2.8%
	270,990	Barnes & Noble, Inc.(b)		6,292,388
	499,675	Christopher & Banks Corp.(b)		2,853,144
	152,955	Genesco, Inc.(b)		11,719,412
	469,800	MarineMax, Inc.(b)		9,419,490
	119,919	Sally Beauty Holdings, Inc.(b)		3,686,310
				33,970,744

Shares		Description	Value (†)
	Common Stocks – continued
		Thrifts & Mortgage Finance – 0.7%
	374,904	Capitol Federal Financial, Inc.	$	4,791,273
	138,484	Federal Agricultural Mortgage Corp., Class C		4,201,605
				8,992,878
		Trading Companies & Distributors – 1.2%
	76,707	DXP Enterprises, Inc.(b)		3,876,005
	149,702	H&E Equipment Services, Inc.		4,205,129
	203,875	Rush Enterprises, Inc., Class A(b)		6,534,194
				14,615,328
		Transportation Infrastructure – 0.5%
	87,631	Macquarie Infrastructure Co. LLC		6,229,688
		Water Utilities – 0.2%
	107,950	Middlesex Water Co.		2,489,327
		Total Common Stocks (Identified Cost $787,400,267)		1,179,812,428
	Closed-End Investment Companies – 0.6%
	486,012	Hercules Technology Growth Capital, Inc. (Identified Cost $6,305,501)		7,231,858
Principal Amount
	Short-Term Investments – 1.3%
$	15,247,525	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $15,247,533 on 01/02/2015 collateralized by $13,100,000 U.S. Treasury Bond, 3.625% due 08/15/2043 valued at $15,556,250 including accrued interest(c) (Identified Cost $15,247,525)		15,247,525
		Total Investments – 100.8% (Identified Cost $808,953,293)(a)		1,202,291,811
		Other assets less liabilities – (0.8)%		(9,488,796	)
		Net Assets – 100.0%	$	1,192,803,015

(†) 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 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.

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 net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the 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 that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $808,955,543 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	$	408,391,666
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(15,055,398	)
Net unrealized appreciation	$	393,336,268

(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, 2014, 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, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,179,812,428	$	—	$	—	$	1,179,812,428
Closed-End Investment Companies		7,231,858		—		—		7,231,858
Short-Term Investments		—		15,247,525		—		15,247,525
Total	$	1,187,044,286	$	15,247,525	$	—	$	1,202,291,811

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

For the period ended December 31, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2014 (Unaudited)

Banks	12.9	%
Machinery	5.3
Electronic Equipment, Instruments & Components	5.1
Media	4.6
Hotels, Restaurants & Leisure	4.4
IT Services	4.1
Commercial Services & Supplies	3.9
Insurance	3.7
Metals & Mining	3.0
Specialty Retail	2.8
Electric Utilities	2.4
REITs—Apartments	2.1
REITs—Storage	2.1
Chemicals	2.0
Energy Equipment & Services	2.0
Auto Components	2.0
Other Investments, less than 2% each	37.1
Short-Term Investments	1.3
Total Investments	100.8
Other assets less liabilities	(0.8	)
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 23, 2015

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 23, 2015
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 23, 2015