N-CSRS 1 f6851d1.htm NATIXIS FUNDS TRUST II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197

(Address of principal executive offices)

(Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197 (Name and address of agent for service)

Registrant's telephone number, including area code: (617) 449-2822

Date of fiscal year end: December 31

Date of reporting period: June 30, 2020

Item 1. Reports to Stockholders.

The Registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

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LOGO

 

LOGO

 

Semiannual Report

June 30, 2020

AlphaSimplex Global Alternatives Fund

(formerly, ASG Global Alternatives Fund)

AlphaSimplex Managed Futures Strategy Fund

(formerly, ASG Managed Futures Strategy Fund)

AlphaSimplex Multi-Asset Fund

(formerly, ASG Dynamic Allocation Fund)

AlphaSimplex Tactical U.S. Market Fund

(formerly, ASG Tactical U.S. Market Fund)

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     19  
Financial Statements     53  
Notes to Financial Statements     74  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.

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ALPHASIMPLEX GLOBAL ALTERNATIVES FUND

(formerly, ASG Global Alternatives Fund)

 

Managers   Symbols
Alexander D. Healy, PhD   Class A    GAFAX
David E. Kuenzi, CFA®   Class C    GAFCX
Peter A. Lee   Class N    GAFNX
Philippe P. Lüdi, CFA®, PhD   Class Y    GAFYX
Robert S. Rickard  
AlphaSimplex Group, LLC (Adviser)  

 

 

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

 

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Average Annual Total Returns — June 30, 20203

 

             
                             Life of
Class N		     Expense Ratios4  
     6 Months     1 Year     5 Year     10 Year     Gross     Net  
     
Class Y (Inception 9/30/08)                
NAV     -7.39 %      -4.22 %      -0.76 %      2.94 %      — %      1.42 %      1.39 % 
     
Class A (Inception 9/30/08)                
NAV     -7.51       -4.47       -1.03       2.68       —       1.67       1.64  
With 5.75% Maximum Sales Charge     -12.82       -9.99       -2.19       2.08       —        
     
Class C (Inception 9/30/08)                
NAV     -7.92       -5.22       -1.77       1.91       —       2.42       2.39  
With CDSC1     -8.84       -6.17       -1.77       1.91       —        
     
Class N (Inception 5/1/13)                
NAV     -7.32       -4.24       -0.73       —       1.59       1.36       1.34  
   
Comparative Performance                
Barclay Fund of Funds Index2     -2.09       -0.46       0.47       2.08       1.71                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by BarclayHedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND

(formerly, ASG Managed Futures Strategy Fund)

 

Managers   Symbols
Alexander D. Healy, PhD   Class A    AMFAX
Kathryn M. Kaminski, PhD   Class C    ASFCX
Philippe P. Lüdi, CFA®, PhD   Class N    AMFNX
John C. Perry, PhD   Class Y    ASFYX
Robert S. Rickard  
AlphaSimplex Group, LLC (Adviser)  

 

 

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

 

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Average Annual Total Returns — June 30, 20204

 

           
    

6 Months

 

    

1 Year

 

    

5 Year

 

    

Life of Class

 

     Expense Ratios5  
  Gross     Net  
     
Class Y (Inception 7/30/10)           Class Y/A/C       Class N        
NAV     2.56 %      4.33 %      -0.62 %      3.12 %      — %      1.53 %      1.45 % 
     
Class A (Inception 7/30/10)                
NAV     2.48       4.15       -0.85       2.88       —       1.79       1.70  
With 5.75% Maximum Sales Charge     -3.36       -1.82       -2.02       2.26       —        
     
Class C (Inception 7/30/10)                
NAV     2.16       3.43       -1.58       2.10       —       2.53       2.45  
With CDSC1     1.16       2.43       -1.58       2.10       —        
     
Class N (Inception 5/01/17)                
NAV     2.77 6       4.54       —       —       1.37       1.36       1.36  
   
Comparative Performance                
Credit Suisse Managed Futures Liquid Index2     -5.52       -8.91       -2.46       —       -3.58        
SG Trend Index3     -0.85       0.81       -0.42       1.87       1.24                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index.

 

3

SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this index.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

6

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

 

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ALPHASIMPLEX MULTI-ASSET FUND

(formerly, ASG Dynamic Allocation Fund)

 

Managers   Symbols
Alexander D. Healy, PhD   Class A    DAAFX
John C. Perry*   Class C    DACFX
Robert S. Rickard  

Class Y    DAYFX

Derek M. Schug, CFA®  
AlphaSimplex Group, LLC (Adviser)  

 

*

Effective at the close of business on April 30, 2020, John C. Perry joined the portfolio management team.

 

 

Investment Goal

The Fund seeks long-term capital appreciation. The secondary goal of the Fund is the protection of capital during unfavorable market conditions.

 

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Average Annual Total Returns — June 30, 20204

 

         
                       Expense Ratios5  
     6 Months     1 Year     Life of Fund     Gross     Net  
     
Class Y (Inception 11/30/15)            
NAV     -15.07 %      -8.67 %      2.17 %      1.42 %      0.95 % 
     
Class A (Inception 11/30/15)            
NAV     -15.19       -8.82       1.93       1.67       1.20  
With 5.75% Maximum Sales Charge     -20.09       -14.05       0.62        
     
Class C (Inception 11/30/15)            
NAV     -15.58       -9.59       1.15       2.43       1.95  
With CDSC1     -16.40       -10.46       1.15                  
   
Comparative Performance            
Morningstar® Global Allocation IndexSM2     -2.73       3.15       6.77        
Blended Index3     -0.70       5.73       6.80                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

The Morningstar® Global Allocation IndexSM represents a diverse multi-asset-class portfolio of liquid global asset classes that reflects the global investment opportunities available to an investor with a moderate risk tolerance.

 

3

The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI World Index (Net)/40% Bloomberg Barclays U.S. Aggregate Bond Index. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancing of the Fund’s investment portfolio, and the relative weightings of the asset classes in the Fund will generally differ to some extent from the weightings in the Blended Index.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ALPHASIMPLEX TACTICAL U.S. MARKET FUND

(formerly, ASG Tactical U.S. Market Fund)

 

Managers   Symbols
Alexander D. Healy, PhD   Class A    USMAX
Robert S. Rickard   Class C    USMCX
AlphaSimplex Group, LLC (Adviser)   Class Y    USMYX
Kevin H. Maeda  
Serena V. Stone, CFA®  
Active Index Advisors®, a division of Natixis Advisors, L.P. (Subadviser)

 

 

Investment Goal

The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions.

 

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Average Annual Total Returns — June 30, 20204

 

           
                             Expense Ratios5  
     6 Months     1 Year     5 Years     Life of Fund     Gross     Net  
     
Class Y (Inception 9/30/13)              
      -14.56 %      -5.07 %      5.23 %      8.02 %      1.06 %      1.00 % 
     
Class A (Inception 9/30/13)              
NAV     -14.60       -5.26       4.97       7.75       1.31       1.25  
With 5.75% Maximum Sales Charge     -19.53       -10.68       3.73       6.81        
     
Class C (Inception 9/30/13)              
NAV     -15.00       -6.07       4.16       6.94       2.06       2.00  
With CDSC1     -15.82       -6.98       4.16       6.94                  
   
Comparative Performance              
S&P 500® Index2     -3.08       7.51       10.73       11.71        
Barclay Equity Long/Short Index3     -1.89       0.49       2.09       3.18                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market.

 

3

Barclay Equity Long/Short Index is comprised of equity-oriented hedge funds which hold both long and short stock positions and tend to tactically vary their net market exposure, i.e., market beta, based on their assessment of market risk and expected return. Index returns are recalculated by BarclayHedge Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Equity Long/Short Index returns reported by the fund may differ from the index returns for the same period published by others.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

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UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2020 through June 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

 

ALPHASIMPLEX GLOBAL ALTERNATIVES
FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $924.90       $7.37  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.21       $7.72  
Class C        
Actual     $1,000.00       $920.80       $10.94  
Hypothetical (5% return before expenses)     $1,000.00       $1,013.48       $11.46  
Class N        
Actual     $1,000.00       $926.80       $5.94  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.70       $6.22  
Class Y        
Actual     $1,000.00       $926.10       $6.18  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.45       $6.47  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.54%, 2.29%, 1.24% and 1.29% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

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ALPHASIMPLEX MANAGED FUTURES
STRATEGY FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020**		  
Class A        
Actual     $1,000.00       $1,024.80       $8.56  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.41       $8.52  
Class C        
Actual     $1,000.00       $1,021.60       $12.31  
Hypothetical (5% return before expenses)     $1,000.00       $1,012.68       $12.26  
Class N        
Actual     $1,000.00       $1,025.60       $6.85  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.10       $6.82  
Class Y        
Actual     $1,000.00       $1,025.60       $7.30  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.65       $7.27  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.70%, 2.45%, 1.36% and 1.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

**

Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only. Amounts expressed in the table include the effect of such adjustments.

 

ALPHASIMPLEX MULTI-ASSET FUND   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $848.10       $5.28  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.15       $5.77  
Class C        
Actual     $1,000.00       $844.20       $8.71  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.42       $9.52  
Class Y        
Actual     $1,000.00       $849.30       $4.14  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.39       $4.52  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90% and 0.90% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

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ALPHASIMPLEX TACTICAL U.S. MARKET
FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $854.00       $5.72  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.70       $6.22  
Class C        
Actual     $1,000.00       $850.00       $9.15  
Hypothetical (5% return before expenses)     $1,000.00       $1,014.97       $9.97  
Class Y        
Actual     $1,000.00       $854.40       $4.56  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.94       $4.97  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.24%, 1.99% and 0.99% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

|  12

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to AlphaSimplex Tactical U.S. Market Fund, sub-advisory agreement (collectively, the “Agreements”), at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-adviser, as applicable (collectively, the “Advisers”), believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category, performance ratings provided by a third-party where available, total return information for

 

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various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In the case of AlphaSimplex Global Alternatives Fund, the Board approved the Agreement with an amendment that reduced the Fund’s advisory fee effective on July 1, 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

 

    |  14

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The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

    

Three-Year

    

Five-Year

  

AlphaSimplex Global Alternatives Fund

      39 %      34 %      67 % 

AlphaSimplex Managed Futures Strategy Fund

      39 %      69 %      72 % 

AlphaSimplex Multi-Asset Fund

      50 %      24 %      n/a  

AlphaSimplex Tactical U.S. Market Fund

      7 %      1 %      3 % 

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies and (2) that the Fund’s shorter-term performance was strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Advisers to offer competitive compensation and the potential need to expend additional

 

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resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Advisers for each Fund under their expense limitation agreement. They further noted that management had proposed to reduce the expense limitation for AlphaSimplex Global Alternatives Fund on all share classes, effective as of July 1, 2020.

The Trustees noted that AlphaSimplex Global Alternatives Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including: (1) that the Fund’s advisory fee rate was only three basis points above its peer group median and (2) management’s proposal to reduce the Fund’s advisory fee rate to a level below its peer group median.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that each of the AlphaSimplex Global Alternatives Fund and the AlphaSimplex Managed Futures Strategy Fund has breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for AlphaSimplex Global Alternatives Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

 

    |  16

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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

·  

The effect of recent market and economic events, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

·  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

 

·  

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions and the benefits to Natixis Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

·  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the reduction of the advisory fee rate for AlphaSimplex Global Alternatives Fund, should be continued through June 30, 2021.

 

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through June 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations during the period.

During the period January 1, 2020 through June 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

    |  18

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund*

 

Shares      Description        
Value (†)		  
  Common Stocks — 18.4% of Net Assets  
       Aerospace & Defense — 0.2%  
  1,738      Lockheed Martin Corp.    $ 634,231  
  10,060      Raytheon Technologies Corp.      619,897  
     

 

 

  
        1,254,128  
     

 

 

  
       Air Freight & Logistics — 0.2%  
  7,314      C.H. Robinson Worldwide, Inc.      578,245  
  7,197      Expeditors International of Washington, Inc.      547,260  
     

 

 

  
        1,125,505  
     

 

 

  
       Banks — 0.2%  
  6,152      Citigroup, Inc.      314,367  
  20,987      IBERIABANK Corp.      955,748  
     

 

 

  
        1,270,115  
     

 

 

  
       Beverages — 0.3%  
  17,442      Coca-Cola Co. (The)      779,309  
  16,562      Coca-Cola European Partners PLC      625,381  
  4,834      PepsiCo, Inc.      639,345  
     

 

 

  
        2,044,035  
     

 

 

  
       Biotechnology — 0.1%  
  1,577      Alnylam Pharmaceuticals, Inc.(a)      233,569  
  2,256      Exact Sciences Corp.(a)      196,137  
  408      Regeneron Pharmaceuticals, Inc.(a)      254,449  
  1,356      Seattle Genetics, Inc.(a)      230,412  
     

 

 

  
        914,567  
     

 

 

  
       Building Products — 0.1%  
  5,453      Allegion PLC      557,406  
  4,403      Masonite International Corp.(a)      342,465  
     

 

 

  
        899,871  
     

 

 

  
       Capital Markets — 0.9%  
  19,766      Bank of New York Mellon Corp. (The)      763,956  
  4,503      Blackstone Group, Inc. (The), Class A      255,140  
  9,909      Houlihan Lokey, Inc.      551,337  
  6,896      Intercontinental Exchange, Inc.      631,673  
  1,273      MarketAxess Holdings, Inc.      637,671  
  3,577      Morningstar, Inc.      504,250  
  4,461      Nasdaq, Inc.      532,956  
  10,005      SEI Investments Co.      550,075  
  42,978      TD Ameritrade Holding Corp.      1,563,539  
     

 

 

  
        5,990,597  
     

 

 

  
       Chemicals — 0.2%  
  3,367      Ecolab, Inc.      669,865  
  1,611      NewMarket Corp.      645,173  
  15,105      Olin Corp.      173,556  
     

 

 

  
        1,488,594  
     

 

 

  

 

19  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Commercial Services & Supplies — 0.4%  
  1,966      Cintas Corp.    $ 523,664  
  3,191      Copart, Inc.(a)      265,714  
  2,894      Republic Services, Inc.      237,453  
  16,265      Ritchie Bros. Auctioneers, Inc.      664,425  
  10,641      Rollins, Inc.      451,072  
  2,265      Waste Management, Inc.      239,886  
     

 

 

  
        2,382,214  
     

 

 

  
       Communications Equipment — 0.1%  
  26,733      Radware Ltd.(a)      630,631  
  1,348      Ubiquiti, Inc.      235,307  
     

 

 

  
        865,938  
     

 

 

  
       Construction & Engineering — 0.1%  
  9,291      AECOM(a)      349,156  
     

 

 

  
       Construction Materials — 0.1%  
  7,342      Eagle Materials, Inc.      515,555  
     

 

 

  
       Consumer Finance — 0.1%  
  8,116      FirstCash, Inc.      547,668  
  8,006      Green Dot Corp., Class A(a)      392,934  
     

 

 

  
        940,602  
     

 

 

  
       Containers & Packaging — 0.3%  
  4,989      AptarGroup, Inc.      558,668  
  4,580      Avery Dennison Corp.      522,532  
  5,251      Packaging Corp. of America      524,050  
  19,853      Silgan Holdings, Inc.      643,039  
     

 

 

  
        2,248,289  
     

 

 

  
       Distributors — 0.0%  
  11,686      LKQ Corp.(a)      306,173  
     

 

 

  
       Diversified Financial Services — 0.1%  
  2      Berkshire Hathaway, Inc., Class A(a)      534,600  
     

 

 

  
       Diversified Telecommunication Services — 0.4%  
  54,119      AT&T, Inc.      1,636,017  
  11,599      Verizon Communications, Inc.      639,453  
     

 

 

  
        2,275,470  
     

 

 

  
       Electric Utilities — 0.5%  
  4,960      Alliant Energy Corp.      237,286  
  2,925      American Electric Power Co., Inc.      232,947  
  5,586      Avangrid, Inc.      234,500  
  2,919      Duke Energy Corp.      233,199  
  2,511      Entergy Corp.      235,557  
  2,818      Eversource Energy      234,655  
  6,549      Exelon Corp.      237,663  
  6,181      FirstEnergy Corp.      239,699  
  2,161      Hawaiian Electric Industries, Inc.      77,926  

 

  See accompanying notes to financial statements.   |  20

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Electric Utilities — continued  
  2,705      IDACORP, Inc.    $ 236,336  
  976      NextEra Energy, Inc.      234,406  
  7,717      OGE Energy Corp.      234,288  
  3,251      Pinnacle West Capital Corp.      238,266  
  5,625      Portland General Electric Co.      235,181  
  4,526      Southern Co. (The)      234,673  
  2,953      Xcel Energy, Inc.      184,563  
     

 

 

  
        3,561,145  
     

 

 

  
       Electrical Equipment — 0.2%  
  8,840      Emerson Electric Co.      548,345  
  4,278      Generac Holdings, Inc.(a)      521,617  
  12,402      Vertiv Holdings Co.(a)      168,171  
     

 

 

  
        1,238,133  
     

 

 

  
       Electronic Equipment, Instruments & Components — 0.2%  
  5,436      Amphenol Corp., Class A      520,823  
  4,878      CDW Corp.      566,726  
  2,463      Keysight Technologies, Inc.(a)      248,221  
     

 

 

  
        1,335,770  
     

 

 

  
       Entertainment — 0.1%  
  38,565      Lions Gate Entertainment Corp., Class A(a)      285,767  
  1,601      Madison Square Garden Sports Corp., Class A(a)      235,171  
     

 

 

  
        520,938  
     

 

 

  
       Food & Staples Retailing — 0.2%  
  1,730      Costco Wholesale Corp.      524,553  
  5,675      Sysco Corp.      310,195  
  10,016      U.S. Foods Holding Corp.(a)      197,516  
  4,288      Walmart, Inc.      513,617  
     

 

 

  
        1,545,881  
     

 

 

  
       Food Products — 0.9%  
  15,909      Archer-Daniels-Midland Co.      634,769  
  20,204      Conagra Brands, Inc.      710,575  
  6,715      Flowers Foods, Inc.      150,147  
  23,574      Hain Celestial Group, Inc. (The)(a)      742,817  
  1,467      Hershey Co. (The)      190,153  
  11,030      Hormel Foods Corp.      532,418  
  51,150      Hostess Brands, Inc.(a)      625,053  
  7,950      Kellogg Co.      525,177  
  889      McCormick & Co., Inc.      159,496  
  18,388      Mondelez International, Inc., Class A      940,178  
  16,068      Tootsie Roll Industries, Inc.      550,650  
     

 

 

  
        5,761,433  
     

 

 

  
       Gas Utilities — 0.3%  
  2,389      Atmos Energy Corp.      237,897  
  16,272      National Fuel Gas Co.      682,285  

 

21  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Gas Utilities — continued  
  3,627      Spire, Inc.    $ 238,330  
  37,204      Suburban Propane Partners LP      532,017  
     

 

 

  
        1,690,529  
     

 

 

  
       Health Care Equipment & Supplies — 0.8%  
  14,355      Baxter International, Inc.      1,235,966  
  9,492      Danaher Corp.      1,678,470  
  631      DexCom, Inc.(a)      255,807  
  1,350      Insulet Corp.(a)      262,251  
  7,034      Medtronic PLC      645,018  
  10,360      Merit Medical Systems, Inc.(a)      472,934  
  3,461      STERIS PLC      531,056  
     

 

 

  
        5,081,502  
     

 

 

  
       Health Care Providers & Services — 0.3%  
  8,426      Centene Corp.(a)      535,472  
  4,527      Magellan Health, Inc.(a)      330,380  
  13,282      Premier, Inc., Class A(a)      455,307  
  5,983      Quest Diagnostics, Inc.      681,823  
     

 

 

  
        2,002,982  
     

 

 

  
       Health Care Technology — 0.3%  
  20,785      Cerner Corp.      1,424,812  
  996      Veeva Systems, Inc., Class A(a)      233,482  
     

 

 

  
        1,658,294  
     

 

 

  
       Hotels, Restaurants & Leisure — 0.7%  
  14,353      Accel Entertainment, Inc., Class A(a)      138,219  
  18,759      Bloomin’ Brands, Inc.      199,971  
  903      Chipotle Mexican Grill, Inc.(a)      950,281  
  9,892      Hilton Worldwide Holdings, Inc.      726,567  
  3,592      McDonald’s Corp.      662,616  
  9,954      MGM Resorts International      167,227  
  10,272      Starbucks Corp.      755,917  
  11,055      Wendy’s Co. (The)      240,778  
  7,227      Yum! Brands, Inc.      628,099  
     

 

 

  
        4,469,675  
     

 

 

  
       Household Durables — 0.0%  
  81      NVR, Inc.(a)      263,959  
     

 

 

  
       Household Products — 0.3%  
  2,598      Colgate-Palmolive Co.      190,330  
  1,063      Kimberly-Clark Corp.      150,255  
  13,437      Procter & Gamble Co. (The)      1,606,662  
     

 

 

  
        1,947,247  
     

 

 

  
       Independent Power & Renewable Electricity Producers — 0.0%  
  8,177      Atlantica Sustainable Infrastructure PLC      237,951  
     

 

 

  

 

  See accompanying notes to financial statements.   |  22

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Industrial Conglomerates — 0.1%  
  81,933      General Electric Co.    $ 559,602  
     

 

 

  
       Insurance — 1.0%  
  12,264      Allstate Corp. (The)      1,189,485  
  3,335      Aon PLC, Class A      642,321  
  16,267      Axis Capital Holdings Ltd.      659,790  
  5,658      Brown & Brown, Inc.      230,620  
  1,804      Chubb Ltd.      228,422  
  2,735      Erie Indemnity Co., Class A      524,847  
  10,968      Marsh & McLennan Cos., Inc.      1,177,634  
  6,655      Progressive Corp. (The)      533,132  
  2,024      Travelers Cos., Inc. (The)      230,837  
  717      White Mountains Insurance Group Ltd.      636,674  
  4,071      WR Berkley Corp.      233,228  
     

 

 

  
        6,286,990  
     

 

 

  
       Interactive Media & Services — 0.1%  
  10,508      Snap, Inc., Class A(a)      246,833  
  9,212      Twitter, Inc.(a)      274,425  
     

 

 

  
        521,258  
     

 

 

  
       Internet & Direct Marketing Retail — 0.3%  
  378      Amazon.com, Inc.(a)      1,042,834  
  20,158      eBay, Inc.      1,057,287  
     

 

 

  
        2,100,121  
     

 

 

  
       IT Services — 1.0%  
  4,158      Accenture PLC, Class A      892,806  
  10,412      Amdocs Ltd.      633,883  
  8,802      Black Knight, Inc.(a)      638,673  
  12,683      Booz Allen Hamilton Holding Corp.      986,611  
  4,192      Broadridge Financial Solutions, Inc.      528,988  
  8,396      GoDaddy, Inc., Class A(a)      615,679  
  3,481      Jack Henry & Associates, Inc.      640,608  
  8,930      MAXIMUS, Inc.      629,118  
  1,087      Okta, Inc.(a)      217,650  
  7,372      Paychex, Inc.      558,429  
     

 

 

  
        6,342,445  
     

 

 

  
       Leisure Products — 0.0%  
  13,156      Callaway Golf Co.      230,362  
     

 

 

  
       Life Sciences Tools & Services — 0.1%  
  10,378      Agilent Technologies, Inc.      917,104  
     

 

 

  
       Machinery — 0.4%  
  11,365      Donaldson Co., Inc.      528,700  
  10,367      Hillenbrand, Inc.      280,635  
  6,407      Lincoln Electric Holdings, Inc.      539,726  
  9,802      Toro Co. (The)      650,264  

 

23  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Machinery — continued  
  30,922      Trinity Industries, Inc.    $ 658,329  
     

 

 

  
        2,657,654  
     

 

 

  
       Media — 0.2%  
  40,672      Altice USA, Inc., Class A(a)      916,747  
  14,668      Loral Space & Communications, Inc.      286,319  
     

 

 

  
        1,203,066  
     

 

 

  
       Metals & Mining — 0.1%  
  3,853      Agnico Eagle Mines Ltd.      246,823  
  9,190      Barrick Gold Corp.      247,579  
     

 

 

  
        494,402  
     

 

 

  
       Multi-Utilities — 0.4%  
  3,371      Ameren Corp.      237,184  
  4,086      CMS Energy Corp.      238,704  
  3,285      Consolidated Edison, Inc.      236,290  
  2,894      Dominion Energy, Inc.      234,935  
  2,211      DTE Energy Co.      237,682  
  10,389      NiSource, Inc.      236,246  
  4,440      NorthWestern Corp.      242,069  
  4,836      Public Service Enterprise Group, Inc.      237,738  
  1,977      Sempra Energy      231,764  
  2,696      WEC Energy Group, Inc.      236,304  
     

 

 

  
        2,368,916  
     

 

 

  
       Multiline Retail — 0.1%  
  2,815      Dollar General Corp.      536,286  
     

 

 

  
       Oil, Gas & Consumable Fuels — 0.2%  
  11,027      CVR Energy, Inc.      221,753  
  15,075      Enviva Partners LP      543,303  
  3,316      Magellan Midstream Partners LP      143,152  
  1,295      Marathon Petroleum Corp.      48,407  
  447      Occidental Petroleum Corp.      8,180  
     

 

 

  
        964,795  
     

 

 

  
       Personal Products — 0.2%  
  2,739      Estee Lauder Cos., Inc. (The), Class A      516,794  
  7,865      Herbalife Nutrition Ltd.(a)      353,768  
  3,166      Medifast, Inc.      439,346  
     

 

 

  
        1,309,908  
     

 

 

  
       Pharmaceuticals — 0.3%  
  3,689      Johnson & Johnson      518,784  
  6,799      Merck & Co., Inc.      525,767  
  19,433      Pfizer, Inc.      635,459  
     

 

 

  
        1,680,010  
     

 

 

  
       Professional Services — 0.4%  
  375      CoStar Group, Inc.(a)      266,501  

 

  See accompanying notes to financial statements.   |  24

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Professional Services — continued  
  6,762      Exponent, Inc.    $ 547,249  
  8,719      IHS Markit Ltd.      658,284  
  21,260      Nielsen Holdings PLC      315,924  
  3,229      Verisk Analytics, Inc.      549,576  
     

 

 

  
        2,337,534  
     

 

 

  
       Real Estate Management & Development — 0.1%  
  13,510      CBRE Group, Inc., Class A(a)      610,922  
     

 

 

  
       REITs – Apartments — 0.2%  
  8,482      American Homes 4 Rent, Class A      228,166  
  1,512      AvalonBay Communities, Inc.      233,816  
  2,586      Camden Property Trust      235,895  
  3,972      Equity Residential      233,633  
  1,011      Essex Property Trust, Inc.      231,691  
  2,083      Mid-America Apartment Communities, Inc.      238,857  
     

 

 

  
        1,402,058  
     

 

 

  
       REITs – Hotels — 0.0%  
  9,989      MGM Growth Properties LLC, Class A      271,801  
     

 

 

  
       REITs – Manufactured Homes — 0.1%  
  3,666      Equity LifeStyle Properties, Inc.      229,052  
  1,652      Sun Communities, Inc.      224,143  
     

 

 

  
        453,195  
     

 

 

  
       REITs – Mortgage — 0.2%  
  8,324      AGNC Investment Corp.      107,380  
  6,945      Annaly Capital Management, Inc.      45,559  
  4,880      Blackstone Mortgage Trust, Inc., Class A      117,559  
  58,520      Broadmark Realty Capital, Inc.      554,184  
  9,110      KKR Real Estate Finance Trust, Inc.      151,044  
     

 

 

  
        975,726  
     

 

 

  
       REITs – Office Property — 0.2%  
  1,425      Alexandria Real Estate Equities, Inc.      231,206  
  7,541      Douglas Emmett, Inc.      231,207  
  14,835      Equity Commonwealth      477,687  
  3,929      Kilroy Realty Corp.      230,633  
     

 

 

  
        1,170,733  
     

 

 

  
       REITs – Shopping Centers — 0.1%  
  2,712      Alexander’s, Inc.      653,321  
     

 

 

  
       REITs – Storage — 0.1%  
  8,605      CubeSmart      232,249  
  2,527      Extra Space Storage, Inc.      233,419  
  2,501      Life Storage, Inc.      237,470  
  1,218      Public Storage      233,722  
     

 

 

  
        936,860  
     

 

 

  

 

25  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       REITs – Warehouse/Industrials — 0.0%  
  5,740      Rexford Industrial Realty, Inc.    $ 237,808  
     

 

 

  
       Road & Rail — 0.4%  
  7,620      CSX Corp.      531,419  
  4,393      Landstar System, Inc.      493,378  
  4,889      Old Dominion Freight Line, Inc.      829,125  
  7,582      Uber Technologies, Inc.(a)      235,649  
  3,107      Union Pacific Corp.      525,300  
     

 

 

  
        2,614,871  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 0.2%  
  4,952      Advanced Micro Devices, Inc.(a)      260,525  
  5,335      Applied Materials, Inc.      322,501  
  1,330      KLA Corp.      258,658  
  884      Lam Research Corp.      285,939  
  512      NVIDIA Corp.      194,514  
  3,189      Teradyne, Inc.      269,502  
     

 

 

  
        1,591,639  
     

 

 

  
       Software — 1.9%  
  9,055      2U, Inc.(a)      343,728  
  1,317      Adobe, Inc.(a)      573,303  
  1,409      Atlassian Corp. PLC, Class A(a)      254,000  
  16,752      Box, Inc., Class A(a)      347,771  
  5,956      Check Point Software Technologies Ltd.(a)      639,853  
  3,810      Citrix Systems, Inc.      563,537  
  18,534      CommVault Systems, Inc.(a)      717,266  
  9,885      Cornerstone OnDemand, Inc.(a)      381,166  
  1,702      DocuSign, Inc.(a)      293,101  
  4,559      Fortinet, Inc.(a)      625,814  
  4,153      New Relic, Inc.(a)      286,142  
  43,714      NortonLifeLock, Inc.      866,849  
  35,112      Open Text Corp.      1,491,558  
  11,491      Oracle Corp.      635,108  
  885      Paycom Software, Inc.(a)      274,111  
  9,105      PTC, Inc.(a)      708,278  
  824      RingCentral, Inc., Class A(a)      234,848  
  3,447      salesforce.com, Inc.(a)      645,726  
  1,668      ServiceNow, Inc.(a)      675,640  
  2,444      Tyler Technologies, Inc.(a)      847,775  
  7,854      Zendesk, Inc.(a)      695,315  
     

 

 

  
        12,100,889  
     

 

 

  
       Specialty Retail — 0.5%  
  4,855      Advance Auto Parts, Inc.      691,595  
  6,070      Best Buy Co., Inc.      529,729  
  4,909      Lowe’s Cos., Inc.      663,304  
  4,780      Murphy USA, Inc.(a)      538,180  
  20,558      Rent-A-Center, Inc.      571,923  

 

  See accompanying notes to financial statements.   |  26

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Specialty Retail — continued  
  3,964      Tractor Supply Co.    $ 522,416  
     

 

 

  
        3,517,147  
     

 

 

  
       Technology Hardware, Storage & Peripherals — 0.3%  
  1,496      Apple, Inc.      545,741  
  37,649      HP, Inc.      656,222  
  16,604      Seagate Technology PLC      803,799  
     

 

 

  
        2,005,762  
     

 

 

  
       Textiles, Apparel & Luxury Goods — 0.1%  
  878      Lululemon Athletica, Inc.(a)      273,945  
  9,262      VF Corp.      564,426  
     

 

 

  
        838,371  
     

 

 

  
       Thrifts & Mortgage Finance — 0.3%  
  47,826      Columbia Financial, Inc.(a)      667,412  
  82,096      Kearny Financial Corp.      671,545  
  65,028      Northwest Bancshares, Inc.      664,912  
  8,091      TFS Financial Corp.      115,782  
     

 

 

  
        2,119,651  
     

 

 

  
       Trading Companies & Distributors — 0.2%  
  18,407      HD Supply Holdings, Inc.(a)      637,802  
  1,805      W.W. Grainger, Inc.      567,059  
     

 

 

  
        1,204,861  
     

 

 

  
       Water Utilities — 0.0%  
  1,859      American Water Works Co., Inc.      239,179  
     

 

 

  
   Total Common Stocks
(Identified Cost $115,625,755)		      120,176,095  
     

 

 

  
     
  Exchange-Traded Funds — 0.7%  
  58,741      iShares® iBoxx $ High Yield Corporate Bond ETF
(Identified Cost $5,048,888)		      4,794,440  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 78.0%  
       Certificates of Deposit — 60.2%  
$ 25,000,000      National Bank of Kuwait (NY), 0.260%, 7/01/2020      25,000,124  
  15,000,000      Norinchukin Bank (NY), 0.100%, 7/02/2020      15,000,008  
  10,000,000      Landesbank Baden-Wuerttemberg (NY), 0.150%, 7/02/2020      10,000,014  
  20,000,000      Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 0.387%, 7/10/2020(b)(c)      20,000,714  
  10,000,000      Sumitomo Mitsui Trust Bank (NY), 1.100%, 7/15/2020      10,004,149  
  5,000,000      DNB Nor Bank ASA (NY), 0.520%, 7/21/2020      5,001,236  
  25,000,000      DZ Bank (NY), 0.680%, 7/21/2020      25,007,755  
  20,000,000      BNP Paribas (NY), 0.760%, 7/21/2020      20,007,347  
  25,000,000      Mizuho Bank Ltd. (NY), 0.840%, 7/21/2020      25,010,496  
  10,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.450%, 7/27/2020      10,002,467  

 

27  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Principal
Amount		      Description    Value (†)  
       Certificates of Deposit — continued  
$ 8,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.260%, 8/05/2020    $ 8,001,120  
  5,000,000      MUFG Bank Ltd. (NY), 0.980%, 8/28/2020      5,005,989  
  25,000,000      Credit Industriel et Commercial (NY), 0.230%, 9/01/2020      25,005,598  
  20,000,000      Bank of Montreal (IL), 0.800%, 9/04/2020(c)      20,022,010  
  25,000,000      Nordea Bank ABP (NY), 0.180%, 9/11/2020      25,002,533  
  5,000,000      Toronto-Dominion Bank (NY), 1.020%, 9/11/2020(c)      5,008,162  
  25,000,000      Oversea-Chinese Banking Corp. Ltd. (NY), 0.260%, 9/16/2020      25,001,298  
  15,000,000      Sumitomo Mitsui Trust Bank (NY), 0.310%, 9/17/2020      15,002,498  
  21,000,000      Svenska Handelsbanken (NY), 0.200%, 9/18/2020      21,002,005  
  25,000,000      Commonwealth Bank of Australia (NY), 0.240%, 9/22/2020      25,002,798  
  25,000,000      Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.338%, 10/13/2020(b)      24,999,666  
  25,000,000      Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.500%, 10/20/2020(b)(c)      25,018,051  
  5,000,000      Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.428%, 6/11/2021(b)      5,000,000  
     

 

 

  
        394,106,038  
     

 

 

  
       Commercial Paper — 7.0%  
  20,000,000      Cooperatieve Rabobank UA, 0.090%, 7/02/2020(d)      19,999,900  
  1,000,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/07/2020(d)      999,977  
  8,000,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/14/2020(d)      7,999,546  
  17,000,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.260%, 7/28/2020(d)      16,997,448  
     

 

 

  
        45,996,871  
     

 

 

  
       Time Deposits — 5.5%  
  30,300,000      Skandinaviska Enskilda Banken (NY), 0.040%, 7/01/2020      30,300,000  
  5,500,000      Canadian Imperial Bank of Commerce, 0.080%, 7/01/2020      5,500,000  
     

 

 

  
        35,800,000  
     

 

 

  
       Treasuries — 5.3%  
  14,500,000      U.S. Treasury Bills, 0.114%-0.135%, 7/09/2020(d)(e)(f)      14,499,630  
  20,000,000      U.S. Treasury Bills, 0.120%, 8/25/2020(d)      19,995,722  
     

 

 

  
        34,495,352  
     

 

 

  
       Repurchase Agreements — 0.0%  
  221,548      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $221,548 on 7/01/2020 collateralized by $226,200 U.S. Treasury Note, 0.125% due 6/30/2022 valued at $226,023 including accrued interest (Note 2 of Notes to Financial Statements)      221,548  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $510,522,195)		      510,619,809  
     

 

 

  
     
   Total Investments — 97.1%
(Identified Cost $631,196,838)		      635,590,344  
   Other assets less liabilities — 2.9%      19,306,933  
     

 

 

  
   Net Assets — 100.0%    $ 654,897,277  
     

 

 

  

 

  See accompanying notes to financial statements.   |  28

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

     
  *      Formerly ASG Global Alternatives Fund.

 

  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Non-income producing security.

 

  (b)      Variable rate security. Rate as of June 30, 2020 is disclosed.

 

  (c)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

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

 

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

 

  (f)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  
  ETF      Exchange-Traded Fund

 

  LIBOR      London Interbank Offered Rate

 

  REITs      Real Estate Investment Trusts

 

  
  CHF      Swiss Franc

 

  NOK      Norwegian Krone

 

  NZD      New Zealand Dollar

 

  PLN      Polish Zloty

 

  SEK      Swedish Krona

 

  SGD      Singapore Dollar

 

  ZAR      South African Rand

 

At June 30, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty    Delivery
Date		      Currency
Bought/
Sold (B/S)		      Units
of
Currency		      In Exchange
for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
UBS AG      9/16/2020        CHF        B        1,500,000      $ 1,580,571      $ 1,586,758      $ 6,187  
UBS AG      9/16/2020        CHF        B        7,000,000        7,431,287        7,404,869        (26,418 ) 
UBS AG      9/16/2020        CHF        S        15,000,000        15,771,511        15,867,576        (96,065 ) 
UBS AG      9/16/2020        NOK        B        20,000,000        2,124,053        2,078,452        (45,601 ) 
UBS AG      9/16/2020        NZD        B        16,900,000        10,979,051        10,904,836        (74,215 ) 
UBS AG      9/16/2020        NZD        S        1,700,000        1,106,657        1,096,936        9,721  
UBS AG      9/16/2020        NZD        S        4,700,000        3,017,568        3,032,706        (15,138 ) 
UBS AG      9/16/2020        PLN        B        3,500,000        889,188        884,874        (4,314 ) 
UBS AG      9/16/2020        PLN        S        3,500,000        889,408        884,874        4,534  
UBS AG      9/16/2020        SEK        B        8,000,000        849,049        859,329        10,280  
UBS AG      9/16/2020        SEK        B        112,000,000        12,158,309        12,030,609        (127,700 ) 
UBS AG      9/16/2020        SEK        S        12,000,000        1,275,227        1,288,994        (13,767 ) 
UBS AG      9/16/2020        SGD        S        4,500,000        3,235,571        3,229,739        5,832  
UBS AG      9/16/2020        ZAR        S        19,500,000        1,153,564        1,115,005        38,559  
                    

 

 

  
Total

 

    $ (328,105 ) 
                    

 

 

  

 

29  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

At June 30, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

     9/30/2020       1,592     $ 351,375,865     $ 351,558,376     $ 182,511  

3 Year Australia Government Bond

     9/15/2020       359       28,991,712       29,001,088       9,376  

5 Year U.S. Treasury Note

     9/30/2020       376       47,078,602       47,279,063       200,461  

10 Year Australia Government Bond

     9/15/2020       57       5,853,279       5,852,696       (583 ) 

10 Year U.S. Treasury Note

     9/21/2020       527       72,998,844       73,343,578       344,734  

AEX-Index®

     7/17/2020       6       757,373       754,385       (2,988 ) 

Canadian Dollar

     9/15/2020       35       2,619,190       2,576,700       (42,490 ) 

DAX

     9/18/2020       40       13,686,556       13,847,694       161,138  

E-mini NASDAQ 100

     9/18/2020       6       1,155,926       1,217,670       61,744  

E-mini S&P MidCap 400®

     9/18/2020       3       525,960       533,730       7,770  

EURO STOXX 50®

     9/18/2020       68       2,425,529       2,462,307       36,778  

Euro-BTP

     9/08/2020       296       46,904,624       47,848,139       943,515  

Euro-Buxl® 30 Year Bond

     9/08/2020       5       1,214,391       1,235,625       21,234  

Eurodollar

     9/14/2020       40       9,972,000       9,973,500       1,500  

FTSE 100 Index

     9/18/2020       118       9,027,727       8,988,497       (39,230 ) 

German Euro BOBL

     9/08/2020       34       5,129,360       5,156,099       26,739  

German Euro Bund

     9/08/2020       123       24,278,163       24,393,378       115,215  

Hang Seng Index®

     7/30/2020       10       1,596,220       1,564,222       (31,998 ) 

Japanese Yen

     9/14/2020       43       5,025,825       4,983,163       (42,662 ) 

MSCI Emerging Markets Index

     9/18/2020       105       5,259,035       5,174,925       (84,110 ) 

MSCI Taiwan Index

     7/30/2020       34       1,467,310       1,471,180       3,870  

Nikkei 225™

     9/10/2020       4       853,549       825,006       (28,543 ) 

OMXS30®

     7/17/2020       43       732,430       768,912       36,482  

S&P/TSX 60 Index

     9/17/2020       6       829,243       820,713       (8,530 ) 

Short-Term Euro-BTP

     9/08/2020       63       7,900,673       7,918,919       18,246  

Sterling

     9/16/2020       394       60,871,698       60,943,318       71,620  

TOPIX

     9/10/2020       19       2,863,857       2,742,440       (121,417 ) 

U.S. Dollar Index

     9/14/2020       120       11,588,460       11,681,880       93,420  

UK Long Gilt

     9/28/2020       303       51,516,746       51,676,590       159,844  
         

 

 

  

Total

 

   $ 2,093,646  
         

 

 

  
Commodity Futures1   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

Brent Crude Oil

     7/31/2020       112     $ 4,663,620     $ 4,622,240     $ (41,380 ) 

Coffee

     9/18/2020       60       2,391,525       2,272,500       (119,025 ) 

Copper LME

     9/16/2020       87       12,230,860       13,091,325       860,465  

Gasoline

     8/31/2020       5       249,354       249,354       —  

Gold

     8/27/2020       89       15,529,690       16,024,450       494,760  

Nickel LME

     9/16/2020       55       4,071,507       4,224,330       152,823  

Soybean

     11/13/2020       95       4,046,813       4,190,688       143,875  

Soybean Oil

     12/14/2020       166       2,914,968       2,869,476       (45,492 ) 

Sugar

     9/30/2020       162       2,105,253       2,170,023       64,770  

Wheat

     9/14/2020       420       10,446,988       10,326,750       (120,238 ) 

Zinc LME

     9/16/2020       152       7,299,800       7,774,800       475,000  
         

 

 

  

Total

 

   $ 1,865,558  
         

 

 

  

 

  See accompanying notes to financial statements.   |  30

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

At June 30, 2020, open short futures contracts were as follows:

 

Financial and Currency Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

10 Year Canada Government Bond

      9/21/2020        806      $ 91,141,514      $ 91,322,127      $ (180,613 ) 

30 Year U.S. Treasury Bond

      9/21/2020        113        20,014,954        20,177,563        (162,609 ) 

Australian Dollar

      9/14/2020        40        2,797,178        2,760,000        37,178  

Brazilian Real

      7/31/2020        52        972,790        955,760        17,030  

British Pound

      9/14/2020        25        1,930,100        1,937,031        (6,931 ) 

E-mini S&P 500®

      9/18/2020        308        47,252,175        47,589,080        (336,905 ) 

Euribor

      9/14/2020        57        16,073,908        16,082,714        (8,806 ) 

Euro

      9/14/2020        324        45,845,142        45,576,675        268,467  

Euro-OAT

      9/08/2020        46        8,654,452        8,664,316        (9,864 ) 

Indian Rupee

      7/29/2020        132        3,451,008        3,485,856        (34,848 ) 

Mexican Peso

      9/14/2020        274        6,224,765        5,901,960        322,805  
              

 

 

  

Total

 

    $ (95,096 ) 
              

 

 

  
Commodity Futures1    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      9/16/2020        79      $ 3,076,625      $ 3,191,600      $ (114,975 ) 

Cocoa

      9/15/2020        173        4,099,530        3,781,780        317,750  

Copper

      9/28/2020        121        7,970,763        8,253,713        (282,950 ) 

Copper LME

      9/16/2020        101        13,528,806        15,197,975        (1,669,169 ) 

Corn

      12/14/2020        665        11,158,325        11,654,125        (495,800 ) 

Cotton

      12/08/2020        11        332,035        334,840        (2,805 ) 

Live Cattle

      8/31/2020        80        3,151,590        3,080,800        70,790  

Low Sulfur Gasoil

      8/12/2020        61        2,231,750        2,167,025        64,725  

Natural Gas

      7/29/2020        24        434,530        420,240        14,290  

New York Harbor ULSD

      7/31/2020        24        1,175,773        1,195,992        (20,219 ) 

Nickel LME

      9/16/2020        16        1,184,448        1,228,896        (44,448 ) 

Soybean Meal

      12/14/2020        76        2,222,380        2,248,840        (26,460 ) 

WTI Crude Oil

      8/20/2020        10        393,400        393,400        —  

Zinc LME

      9/16/2020        141        7,123,964        7,212,150        (88,186 ) 
              

 

 

  

Total

 

    $ (2,277,457 ) 
              

 

 

  

1 Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

Bilateral Equity Basket Total Return Swaps(a)

 

Reference Entity   Counterparty   Expiration
Date		     Notional
Amount		     Unrealized
Appreciation
(Depreciation)		     Value of
Reference
Entities		     Notional
Amount
Net Asset
Percentage		  

Equity Securities Short

   Morgan Stanley Capital Services LLC     5/19/2021     $ (24,190,591 )    $ —     $ (24,190,591 )      (3.7 %) 
     

 

 

    

 

 

    

 

 

    

 

(a)

The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.68% as calculated on the notional amount. See Note 2 of Notes to Financial Statements.

 

31  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of June 30, 2020:

 

Common Stocks – Short    Shares     Value     % of Basket Value  

Aerospace & Defense

       
AeroVironment, Inc.      (2,495 )    $ (198,677 )      (0.8 %) 
Spirit AeroSystems Holdings, Inc.      (4,301 )      (102,966 )      (0.4 %) 
    

 

 

    
    (301,643 )   
    

 

 

    

Auto Components

       
Goodyear Tire & Rubber Co. (The)      (20,017 )      (179,052 )      (0.7 %) 
    

 

 

    

Banks

       
First Horizon National Corp.      (95,439 )      (950,572 )      (3.9 %) 
    

 

 

    

Biotechnology

       
Agios Pharmaceuticals, Inc.      (4,132 )      (220,979 )      (0.9 %) 
Alkermes PLC      (12,848 )      (249,316 )      (1.0 %) 
Bluebird Bio, Inc.      (3,393 )      (207,109 )      (0.9 %) 
Caredx, Inc.      (7,721 )      (273,555 )      (1.1 %) 
Enanta Pharmaceuticals, Inc.      (4,368 )      (219,317 )      (0.9 %) 
Intercept Pharmaceuticals, Inc.      (4,842 )      (231,980 )      (1.0 %) 
Ionis Pharmaceuticals, Inc.      (3,770 )      (222,279 )      (0.9 %) 
Madrigal Pharmaceuticals, Inc.      (2,201 )      (249,263 )      (1.0 %) 
Sarepta Therapeutics, Inc.      (1,390 )      (222,873 )      (0.9 %) 
    

 

 

    
    (2,096,671 )   
    

 

 

    

Building Products

       
Advanced Drainage Systems, Inc.      (9,589 )      (473,697 )      (2.0 %) 
    

 

 

    

Capital Markets

       
Ares Management Corp., Class A      (11,425 )      (453,573 )      (1.9 %) 
Charles Schwab Corp. (The)      (45,649 )      (1,540,197 )      (6.4 %) 
    

 

 

    
    (1,993,770 )   
    

 

 

    

Chemicals

       
DuPont de Nemours, Inc.      (3,822 )      (203,063 )      (0.8 %) 
Ferro Corp.      (19,792 )      (236,316 )      (1.0 %) 
Mosaic Co. (The)      (11,873 )      (148,531 )      (0.6 %) 
Tronox Holdings PLC, Class A      (32,235 )      (232,737 )      (1.0 %) 
    

 

 

    
    (820,647 )   
    

 

 

    

Communications Equipment

       
CommScope Holding Co., Inc.      (17,165 )      (142,984 )      (0.6 %) 
    

 

 

    

Diversified Financial Services

       
Cannae Holdings, Inc.      (11,722 )      (481,774 )      (2.0 %) 
    

 

 

    

Diversified Telecommunication Services

       
Anterix, Inc.      (10,164 )      (460,836 )      (1.9 %) 
    

 

 

    

Energy Equipment & Services

       
Halliburton Co.      (12,880 )      (167,182 )      (0.7 %) 
National Oilwell Varco, Inc.      (12,787 )      (156,641 )      (0.6 %) 
Schlumberger Ltd.      (9,616 )      (176,838 )      (0.7 %) 
    

 

 

    
    (500,661 )   
    

 

 

    

 

  See accompanying notes to financial statements.   |  32

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Common Stocks – Short    Shares     Value     % of Basket Value  

Equity Real Estate Investment Trusts

       
Americold Realty Trust      (12,673 )    $ (460,030 )      (1.9 %) 
Brandywine Realty Trust      (45,292 )      (493,230 )      (2.0 %) 
CyrusOne, Inc.      (6,224 )      (452,796 )      (1.9 %) 
Easterly Government Properties, Inc.      (12,731 )      (294,341 )      (1.2 %) 
Franklin Street Properties      (90,468 )      (460,482 )      (1.9 %) 
Healthcare Trust of America, Inc., Class A      (16,547 )      (438,826 )      (1.8 %) 
Invitation Homes Trust      (15,519 )      (427,238 )      (1.8 %) 
JBG SMITH Properties      (9,092 )      (268,851 )      (1.1 %) 
QTS Realty Trust, Inc., Class A      (6,888 )      (441,452 )      (1.8 %) 
UDR, Inc.      (7,159 )      (267,603 )      (1.1 %) 
UMH Properties, Inc.      (33,194 )      (429,198 )      (1.8 %) 
    

 

 

    
    (4,434,047 )   
    

 

 

    

Food Products

       
Bunge Ltd.      (10,901 )      (448,358 )      (1.9 %) 
Cal-Maine Foods, Inc.      (10,376 )      (461,525 )      (1.9 %) 
Sanderson Farms, Inc.      (3,680 )      (426,475 )      (1.8 %) 
    

 

 

    
    (1,336,358 )   
    

 

 

    

Health Care Equipment & Supplies

       
ABIOMED, Inc.      (936 )      (226,100 )      (0.9 %) 
STAAR Surgical Co.      (4,665 )      (287,084 )      (1.2 %) 
Tandem Diabetes Care, Inc.      (3,177 )      (314,269 )      (1.3 %) 
    

 

 

    
    (827,453 )   
    

 

 

    

Health Care Providers & Services

       
BioTelemetry, Inc.      (5,039 )      (227,713 )      (0.9 %) 
MEDNAX, Inc.      (9,944 )      (170,042 )      (0.7 %) 
R1 RCM, Inc.      (41,236 )      (459,781 )      (1.9 %) 
    

 

 

    
    (857,536 )   
    

 

 

    

Insurance

       
Old Republic International Corp.      (26,135 )      (426,262 )      (1.8 %) 
United Fire Group, Inc.      (17,579 )      (487,114 )      (2.0 %) 
    

 

 

    
    (913,376 )   
    

 

 

    

Interactive Media & Entertainment

       
SINA Corp.      (6,486 )      (232,912 )      (1.0 %) 
    

 

 

    

Internet & Direct Marketing Retail

       
Grubhub, Inc.      (3,038 )      (213,571 )      (0.9 %) 
    

 

 

    

IT Services

       
LiveRamp Holdings, Inc.      (4,518 )      (191,880 )      (0.8 %) 
    

 

 

    

Machinery

       
Greenbrier Cos., Inc. (The)      (8,626 )      (196,242 )      (0.8 %) 
    

 

 

    

Media

       
AMC Networks, Inc., Class A      (8,767 )      (205,060 )      (0.8 %) 
Liberty Broadband Corp., Class A      (3,509 )      (428,765 )      (1.8 %) 
    

 

 

    
    (633,825 )   
    

 

 

    

 

33  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Common Stocks – Short    Shares     Value     % of Basket Value  

Metals & Mining

       
Alcoa Corp.      (15,914 )    $ (178,873 )      (0.7 %) 
Hecla Mining Co.      (145,833 )      (476,874 )      (2.0 %) 
    

 

 

    
    (655,747 )   
    

 

 

    

Oil, Gas & Consumable Fuels

       
Apache Corp.      (13,488 )      (182,088 )      (0.8 %) 
Cabot Oil & Gas Corp.      (12,725 )      (218,615 )      (0.9 %) 
Chevron Corp.      (4,721 )      (421,255 )      (1.7 %) 
Cimarex Energy Co.      (6,785 )      (186,520 )      (0.8 %) 
Exxon Mobil Corp      (5,221 )      (233,483 )      (1.0 %) 
Golar LNG Ltd.      (22,248 )      (161,076 )      (0.7 %) 
PBF Energy, Inc.      (13,539 )      (138,639 )      (0.6 %) 
Renewable Energy Group, Inc.      (19,647 )      (486,853 )      (2.0 %) 
    

 

 

    
    (2,028,529 )   
    

 

 

    

Personal Products

       
Edgewell Personal Care Co.      (7,250 )      (225,910 )      (0.9 %) 
    

 

 

    

Pharmaceuticals

       
Supernus Pharmaceuticals, Inc.      (9,799 )      (232,726 )      (1.0 %) 
    

 

 

    

Professional Services

       
Clarivate PLC      (19,929 )      (445,015 )      (1.8 %) 
Equifax, Inc.      (2,556 )      (439,325 )      (1.8 %) 
    

 

 

    
    (884,340 )   
    

 

 

    

Semiconductors & Semiconductor Equipment

       
Microchip Technology, Inc.      (831 )      (87,513 )      (0.4 %) 
MKS Instruments, Inc.      (2,305 )      (261,018 )      (1.1 %) 
Ultra Clean Holdings, Inc.      (8,966 )      (202,901 )      (0.8 %) 
    

 

 

    
    (551,432 )   
    

 

 

    

Software

       
Teradata Corp.      (10,986 )      (228,509 )      (0.9 %) 
    

 

 

    

Specialty Retail

       
Foot Locker, Inc.      (8,403 )      (245,032 )      (1.0 %) 
L Brands, Inc.      (10,125 )      (151,571 )      (0.6 %) 
National Vision Holdings, Inc.      (6,665 )      (203,416 )      (0.9 %) 
    

 

 

    
    (600,019 )   
    

 

 

    

Technology Hardware, Storage & Peripherals

       
Western Digital Corp.      (3,243 )      (143,178 )      (0.6 %) 
    

 

 

    

Textiles, Apparel & Luxury Goods

       
Capri Holdings Ltd.      (10,296 )      (160,927 )      (0.7 %) 
    

 

 

    

Wireless Telecommunication Services

       
U.S. Cellular Corp.      (7,767 )      (239,767 )      (1.0 %) 
    

 

 

    
Total Common Stocks – Short

 

   $ (24,190,591 )   
    

 

 

    

 

  See accompanying notes to financial statements.   |  34

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund* – (continued)

 

Investment Summary at June 30, 2020 (Unaudited)

 

Certificates of Deposit

      60.2 % 

Common Stocks

      18.4  

Commercial Paper

      7.0  

Time Deposits

      5.5  

Treasuries

      5.3  

Exchange-Traded Funds

      0.7  

Repurchase Agreements

      0.0 * 
  

 

 

  

Total Investments

      97.1  

Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)

      2.9  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

* Less than 0.1%

 

35  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund*

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 91.6% of Net Assets  
       Certificates of Deposit — 66.5%  
$ 22,000,000      DNB Nor Bank ASA (NY), 0.080%, 7/01/2020    $ 21,999,994  
  50,000,000      National Bank of Kuwait (NY), 0.260%, 7/01/2020      50,000,249  
  10,000,000      Norinchukin Bank (NY), 0.100%, 7/02/2020      10,000,006  
  35,000,000      Landesbank Baden-Wuerttemberg (NY), 0.150%, 7/02/2020      35,000,050  
  50,000,000      Cooperatieve Rabobank UA, 1.250%, 7/07/2020      50,011,275  
  30,000,000      Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 0.387%, 7/10/2020(a)(b)      30,001,070  
  13,000,000      Sumitomo Mitsui Banking Corp. (NY), 1.100%, 7/14/2020(b)      13,005,044  
  25,000,000      Mitsubishi UFJ Trust & Banking Corp. (NY), 1.100%, 7/15/2020      25,010,121  
  35,000,000      Sumitomo Mitsui Trust Bank (NY), 1.100%, 7/15/2020      35,014,521  
  32,000,000      DNB Nor Bank ASA (NY), 0.520%, 7/21/2020      32,007,912  
  40,000,000      DZ Bank (NY), 0.680%, 7/21/2020      40,012,408  
  50,000,000      BNP Paribas (NY), 0.760%, 7/21/2020      50,018,368  
  65,000,000      Mizuho Bank Ltd. (NY), 0.840%, 7/21/2020      65,027,290  
  21,000,000      Norinchukin Bank (NY), 0.500%, 7/24/2020      21,004,603  
  15,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.450%, 7/27/2020      15,003,700  
  50,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.260%, 8/05/2020      50,006,997  
  10,500,000      DZ Bank (NY), 0.240%, 8/12/2020      10,500,363  
  25,000,000      MUFG Bank Ltd. (NY), 0.980%, 8/28/2020(b)      25,029,947  
  60,000,000      Credit Industriel et Commercial (NY), 0.230%, 9/01/2020      60,013,435  
  20,000,000      Toronto-Dominion Bank (NY), FEDL01 + 0.360%, 0.440%, 9/04/2020(a)(b)      20,003,194  
  30,000,000      Bank of Montreal (IL), 0.800%, 9/04/2020(b)      30,033,015  
  60,000,000      Bank of Nova Scotia (TX), 0.730%, 9/10/2020      60,065,927  
  50,000,000      Nordea Bank ABP (NY), 0.180%, 9/11/2020      50,005,067  
  16,500,000      Toronto-Dominion Bank (NY), 1.020%, 9/11/2020(b)      16,526,933  
  45,000,000      Oversea-Chinese Banking Corp. Ltd. (NY), 0.260%, 9/16/2020      45,002,336  
  30,000,000      Sumitomo Mitsui Trust Bank (NY), 0.310%, 9/17/2020      30,004,995  
  12,500,000      Svenska Handelsbanken (NY), 0.200%, 9/18/2020      12,501,194  
  46,000,000      Commonwealth Bank of Australia (NY), 0.240%, 9/22/2020      46,005,148  
  50,000,000      Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.338%, 10/13/2020(a)      49,999,332  
  20,500,000      Oversea-Chinese Banking Corp. Ltd. (NY), 0.950%, 10/15/2020(b)      20,541,612  
  30,000,000      Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.500%, 10/20/2020(a)(b)      30,021,662  
  30,000,000      Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.428%, 6/11/2021(a)      29,999,997  
     

 

 

  
        1,079,377,765  
     

 

 

  
       Time Deposits — 8.4%  
  76,000,000      Skandinaviska Enskilda Banken (NY), 0.040%, 7/01/2020      76,000,000  
  60,500,000      Canadian Imperial Bank of Commerce, 0.080%, 7/01/2020      60,500,000  
     

 

 

  
        136,500,000  
     

 

 

  
       Commercial Paper — 7.8%  
  39,200,000      Santander UK PLC, 0.070%, 7/01/2020(c)      39,199,880  
  20,000,000      Cooperatieve Rabobank UA, 0.090%, 7/02/2020(c)      19,999,900  
  20,100,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/07/2020(c)      20,099,531  

 

  See accompanying notes to financial statements.   |  36

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund* – (continued)

 

Principal
Amount		      Description    Value (†)  
       Commercial Paper — continued  
$ 22,560,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/14/2020(c)    $ 22,558,719  
  24,750,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.260%, 7/28/2020(c)      24,746,285  
     

 

 

  
        126,604,315  
     

 

 

  
       Treasuries — 5.8%  
  21,000,000      U.S. Treasury Bills, 0.085%, 7/09/2020(c)(d)      20,999,463  
  56,000,000      U.S. Treasury Bills, 0.123%-0.145%, 8/06/2020(c)(d)(e)      55,993,280  
  17,500,000      U.S. Treasury Bills, 0.120%, 8/25/2020(c)      17,496,257  
     

 

 

  
        94,489,000  
     

 

 

  
       Other Notes — 3.1%  
  50,000,000      Bank of America NA, 1-month LIBOR + 0.150%, 0.325%, 7/08/2020(a)      49,999,750  
     

 

 

  
       Repurchase Agreements — 0.0%  
  266,702      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, 6/30/2020 at 0.125% to be repurchased at $266,702 on 7/01/2020 collateralized by $272,300 U.S. Treasury Note, 0.000% due 6/30/2022 valued at $272,087 including accrued interest (Note 2 of Notes to Financial Statements)      266,702  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $1,486,872,084)		      1,487,237,532  
     

 

 

  
     
   Total Investments — 91.6%
(Identified Cost $1,486,872,084)		      1,487,237,532  
   Other assets less liabilities — 8.4%      135,844,688  
     

 

 

  
   Net Assets — 100.0%    $ 1,623,082,220  
     

 

 

  
  
  *      Formerly ASG Managed Futures Strategy Fund.

 

  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Variable rate security. Rate as of June 30, 2020 is disclosed.

 

  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

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

 

  (d)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

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

 

  
  FEDL01      Federal Funds Rate

 

  LIBOR      London Interbank Offered Rate

 

  
  CHF      Swiss Franc

 

  CNH      Chinese Yuan Renminbi Offshore

 

  MXN      Mexican Peso

 

  NOK      Norwegian Krone

 

  NZD      New Zealand Dollar

 

 

37  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund* – (continued)

 

     
  PLN      Polish Zloty

 

  SEK      Swedish Krona

 

  SGD      Singapore Dollar

 

  TRY      Turkish Lira

 

  ZAR      South African Rand

 

At June 30, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty    Delivery
Date		      Currency
Bought/
Sold (B/S)		    Units
of
Currency		      In Exchange
for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
UBS AG      9/16/2020      CHF      B        20,750,000      $ 21,936,101      $ 21,950,146      $ 14,045  
UBS AG      9/16/2020      CHF      B        65,500,000        69,589,695        69,288,413        (301,282 ) 
UBS AG      9/16/2020      CNH      B        167,000,000        23,547,153        23,525,251        (21,902 ) 
UBS AG      9/16/2020      CNH      S        298,000,000        41,900,612        41,979,190        (78,578 ) 
UBS AG      9/17/2020      MXN      S        302,500,000        13,655,994        13,028,685        627,309  
UBS AG      9/17/2020      MXN      S        105,000,000        4,505,300        4,522,353        (17,053 ) 
UBS AG      9/16/2020      NOK      S        188,000,000        20,041,232        19,537,450        503,782  
UBS AG      9/16/2020      NOK      S        56,000,000        5,748,465        5,819,666        (71,201 ) 
UBS AG      9/16/2020      NZD      B        18,400,000        11,840,414        11,872,721        32,307  
UBS AG      9/16/2020      NZD      B        102,300,000        66,426,021        66,009,749        (416,272 ) 
UBS AG      9/16/2020      NZD      S        22,100,000        14,141,305        14,260,171        (118,866 ) 
UBS AG      9/16/2020      PLN      B        92,500,000        23,608,670        23,385,956        (222,714 ) 
UBS AG      9/16/2020      PLN      S        134,500,000        34,178,686        34,004,444        174,242  
UBS AG      9/16/2020      SEK      B        20,000,000        2,148,112        2,148,323        211  
UBS AG      9/16/2020      SEK      B        666,000,000        72,289,123        71,539,154        (749,969 ) 
UBS AG      9/16/2020      SEK      S        82,000,000        8,745,071        8,808,124        (63,053 ) 
UBS AG      9/16/2020      SGD      B        14,750,000        10,577,579        10,586,368        8,789  
UBS AG      9/16/2020      SGD      B        63,750,000        45,934,706        45,754,639        (180,067 ) 
UBS AG      9/16/2020      SGD      S        174,125,000        125,198,628        124,972,966        225,662  
UBS AG      9/16/2020      TRY      S        180,600,000        25,673,700        25,800,700        (127,000 ) 
UBS AG      9/16/2020      ZAR      B        104,000,000        6,028,046        5,946,692        (81,354 ) 
UBS AG      9/16/2020      ZAR      S        905,000,000        53,537,181        51,747,659        1,789,522  
                    

 

 

  
Total

 

    $ 926,558  
                    

 

 

  

At June 30, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

     9/30/2020       4,849     $ 1,070,305,189     $ 1,070,795,583     $ 490,394  

3 Year Australia Government Bond

     9/15/2020       6,783       547,775,445       547,950,912       175,467  

5 Year U.S. Treasury Note

     9/30/2020       7,193       901,614,474       904,463,558       2,849,084  

10 Year Australia Government Bond

     9/15/2020       1,861       189,264,567       191,085,394       1,820,827  

10 Year Canada Government Bond

     9/21/2020       2,553       288,471,848       289,262,272       790,424  

10 Year U.S. Treasury Note

     9/21/2020       3,371       467,362,007       469,148,391       1,786,384  

30 Year U.S. Treasury Bond

     9/21/2020       747       132,668,266       133,386,188       717,922  

AEX-Index®

     7/17/2020       154       19,351,572       19,362,549       10,977  

 

  See accompanying notes to financial statements.   |  38

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund* – (continued)

 

Financial and Currency Futures   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

Australian Dollar

     9/14/2020       2,000     $ 139,112,370     $ 138,000,000     $ (1,112,370 ) 

DAX

     9/18/2020       39       13,367,749       13,501,502       133,753  

E-mini Dow

     9/18/2020       129       16,454,350       16,569,405       115,055  

E-mini NASDAQ 100

     9/18/2020       436       84,674,719       88,484,020       3,809,301  

E-mini Russell 2000

     9/18/2020       117       7,919,145       8,409,960       490,815  

E-mini S&P 500®

     9/18/2020       259       40,846,470       40,018,090       (828,380 ) 

E-mini S&P MidCap 400®

     9/18/2020       58       10,168,950       10,318,780       149,830  

Euribor

     9/14/2020       367       103,550,104       103,550,104       —  

Euro

     9/14/2020       588       83,427,563       82,713,225       (714,338 ) 

EURO STOXX 50®

     9/18/2020       46       1,638,029       1,665,678       27,649  

Euro-BTP

     9/08/2020       533       85,014,965       86,158,980       1,144,015  

Euro-Buxl® 30 Year Bond

     9/08/2020       273       66,459,763       67,465,115       1,005,352  

Euro-OAT

     9/08/2020       1,339       249,975,350       252,206,946       2,231,596  

Eurodollar

     9/14/2020       10,673       2,659,087,763       2,661,179,138       2,091,375  

FTSE China A50 Index

     7/30/2020       4,213       57,462,340       57,728,632       266,292  

FTSE/JSE Top 40 Index

     9/17/2020       80       2,368,815       2,318,605       (50,210 ) 

German Euro BOBL

     9/08/2020       1,945       294,066,046       294,959,194       893,148  

German Euro Bund

     9/08/2020       1,061       208,618,051       210,417,673       1,799,622  

MSCI EAFE Index

     9/18/2020       85       7,561,375       7,558,200       (3,175 ) 

MSCI Emerging Markets Index

     9/18/2020       380       18,952,735       18,728,300       (224,435 ) 

MSCI Taiwan Index

     7/30/2020       837       36,159,820       36,216,990       57,170  

Nikkei 225™

     9/10/2020       115       24,404,047       23,718,916       (685,131 ) 

OMXS30®

     7/17/2020       1,153       19,789,634       20,617,569       827,935  

S&P/TSX 60 Index

     9/17/2020       76       10,474,661       10,395,698       (78,963 ) 

Short-Term Euro-BTP

     9/08/2020       1,853       232,222,035       232,916,785       694,750  

Sterling

     9/16/2020       7,578       1,170,387,595       1,172,153,460       1,765,865  

TOPIX

     9/10/2020       99       14,922,204       14,289,558       (632,646 ) 

UK Long Gilt

     9/28/2020       1,824       310,411,654       311,082,838       671,184  

Ultra Long U.S. Treasury Bond

     9/21/2020       305       66,186,914       66,537,656       350,742  
         

 

 

  

Total

 

   $ 22,837,280  
         

 

 

  
Commodity Futures1   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

     9/16/2020       133     $ 5,243,881     $ 5,373,200     $ 129,319  

Copper

     9/28/2020       1,185       79,005,500       80,831,813       1,826,313  

Copper LME

     9/16/2020       410       59,933,236       61,694,750       1,761,514  

Gold

     8/27/2020       657       114,170,390       118,292,850       4,122,460  

Nickel LME

     9/16/2020       147       11,310,795       11,290,482       (20,313 ) 

Platinum

     10/28/2020       56       2,345,740       2,383,360       37,620  

Silver

     9/28/2020       206       18,682,870       19,196,110       513,240  

Zinc LME

     9/16/2020       31       1,600,455       1,585,650       (14,805 ) 
         

 

 

  

Total

 

   $ 8,355,348  
         

 

 

  

 

39  |   See accompanying notes to financial statements.  

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund* – (continued)

 

At June 30, 2020, open short futures contracts were as follows:

 

Financial and Currency Futures   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

ASX SPI 200™

     9/17/2020       48     $ 4,799,784     $ 4,879,284     $ (79,500 ) 

Brazilian Real

     7/31/2020       365       6,807,230       6,708,700       98,530  

British Pound

     9/14/2020       620       48,292,378       48,038,375       254,003  

CAC 40®

     7/17/2020       130       7,094,619       7,176,410       (81,791 ) 

Canadian Dollar

     9/15/2020       1,303       96,364,404       95,926,860       437,544  

Euro Schatz

     9/08/2020       3,813       479,616,600       480,396,977       (780,377 ) 

FTSE 100 Index

     9/18/2020       124       9,492,824       9,445,540       47,284  

FTSE MIB

     9/18/2020       44       4,762,964       4,767,660       (4,696 ) 

Hang Seng China Enterprises Index

     7/30/2020       69       4,400,580       4,294,639       105,941  

Hang Seng Index®

     7/30/2020       51       8,144,339       7,977,530       166,809  

IBEX 35

     7/17/2020       104       8,556,921       8,424,215       132,706  

Indian Rupee

     7/29/2020       1,685       44,052,640       44,497,480       (444,840 ) 

Japanese Yen

     9/14/2020       393       45,672,412       45,543,788       128,624  

MSCI Singapore

     7/29/2020       418       9,046,645       8,873,802       172,843  
         

 

 

  

Total

 

   $ 153,080  
         

 

 

  
Commodity Futures1   Expiration
Date		     Contracts     Notional
Amount		     Value     Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

     9/16/2020       1,154     $ 44,277,538     $ 46,621,600     $ (2,344,062 ) 

Brent Crude Oil

     7/31/2020       398       16,636,320       16,425,460       210,860  

Cocoa

     9/15/2020       404       9,409,490       8,831,440       578,050  

Coffee

     9/18/2020       669       24,822,900       25,338,375       (515,475 ) 

Copper LME

     9/16/2020       91       12,135,987       13,693,225       (1,557,238 ) 

Corn

     12/14/2020       3,358       55,766,437       58,848,950       (3,082,513 ) 

Cotton

     12/08/2020       338       9,838,685       10,288,720       (450,035 ) 

Gasoline

     8/31/2020       59       2,942,377       2,942,377       —  

Lean Hog

     8/14/2020       564       12,396,650       11,060,040       1,336,610  

Live Cattle

     8/31/2020       533       20,706,880       20,525,830       181,050  

Low Sulfur Gasoil

     8/12/2020       502       18,366,825       17,833,550       533,275  

Natural Gas

     7/29/2020       3,239       57,575,520       56,714,890       860,630  

New York Harbor ULSD

     7/31/2020       307       14,243,548       15,298,731       (1,055,183 ) 

Nickel LME

     9/16/2020       215       15,939,131       16,513,290       (574,159 ) 

Soybean

     11/13/2020       993       42,419,013       43,803,713       (1,384,700 ) 

Soybean Meal

     12/14/2020       1,440       42,618,650       42,609,600       9,050  

Soybean Oil

     12/14/2020       1,010       17,142,948       17,458,860       (315,912 ) 

Sugar

     9/30/2020       606       7,430,237       8,117,491       (687,254 ) 

Wheat

     9/14/2020       2,121       52,766,013       52,150,088       615,925  

WTI Crude Oil

     8/20/2020       392       15,421,280       15,421,280       —  

Zinc LME

     9/16/2020       231       11,103,025       11,815,650       (712,625 ) 
         

 

 

  

Total

 

   $ (8,353,706 ) 
         

 

 

  

1 Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

 

  See accompanying notes to financial statements.   |  40

Table of Contents

Consolidated Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund* – (continued)

 

Investment Summary at June 30, 2020 (Unaudited)

 

Certificates of Deposit

      66.5 % 

Time Deposits

      8.4  

Commercial Paper

      7.8  

Treasuries

      5.8  

Other Notes

      3.1  

Repurchase Agreements

      0.0 * 
  

 

 

  

Total Investments

      91.6  

Other assets less liabilities (including forward foreign currency and futures contracts)

      8.4  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

*

Less than 0.1%

 

41  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Multi-Asset Fund*

 

Shares      Description        
Value (†)		  
  Exchange-Traded Funds — 30.0% of Net Assets  
  12,511      iShares® Core U.S. Aggregate Bond ETF    $ 1,478,925  
  6,965      iShares® Edge MSCI Minimum Volatility Emerging Markets ETF      362,180  
  4,958      iShares® JP Morgan USD Emerging Markets Bond ETF      541,513  
  25,588      SPDR® Bloomberg Barclays International Treasury Bond ETF      739,749  
  3,312      Vanguard FTSE All World ex-U.S. Small-Cap ETF      320,006  
  19,676      Vanguard FTSE Developed Markets ETF      763,232  
  9,818      Vanguard FTSE Emerging Markets ETF      388,891  
  15,218      Vanguard FTSE Europe ETF      765,922  
  11,999      Vanguard FTSE Pacific ETF      763,736  
  7,940      Vanguard Intermediate-Term Corporate Bond ETF      755,412  
  5,941      Vanguard Mid-Cap ETF      973,789  
  12,606      Vanguard Total International Bond ETF      727,744  
  7,261      Vanguard Total Stock Market ETF      1,136,564  
  10,738      Vanguard Value ETF      1,069,398  
     

 

 

  
   Total Exchange-Traded Funds
(Identified Cost $9,859,108)		      10,787,061  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 66.3%  
       Certificates of Deposit — 42.9%  
$ 1,500,000      National Bank of Kuwait (NY), 0.260%, 7/01/2020      1,500,007  
  500,000      Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 0.387%, 7/10/2020(a)(b)      500,018  
  1,000,000      Mizuho Bank Ltd. (NY), 0.840%, 7/21/2020      1,000,420  
  1,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.260%, 8/05/2020      1,000,140  
  1,000,000      DZ Bank (NY), 0.240%, 8/12/2020(b)      1,000,035  
  1,400,000      Credit Industriel et Commercial (NY), 0.230%, 9/01/2020(b)      1,400,313  
  1,300,000      Nordea Bank ABP (NY), 0.180%, 9/11/2020      1,300,132  
  1,000,000      Oversea-Chinese Banking Corp. Ltd. (NY), 0.260%, 9/16/2020      1,000,052  
  1,400,000      Sumitomo Mitsui Trust Bank (NY), 0.310%, 9/17/2020(b)      1,400,233  
  1,500,000      Svenska Handelsbanken (NY), 0.200%, 9/18/2020      1,500,143  
  1,000,000      Commonwealth Bank of Australia (NY), 0.240%, 9/22/2020      1,000,112  
  1,300,000      Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.338%, 10/13/2020(a)      1,299,983  
  1,000,000      Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.500%, 10/20/2020(a)(b)      1,000,722  
  500,000      Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.428%, 6/11/2021(a)      500,000  
     

 

 

  
        15,402,310  
     

 

 

  
       Commercial Paper — 11.1%       
  1,600,000      Santander UK PLC, 0.070%, 7/01/2020(c)      1,599,995  
  1,000,000      Cooperatieve Rabobank UA, 0.090%, 7/02/2020(c)      999,995  
  400,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/07/2020(c)      399,991  
  1,000,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/14/2020(c)      999,943  
     

 

 

  
        3,999,924  
     

 

 

  

 

  See accompanying notes to financial statements.   |  42

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Multi-Asset Fund* – (continued)

 

Principal
Amount		      Description    Value (†)  
       Treasuries — 5.6%       
$ 500,000      U.S. Treasury Bills, 0.135%, 7/09/2020(c)(d)    $ 499,987  
  1,500,000      U.S. Treasury Bills, 0.120%, 8/25/2020(c)      1,499,679  
     

 

 

  
        1,999,666  
     

 

 

  
       Other Notes — 1.4%       
  500,000      Bank of America NA, 1-month LIBOR + 0.150%, 0.325%, 7/08/2020(a)(b)      499,998  
     

 

 

  
       Repurchase Agreements — 5.3%       
  1,901,256      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, 6/30/2020 at 0.000% to be repurchased at $1,901,256 on 7/01/2020 collateralized by $1,940,800 U.S. Treasury Note, 0.125% due 6/30/2022 valued at $1,939,284 including accrued interest (Note 2 of Notes to Financial Statements)      1,901,256  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $23,800,894)		      23,803,154  
     

 

 

  
     
   Total Investments — 96.3%
(Identified Cost $33,660,002)		      34,590,215  
   Other assets less liabilities — 3.7%      1,333,248  
     

 

 

  
   Net Assets — 100.0%    $ 35,923,463  
     

 

 

  
     
  *      Formerly ASG Dynamic Allocation Fund.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Variable rate security. Rate as of June 30, 2020 is disclosed.   
  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (c)      Interest rate represents discount rate at time of purchase; not a coupon rate.   
  (d)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  
  ETF      Exchange-Traded Fund   
  LIBOR      London Interbank Offered Rate   
  SPDR®      Standard & Poor’s Depositary Receipt   

At June 30, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

10 Year Australia Government Bond

      9/15/2020        52      $ 5,270,188      $ 5,339,301      $ 69,113  

10 Year Canada Government Bond

      9/21/2020        22        2,472,149        2,492,663        20,514  

10 Year U.S. Treasury Note

      9/21/2020        104        14,420,781        14,473,875        53,094  

30 Year U.S. Treasury Bond

      9/21/2020        23        4,081,563        4,106,938        25,375  

ASX SPI 200™

      9/17/2020        3        300,038        304,955        4,917  

Australian Dollar

      9/14/2020        4        274,320        276,000        1,680  

E-mini Dow

      9/18/2020        3        381,060        385,335        4,275  

E-mini NASDAQ 100

      9/18/2020        5        963,271        1,014,725        51,454  

E-mini Russell 2000

      9/18/2020        1        67,685        71,880        4,195  

E-mini S&P 500®

      9/18/2020        5        788,422        772,550        (15,872 ) 

 

43  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Multi-Asset Fund* – (continued)

 

Financial and Currency Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

EURO STOXX 50®

      9/18/2020        25      $ 890,233      $ 905,260      $ 15,027  

Euro-BTP

      9/08/2020        39        6,188,292        6,304,316        116,024  

FTSE 100 Index

      9/18/2020        7        534,071        533,216        (855 ) 

German Euro Bund

      9/08/2020        2        394,382        396,640        2,258  

Hang Seng Index®

      7/30/2020        2        319,244        312,844        (6,400 ) 

MSCI EAFE Index

      9/18/2020        4        350,390        355,680        5,290  

MSCI Emerging Markets Index

      9/18/2020        6        301,170        295,710        (5,460 ) 

New Zealand Dollar

      9/14/2020        11        713,740        710,050        (3,690 ) 

S&P/TSX 60 Index

      9/17/2020        4        552,829        547,142        (5,687 ) 

TOPIX

      9/10/2020        6        904,376        866,034        (38,342 ) 

U.S. Dollar Index

      9/14/2020        7        676,016        681,443        5,427  

UK Long Gilt

      9/28/2020        77        13,082,040        13,132,335        50,295  
              

 

 

  

Total

 

    $ 352,632  
  

 

 

  

At June 30, 2020, open short futures contracts were as follows:

 

Financial and Currency Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

British Pound

      9/14/2020        17      $ 1,334,265      $ 1,317,181      $ 17,084  

Canadian Dollar

      9/15/2020        4        293,470        294,480        (1,010 ) 

Euro

      9/14/2020        30        4,244,168        4,220,063        24,105  

Euro-OAT

      9/08/2020        1        187,568        188,354        (786 ) 

Japanese Yen

      9/14/2020        13        1,502,426        1,506,537        (4,111 ) 
              

 

 

  

Total

 

    $ 35,282  
              

 

 

  

Investment Summary at June 30, 2020 (Unaudited)

 

Certificates of Deposit

      42.9 % 

Exchange-Traded Funds

      30.0  

Commercial Paper

      11.1  

Treasuries

      5.6  

Repurchase Agreements

      5.3  

Other Notes

      1.4  
  

 

 

  

Total Investments

      96.3  

Other assets less liabilities (including futures contracts)

      3.7  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

  See accompanying notes to financial statements.   |  44

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund*

 

Shares      Description        
Value (†)		  
  Common Stocks — 68.0% of Net Assets  
       Aerospace & Defense — 0.7%  
  1,629      General Dynamics Corp.    $ 243,470  
  340      Lockheed Martin Corp.      124,073  
  1,103      Northrop Grumman Corp.      339,106  
  4,070      Raytheon Technologies Corp.      250,794  
     

 

 

  
        957,443  
     

 

 

  
       Air Freight & Logistics — 0.3%  
  3,819      United Parcel Service, Inc., Class B      424,596  
     

 

 

  
       Banks — 1.8%  
  24,223      Bank of America Corp.      575,296  
  13,535      JPMorgan Chase & Co.      1,273,102  
  25,105      KeyCorp      305,779  
  5,249      U.S. Bancorp      193,268  
     

 

 

  
        2,347,445  
     

 

 

  
       Beverages — 1.2%  
  16,590      Coca-Cola Co. (The)      741,241  
  1,498      Constellation Brands, Inc., Class A      262,075  
  4,465      PepsiCo, Inc.      590,541  
     

 

 

  
        1,593,857  
     

 

 

  
       Biotechnology — 1.5%  
  7,117      AbbVie, Inc.      698,747  
  3,256      Amgen, Inc.      767,960  
  1,688      Vertex Pharmaceuticals, Inc.(a)      490,044  
     

 

 

  
        1,956,751  
     

 

 

  
       Building Products — 0.3%  
  7,715      Carrier Global Corp.      171,427  
  2,965      Fortune Brands Home & Security, Inc.      189,553  
     

 

 

  
        360,980  
     

 

 

  
       Capital Markets — 2.9%  
  1,620      BlackRock, Inc.      881,426  
  2,433      Cboe Global Markets, Inc.      226,950  
  4,308      CME Group, Inc.      700,222  
  1,326      Moody’s Corp.      364,292  
  2,069      MSCI, Inc.      690,674  
  3,172      Northern Trust Corp.      251,666  
  1,764      S&P Global, Inc.      581,203  
     

 

 

  
        3,696,433  
     

 

 

  
       Chemicals — 1.5%  
  1,652      Air Products & Chemicals, Inc.      398,892  
  3,219      Corteva, Inc.      86,237  
  2,958      Dow, Inc.      120,568  
  1,176      Eastman Chemical Co.      81,897  
  1,961      Ecolab, Inc.      390,141  

 

45  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Chemicals — continued  
  2,638      Linde PLC    $ 559,546  
  418      Sherwin-Williams Co. (The)      241,541  
     

 

 

  
        1,878,822  
     

 

 

  
       Commercial Services & Supplies — 1.2%  
  2,517      Cintas Corp.      670,428  
  7,957      Waste Management, Inc.      842,726  
     

 

 

  
        1,513,154  
     

 

 

  
       Communications Equipment — 0.0%  
  144      Cisco Systems, Inc.      6,716  
     

 

 

  
       Construction & Engineering — 0.1%  
  1,883      Jacobs Engineering Group, Inc.      159,678  
     

 

 

  
       Containers & Packaging — 0.2%  
  588      Avery Dennison Corp.      67,085  
  2,735      Ball Corp.      190,055  
     

 

 

  
        257,140  
     

 

 

  
       Diversified Financial Services — 0.6%  
  4,241      Berkshire Hathaway, Inc., Class B(a)      757,061  
     

 

 

  
       Diversified Telecommunication Services — 1.3%  
  7,726      AT&T, Inc.      233,557  
  27,126      Verizon Communications, Inc.      1,495,456  
     

 

 

  
        1,729,013  
     

 

 

  
       Electric Utilities — 1.2%  
  3,056      Alliant Energy Corp.      146,199  
  2,699      American Electric Power Co., Inc.      214,948  
  3,845      Duke Energy Corp.      307,177  
  2,288      Edison International      124,261  
  2,183      NextEra Energy, Inc.      524,291  
  2,687      Xcel Energy, Inc.      167,938  
     

 

 

  
        1,484,814  
     

 

 

  
       Energy Equipment & Services — 0.5%  
  16,445      Baker Hughes Co.      253,089  
  27,384      Halliburton Co.      355,444  
     

 

 

  
        608,533  
     

 

 

  
       Entertainment — 1.6%  
  2,941      Netflix, Inc.(a)      1,338,273  
  6,562      Walt Disney Co. (The)      731,728  
     

 

 

  
        2,070,001  
     

 

 

  
       Food & Staples Retailing — 1.7%  
  4,810      Costco Wholesale Corp.      1,458,440  
  6,091      Walmart, Inc.      729,580  
     

 

 

  
        2,188,020  
     

 

 

  

 

  See accompanying notes to financial statements.   |  46

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Food Products — 0.5%  
  1,356      McCormick & Co., Inc.    $ 243,280  
  8,150      Mondelez International, Inc., Class A      416,709  
     

 

 

  
        659,989  
     

 

 

  
       Health Care Equipment & Supplies — 1.2%  
  1      Becton Dickinson & Co.      239  
  1,118      Cooper Cos., Inc. (The)      317,110  
  7,263      Danaher Corp.      1,284,316  
     

 

 

  
        1,601,665  
     

 

 

  
       Health Care Providers & Services — 1.7%  
  1,684      Anthem, Inc.      442,858  
  3,136      Centene Corp.(a)      199,293  
  5,080      UnitedHealth Group, Inc.      1,498,346  
     

 

 

  
        2,140,497  
     

 

 

  
       Hotels, Restaurants & Leisure — 0.7%  
  175      Chipotle Mexican Grill, Inc.(a)      184,163  
  1,260      Marriott International, Inc., Class A      108,020  
  2,978      McDonald’s Corp.      549,352  
  1,333      Wynn Resorts Ltd.      99,295  
     

 

 

  
        940,830  
     

 

 

  
       Household Durables — 0.3%  
  2,657      DR Horton, Inc.      147,331  
  1,460      Garmin Ltd.      142,350  
  918      Whirlpool Corp.      118,908  
     

 

 

  
        408,589  
     

 

 

  
       Household Products — 1.3%  
  2,242      Church & Dwight Co., Inc.      173,307  
  2,184      Kimberly-Clark Corp.      308,708  
  9,689      Procter & Gamble Co. (The)      1,158,514  
     

 

 

  
        1,640,529  
     

 

 

  
       Industrial Conglomerates — 0.9%  
  2,794      3M Co.      435,836  
  30,495      General Electric Co.      208,281  
  3,278      Honeywell International, Inc.      473,966  
     

 

 

  
        1,118,083  
     

 

 

  
       Insurance — 1.8%  
  4,030      Aon PLC, Class A      776,178  
  3,465      Assurant, Inc.      357,900  
  3,008      Globe Life, Inc.      223,284  
  3,635      Marsh & McLennan Cos., Inc.      390,290  
  2,881      Willis Towers Watson PLC      567,413  
     

 

 

  
        2,315,065  
     

 

 

  
       Interactive Media & Services — 3.5%  
  979      Alphabet, Inc., Class A(a)      1,388,271  

 

47  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Interactive Media & Services — continued  
  1,004      Alphabet, Inc., Class C(a)    $ 1,419,265  
  7,731      Facebook, Inc., Class A(a)      1,755,478  
     

 

 

  
        4,563,014  
     

 

 

  
       Internet & Direct Marketing Retail — 4.0%  
  1,779      Amazon.com, Inc.(a)      4,907,941  
  127      Booking Holdings, Inc.(a)      202,227  
     

 

 

  
        5,110,168  
     

 

 

  
       IT Services — 3.6%  
  3,160      Accenture PLC, Class A      678,515  
  2,856      Akamai Technologies, Inc.(a)      305,849  
  2,884      Automatic Data Processing, Inc.      429,399  
  3,583      MasterCard, Inc., Class A      1,059,493  
  5,236      PayPal Holdings, Inc.(a)      912,268  
  6,774      Visa, Inc., Class A      1,308,534  
     

 

 

  
        4,694,058  
     

 

 

  
       Life Sciences Tools & Services — 1.6%  
  3,966      Agilent Technologies, Inc.      350,475  
  4,031      Thermo Fisher Scientific, Inc.      1,460,593  
  994      Waters Corp.(a)      179,318  
     

 

 

  
        1,990,386  
     

 

 

  
       Machinery — 0.9%  
  2,367      Deere & Co.      371,974  
  2,552      Fortive Corp.      172,668  
  2,761      Illinois Tool Works, Inc.      482,761  
  3,207      Otis Worldwide Corp.      182,350  
     

 

 

  
        1,209,753  
     

 

 

  
       Media — 0.8%  
  649      Charter Communications, Inc., Class A(a)      331,016  
  16,931      Comcast Corp., Class A      659,970  
     

 

 

  
        990,986  
     

 

 

  
       Metals & Mining — 0.2%  
  2,873      Newmont Corp.      177,379  
  1,825      Nucor Corp.      75,573  
     

 

 

  
        252,952  
     

 

 

  
       Multi-Utilities — 1.0%  
  2,749      CMS Energy Corp.      160,597  
  7,422      Consolidated Edison, Inc.      533,864  
  3,415      Dominion Energy, Inc.      277,230  
  3,100      Public Service Enterprise Group, Inc.      152,396  
  1,549      Sempra Energy      181,589  
     

 

 

  
        1,305,676  
     

 

 

  
       Multiline Retail — 0.4%  
  1,330      Dollar General Corp.      253,378  

 

  See accompanying notes to financial statements.   |  48

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Multiline Retail — continued  
  2,460      Target Corp.    $ 295,028  
     

 

 

  
        548,406  
     

 

 

  
       Oil, Gas & Consumable Fuels — 1.5%  
  4,492      Concho Resources, Inc.      231,338  
  6,587      EOG Resources, Inc.      333,698  
  18,507      Exxon Mobil Corp.      827,633  
  2,932      Pioneer Natural Resources Co.      286,456  
  15,686      Williams Cos., Inc. (The)      298,348  
     

 

 

  
        1,977,473  
     

 

 

  
       Pharmaceuticals — 3.9%  
  4,820      Eli Lilly & Co.      791,348  
  12,858      Johnson & Johnson      1,808,221  
  20,965      Merck & Co., Inc.      1,621,223  
  2,634      Pfizer, Inc.      86,132  
  4,958      Zoetis, Inc.      679,444  
     

 

 

  
        4,986,368  
     

 

 

  
       Professional Services — 0.2%  
  1,313      Verisk Analytics, Inc.      223,473  
     

 

 

  
       REITs – Apartments — 0.1%  
  1,111      AvalonBay Communities, Inc.      171,805  
     

 

 

  
       REITs – Diversified — 1.6%  
  4,568      American Tower Corp.      1,181,011  
  1,616      Crown Castle International Corp.      270,438  
  4,191      Duke Realty Corp.      148,319  
  346      Equinix, Inc.      242,996  
  734      SBA Communications Corp.      218,673  
     

 

 

  
        2,061,437  
     

 

 

  
       REITs – Health Care — 0.1%  
  3,880      Ventas, Inc.      142,086  
     

 

 

  
       REITs – Hotels — 0.1%  
  5,916      Host Hotels & Resorts, Inc.      63,834  
     

 

 

  
       REITs – Office Property — 0.1%  
  916      Alexandria Real Estate Equities, Inc.      148,621  
     

 

 

  
       Road & Rail — 0.5%  
  3,588      Union Pacific Corp.      606,623  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 3.0%  
  7,892      Advanced Micro Devices, Inc.(a)      415,198  
  3,020      Analog Devices, Inc.      370,373  
  17,965      Intel Corp.      1,074,846  
  1,203      Lam Research Corp.      389,122  
  2,644      NVIDIA Corp.      1,004,482  
  6,232      QUALCOMM, Inc.      568,421  
     

 

 

  
        3,822,442  
     

 

 

  

 

49  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Shares      Description        
Value (†)		  
       Software — 7.6%  
  2,129      Adobe, Inc.(a)    $ 926,775  
  1,067      ANSYS, Inc.(a)      311,276  
  32,382      Microsoft Corp.      6,590,061  
  11,152      Oracle Corp.      616,371  
  7,028      salesforce.com, Inc.(a)      1,316,555  
     

 

 

  
        9,761,038  
     

 

 

  
       Specialty Retail — 1.6%  
  160      AutoZone, Inc.(a)      180,499  
  3,978      Home Depot, Inc. (The)      996,529  
  3,242      Lowe’s Cos., Inc.      438,059  
  469      O’Reilly Automotive, Inc.(a)      197,763  
  4,486      TJX Cos., Inc. (The)      226,812  
     

 

 

  
        2,039,662  
     

 

 

  
       Technology Hardware, Storage & Peripherals — 4.2%  
  14,227      Apple, Inc.      5,190,009  
  6,099      Western Digital Corp.      269,271  
     

 

 

  
        5,459,280  
     

 

 

  
       Textiles, Apparel & Luxury Goods — 0.4%  
  5,060      NIKE, Inc., Class B      496,133  
     

 

 

  
       Tobacco — 0.1%  
  1,928      Philip Morris International, Inc.      135,076  
     

 

 

  
   Total Common Stocks
(Identified Cost $53,830,373)		      87,576,454  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 31.3%  
       Certificates of Deposit — 19.4%  
$ 2,000,000      DNB Nor Bank ASA (NY), 0.080%, 7/01/2020      2,000,000  
  2,000,000      Landesbank Baden-Wuerttemberg (NY), 0.150%, 7/02/2020      2,000,003  
  3,000,000      Royal Bank of Canada (NY), 1-month LIBOR + 0.210%, 0.387%, 7/10/2020(b)      3,000,107  
  1,500,000      DZ Bank (NY), 0.680%, 7/21/2020      1,500,465  
  2,000,000      Landesbank Hessen-Thueringen Girozentrale, 0.260%, 8/05/2020(c)      2,000,280  
  1,000,000      Nordea Bank ABP (NY), 0.180%, 9/11/2020      1,000,101  
  1,500,000      Oversea-Chinese Banking Corp. Ltd. (NY), 0.260%, 9/16/2020      1,500,078  
  2,000,000      Svenska Handelsbanken (NY), 0.200%, 9/18/2020(c)      2,000,191  
  2,000,000      Commonwealth Bank of Australia (NY), 0.240%, 9/22/2020(c)      2,000,224  
  3,500,000      Sumitomo Mitsui Banking Corp. (NY), 1-month LIBOR + 0.150%, 0.338%, 10/13/2020(b)(c)      3,499,953  
  4,000,000      Toronto-Dominion Bank (NY), 1-month LIBOR + 0.310%, 0.500%, 10/20/2020(b)(c)      4,002,888  
  500,000      Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.428%, 6/11/2021(b)(c)      500,000  
     

 

 

  
        25,004,290  
     

 

 

  
       Commercial Paper — 6.8%  
  6,000,000      Santander UK PLC, 0.070%, 7/01/2020(d)      5,999,982  

 

  See accompanying notes to financial statements.   |  50

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Principal
Amount		      Description    Value (†)  
       Commercial Paper — continued  
$ 700,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/07/2020(d)    $ 699,984  
  2,000,000      Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.280%, 7/14/2020(d)      1,999,886  
     

 

 

  
        8,699,852  
     

 

 

  
       Time Deposits — 4.1%  
  5,300,000      Skandinaviska Enskilda Banken (NY), 0.040%, 7/01/2020      5,300,000  
     

 

 

  
       Treasuries — 0.8%       
  1,000,000      U.S. Treasury Bills, 0.135%, 7/09/2020(d)(e)      999,975  
     

 

 

  
       Repurchase Agreements — 0.2%       
  224,038      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $224,038 on 7/01/2020 collateralized by $228,700 U.S. Treasury Note, 0.125% due 6/30/2022 valued at $228,521 including accrued interest (Note 2 of Notes to Financial Statements)      224,038  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $40,224,362)		      40,228,155  
     

 

 

  
     
   Total Investments — 99.3%
(Identified Cost $94,054,735)		      127,804,609  
   Other assets less liabilities — 0.7%      955,909  
     

 

 

  
   Net Assets — 100.0%    $ 128,760,518  
     

 

 

  
     
  *      Formerly ASG Tactical U.S. Market Fund.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   
  (b)      Variable rate security. Rate as of June 30, 2020 is disclosed.   
  (c)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (d)      Interest rate represents discount rate at time of purchase; not a coupon rate.   
  (e)      Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

  
  LIBOR      London Interbank Offered Rate   
  REITs      Real Estate Investment Trusts   

At June 30, 2020, open short futures contracts were as follows:

 

Financial Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

E-mini S&P 500®

      9/18/2020        156      $ 24,630,000      $ 24,103,560      $ 526,440  
              

 

 

  

 

51  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

AlphaSimplex Tactical U.S. Market Fund* – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

Software

      7.6 % 

Technology Hardware, Storage & Peripherals

      4.2  

Internet & Direct Marketing Retail

      4.0  

Pharmaceuticals

      3.9  

IT Services

      3.6  

Interactive Media & Services

      3.5  

Semiconductors & Semiconductor Equipment

      3.0  

Capital Markets

      2.9  

Other Investments, less than 2% each

      35.3  

Short-Term Investments

      31.3  
  

 

 

  

Total Investments

      99.3  

Other assets less liabilities (including futures contracts)

      0.7  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

  See accompanying notes to financial statements.   |  52

Table of Contents

Statements of Assets and Liabilities

 

June 30, 2020 (Unaudited)

 

     AlphaSimplex
Global
Alternatives
Fund
(Consolidated*)(a)		     AlphaSimplex
Managed
Futures Strategy
Fund
(Consolidated*)(b)		     AlphaSimplex
Multi-Asset
Fund(c)		  

ASSETS

       

Investments at cost

    $ 631,196,838     $ 1,486,872,084     $ 33,660,002  

Net unrealized appreciation

      4,393,506       365,448       930,213  
  

 

 

    

 

 

    

 

 

  

Investments at value

      635,590,344       1,487,237,532       34,590,215  

Cash

      1,964,335       11,746,684       —  

Due from brokers (including variation margin on futures contracts) (Note 2)

      16,373,544       83,494,171       1,000,540  

Receivable for Fund shares sold

      3,684,175       22,399,227       28,560  

Dividends and interest receivable

      389,093       1,145,380       4,909  

Unrealized appreciation on forward foreign currency contracts (Note 2)

      75,113       3,375,869       —  

Unrealized appreciation on futures contracts (Note 2)

      5,800,925       41,427,128       470,127  

Receivable from distributor (Note 6d)

      —       —       107  

Prepaid expenses (Note 8)

      133       272       6  
  

 

 

    

 

 

    

 

 

  

TOTAL ASSETS

      663,877,662       1,650,826,263       36,094,464  
  

 

 

    

 

 

    

 

 

  

LIABILITIES

       

Payable for securities purchased

      1,476,444       —       —  

Payable for Fund shares redeemed

      1,835,158       4,503,490       9,366  

Unrealized depreciation on forward foreign currency contracts (Note 2)

      403,218       2,449,311       —  

Unrealized depreciation on futures contracts (Note 2)

      4,214,274       18,435,126       82,213  

Management fees payable (Note 6)

      571,631       1,451,548       5,498  

Deferred Trustees’ fees (Note 6)

      255,569       240,587       24,862  

Administrative fees payable (Note 6)

      59,561       139,416       1,302  

Payable to distributor (Note 6d)

      3,534       21,291       —  

Other accounts payable and accrued expenses

      160,996       503,274       47,760  
  

 

 

    

 

 

    

 

 

  

TOTAL LIABILITIES

      8,980,385       27,744,043       171,001  
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 654,897,277     $ 1,623,082,220     $ 35,923,463  
  

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF:

       

Paid-in capital

    $ 773,220,771     $ 1,753,150,931     $ 40,548,297  

Accumulated loss

      (118,323,494 )      (130,068,711 )      (4,624,834 ) 
  

 

 

    

 

 

    

 

 

  

NET ASSETS

    $ 654,897,277     $ 1,623,082,220     $ 35,923,463  
  

 

 

    

 

 

    

 

 

  

 

53  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

     AlphaSimplex
Global
Alternatives
Fund
(Consolidated*)(a)		      AlphaSimplex
Managed
Futures Strategy
Fund
(Consolidated*)(b)		      AlphaSimplex
Multi-Asset
Fund(c)		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

         

Class A shares:

         

Net assets

    $ 15,987,669      $ 187,151,595      $ 336,812  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      1,547,000        19,724,707        36,715  
  

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 10.33      $ 9.49      $ 9.17  
  

 

 

     

 

 

     

 

 

  

Offering price per share (100/94.25 of net asset value) (Note 1)

    $ 10.96      $ 10.07      $ 9.73  
  

 

 

     

 

 

     

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 7,858,571      $ 21,443,745      $ 22,231  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      814,369        2,392,214        2,452  
  

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 9.65      $ 8.96      $ 9.07  
  

 

 

     

 

 

     

 

 

  

Class N shares:

         

Net assets

    $ 238,966      $ 124,998,192      $ —  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      22,749        12,991,049        —  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 10.50      $ 9.62      $ —  
  

 

 

     

 

 

     

 

 

  

Class Y shares:

         

Net assets

    $ 630,812,071      $ 1,289,488,688      $ 35,564,420  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      59,984,574        134,319,211        3,862,671  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 10.52      $ 9.60      $ 9.21  
  

 

 

     

 

 

     

 

 

  

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Formerly ASG Global Alternatives Fund.

(b)

Formerly ASG Managed Futures Strategy Fund.

(c)

Formerly ASG Dynamic Allocation Fund.

 

  See accompanying notes to financial statements.   |  54

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

         
    
AlphaSimplex
Tactical U.S.
Market  Fund(a)		  

ASSETS

   

Investments at cost

    $ 94,054,735  

Net unrealized appreciation

      33,749,874  
  

 

 

  

Investments at value

      127,804,609  

Cash

      58,148  

Due from brokers (including variation margin on futures contracts) (Note 2)

      251,289  

Receivable for Fund shares sold

      153,041  

Receivable for securities sold

      378,121  

Dividends and interest receivable

      76,738  

Unrealized appreciation on futures contracts (Note 2)

      526,440  

Receivable from distributor (Note 6d)

      1,192  

Prepaid expenses (Note 8)

      30  
  

 

 

  

TOTAL ASSETS

      129,249,608  
  

 

 

  

LIABILITIES

   

Payable for securities purchased

      208,407  

Payable for Fund shares redeemed

      98,349  

Management fees payable (Note 6)

      64,994  

Deferred Trustees’ fees (Note 6)

      54,285  

Administrative fees payable (Note 6)

      4,739  

Other accounts payable and accrued expenses

      58,316  
  

 

 

  

TOTAL LIABILITIES

      489,090  
  

 

 

  

NET ASSETS

    $ 128,760,518  
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid-in capital

    $ 122,420,289  

Accumulated earnings

      6,340,229  
  

 

 

  

NET ASSETS

    $ 128,760,518  
  

 

 

  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

   

Class A shares:

   

Net assets

    $ 9,312,622  
  

 

 

  

Shares of beneficial interest

      696,780  
  

 

 

  

Net asset value and redemption price per share

    $ 13.37  
  

 

 

  

Offering price per share (100/94.25 of net asset value) (Note 1)

    $ 14.19  
  

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

   

Net assets

    $ 1,974,150  
  

 

 

  

Shares of beneficial interest

      153,093  
  

 

 

  

Net asset value and offering price per share

    $ 12.90  
  

 

 

  

Class Y shares:

   

Net assets

    $ 117,473,746  
  

 

 

  

Shares of beneficial interest

      8,752,425  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 13.42  
  

 

 

  

 

(a)

Formerly ASG Tactical U.S. Market Fund.

 

55  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Operations

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

    AlphaSimplex
Global
Alternatives
Fund
(Consolidated*)(a)		     AlphaSimplex
Managed
Futures Strategy
Fund
(Consolidated*)(b)		     AlphaSimplex
Multi-Asset
Fund(c)		  

INVESTMENT INCOME

      

Interest

   $ 3,530,792     $ 8,901,704     $ 113,229  

Dividends

     1,943,212       —       156,880  

Less net foreign taxes withheld

     (2,338 )      —       —  
 

 

 

    

 

 

    

 

 

  
    5,471,666       8,901,704       270,109  
 

 

 

    

 

 

    

 

 

  

Expenses

      

Management fees (Note 6)

     4,233,582       10,023,438       133,548  

Service and distribution fees (Note 6)

     75,676       384,227       781  

Administrative fees (Note 6)

     201,950       435,782       8,484  

Trustees’ and directors’ fees and expenses (Note 6)

     28,716       45,205       10,102  

Transfer agent fees and expenses (Notes 6 and 7)

     265,311       1,507,188       34,459  

Audit and tax services fees

     43,307       37,681       29,415  

Custodian fees and expenses

     50,588       91,545       5,484  

Legal fees (Note 8)

     10,017       17,765       772  

Registration fees

     37,343       88,232       15,559  

Shareholder reporting expenses

     24,637       90,611       6,984  

Miscellaneous expenses (Note 8)

     43,013       53,654       17,204  
 

 

 

    

 

 

    

 

 

  

Total expenses

     5,014,140       12,775,328       262,792  

Less waiver and/or expense reimbursement (Note 6)

     (189,399 )      (817,285 )      (90,261 ) 
 

 

 

    

 

 

    

 

 

  

Net expenses

     4,824,741       11,958,043       172,531  
 

 

 

    

 

 

    

 

 

  

Net investment income (loss)

     646,925       (3,056,339 )      97,578  
 

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

      

Net realized gain (loss) on:

      

Investments

     (30,555,598 )      134       (560,213 ) 

Futures contracts

     (33,393,957 )      52,030,403       (4,794,094 ) 

Swap agreements

     10,839,023       —       —  

Forward foreign currency contracts (Note 2e)

     93,711       (30,223,530 )      —  

Foreign currency transactions (Note 2d)

     451,309       44,028       32,394  

Net change in unrealized appreciation (depreciation) on:

      

Investments

     (9,788,323 )      278,390       (1,306,846 ) 

Futures contracts

     (3,017,770 )      12,448,607       (157,798 ) 

Forward foreign currency contracts (Note 2e)

     929,385       4,099,913       —  

Foreign currency translations (Note 2d)

     (37,963 )      (28,142 )      (391 ) 
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions

     (64,480,183 )      38,649,803       (6,786,948 ) 
 

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (63,833,258 )    $ 35,593,464     $ (6,689,370 ) 
 

 

 

    

 

 

    

 

 

  

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Formerly ASG Global Alternatives Fund.

(b)

Formerly ASG Managed Futures Strategy Fund.

(c)

Formerly ASG Dynamic Allocation Fund.

 

  See accompanying notes to financial statements.   |  56

Table of Contents

Statements of Operations (continued)

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

         
    
AlphaSimplex
Tactical U.S.
Market  Fund(a)		  

INVESTMENT INCOME

   

Interest

    $ 371,959  

Dividends

      800,608  
  

 

 

  
     1,172,567  
  

 

 

  

Expenses

   

Management fees (Note 6)

      621,101  

Service and distribution fees (Note 6)

      29,614  

Administrative fees (Note 6)

      34,482  

Trustees’ fees and expenses (Note 6)

      11,957  

Transfer agent fees and expenses (Notes 6 and 7)

      83,154  

Audit and tax services fees

      21,206  

Custodian fees and expenses

      10,050  

Legal fees (Note 8)

      2,584  

Registration fees

      26,832  

Shareholder reporting expenses

      12,378  

Miscellaneous expenses (Note 8)

      16,886  
  

 

 

  

Total expenses

      870,244  

Less waiver and/or expense reimbursement (Note 6)

      (72,019 ) 
  

 

 

  

Net expenses

      798,225  
  

 

 

  

Net investment income

      374,342  
  

 

 

  

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND FUTURES CONTRACTS

   

Net realized loss on:

   

Investments

      (3,562,095 ) 

Futures contracts

      (20,083,241 ) 

Net change in unrealized appreciation (depreciation) on:

   

Investments

      (2,593,657 ) 

Futures contracts

      (3,962,343 ) 
  

 

 

  

Net realized and unrealized loss on investments and futures contracts

      (30,201,336 ) 
  

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (29,826,994 ) 
  

 

 

  

 

(a)

Formerly ASG Tactical U.S. Market Fund.

 

57  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Changes in Net Assets

 

     AlphaSimplex Global
Alternatives Fund
(Consolidated*)(a)		     AlphaSimplex Managed
Futures Strategy Fund
(Consolidated*)(b)		  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income (loss)

    $ 646,925     $ 12,779,334     $ (3,056,339 )    $ 12,884,018  

Net realized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions

      (52,565,512 )      46,725,936       21,851,035       172,692,001  

Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations

      (11,914,671 )      44,540,700       16,798,768       (46,336,670 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (63,833,258 )      104,045,970       35,593,464       139,239,349  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

         

Class A

      —       (228,062 )      —       (10,061,550 ) 

Class C

      —       (8,948 )      —       (839,596 ) 

Class N

      —       (6,327 )      —       (5,760,322 ) 

Class Y

      —       (9,035,275 )      —       (57,921,320 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      —       (9,278,612 )      —       (74,582,788 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (103,192,071 )      (468,465,733 )      13,578,083       (559,082,083 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      (167,025,329 )      (373,698,375 )      49,171,547       (494,425,522 ) 

NET ASSETS

 

Beginning of the period

      821,922,606       1,195,620,981       1,573,910,673       2,068,336,195  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 654,897,277     $ 821,922,606     $ 1,623,082,220     $ 1,573,910,673  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Formerly ASG Global Alternatives Fund.

(b)

Formerly ASG Managed Futures Strategy Fund.

 

  See accompanying notes to financial statements.   |  58

Table of Contents

Statements of Changes in Net Assets (continued)

 

         
AlphaSimplex Multi-Asset
Fund(a)		     AlphaSimplex Tactical U.S.
Market Fund(b)		  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income

    $ 97,578     $ 712,436     $ 374,342     $ 1,768,547  

Net realized gain (loss) on investments, futures contracts and foreign currency transactions

      (5,321,913 )      3,192,731       (23,645,336 )      6,858,492  

Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations

      (1,465,035 )      2,576,585       (6,556,000 )      31,091,574  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (6,689,370 )      6,481,752       (29,826,994 )      39,718,613  
  

 

 

    

 

 

    

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (7,854 )      (8,974 )      (351,523 )      (145,350 ) 

Class C

      (3,365 )      (421 )      (68,003 )      —  

Class Y

      (781,768 )      (1,018,840 )      (3,621,268 )      (1,645,603 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

      (792,987 )      (1,028,235 )      (4,040,794 )      (1,790,953 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (755,041 )      415,711       (49,130,222 )      30,755,618  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets

      (8,237,398 )      5,869,228       (82,998,010 )      68,683,278  

NET ASSETS

 

Beginning of the period

      44,160,861       38,291,633       211,758,528       143,075,250  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of the period

    $ 35,923,463     $ 44,160,861     $ 128,760,518     $ 211,758,528  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Formerly ASG Dynamic Allocation Fund.

(b)

Formerly ASG Tactical U.S. Market Fund.

 

59  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    AlphaSimplex Global Alternatives Fund (Consolidated*)**—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 11.18     $ 10.24     $ 11.04     $ 10.02     $ 10.48     $ 11.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.00 )(b)      0.11       0.06       (0.03 )      (0.09 )      (0.14 ) 

Net realized and unrealized gain (loss)

     (0.85 )      0.93       (0.75 )      1.10       (0.37 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.85 )      1.04       (0.69 )      1.07       (0.46 )      (0.26 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.10 )      (0.11 )      (0.05 )      —       —  

Net realized capital gains

     —       —       —       —       —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.10 )      (0.11 )      (0.05 )      —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.33     $ 11.18     $ 10.24     $ 11.04     $ 10.02     $ 10.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (7.51 )%(d)(e)      10.26 %(d)      (6.35 )%(d)      10.66 %      (4.39 )%      (2.69 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 15,988     $ 25,341     $ 33,649     $ 49,904     $ 76,207     $ 224,951  

Net expenses

     1.54 %(f)(g)      1.54 %(f)      1.54 %(f)      1.57 %(h)(i)      1.56 %(j)      1.53 %(k) 

Gross expenses

     1.59 %(g)      1.57 %      1.55 %      1.57 %(h)      1.56 %(j)      1.53 %(k) 

Net investment income (loss)

     (0.04 )%(g)      0.97 %      0.58 %      (0.26 )%      (0.93 )%      (1.27 )% 

Portfolio turnover rate(l)

     114 %      125 %      59 %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Global Alternatives Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.55% and the ratio of gross expenses would have been 1.56%.

(i)

Effective July 1, 2017, the expense limit decreased from 1.60% to 1.54%.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.54% and the ratio of gross expenses would have been 1.54%.

(k)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.52% and the ratio of gross expenses would have been 1.52%.

(l)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

 

  See accompanying notes to financial statements.   |  60

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Global Alternatives Fund (Consolidated*)**—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 10.48     $ 9.59     $ 10.33     $ 9.40     $ 9.91     $ 10.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.04 )      0.02       (0.02 )      (0.10 )      (0.15 )      (0.21 ) 

Net realized and unrealized gain (loss)

     (0.79 )      0.88       (0.70 )      1.03       (0.36 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.83 )      0.90       (0.72 )      0.93       (0.51 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.01 )      (0.02 )      —       —       —  

Net realized capital gains

     —       —       —       —       —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.01 )      (0.02 )      —       —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.65     $ 10.48     $ 9.59     $ 10.33     $ 9.40     $ 9.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (7.92 )%(c)(d)      9.48 %(c)      (7.09 )%(c)      9.89 %      (5.15 )%      (3.40 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 7,859     $ 11,171     $ 15,537     $ 24,521     $ 38,412     $ 95,885  

Net expenses

     2.29 %(e)(f)      2.29 %(e)      2.29 %(e)      2.32 %(g)(h)      2.31 %(i)      2.28 %(j) 

Gross expenses

     2.34 %(f)      2.32 %      2.30 %      2.32 %(h)      2.31 %(i)      2.28 %(j) 

Net investment income (loss)

     (0.80 )%(f)      0.23 %      (0.17 )%      (1.00 )%      (1.68 )%      (2.03 )% 

Portfolio turnover rate(k)

     114 %      125 %      59 %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Global Alternatives Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.30% and the ratio of gross expenses would have been 2.31%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.29% and the ratio of gross expenses would have been 2.29%.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.26% and the ratio of gross expenses would have been 2.26%.

(k)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

 

61  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Global Alternatives Fund (Consolidated*)**—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 11.35     $ 10.40     $ 11.22     $ 10.19     $ 10.63     $ 11.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     0.02       0.15       0.10       0.01       (0.06 )      (0.11 ) 

Net realized and unrealized gain (loss)

     (0.87 )      0.94       (0.77 )      1.11       (0.38 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.85 )      1.09       (0.67 )      1.12       (0.44 )      (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.14 )      (0.15 )      (0.09 )      —       —  

Net realized capital gains

     —       —       —       —       —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.14 )      (0.15 )      (0.09 )      —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.50     $ 11.35     $ 10.40     $ 11.22     $ 10.19     $ 10.63  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (7.32 )%(b)(c)      10.48 %(b)      (6.08 )%(b)      10.98 %      (4.05 )%      (2.48 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 239     $ 526     $ 14,377     $ 10,376     $ 9,639     $ 10,476  

Net expenses

     1.24 %(d)(e)      1.24 %(d)      1.24 %(d)      1.26 %(f)(g)      1.24 %(h)      1.23 %(i) 

Gross expenses

     1.80 %(e)      1.26 %      1.25 %      1.26 %(g)      1.24 %(h)      1.23 %(i) 

Net investment income (loss)

     0.37 %(e)      1.38 %      0.94 %      0.09 %      (0.56 )%      (0.97 )% 

Portfolio turnover rate(j)

     114 %      125 %      59 %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Global Alternatives Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.24%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.22% and the ratio of gross expenses would have been 1.22%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.21% and the ratio of gross expenses would have been 1.21%.

(j)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

 

  See accompanying notes to financial statements.   |  62

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Global Alternatives Fund (Consolidated*)**—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 11.36     $ 10.40     $ 11.22     $ 10.19     $ 10.64     $ 11.25  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     0.01       0.14       0.09       0.00 (b)      (0.07 )      (0.12 ) 

Net realized and unrealized gain (loss)

     (0.85 )      0.95       (0.77 )      1.11       (0.38 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.84 )      1.09       (0.68 )      1.11       (0.45 )      (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.13 )      (0.14 )      (0.08 )      —       —  

Net realized capital gains

     —       —       —       —       —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.13 )      (0.14 )      (0.08 )      —       (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.52     $ 11.36     $ 10.40     $ 11.22     $ 10.19     $ 10.64  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (7.39 )%(c)(d)      10.49 %(c)      (6.04 )%(c)      10.93 %      (4.23 )%      (2.38 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 630,812     $ 784,884     $ 1,132,058     $ 1,559,650     $ 1,504,641     $ 3,344,101  

Net expenses

     1.29 %(e)(f)      1.29 %(e)      1.29 %(e)      1.32 %(g)(h)      1.31 %(i)      1.28 %(j) 

Gross expenses

     1.34 %(f)      1.32 %      1.30 %      1.32 %(h)      1.31 %(i)      1.28 %(j) 

Net investment income (loss)

     0.20 %(f)      1.23 %      0.85 %      0.02 %      (0.67 )%      (1.03 )% 

Portfolio turnover rate(k)

     114 %      125 %      59 %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Global Alternatives Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2017, the expense limit decreased from 1.35% to 1.29%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.31%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 1.29%.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.26% and the ratio of gross expenses would have been 1.26%.

(k)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

 

63  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Managed Futures Strategy Fund (Consolidated*)**—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 9.26     $ 8.97     $ 10.38     $ 9.78     $ 10.37     $ 10.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.03 )      0.04       0.02       (0.06 )      (0.12 )      (0.16 ) 

Net realized and unrealized gain (loss)

     0.26       0.69       (1.31 )      0.66       (0.47 )      0.06 (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.23       0.73       (1.29 )      0.60       (0.59 )      (0.10 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.44 )      —       —       —       (0.22 ) 

Net realized capital gains

     —       —       (0.12 )      —       —       (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.44 )      (0.12 )      —       —       (0.51 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.49     $ 9.26     $ 8.97     $ 10.38     $ 9.78     $ 10.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     2.48 %(d)(e)      8.09 %(d)      (12.55 )%      6.13 %      (5.69 )%(d)      (1.38 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 187,152     $ 222,059     $ 133,996     $ 299,505     $ 463,235     $ 486,160  

Net expenses

     1.70 %(f)(g)      1.70 %(f)      1.70 %      1.75 %(h)(i)      1.74 %(f)(j)      1.73 %(h)(k) 

Gross expenses

     1.81 %(g)      1.79 %      1.70 %      1.75 %(h)(i)      1.75 %(j)      1.73 %(h)(k) 

Net investment income (loss)

     (0.57 )%(g)      0.47 %      0.21 %      (0.61 )%      (1.11 )%      (1.48 )% 

Portfolio turnover rate(l)

     — %      — %      — %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Managed Futures Strategy Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.70%.

(i)

Includes fee/expense recovery of 0.01%.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%.

(k)

Includes fee/expense recovery of less than 0.01%.

(l)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

  See accompanying notes to financial statements.   |  64

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Managed Futures Strategy Fund (Consolidated*)**—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 8.78     $ 8.51     $ 9.93     $ 9.42     $ 10.07     $ 10.69  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.06 )      (0.02 )      (0.05 )      (0.13 )      (0.19 )      (0.24 ) 

Net realized and unrealized gain (loss)

     0.24       0.64       (1.25 )      0.64       (0.46 )      0.05 (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.18       0.62       (1.30 )      0.51       (0.65 )      (0.19 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.35 )      —       —       —       (0.14 ) 

Net realized capital gains

     —       —       (0.12 )      —       —       (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.35 )      (0.12 )      —       —       (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 8.96     $ 8.78     $ 8.51     $ 9.93     $ 9.42     $ 10.07  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     2.16 %(d)(e)      7.30 %(d)      (13.22 )%      5.41 %      (6.45 )%(d)      (2.23 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 21,444     $ 21,621     $ 29,421     $ 53,661     $ 71,184     $ 67,479  

Net expenses

     2.45 %(f)(g)      2.45 %(f)      2.45 %      2.50 %(h)(i)      2.49 %(f)(j)      2.48 %(h)(i) 

Gross expenses

     2.56 %(g)      2.53 %      2.45 %      2.50 %(h)(i)      2.50 %(j)      2.48 %(h)(i) 

Net investment loss

     (1.33 )%(g)      (0.24 )%      (0.52 )%      (1.36 )%      (1.86 )%      (2.24 )% 

Portfolio turnover rate(k)

     — %      — %      — %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Managed Futures Strategy Fund.

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.45%.

(i)

Includes fee/expense recovery of 0.01%.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.46%.

(k)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

65  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Managed Futures Strategy Fund
(Consolidated*)**—Class N		  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017***		  

Net asset value, beginning of the period

   $ 9.38     $ 9.07     $ 10.46     $ 9.81  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income (loss)(a)

     (0.01 )      0.08       0.08       (0.01 ) 

Net realized and unrealized gain (loss)

     0.25       0.70       (1.35 )      0.67  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.24       0.78       (1.27 )      0.66  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

  

Net investment income

     —       (0.47 )      —       (0.01 ) 

Net realized capital gains

     —       —       (0.12 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.47 )      (0.12 )      (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.62     $ 9.38     $ 9.07     $ 10.46  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.56 %(b)(c)      8.45 %      (12.26 )%      6.76 %(b)(d) 

RATIOS TO AVERAGE NET ASSETS:

 

  

Net assets, end of the period (000’s)

   $ 124,998     $ 117,258     $ 67,957     $ 1,017  

Net expenses

     1.36 %(e)      1.36 %      1.36 %      1.34 %(e)(f)(g) 

Gross expenses

     1.36 %(e)      1.36 %      1.36 %      14.83 %(e)(g) 

Net investment income (loss)

     (0.24 )%(e)      0.79 %      0.83 %      (0.17 )%(e) 

Portfolio turnover rate(h)

     — %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Managed Futures Strategy Fund.

***

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Periods less than one year are not annualized.

(c)

Generally accepted accounting principles require certain adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Computed on an annualized basis for periods less than one year.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 14.78%.

(h)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

  See accompanying notes to financial statements.   |  66

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Managed Futures Strategy Fund (Consolidated*)**—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 9.36     $ 9.06     $ 10.46     $ 9.83     $ 10.40     $ 11.01  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.02 )      0.07       0.05       (0.03 )      (0.09 )      (0.14 ) 

Net realized and unrealized gain (loss)

     0.26       0.69       (1.33 )      0.67       (0.48 )      0.05 (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.24       0.76       (1.28 )      0.64       (0.57 )      (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.46 )      —       (0.01 )      —       (0.23 ) 

Net realized capital gains

     —       —       (0.12 )      —       —       (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.46 )      (0.12 )      (0.01 )      —       (0.52 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.60     $ 9.36     $ 9.06     $ 10.46     $ 9.83     $ 10.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.56 %(c)(d)      8.35 %(c)      (12.35 )%      6.48 %      (5.47 )%(c)      (1.22 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 1,289,489     $ 1,212,973     $ 1,836,962     $ 3,102,626     $ 2,629,920     $ 2,133,620  

Net expenses

     1.45 %(e)(f)      1.45 %(e)      1.45 %      1.50 %(g)(h)      1.49 %(e)(i)      1.48 %(g)(h) 

Gross expenses

     1.56 %(f)      1.53 %      1.45 %      1.50 %(g)(h)      1.50 %(i)      1.48 %(g)(h) 

Net investment income (loss)

     (0.34 )%(f)      0.77 %      0.49 %      (0.34 )%      (0.85 )%      (1.24 )% 

Portfolio turnover rate(j)

     — %      — %      — %      — %      — %      — % 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

Formerly ASG Managed Futures Strategy Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Includes fee/expense recovery of 0.01%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.45%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%.

(j)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

67  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Multi-Asset Fund*—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Period Ended
December 31,
2015**		  

Net asset value, beginning of the period

   $ 11.08     $ 9.71     $ 11.10     $ 10.08     $ 9.86     $ 10.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.01       0.16       0.14       0.10       0.03       0.01  

Net realized and unrealized gain (loss)

     (1.71 )      1.45       (1.19 )      1.99       0.21       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.70 )      1.61       (1.05 )      2.09       0.24       (0.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.24 )      (0.13 )      (0.07 )      (0.02 )      (0.01 ) 

Net realized capital gains

     (0.21 )      —       (0.21 )      (1.00 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.21 )      (0.24 )      (0.34 )      (1.07 )      (0.02 )      (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.17     $ 11.08     $ 9.71     $ 11.10     $ 10.08     $ 9.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     (15.19 )%(d)      16.59 %      (9.61 )%      20.79 %      2.41 %      (1.28 )%(d) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 337     $ 423     $ 323     $ 134     $ 29     $ 1  

Net expenses(e)

     1.15 %(f)      1.15 %      1.15 %      1.17 %(g)      1.17 %(h)      1.15 %(f) 

Gross expenses

     1.62 %(f)      1.62 %      1.62 %      1.74 %(g)      1.80 %(h)      3.96 %(f) 

Net investment income

     0.28 %(f)      1.50 %      1.31 %      0.90 %      0.31 %      1.19 %(f) 

Portfolio turnover rate

     28 %      23 %      46 %      8 %      115 %(i)      11 % 

 

*

Formerly ASG Dynamic Allocation Fund.

**

From commencement of operations on November 30, 2015 through December 31, 2015.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.72%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.78%.

(i)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

  See accompanying notes to financial statements.   |  68

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Multi-Asset Fund*—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Period Ended
December 31,
2015**		  

Net asset value, beginning of the period

   $ 11.00     $ 9.66     $ 10.99     $ 10.01     $ 9.85     $ 10.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.03 )      0.08       0.04       (0.00 )(b)      (0.07 )      (0.00 )(b) 

Net realized and unrealized gain (loss)

     (1.69 )      1.44       (1.16 )      1.99       0.23       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.72 )      1.52       (1.12 )      1.99       0.16       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.18 )      (0.00 )(b)      (0.01 )      (0.00 )(b)      (0.01 ) 

Net realized capital gains

     (0.21 )      —       (0.21 )      (1.00 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.21 )      (0.18 )      (0.21 )      (1.01 )      (0.00 )      (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.07     $ 11.00     $ 9.66     $ 10.99     $ 10.01     $ 9.85  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     (15.58 )%(e)      15.75 %      (10.30 )%      19.92 %      1.63 %      (1.37 )%(e) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 22     $ 27     $ 14     $ 15     $ 9     $ 8  

Net expenses(f)

     1.90 %(g)      1.90 %      1.90 %      1.92 %(h)      1.91 %(i)      1.90 %(g) 

Gross expenses

     2.37 %(g)      2.38 %      2.34 %      2.49 %(h)      2.51 %(i)      4.72 %(g) 

Net investment income (loss)

     (0.77 )%(g)      0.81 %      0.37 %      (0.02 )%      (0.75 )%      (0.16 )%(g) 

Portfolio turnover rate

     28 %      23 %      46 %      8 %      115 %(j)      11 % 

 

*

Formerly ASG Dynamic Allocation Fund.

**

From commencement of operations on November 30, 2015 through December 31, 2015.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.47%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.50%.

(j)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

69  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Multi-Asset Fund*—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Period Ended
December 31,
2015**		  

Net asset value, beginning of the period

   $ 11.11     $ 9.73     $ 11.12     $ 10.09     $ 9.86     $ 10.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.03       0.18       0.15       0.11       0.03       0.01  

Net realized and unrealized gain (loss)

     (1.72 )      1.46       (1.18 )      2.01       0.23       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.69 )      1.64       (1.03 )      2.12       0.26       (0.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.26 )      (0.15 )      (0.09 )      (0.03 )      (0.01 ) 

Net realized capital gains

     (0.21 )      —       (0.21 )      (1.00 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.21 )      (0.26 )      (0.36 )      (1.09 )      (0.03 )      (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.21     $ 11.11     $ 9.73     $ 11.12     $ 10.09     $ 9.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (15.07 )%(c)      16.82 %      (9.39 )%      21.19 %      2.57 %      (1.26 )%(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 35,564     $ 43,712     $ 37,955     $ 39,571     $ 22,334     $ 20,095  

Net expenses(d)

     0.90 %(e)      0.90 %      0.90 %      0.92 %(f)      0.91 %(g)      0.90 %(e) 

Gross expenses

     1.37 %(e)      1.37 %      1.35 %      1.50 %(f)      1.54 %(g)      3.72 %(e) 

Net investment income

     0.52 %(e)      1.74 %      1.41 %      0.95 %      0.32 %      1.39 %(e) 

Portfolio turnover rate

     28 %      23 %      46 %      8 %      115 %(h)      11 % 

 

*

Formerly ASG Dynamic Allocation Fund.

**

From commencement of operations on November 30, 2015 through December 31, 2015.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.48%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.53%.

(h)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

  See accompanying notes to financial statements.   |  70

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Tactical U.S. Market Fund*—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 16.16     $ 13.23     $ 14.11     $ 11.83     $ 11.41     $ 11.85  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     0.02       0.11       0.09       0.06       0.04       (0.00 )(b) 

Net realized and unrealized gain (loss)

     (2.41 )      2.92       (0.63 )      2.95       0.43       (0.35 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.39 )      3.03       (0.54 )      3.01       0.47       (0.35 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(b)      (0.10 )      (0.08 )      (0.06 )      (0.05 )      —  

Net realized capital gains

     (0.40 )      —       (0.26 )      (0.67 )      —       (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.40 )      (0.10 )      (0.34 )      (0.73 )      (0.05 )      (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.37     $ 16.16     $ 13.23     $ 14.11     $ 11.83     $ 11.41  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     (14.60 )%(e)      22.94 %      (3.88 )%      25.37 %      4.09 %      (3.00 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 9,313     $ 22,524     $ 18,978     $ 16,292     $ 8,365     $ 9,360  

Net expenses(f)

     1.24 %(g)      1.24 %      1.24 %      1.24 %(h)      1.25 %      1.32 % 

Gross expenses

     1.33 %(g)      1.30 %      1.32 %      1.44 %      1.40 %      1.39 % 

Net investment income (loss)

     0.27 %(g)      0.75 %      0.64 %      0.49 %      0.36 %      (0.03 )% 

Portfolio turnover rate

     25 %      37 %      88 %      18 %      42 %      149 % 

 

*

Formerly ASG Tactical U.S. Market Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Effective July 1, 2017, the expense limit decreased from 1.25% to 1.24%.

 

71  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Tactical U.S. Market Fund*—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 15.67     $ 12.84     $ 13.75     $ 11.59     $ 11.21     $ 11.73  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.03 )      0.00 (b)      (0.01 )      (0.04 )      (0.05 )      (0.09 ) 

Net realized and unrealized gain (loss)

     (2.34 )      2.83       (0.60 )      2.87       0.43       (0.34 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.37 )      2.83       (0.61 )      2.83       0.38       (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(b)      —       (0.04 )      (0.00 )(b)      —       —  

Net realized capital gains

     (0.40 )      —       (0.26 )      (0.67 )      —       (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.40 )      —       (0.30 )      (0.67 )      —       (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.90     $ 15.67     $ 12.84     $ 13.75     $ 11.59     $ 11.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)(d)

     (15.00 )%(e)      22.04 %      (4.55 )%      24.37 %      3.39 %      (3.79 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 1,974     $ 3,060     $ 3,110     $ 2,190     $ 1,973     $ 2,202  

Net expenses(f)

     1.99 %(g)      1.99 %      1.99 %      2.00 %(h)      2.00 %      2.07 % 

Gross expenses

     2.08 %(g)      2.05 %      2.07 %      2.20 %      2.15 %      2.13 % 

Net investment income (loss)

     (0.48 )%(g)      0.00 %      (0.09 )%      (0.28 )%      (0.41 )%      (0.79 )% 

Portfolio turnover rate

     25 %      37 %      88 %      18 %      42 %      149 % 

 

*

Formerly ASG Tactical U.S. Market Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Effective July 1, 2017, the expense limit decreased from 2.00% to 1.99%.

 

  See accompanying notes to financial statements.   |  72

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    AlphaSimplex Tactical U.S. Market Fund*—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 16.21     $ 13.26     $ 14.17     $ 11.87     $ 11.45     $ 11.88  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.04       0.15       0.13       0.10       0.07       0.02  

Net realized and unrealized gain (loss)

     (2.43 )      2.94       (0.64 )      2.96       0.44       (0.34 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.39 )      3.09       (0.51 )      3.06       0.51       (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(b)      (0.14 )      (0.14 )      (0.09 )      (0.09 )      (0.02 ) 

Net realized capital gains

     (0.40 )      —       (0.26 )      (0.67 )      —       (0.09 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.40 )      (0.14 )      (0.40 )      (0.76 )      (0.09 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.42     $ 16.21     $ 13.26     $ 14.17     $ 11.87     $ 11.45  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (14.56 )%(d)      23.34 %      (3.67 )%      25.67 %      4.41 %      (2.74 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 117,474     $ 186,174     $ 120,988     $ 84,880     $ 58,488     $ 89,126  

Net expenses(e)

     0.99 %(f)      0.99 %      0.99 %      0.99 %(g)      1.00 %      1.07 % 

Gross expenses

     1.08 %(f)      1.05 %      1.07 %      1.19 %      1.15 %      1.14 % 

Net investment income

     0.52 %(f)      1.00 %      0.90 %      0.73 %      0.58 %      0.20 % 

Portfolio turnover rate

     25 %      37 %      88 %      18 %      42 %      149 % 

 

*

Formerly ASG Tactical U.S. Market Fund.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2017, the expense limit decreased from 1.00% to 0.99%.

 

73  |   See accompanying notes to financial statements.  

Table of Contents

Notes to Financial Statements

 

June 30, 2020 (Unaudited)

 

1.  Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

AlphaSimplex Global Alternatives Fund (formerly ASG Global Alternatives Fund) (the “Global Alternatives Fund”)

AlphaSimplex Managed Futures Strategy Fund (formerly ASG Managed Futures Strategy Fund) (the “Managed Futures Strategy Fund”)

AlphaSimplex Multi-Asset Fund (formerly ASG Dynamic Allocation Fund) (the “Multi-Asset Fund”)

AlphaSimplex Tactical U.S. Market Fund (formerly ASG Tactical U.S. Market Fund) (the “Tactical U.S. Market Fund”)

At close of business on April 30, 2020, Multi-Asset Fund changed its investment strategy.

Each Fund is a diversified investment company, except for Multi-Asset Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Global Alternatives Fund and Managed Futures Strategy Fund also offer Class N shares.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, Class Y,

 

    |  74

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through AlphaSimplex Global Alternatives Cayman Fund Ltd. (formerly ASG Global Alternatives Cayman Fund Ltd.) and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd. (formerly ASG Managed Futures Strategy Cayman Fund Ltd.), wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of June 30, 2020, the value of each Fund’s investment in its respective Subsidiary was as follows:

 

Fund

   

Investment in

Subsidiary

     

Percentage of

Net Assets

  

Global Alternatives Fund

    $ 7,748,752        1.18 % 

Managed Futures Strategy Fund

      64,885,911        4.00 % 

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Consolidation.  The accompanying financial statements of Global Alternatives Fund and Managed Futures Strategy Fund present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

b.  Valuation.  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

 

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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 preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. 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 unlisted 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 most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.

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 Funds 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. 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 Funds may,

 

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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 a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of June 30, 2020, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:

 

    

Notional
Value

     

Unrealized

Appreciation/

Depreciation*

     

Unrealized as a

Percentage of

Net Assets

  

Global Alternatives Fund

    $ 33,410,551      $ 462,444        0.07 % 

Managed Futures Strategy Fund

      245,762,886        3,483,333        0.21 % 

Multi-Asset Fund

      2,947,962        65,541        0.18 % 

 

*

Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

c.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign

 

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withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ 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 appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

f.  Futures Contracts.  The Funds and the Subsidiaries 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 a Fund or a Subsidiary 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 a Fund or the Subsidiary, depending on the

 

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price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). 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 a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’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 Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g.  Swap Agreements.  Global Alternatives Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

The notional amounts of equity basket total return swap agreements are not recorded in the financial statements. Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Operations. Fees are accrued in accordance with the terms of the agreement and are included in due to/from brokers on the Consolidated Statement of Assets and Liabilities. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss on the Consolidated Statement of Operations.

 

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Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. 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. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.

h.  Due from Brokers.  Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts and cash pledged as collateral for forward foreign currency contracts and swap agreements (including accrued interest receivable on equity basket total return swap agreements and net dividends payable on short reference entity common stocks). In certain circumstances the Funds’ or Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

i.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where

 

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reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

j.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as capital gain and return of capital distributions received, foreign currency gains and losses, partnership basis adjustments, total return swaps and Cayman blocker adjustments. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, constructive sales, partnership basis adjustments, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market and Cayman blocker adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

   

Ordinary

Income

     

Long-Term

Capital
Gains

     

Total

  

Global Alternatives Fund

    $ 9,278,612      $   —      $ 9,278,612  

Managed Futures Strategy Fund

      74,582,788        —        74,582,788  

Multi-Asset Fund

      1,028,235        —        1,028,235  

Tactical U.S. Market Fund

      1,790,953        —        1,790,953  

 

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Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2019, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

    

Global
Alternatives
Fund

    

Managed
Futures
Strategy
Fund

    

Multi-Asset
Fund

    

Tactical
U.S. Market
Fund

  

Capital loss carryforward:

         

Short-term:

         

No expiration date

    $ (70,338,216 )    $ (152,816,236 )    $ —     $   —  

Long-term

         

No expiration date

      —       (1,752,978 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total capital loss carryforward

    $ (70,338,216 )    $ (154,569,214 )    $ —     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $ (1,565,113 )    $ (4,972,398 )    $ (2,228 )    $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

*

Under current tax law, capital losses, foreign currency losses, losses on passive foreign investment companies, total return swap resets and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Managed Futures Strategy Fund and Multi-Asset Fund are deferring foreign currency losses. Global Alternatives Fund is deferring foreign currency losses and losses on total return swap resets.

As of June 30, 2020, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

    

Global
Alternatives
Fund

    

Managed
Futures
Strategy
Fund

    

Multi-Asset
Fund

    

Tactical
U.S. Market
Fund

  

Federal tax cost

    $ 631,196,838     $ 1,486,872,084     $ 33,660,002     $ 94,054,735  
  

 

 

    

 

 

    

 

 

    

 

 

  

Gross tax appreciation

    $ 13,724,914     $ 45,170,252     $ 1,418,360     $ 34,319,683  

Gross tax depreciation

      (8,072,862 )      (20,886,244 )      (100,233 )      (43,369 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net tax appreciation

    $ 5,652,052     $ 24,284,008     $ 1,318,127     $ 34,276,314  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales.

k.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

l.  Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

m.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or

 

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the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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 Funds’ investments as of June 30, 2020, at value:

Global Alternatives Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 120,176,095      $ —      $   —      $ 120,176,095  

Exchange-Traded Funds

      4,794,440        —        —        4,794,440  

Short-Term Investments(a)

      —        510,619,809        —        510,619,809  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        75,113        —        75,113  

Futures Contracts (unrealized appreciation)

      5,562,657        238,268        —        5,800,925  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 130,533,192      $ 510,933,190      $ —      $ 641,466,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

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Global Alternatives Fund (continued)

Liability Valuation Inputs

 

Description

   

Level 1

    

Level 2

    

Level 3

     

Total

  

Equity Basket Total Return Swap

    $ — (b)    $ —     $   —      $ —  

Forward Foreign Currency Contracts (unrealized depreciation)

      —       (403,218 )      —        (403,218 ) 

Futures Contracts (unrealized depreciation)

      (3,990,098 )      (224,176 )      —        (4,214,274 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (3,990,098 )    $ (627,394 )    $ —      $ (4,617,492 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

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

(b)

Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

Managed Futures Strategy Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Short-Term Investments(a)

    $ —      $ 1,487,237,532      $ —      $ 1,487,237,532  

Forward Foreign Currency Contracts (unrealized appreciation)

      —        3,375,869        —        3,375,869  

Futures Contracts (unrealized appreciation)

      39,477,769        1,949,359        —        41,427,128  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 39,477,769      $ 1,492,562,760      $   —      $ 1,532,040,529  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

   

Level 1

    

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —     $ (2,449,311 )    $ —      $ (2,449,311 ) 

Futures Contracts (unrealized depreciation)

      (16,901,152 )      (1,533,974 )      —        (18,435,126 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (16,901,152 )    $ (3,983,285 )    $   —      $ (20,884,437 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

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

 

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Multi-Asset Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Exchange-Traded Funds

    $ 10,787,061      $ —      $ —      $ 10,787,061  

Short-Term Investments(a)

      —        23,803,154        —        23,803,154  

Futures Contracts (unrealized appreciation)

      450,183        19,944        —        470,127  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 11,237,244      $ 23,823,098      $   —      $ 35,060,342  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

   

Level 1

    

Level 2

    

Level 3

     

Total

  

Futures Contracts (unrealized depreciation)

    $ (36,616 )    $ (45,597 )    $   —      $ (82,213 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

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

Tactical U.S. Market Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 87,576,454      $ —      $ —      $ 87,576,454  

Short-Term Investments(a)

      —        40,228,155        —        40,228,155  

Futures Contracts (unrealized appreciation)

      526,440        —        —        526,440  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 88,102,894      $ 40,228,155      $   —      $ 128,331,049  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts and swap agreements.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of

 

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June 30, 2020 (Unaudited)

 

derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the six months ended June 30, 2020, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. equity market indices, foreign currencies, short term interest rates, and commodities (through investments in the Subsidiary), long contracts on foreign equity market indices, and short contracts on equity basket total return swaps in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2020, the Fund used long and short contracts on U.S. and foreign equity market indices, foreign currencies, foreign government bonds, short-term interest rates, and commodities (through investments in the Subsidiary), and long contracts on U.S. government bonds to capture the exposures suggested by the quantitative investment models.

Multi-Asset Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the six months ended June 30, 2020, the Fund used long contracts on U.S. and foreign equity market indices and U.S. government bonds and long and short contracts on U.S. dollar index and foreign government bonds to gain investment exposures in accordance with its objectives.

Tactical U.S. Market Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to 130% of the Fund’s total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Fund’s total assets (to limit the effects of extreme market drawdowns). During the six months ended June 30, 2020, the Fund used long and short contracts on U.S. equity market indices to decrease exposure to the U.S. equity market.

 

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The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

     

Unrealized
appreciation on
futures contracts

  

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 75,113      $ —  
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —      $ 2,094,995  

Foreign exchange contracts

      —        738,900  

Commodity contracts

      —        2,659,248  

Equity contracts

      —        307,782  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —      $ 5,800,925  
  

 

 

     

 

 

  

Total asset derivatives

    $ 75,113      $ 5,800,925  
  

 

 

     

 

 

  

 

Liabilities

   

Unrealized
depreciation
on forward
foreign
currency
contracts

    

Unrealized
depreciation on
futures
contracts

    

Swap
agreements
at value1

  

Over-the-counter liability derivatives

       

Foreign exchange contracts

    $ (403,218 )    $ —     $ —  

Equity contracts

      —       —       (24,190,591 ) 
  

 

 

    

 

 

    

 

 

  

Total over-the-counter liability derivatives

    $ (403,218 )    $ —     $ (24,190,591 ) 
  

 

 

    

 

 

    

 

 

  

Exchange-traded liability derivatives

       

Interest rate contracts

    $ —     $ (362,475 )    $ —  

Foreign exchange contracts

      —       (126,931 )      —  

Commodity contracts

      —       (3,071,147 )      —  

Equity contracts

      —       (653,721 )      —  
  

 

 

    

 

 

    

 

 

  

Total exchange-traded liability derivatives

    $ —     $ (4,214,274 )    $ —  
  

 

 

    

 

 

    

 

 

  

Total liability derivatives

    $ (403,218 )    $ (4,214,274 )    $ (24,190,591 ) 
  

 

 

    

 

 

    

 

 

  
1 

Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

 

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Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures
contracts

    

Forward
foreign
currency
transactions

     

Swap
agreements

  

Interest rate contracts

    $ 18,127,541     $ —      $ —  

Foreign exchange contracts

      (8,798,789 )      93,711        —  

Commodity contracts

      (15,989,469 )      —        —  

Equity contracts

      (26,733,240 )      —        10,839,023  
  

 

 

    

 

 

     

 

 

  

Total

    $ (33,393,957 )    $ 93,711      $ 10,839,023  
  

 

 

    

 

 

     

 

 

  

 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures
contracts

    

Forward

foreign
currency
transactions

  

Interest rate contracts

    $ 2,339,675     $ —  

Foreign exchange contracts

      879,670       929,385  

Commodity contracts

      (2,702,400 )      —  

Equity contracts

      (3,534,715 )      —  
  

 

 

    

 

 

  

Total

    $ (3,017,770 )    $ 929,385  
  

 

 

    

 

 

  

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

     

Unrealized
appreciation
on futures
contracts

  

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $ 3,375,869      $ —  
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —      $ 21,278,151  

Foreign exchange contracts

      —        918,701  

Commodity contracts

      —        12,715,916  

Equity contracts

      —        6,514,360  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —        41,427,128  
  

 

 

     

 

 

  

Total asset derivatives

    $ 3,375,869      $ 41,427,128  
  

 

 

     

 

 

  

 

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June 30, 2020 (Unaudited)

 

Liabilities

  

Unrealized
depreciation
on forward
foreign
currency
contracts

    

Unrealized
depreciation
on futures
contracts

  

Over-the-counter liability derivatives

    

Foreign exchange contracts

   $ (2,449,311 )    $ —  
 

 

 

    

 

 

  

Exchange-traded liability derivatives

    

Interest rate contracts

   $ —     $ (780,377 ) 

Foreign exchange contracts

     —       (2,271,548 ) 

Commodity contracts

     —       (12,714,274 ) 

Equity contracts

     —       (2,668,927 ) 
 

 

 

    

 

 

  

Total exchange-traded liability derivatives

   $ —     $ (18,435,126 ) 
 

 

 

    

 

 

  

Total liability derivatives

   $ (2,449,311 )    $ (18,435,126 ) 
 

 

 

    

 

 

  

Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

    

Forward foreign
currency
transactions

  

Interest rate contracts

   $ 188,470,809     $ —  

Foreign exchange contracts

     (15,012,989 )      (30,223,530 ) 

Commodity contracts

     36,962,021       —  

Equity contracts

     (158,389,438 )      —  
 

 

 

    

 

 

  

Total

   $ 52,030,403     $ (30,223,530 ) 
 

 

 

    

 

 

  

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures
contracts

    

Forward foreign
currency
transactions

  

Interest rate contracts

   $ 36,463,096     $ —  

Foreign exchange contracts

     838,833       4,099,913  

Commodity contracts

     (7,322,842 )      —  

Equity contracts

     (17,530,480 )      —  
 

 

 

    

 

 

  

Total

   $ 12,448,607     $ 4,099,913  
 

 

 

    

 

 

  

 

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June 30, 2020 (Unaudited)

 

The following is a summary of derivative instruments for Multi-Asset Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation on
futures contracts

  

Exchange-traded asset derivatives

 

Interest rate contracts

    $ 336,673  

Foreign exchange contracts

      48,296  

Equity contracts

      85,158  
  

 

 

  

Total exchange-traded asset derivatives

    $ 470,127  
  

 

 

  

Liabilities

   

Unrealized
depreciation on
futures contracts

  

Exchange-traded liability derivatives

 

Interest rate contracts

    $ (786 ) 

Foreign exchange contracts

      (8,811 ) 

Equity contracts

      (72,616 ) 
  

 

 

  

Total exchange-traded liability derivatives

    $ (82,213 ) 
  

 

 

  

Transactions in derivative instruments for Multi-Asset Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Futures contracts

  

Interest rate contracts

    $ 976,133  

Foreign exchange contracts

      (780,633 ) 

Equity contracts

      (4,989,594 ) 
  

 

 

  

Total

    $ (4,794,094 ) 
  

 

 

  

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures contracts

  

Interest rate contracts

    $ 448,096  

Foreign exchange contracts

      (87,096 ) 

Equity contracts

      (518,798 ) 
  

 

 

  

Total

    $ (157,798 ) 
  

 

 

  

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

The following is a summary of derivative instruments for Tactical U.S. Market Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation on
futures contracts

  

Exchange-traded asset derivatives

   

Equity contracts

    $ 526,440  

Transactions in derivative instruments for Tactical U.S. Market Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Loss on:

   

Futures contracts

  

Equity contracts

    $ (20,083,241 ) 

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Futures contracts

  

Equity contracts

    $ (3,962,343 ) 

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2020:

 

Global Alternatives Fund

   

Forwards

    

Futures

    

Total
Return
Swaps

  

Average Notional Amount Outstanding

      22.10 %      192.23 %      3.08 % 

Highest Notional Amount Outstanding

      34.31 %      223.38 %      4.48 % 

Lowest Notional Amount Outstanding

      9.51 %      98.48 %      2.44 % 

Notional Amount Outstanding as of June 30, 2020

      9.51 %      223.38 %      3.69 % 

Managed Futures Strategy Fund

   

Forwards

    

Futures

  

Average Notional Amount Outstanding

      103.90 %      668.25 % 

Highest Notional Amount Outstanding

      266.63 %      940.94 % 

Lowest Notional Amount Outstanding

      40.90 %      316.61 % 

Notional Amount Outstanding as of June 30, 2020

      42.91 %      694.07 % 

Multi-Asset Fund

   

Futures

  

Average Notional Amount Outstanding

      128.39 % 

Highest Notional Amount Outstanding

      222.84 % 

Lowest Notional Amount Outstanding

      48.33 % 

Notional Amount Outstanding as of June 30, 2020

      172.05 % 

 

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June 30, 2020 (Unaudited)

 

Tactical U.S. Market Fund

   

Futures

  

Average Notional Amount Outstanding

      44.57 % 

Highest Notional Amount Outstanding

      70.99 % 

Lowest Notional Amount Outstanding

      4.79 % 

Notional Amount Outstanding as of June 30, 2020

      18.72 % 

Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their 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 a 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 Funds 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 Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2020, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Alternatives Fund

 

Counterparty

   

Gross Amounts of
Assets

    

Offset
Amount

    

Net
Asset
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ 75,113     $ (75,113 )    $ —     $ —      $   —  

Counterparty

   

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ (403,218 )    $ 75,113     $ (328,105 )    $ 328,105      $ —  

 

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Managed Futures Strategy Fund

                      

Counterparty

   

Gross Amounts of
Assets

    

Offset
Amount

    

Net
Asset
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ 3,375,869     $ (2,449,311 )    $ 926,558      $   —      $ 926,558  

Counterparty

   

Gross Amounts of
Liabilities

    

Offset
Amount

    

Net
Liability
Balance

     

Collateral
(Received)/
Pledged

     

Net
Amount

  

UBS AG

    $ (2,449,311 )    $ 2,449,311     $ —      $   —      $ —  

The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2020, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:

 

   

Independent
Amount of
Collateral

    

Increase
(Decrease)
For Change
in Value

    

Required
Collateral

    

Collateral
Pledged

    

Excess/
(Shortfall)

  

Global Alternatives Fund

   $ 1,054,089     $ 336,116     $ 1,390,205     $ 1,366,423     $ (23,782 ) 

Managed Futures Strategy Fund

     16,645,912       (925,628 )      15,720,284       16,244,655       524,371  

Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statements of Assets and Liabilities.

Counterparty risk is managed based on policies and procedures established by each 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. A Fund’s risk of loss from counterparty credit risk on OTC 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

 

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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 clearing house, 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. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, 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 applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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 applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2020:

 

Fund

  

Maximum Amount

of Loss - Gross

    

Maximum Amount

of Loss - Net

  

Global Alternatives Fund

            

Over-the-counter counterparty credit risk

    

Forward foreign currency contracts

   $ 75,113     $ —  

Collateral pledged to UBS AG

     1,366,423       1,366,423  

Collateral pledged to Morgan Stanley

     6,034,375       6,034,375  
 

 

 

    

 

 

  

Total over-the-counter counterparty credit risk

     7,475,911       7,400,798  
 

 

 

    

 

 

  

Exchange-traded counterparty credit risk

    

Futures contracts

     5,800,925       5,800,925  

Margin with brokers

     24,794,665       24,794,665  
 

 

 

    

 

 

  

Total exchange-traded counterparty credit risk

     30,595,590       30,595,590  
 

 

 

    

 

 

  

Total counterparty credit risk

   $ 38,071,501     $ 37,996,388  
 

 

 

    

 

 

  

 

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Fund

  

Maximum Amount

of Loss - Gross

    

Maximum Amount

of Loss - Net

  

Managed Futures Strategy Fund

            

Over-the-counter counterparty credit risk

    

Forward foreign currency contracts

   $ 3,375,869     $ 926,558  

Collateral pledged to UBS AG

     16,244,655       16,244,655  
 

 

 

    

 

 

  

Total over-the-counter counterparty credit risk

     19,620,524       17,171,213  
 

 

 

    

 

 

  

Exchange-traded counterparty credit risk

    

Futures contracts

     41,427,128       41,427,128  

Margin with brokers

     169,621,393       169,621,393  
 

 

 

    

 

 

  

Total exchange-traded counterparty credit risk

     211,048,521       211,048,521  
 

 

 

    

 

 

  

Total counterparty credit risk

   $ 230,669,045     $ 228,219,734  
 

 

 

    

 

 

  

Multi-Asset Fund

            

Exchange-traded counterparty credit risk

    

Futures contracts

   $ 470,127     $ 470,127  

Margin with brokers

     1,587,662       1,587,662  
 

 

 

    

 

 

  

Total exchange-traded counterparty credit risk

   $ 2,057,789     $ 2,057,789  
 

 

 

    

 

 

  

Tactical U.S. Market Fund

            

Exchange-traded counterparty credit risk

    

Futures contracts

   $ 526,440     $ 526,440  

Margin with brokers

     1,251,264       1,251,264  
 

 

 

    

 

 

  

Total exchange-traded counterparty credit risk

   $ 1,777,704     $ 1,777,704  
 

 

 

    

 

 

  

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2020, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   

Purchases

     

Sales

  

Global Alternatives Fund

    $ 157,127,669      $ 212,792,590  

Multi-Asset Fund

      4,751,877        14,559,703  

Tactical U.S. Market Fund

      24,767,469        49,888,773  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Investment Managers, LLC (“Natixis”), serves as investment adviser to the Funds. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets.

 

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June 30, 2020 (Unaudited)

 

Fund

    Percentage of
Average Daily
Net Assets		  

Multi-Asset Fund

      0.70 % 

Tactical U.S. Market Fund

      0.80 % 

Global Alternatives Fund pays a management fee at an annual rate of 1.15% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.10% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

Effective July 1, 2020, Global Alternatives Fund pays a management fee at the annual rate of 1.10% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.05% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

Managed Futures Strategy Fund pays a management fee at an annual rate of 1.25% on the first $2.5 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.20% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.

AlphaSimplex also serves as investment adviser to AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.15% and 1.25%, respectively, of its average daily net assets.

Effective July 1, 2020, AlphaSimplex Global Alternatives Cayman Fund Ltd. pays a management fee at the annual rate of 1.10% on the first $2 billion of its average daily net assets, and 1.05% thereafter.

Additionally, AlphaSimplex has entered into a subadvisory agreement with Natixis Advisors, L.P. (“Natixis Advisors”), (through its division, Active Index Advisors), on behalf of Tactical U.S. Market Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.10% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by Natixis Advisors.

Payments to AlphaSimplex are reduced by the amount of payments to Natixis Advisors as described above.

AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short (Global Alternatives Fund only), taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is

 

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net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Global Alternatives Fund

      1.54 %      2.29 %      1.24 %      1.29 % 

Managed Futures Strategy Fund

      1.70 %      2.45 %      1.40 %      1.45 % 

Multi-Asset Fund

      1.15 %      1.90 %      —       0.90 % 

Tactical U.S. Market Fund

      1.24 %      1.99 %      —       0.99 % 

Effective July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Global Alternatives Fund are as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Global Alternatives Fund

      1.49 %      2.24 %      1.19 %      1.24 % 

This new undertaking is in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

AlphaSimplex shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2020, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

  

Gross
Management
Fees

    

Contractual
Waivers of
Management
Fees1

    

Net
Management
Fees

    

Percentage of
Average
Daily Net Assets

  
 

Gross

    

Net

  

Global Alternatives Fund

   $ 4,233,582     $ 188,839     $ 4,044,743       1.15 %      1.10 % 

Managed Futures Strategy Fund

     10,023,438       —       10,023,438       1.25 %      1.25 % 

Multi-Asset Fund

     133,548       90,261       43,287       0.70 %      0.23 % 

Tactical U.S. Market Fund

     621,101       72,019       549,082       0.80 %      0.71 % 

 

1

Management fee waivers are subject to possible recovery until December 31, 2021.

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

For the six months ended June 30, 2020, class-specific expenses have been reimbursed as follows:

 

    

Reimbursement1

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Total

  

Managed Futures Strategy Fund

    $ 120,791      $ 12,218      $   —      $ 684,276      $ 817,285  

 

1  

Expense reimbursement is subject to possible recovery until December 31, 2021.

No expenses were recovered for any of the Funds during the six months ended June 30, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Class C

  

Global Alternatives Fund

    $ 29,525      $ 11,538      $ 34,613  

Managed Futures Strategy Fund

      273,526        27,675        83,026  

Multi-Asset Fund

      458        81        242  

Tactical U.S. Market Fund

      17,679        2,984        8,951  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant

 

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to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2020, the administrative fees paid to Natixis Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):

 

Fund

   

Administrative
Fees

  

Global Alternatives Fund

    $ 163,882  

Managed Futures Strategy Fund

      357,678  

Multi-Asset Fund

      8,484  

Tactical U.S. Market Fund

      34,482  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Global Alternatives Fund

    $ 204,416  

Managed Futures Strategy Fund

      776,044  

Multi-Asset Fund

      29,790  

Tactical U.S. Market Fund

      68,691  

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

As of June 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

Global Alternatives Fund

    $ 3,534  

Managed Futures Strategy Fund

      21,291  

As of June 30, 2020, Natixis Distribution owes the Funds the following overpayments of sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as receivable from distributor):

 

Fund

   

Overpayments
of Sub-Transfer
Agent Fees

  

Multi-Asset Fund

    $ 107  

Tactical U.S. Market Fund

      1,192  

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2020 were as follows:

 

Fund

   

Commissions

  

Global Alternatives Fund

    $ 857  

Managed Futures Strategy Fund

      9,278  

Multi-Asset Fund

      19  

Tactical U.S. Market Fund

      909  

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of

 

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June 30, 2020 (Unaudited)

 

$20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and its affiliates are also officers and/or Trustees of the Trust.

g.  Reimbursement of Transfer Agent Fees and Expenses.  Effective May 1,2020, Natixis Advisors has given a binding contractual undertaking to Global Alternatives Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the period May 1, 2020 through June 30, 2020, Natixis Advisors reimbursed the Fund $560 for transfer agency expenses related to Class N shares.

h.  Payment by Affiliates.  For the six months ended June 30, 2020, AlphaSimplex reimbursed Multi-Asset Fund $2,814 for transaction costs incurred in conjunction with a strategy change (see Note 1 of Notes to Financial Statements). This amount is included in realized gains in the Statements of Operations.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses for Global Alternatives Fund and Managed Futures Strategy Fund attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

For the six months ended June 30, 2020, Global Alternatives Fund and Managed Futures Strategy Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    

Transfer Agent Fees and Expenses

  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

Global Alternatives Fund

    $ 8,434      $ 3,314      $ 741      $ 252,822  

Managed Futures Strategy Fund

      221,785        22,464        1,890        1,261,049  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2020, none of the Funds had borrowings under these agreements.

9.  Risk.  Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

The Funds’ (excluding Multi-Asset Fund and Tactical U.S. Market Fund) investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

 

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June 30, 2020 (Unaudited)

 

Multi-Asset Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

10.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Total
Percentage of
Ownership

  

Global Alternatives Fund

      4        49.48 % 

Managed Futures Strategy Fund

      2        18.64 % 

Multi-Asset Fund

      2        84.59 %(a) 

Tactical U.S. Market Fund

      3        60.05 %(a) 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

(a)

Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund (AlphaSimplex). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. AlphaSimplex has no involvement in the decisions to invest in the models provided.

 

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June 30, 2020 (Unaudited)

 

11.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Global Alternatives Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      1,311,761     $ 14,418,126       644,252     $ 6,988,601  

Issued in connection with the reinvestment of distributions

      —       —       12,875       143,942  

Redeemed

      (2,030,755 )      (21,250,119 )      (1,678,431 )      (18,199,118 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (718,994 )    $ (6,831,993 )      (1,021,304 )    $ (11,066,575 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      13,915     $ 138,001       87,743     $ 893,373  

Issued in connection with the reinvestment of distributions

      —       —       603       6,317  

Redeemed

      (265,527 )      (2,629,016 )      (642,998 )      (6,478,230 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (251,612 )    $ (2,491,015 )      (554,652 )    $ (5,578,540 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      5,842     $ 62,496       28,333     $ 327,145  

Issued in connection with the reinvestment of distributions

      —       —       496       5,620  

Redeemed

      (29,450 )      (330,971 )      (1,365,297 )      (14,957,535 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (23,608 )    $ (268,475 )      (1,336,468 )    $ (14,624,770 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      11,630,186     $ 125,091,775       17,200,887     $ 188,500,365  

Issued in connection with the reinvestment of distributions

      —       —       350,454       3,981,153  

Redeemed

      (20,712,530 )      (218,692,363 )      (57,313,299 )      (629,677,366 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (9,082,344 )    $ (93,600,588 )      (39,761,958 )    $ (437,195,848 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (10,076,558 )    $ (103,192,071 )      (42,674,382 )    $ (468,465,733 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

105  |    

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Managed Futures Strategy Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      5,723,385     $ 55,602,850       18,897,616     $ 175,081,342  

Issued in connection with the reinvestment of distributions

      —       —       977,144       9,058,160  

Redeemed

      (9,968,522 )      (95,981,490 )      (10,842,429 )      (103,378,255 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (4,245,137 )    $ (40,378,640 )      9,032,331     $ 80,761,247  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      194,682     $ 1,776,344       120,006     $ 1,092,355  

Issued in connection with the reinvestment of distributions

      —       —       79,212       696,274  

Redeemed

      (263,646 )      (2,416,956 )      (1,193,953 )      (10,506,738 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (68,964 )    $ (640,612 )      (994,735 )    $ (8,718,109 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      2,543,620     $ 24,556,083       8,843,736     $ 84,693,165  

Issued in connection with the reinvestment of distributions

      —       —       232,102       2,179,433  

Redeemed

      (2,055,846 )      (20,238,483 )      (4,062,833 )      (39,555,270 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      487,774     $ 4,317,600       5,013,005     $ 47,317,328  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      47,986,199     $ 470,997,027       60,717,853     $ 572,143,631  

Issued in connection with the reinvestment of distributions

      —       —       3,967,764       37,177,943  

Redeemed

      (43,229,713 )      (420,717,292 )      (137,926,321 )      (1,287,764,123 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      4,756,486     $ 50,279,735       (73,240,704 )    $ (678,442,549 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      930,159     $ 13,578,083       (60,190,103 )    $ (559,082,083 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Multi-Asset Fund

      Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

      4,173     $ 38,258       6,314     $ 63,879  

Issued in connection with the reinvestment of distributions

      905       7,854       815       8,974  

Redeemed

      (6,503 )      (58,135 )      (2,261 )      (24,204 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,425 )    $ (12,023 )      4,868     $ 48,649  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      25,279     $ 217,341       995     $ 10,000  

Issued in connection with the reinvestment of distributions

      368       3,161       23       252  

Redeemed

      (25,613 )      (225,506 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      34     $ (5,004 )      1,018     $ 10,252  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      534,189     $ 5,102,964       916,457     $ 9,438,127  

Issued in connection with the reinvestment of distributions

      89,120       776,236       91,957       1,015,455  

Redeemed

      (696,012 )      (6,617,214 )      (975,483 )      (10,096,772 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (72,703 )    $ (738,014 )      32,931     $ 356,810  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (74,094 )    $ (755,041 )      38,817     $ 415,711  
  

 

 

    

 

 

    

 

 

    

 

 

  

Tactical U.S. Market Fund

         
Class A         

Issued from the sale of shares

      77,487     $ 1,143,512       822,584     $ 11,890,945  

Issued in connection with the reinvestment of distributions

      27,257       342,077       7,640       123,075  

Redeemed

      (801,346 )      (11,280,866 )      (871,317 )      (12,915,178 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (696,602 )    $ (9,795,277 )      (41,093 )    $ (901,158 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      13,162     $ 183,158       33,835     $ 455,193  

Issued in connection with the reinvestment of distributions

      5,417       65,703       —       —  

Redeemed

      (60,725 )      (823,601 )      (80,756 )      (1,108,104 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (42,146 )    $ (574,740 )      (46,921 )    $ (652,911 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      1,650,670     $ 23,251,203       7,393,004     $ 108,190,833  

Issued in connection with the reinvestment of distributions

      283,386       3,570,662       86,482       1,397,559  

Redeemed

      (4,666,900 )      (65,582,070 )      (5,115,868 )      (77,278,705 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (2,732,844 )    $ (38,760,205 )      2,363,618     $ 32,309,687  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (3,471,592 )    $ (49,130,222 )      2,275,604     $ 30,755,618  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

107  |    

Table of Contents

LOGO

 

LOGO

 

Semiannual Report

June 30, 2020

Natixis Oakmark Fund

Natixis Oakmark International Fund

Vaughan Nelson Mid Cap Fund

(formerly Vaughan Nelson Value Opportunity Fund)

Vaughan Nelson Small Cap Value Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     19  
Financial Statements     34  
Notes to Financial Statements     60  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.

Table of Contents

NATIXIS OAKMARK FUND

 

Managers   Symbols
William C. Nygren, CFA®   Class A    NEFOX
Kevin G. Grant, CFA®   Class C    NECOX
M. Colin Hudson, CFA®   Class N    NOANX
Michael J. Mangan, CFA®   Class Y    NEOYX
Michael A. Nicolas, CFA®*  
Harris Associates L.P.  

 

*

Effective January 28, 2020, Michael A. Nicolas joined the portfolio management team of the Fund.

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

 

1  |    

Table of Contents

Average Annual Total Returns — June 30, 20203

 

             
                            

Life of

Class N

     Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Gross     Net  
     
Class Y (Inception 11/18/98)                
NAV     -13.66 %      -5.92 %      5.74 %      11.17 %      —       0.92 %      0.92 % 
     
Class A (Inception 5/6/31)                
NAV     -13.78       -6.18       5.47       10.88       —       1.17 %      1.17 % 
With 5.75% Maximum Sales Charge     -18.74       -11.59       4.22       10.23       —        
     
Class C (Inception 5/1/95)                
NAV     -14.13       -6.91       4.67       10.05       —       1.92 %      1.92 % 
With CDSC1     -14.99       -7.80       4.67       10.05       —        
     
Class N (Inception 5/1/17)                
NAV     -13.60       -5.84       —       —       3.32       1.25 %      0.83 % 
   
COMPARATIVE PERFORMANCE                
S&P 500® Index2     -3.08       7.51       10.73       13.99       10.74                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitations, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2

Table of Contents

NATIXIS OAKMARK INTERNATIONAL FUND

 

Managers   Symbols
David G. Herro, CFA®   Class A    NOIAX
Michael L. Manelli, CFA®   Class C    NOICX
Harris Associates L.P.   Class N    NIONX
  Class Y    NOIYX

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

 

3  |

Table of Contents

Average Annual Total Returns — June 30, 20204

 

             
                                   Expense Ratios5  
     6 Months     1 Year     5 Years     Life of Class     Gross     Net  
     
Class Y (Inception 5/1/17)           Class A/C       Class Y/N        
NAV1     -23.38 %      -15.40 %      -1.68 %      —       -6.10 %      0.99 %      0.99 % 
     
Class A (Inception 12/15/10)                
NAV     -23.40       -15.53       -1.83       2.71       —       1.24 %      1.24 % 
With 5.75% Maximum Sales Charge     -27.80       -20.41       -2.98       2.07       —        
     
Class C (Inception 12/15/10)                
NAV     -23.71       -16.23       -2.58       1.94       —       1.99 %      1.99 % 
With CDSC2     -24.48       -17.05       -2.58       1.94       —        
     
Class N (Inception 5/1/17)                
NAV     -23.23       -15.23       —       —       -5.98       1.03 %      0.89 % 
   
COMPARATIVE PERFORMANCE                
MSCI World ex U.S. Index (Net)3     -11.49       -5.42       2.01       3.45       1.78                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class.

 

2

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

MSCI World ex U.S. Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Funds prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Funds expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Funds expense limitations.

 

|  4

Table of Contents

VAUGHAN NELSON MID CAP FUND

(formerly Vaughan Nelson Value Opportunity Fund)

 

Managers   Symbols
Dennis G. Alff, CFA®   Class A    VNVAX
Chad D. Fargason   Class C    VNVCX
Chris D. Wallis, CFA®   Class N    VNVNX
  Class Y    VNVYX
Vaughan Nelson Investment Management, L.P.  

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

 

5  |

Table of Contents

Average Annual Total Returns — June 30, 20203

 

             
                            

Life of
Class N

     Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Gross     Net  
     
Class Y (Inception 10/31/08)                
NAV     -14.70 %      -7.26 %      0.20 %      9.59 %      —       1.04 %      0.99 % 
     
Class A (Inception 10/31/08)                
NAV     -14.84       -7.54       -0.06       9.32       —       1.30 %      1.24 % 
With 5.75% Maximum Sales Charge     -19.74       -12.85       -1.24       8.68       —        
     
Class C (Inception 10/31/08)                
NAV     -15.19       -8.26       -0.81       8.51       —       2.04 %      1.98 % 
With CDSC1     -16.00       -9.13       -0.81       8.51       —        
     
Class N (Inception 5/1/13)                
NAV     -14.68       -7.19       0.29       —       5.97       0.95 %      0.93 % 
   
COMPARATIVE PERFORMANCE                
Russell Midcap® Value Index2     -18.09       -11.81       3.32       10.29       6.64                  

 

 

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

    |  6

Table of Contents

VAUGHAN NELSON SMALL CAP VALUE FUND

 

Managers   Symbols
Chris D. Wallis, CFA®   Class A    NEFJX
Stephen Davis, CFA®   Class C    NEJCX
  Class N    VSCNX
  Class Y    NEJYX
Vaughan Nelson Investment Management, L.P.  

 

 

Investment Goal

The Fund seeks capital appreciation.

 

 

 

7  |

Table of Contents

Average Annual Total Returns — June 30, 20203

 

             
                            

Life of

Class N

     Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Gross     Net  
     
Class Y (Inception 8/31/06)                
NAV     -18.40 %      -13.91 %      0.62 %      9.14 %      —       1.27 %      1.13 % 
     
Class A (Inception 12/31/96)                
NAV     -18.51       -14.11       0.38       8.87       —       1.51 %      1.38 % 
With 5.75% Maximum Sales Charge     -23.18       -19.05       -0.80       8.22       —        
     
Class C (Inception 12/31/96)

 

              
NAV     -18.74       -14.69       -0.37       8.05       —       2.27 %      2.13 % 
With CDSC1     -19.54       -15.52       -0.37       8.05       —        
     
Class N (Inception 5/1/17)                
NAV     -18.39       -13.87       —       —       -2.08       11.84 %      1.08 % 
   
COMPARATIVE PERFORMANCE                
Russell 2000® Value Index2     -23.50       -17.48       1.26       7.82       -4.16                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  8

Table of Contents

ADDITIONAL INFORMATION

 

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

9  |    

Table of Contents

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2020 through June 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning funds. If transaction costs were included, total costs would be higher.

 

    |  10

Table of Contents
Natixis Oakmark Fund  

Beginning
Account Value

1/1/2020

    

Ending

Account Value

6/30/2020

    

Expenses Paid
During Period*

1/1/2020 – 6/30/2020

  
Class A        
Actual     $1,000.00       $862.20       $5.42  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.05       $5.87  
Class C        
Actual     $1,000.00       $858.70       $8.87  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.32       $9.62  
Class N        
Actual     $1,000.00       $864.00       $3.85  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.74       $4.17  
Class Y        
Actual     $1,000.00       $863.40       $4.31  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.24       $4.67  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.17%, 1.92%, 0.83% and 0.93% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

Natixis Oakmark International Fund  

Beginning
Account Value

1/1/2020

    

Ending
Account Value

6/30/2020

    

Expenses Paid
During Period*

1/1/2020 – 6/30/2020

  
Class A        
Actual     $1,000.00       $766.00       $6.02  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.05       $6.87  
Class C        
Actual     $1,000.00       $762.90       $9.29  
Hypothetical (5% return before expenses)     $1,000.00       $1,014.32       $10.62  
Class N        
Actual     $1,000.00       $767.70       $4.09  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.24       $4.67  
Class Y        
Actual     $1,000.00       $766.20       $4.92  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.29       $5.62  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.37%, 2.12%, 0.93% and 1.12% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

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Vaughan Nelson Mid Cap Fund   Beginning
Account Value
1/1/2020		     Ending
Account Value
6/30/2020		     Expenses Paid
During Period*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $851.60       $5.52  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.90       $6.02  
Class C        
Actual     $1,000.00       $848.10       $8.96  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.17       $9.77  
Class N        
Actual     $1,000.00       $853.20       $4.15  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.39       $4.52  
Class Y        
Actual     $1,000.00       $853.00       $4.38  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.14       $4.77  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

Vaughan Nelson Small Cap Value Fund   Beginning
Account Value
1/1/2020		     Ending
Account Value
6/30/2020		     Expenses Paid
During Period*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $814.90       $6.05  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.20       $6.72  
Class C        
Actual     $1,000.00       $812.60       $9.42  
Hypothetical (5% return before expenses)     $1,000.00       $1,014.47       $10.47  
Class N        
Actual     $1,000.00       $816.10       $4.70  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.69       $5.22  
Class Y        
Actual     $1,000.00       $816.00       $4.92  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.44       $5.47  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.34%, 2.09%, 1.04% and 1.09% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

    |  12

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees and other expenses, including information comparing the Funds’ advisory and sub-advisory fees to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a

 

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Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter, the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the

 

    |  14

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independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

    

Three-Year

    

Five-Year

  

Natixis Oakmark Fund

      70 %      92 %      80 % 

Natixis Oakmark International Fund

      27 %      86 %      69 % 

Vaughan Nelson Small Cap Value Fund

      46 %      86 %      69 % 

Vaughan Nelson Mid Cap Fund

      24 %      73 %      84 % 

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance has been stronger relative to its category; (3) the Adviser’s deep value investment strategy was expected to result in cyclical underperformance from time to time and (4) that the Fund’s shorter-term performance has been strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the

 

15  |    

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extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that all of the Funds included have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for Vaughan Nelson Mid Cap Fund and Vaughan Nelson Small Cap Value Fund under their respective expense limitation agreements as well as the material terms of those expense limitations. They further noted that management had proposed to reduce the expense limitations for Natixis Oakmark International Fund and Vaughan Nelson Small Cap Value Fund on all share classes, effective as of July 1, 2020.

The Trustees noted that certain of the Funds had total advisory fee rates that were above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rates, including: (1) the quality of the services and the reputation and performance of the portfolio management team; (2) that the Fund had an expense limitation reduction last year and the comparison against the peer group did not reflect the full impact of that reduction; and (3) that management had proposed to further reduce the expense limitations of the Fund.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Natixis Oakmark Fund, Natixis Oakmark International Fund and Vaughan Nelson Mid Cap Fund had breakpoints in their advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s

 

    |  16

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proposal to reduce the expense limitations for Natixis Oakmark International Fund and Vaughan Nelson Small Cap Value Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

·  

The effect of recent market and economic events, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

·  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

 

·  

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

·  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2021.

 

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LIQUIDITY RISK MANAGEMENT PROGRAM

 

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through June 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations during the period.

During the period January 1, 2020 through June 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

    |  18

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis Oakmark Fund

 

Shares

      Description    Value (†)  
  Common Stocks — 93.9% of Net Assets  
       Aerospace & Defense — 1.0%       
  14,400      General Dynamics Corp.    $ 2,152,224  
     

 

 

  
   Auto Components — 1.3%   
  36,600      Aptiv PLC      2,851,872  
     

 

 

  
   Automobiles — 1.8%   
  151,800      General Motors Co.      3,840,540  
     

 

 

  
   Banks — 8.1%   
  299,200      Bank of America Corp.      7,106,000  
  134,700      Citigroup, Inc.      6,883,170  
  118,245      Wells Fargo & Co.      3,027,072  
     

 

 

  
        17,016,242  
     

 

 

  
       Beverages — 2.6%       
  31,200      Constellation Brands, Inc., Class A      5,458,440  
     

 

 

  
       Biotechnology — 1.0%       
  3,245      Regeneron Pharmaceuticals, Inc.(a)      2,023,744  
     

 

 

  
       Capital Markets — 13.2%       
  104,900      Bank of New York Mellon Corp. (The)      4,054,385  
  156,400      Charles Schwab Corp. (The)      5,276,936  
  19,865      Goldman Sachs Group, Inc. (The)      3,925,721  
  17,710      Moody’s Corp.      4,865,469  
  13,440      S&P Global, Inc.      4,428,211  
  82,836      State Street Corp.      5,264,228  
     

 

 

  
        27,814,950  
     

 

 

  
       Consumer Finance — 6.9%       
  264,100      Ally Financial, Inc.      5,237,103  
  36,044      American Express Co.      3,431,389  
  94,805      Capital One Financial Corp.      5,933,845  
     

 

 

  
        14,602,337  
     

 

 

  
       Electronic Equipment, Instruments & Components — 1.5%       
  38,300      TE Connectivity Ltd.      3,123,365  
     

 

 

  
       Entertainment — 3.2%       
  14,705      Netflix, Inc.(a)      6,691,363  
     

 

 

  
       Health Care Providers & Services — 5.4%       
  63,085      CVS Health Corp.      4,098,632  
  30,207      HCA Healthcare, Inc.      2,931,891  
  11,290      Humana, Inc.      4,377,698  
     

 

 

  
        11,408,221  
     

 

 

  
       Hotels, Restaurants & Leisure — 2.8%       
  46,245      Hilton Worldwide Holdings, Inc.      3,396,695  
  156,400      MGM Resorts International      2,627,520  
     

 

 

  
        6,024,215  
     

 

 

  
       Industrial Conglomerates — 1.4%       
  440,100      General Electric Co.      3,005,883  
     

 

 

  

 

19  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Natixis Oakmark Fund – (continued)

 

Shares

      Description    Value (†)  
       Insurance — 3.7%       
  150,795      American International Group, Inc.    $ 4,701,788  
  38,627      Reinsurance Group of America, Inc.      3,029,902  
     

 

 

  
        7,731,690  
     

 

 

  
       Interactive Media & Services — 9.7%       
  5,685      Alphabet, Inc., Class A(a)      8,061,614  
  31,935      Facebook, Inc., Class A(a)      7,251,481  
  27,036      Match Group, Inc.(a)      2,894,204  
  103,141      Pinterest, Inc., Class A(a)      2,286,636  
     

 

 

  
        20,493,935  
     

 

 

  
       Internet & Direct Marketing Retail — 5.6%       
  3,425      Booking Holdings, Inc.(a)      5,453,765  
  84,011      eBay, Inc.      4,406,377  
  199,200      Qurate Retail, Inc., Class A(a)      1,892,400  
     

 

 

  
        11,752,542  
     

 

 

  
       IT Services — 6.8%       
  14,320      Automatic Data Processing, Inc.      2,132,105  
  164,300      DXC Technology Co.      2,710,950  
  29,665      Gartner, Inc.(a)      3,599,254  
  9,750      MasterCard, Inc., Class A      2,883,075  
  15,805      Visa, Inc., Class A      3,053,052  
     

 

 

  
        14,378,436  
     

 

 

  
       Machinery — 6.2%       
  29,081      Caterpillar, Inc.      3,678,746  
  26,460      Cummins, Inc.      4,584,460  
  25,755      Parker-Hannifin Corp.      4,720,119  
     

 

 

  
        12,983,325  
     

 

 

  
       Media — 4.8%       
  8,115      Charter Communications, Inc., Class A(a)      4,138,975  
  151,200      Comcast Corp., Class A      5,893,776  
     

 

 

  
        10,032,751  
     

 

 

  
       Oil, Gas & Consumable Fuels — 4.6%       
  243,398      Apache Corp.      3,285,873  
  23,000      Concho Resources, Inc.      1,184,500  
  24,130      Diamondback Energy, Inc.      1,009,116  
  84,724      EOG Resources, Inc.      4,292,118  
     

 

 

  
        9,771,607  
     

 

 

  
       Software — 1.4%       
  15,398      Workday, Inc., Class A(a)      2,884,969  
     

 

 

  
       Wireless Telecommunication Services — 0.9%       
  18,400      T-Mobile US, Inc.(a)      1,916,360  
     

 

 

  
   Total Common Stocks
(Identified Cost $192,084,750)		      197,959,011  
     

 

 

  
     

 

  See accompanying notes to financial statements.   |  20

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis Oakmark Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 6.4%  
$ 13,461,035      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $13,461,035 on 7/01/2020 collateralized by $12,148,600 U.S. Treasury Note, 2.250% due 11/15/2027 valued at $13,730,293 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,461,035)    $ 13,461,035  
     

 

 

  
     
   Total Investments — 100.3%
(Identified Cost $205,545,785)		      211,420,046  
   Other assets less liabilities — (0.3)%      (568,866 ) 
     

 

 

  
   Net Assets — 100.0%    $ 210,851,180  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Non-income producing security.

 

Industry Summary at June 30, 2020 (Unaudited)

 

Capital Markets

      13.2 % 

Interactive Media & Services

      9.7  

Banks

      8.1  

Consumer Finance

      6.9  

IT Services

      6.8  

Machinery

      6.2  

Internet & Direct Marketing Retail

      5.6  

Health Care Providers & Services

      5.4  

Media

      4.8  

Oil, Gas & Consumable Fuels

      4.6  

Insurance

      3.7  

Entertainment

      3.2  

Hotels, Restaurants & Leisure

      2.8  

Beverages

      2.6  

Other Investments, less than 2% each

      10.3  

Short-Term Investments

      6.4  
  

 

 

  

Total Investments

      100.3  

Other assets less liabilities

      (0.3 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

21  |   See accompanying notes to financial statements.  

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis Oakmark International Fund

 

Shares      Description    Value (†)  
  Common Stocks — 97.4% of Net Assets  
       Australia — 3.4%       
  4,538,450      AMP Ltd.(a)    $ 5,872,416  
  565,600      Brambles Ltd.      4,288,599  
  546,458      Orica Ltd.      6,319,576  
     

 

 

  
        16,480,591  
     

 

 

  
       Canada — 2.5%       
  1,571,867      Cenovus Energy, Inc.      7,352,207  
  107,700      Open Text Corp.      4,573,442  
     

 

 

  
        11,925,649  
     

 

 

  
       China — 2.5%       
  600      Alibaba Group Holding Ltd., Sponsored ADR(a)      129,420  
  124,800      Alibaba Group Holding Ltd.(a)      3,367,577  
  42,634      Baidu, Inc., Sponsored ADR(a)      5,111,390  
  134,100      Trip.com Group Ltd., ADR(a)      3,475,872  
     

 

 

  
        12,084,259  
     

 

 

  
       Finland — 0.8%       
  140,900      UPM-Kymmene OYJ      4,081,125  
     

 

 

  
       France — 11.8%       
  361,348      Accor S.A.(a)      9,861,770  
  525,291      BNP Paribas S.A.(a)(b)      20,987,475  
  203,422      Bureau Veritas S.A.(a)      4,314,466  
  23,700      EssilorLuxottica S.A.(a)      3,048,018  
  285,851      Publicis Groupe S.A.      9,285,870  
  337,600      Valeo S.A.      8,904,313  
     

 

 

  
        56,401,912  
     

 

 

  
       Germany — 16.7%       
  60,910      Allianz SE, (Registered)      12,446,487  
  120,630      Bayer AG, (Registered)      8,941,515  
  255,100      Bayerische Motoren Werke AG      16,285,744  
  153,459      Continental AG(a)      15,086,741  
  451,714      Daimler AG, (Registered)      18,377,467  
  31,500      Henkel AG & Co. KGaA      2,635,299  
  924,100      thyssenkrupp AG(a)      6,592,783  
     

 

 

  
        80,366,036  
     

 

 

  
       India — 1.1%       
  937,775      Axis Bank Ltd.      5,073,143  
     

 

 

  
       Indonesia — 1.0%       
  13,450,000      Bank Mandiri Persero Tbk PT      4,670,240  
     

 

 

  
       Ireland — 2.1%       
  153,763      Ryanair Holdings PLC, Sponsored ADR(a)      10,200,637  
     

 

 

  
       Italy — 4.1%       
  10,146,500      Intesa Sanpaolo SpA(a)      19,498,426  
     

 

 

  

 

  See accompanying notes to financial statements.   |  22

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Natixis Oakmark International Fund – (continued)

 

Shares      Description    Value (†)  
       Japan — 2.6%       
  340,100      Komatsu Ltd.    $ 6,965,425  
  86,300      Toyota Motor Corp.      5,426,894  
     

 

 

  
        12,392,319  
     

 

 

  
       Korea — 2.5%       
  38,950      NAVER Corp.      8,763,096  
  75,500      Samsung Electronics Co. Ltd.      3,342,206  
     

 

 

  
        12,105,302  
     

 

 

  
       Mexico — 0.8%       
  691,500      Grupo Televisa SAB, Sponsored ADR(a)      3,623,460  
     

 

 

  
       Netherlands — 2.2%       
  186,844      EXOR NV      10,724,328  
     

 

 

  
       South Africa — 2.2%       
  56,935      Naspers Ltd., N Shares      10,463,531  
     

 

 

  
       Spain — 1.3%       
  115,900      Amadeus IT Group S.A.      6,084,994  
     

 

 

  
       Sweden — 5.3%       
  596,855      Hennes & Mauritz AB, B Shares      8,711,869  
  412,800      SKF AB, B Shares      7,716,684  
  581,100      Volvo AB, B Shares(a)      9,143,538  
     

 

 

  
        25,572,091  
     

 

 

  
       Switzerland — 12.0%       
  103,800      Cie Financiere Richemont S.A., (Registered)      6,695,133  
  1,630,734      Credit Suisse Group AG, (Registered)(b)      16,967,570  
  10,216,780      Glencore PLC(b)      21,763,832  
  9,030      Kuehne & Nagel International AG, (Registered)(a)      1,504,114  
  119,121      LafargeHolcim Ltd., (Registered)      5,247,997  
  25,855      Swatch Group AG (The)      5,189,400  
     

 

 

  
        57,368,046  
     

 

 

  
       Taiwan — 0.2%       
  83,000      Taiwan Semiconductor Manufacturing Co. Ltd.      886,399  
     

 

 

  
       United Kingdom — 22.3%       
  251,467      Ashtead Group PLC      8,482,750  
  194,781      Bunzl PLC      5,224,632  
  2,211,500      CNH Industrial NV(a)      15,537,127  
  231,000      Compass Group PLC      3,178,204  
  55,462      Ferguson PLC      4,534,936  
  2,706,800      G4S PLC      3,829,323  
  347,632      Liberty Global PLC, Class A(a)      7,599,235  
  47,637,200      Lloyds Banking Group PLC      18,376,491  
  568,700      Prudential PLC      8,569,206  
  10,800      Reckitt Benckiser Group PLC      993,583  
  1,939,800      Rolls-Royce Holdings PLC      6,848,685  
  4,900,700      Royal Bank of Scotland Group PLC      7,357,150  
  180,289      Schroders PLC      6,580,134  
  100      Schroders PLC, (Non Voting)      2,569  

 

23  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis Oakmark International Fund – (continued)

 

Shares      Description    Value (†)  
       United Kingdom — continued       
  203,500      Smiths Group PLC    $ 3,557,569  
  822,400      WPP PLC      6,411,689  
     

 

 

  
        107,083,283  
     

 

 

  
   Total Common Stocks
(Identified Cost $613,594,963)		      467,085,771  
     

 

 

  
     
  Preferred Stocks — 0.3%  
   Germany — 0.3%

 

  16,700      Henkel AG & Co. KGaA
(Identified Cost $1,737,081)		      1,558,005  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 1.9%  
$ 9,199,723      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $9,199,723 on 7/01/2020 collateralized by $8,218,300 U.S. Treasury Note, 2.875% due 7/31/2025 valued at $9,383,733 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,199,723)      9,199,723  
     

 

 

  
     
   Total Investments — 99.6%
(Identified Cost $624,531,767)		      477,843,499  
   Other assets less liabilities — 0.4%      1,800,642  
     

 

 

  
   Net Assets — 100.0%    $ 479,644,141  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Non-income producing security.

 

  (b)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

     
  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.

 

     
  CHF      Swiss Franc

 

At June 30, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty    Delivery
Date		      Currency
Bought/
Sold (B/S)		      Units
of
Currency		      In Exchange for      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  
State Street Bank and Trust Company      12/16/2020      CHF      S        4,313,000      $ 4,564,697      $ 4,576,755      $ (12,058 ) 
                    

 

 

  

 

  See accompanying notes to financial statements.   |  24

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Natixis Oakmark International Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

Banks

      15.9 % 

Automobiles

      8.3  

Machinery

      8.2  

Metals & Mining

      6.0  

Auto Components

      5.0  

Capital Markets

      4.9  

Insurance

      4.4  

Media

      4.0  

Trading Companies & Distributors

      3.9  

Internet & Direct Marketing Retail

      3.6  

Diversified Financial Services

      3.4  

Textiles, Apparel & Luxury Goods

      3.1  

Interactive Media & Services

      2.9  

Hotels, Restaurants & Leisure

      2.8  

Airlines

      2.1  

Other Investments, less than 2% each

      19.2  

Short-Term Investments

      1.9  
  

 

 

  

Total Investments

      99.6  

Other assets less liabilities (including forward foreign currency contracts)

      0.4  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2020 (Unaudited)

 

Euro

      40.4 % 

British Pound

      22.1  

United States Dollar

      8.2  

Swiss Franc

      7.4  

Swedish Krona

      5.3  

Australian Dollar

      3.4  

Japanese Yen

      2.6  

South Korean Won

      2.5  

Canadian Dollar

      2.5  

South African Rand

      2.2  

Other, less than 2% each

      3.0  
  

 

 

  

Total Investments

      99.6  

Other assets less liabilities (including forward foreign currency contracts)

      0.4  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

25  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Vaughan Nelson Mid Cap Fund*

 

Shares

      Description    Value (†)  
  Common Stocks — 99.2% of Net Assets  
       Banks — 4.1%  
  128,500      Bank of NT Butterfield & Son Ltd. (The)    $ 3,134,115  
  95,750      PacWest Bancorp      1,887,233  
  189,525      TCF Financial Corp.      5,575,825  
     

 

 

  
        10,597,173  
     

 

 

  
       Beverages — 2.1%  
  31,405      Constellation Brands, Inc., Class A      5,494,305  
     

 

 

  
       Building Products — 1.0%  
  24,550      Allegion PLC      2,509,501  
     

 

 

  
       Capital Markets — 4.9%  
  70,450      Ares Management Corp., Class A      2,796,865  
  39,200      Nasdaq, Inc.      4,683,224  
  73,425      Raymond James Financial, Inc.      5,053,843  
     

 

 

  
        12,533,932  
     

 

 

  
       Chemicals — 3.9%  
  52,275      FMC Corp.      5,207,635  
  75,150      LyondellBasell Industries NV, Class A      4,938,858  
     

 

 

  
        10,146,493  
     

 

 

  
       Commercial Services & Supplies — 1.3%  
  75,200      Brink’s Co. (The)      3,422,352  
     

 

 

  
       Construction & Engineering — 1.9%  
  397,125      WillScot Corp.(a)      4,880,666  
     

 

 

  
       Consumer Finance — 0.6%  
  69,950      Synchrony Financial      1,550,092  
     

 

 

  
       Containers & Packaging — 3.7%  
  12,400      AptarGroup, Inc.      1,388,552  
  23,325      Avery Dennison Corp.      2,661,149  
  82,025      Crown Holdings, Inc.(a)      5,342,288  
     

 

 

  
        9,391,989  
     

 

 

  
       Distributors — 0.4%  
  3,830      POOL CORP.      1,041,262  
     

 

 

  
       Diversified Consumer Services — 4.9%  
  17,600      Bright Horizons Family Solutions, Inc.(a)      2,062,720  
  31,750      Grand Canyon Education, Inc.(a)      2,874,327  
  224,000      Laureate Education, Inc., Class A(a)      2,232,160  
  149,575      ServiceMaster Global Holdings, Inc.(a)      5,338,332  
     

 

 

  
        12,507,539  
     

 

 

  
       Electric Utilities — 3.9%  
  67,475      Alliant Energy Corp.      3,228,004  
  86,325      Evergy, Inc.      5,118,209  
  20,350      Eversource Energy      1,694,545  
     

 

 

  
        10,040,758  
     

 

 

  

 

  See accompanying notes to financial statements.   |  26

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Vaughan Nelson Mid Cap Fund* – (continued)

 

Shares

      Description    Value (†)  
       Electrical Equipment — 5.1%  
  52,900      AMETEK, Inc.    $ 4,727,673  
  26,050      Hubbell, Inc.      3,265,628  
  268,650      nVent Electric PLC      5,031,814  
     

 

 

  
        13,025,115  
     

 

 

  
       Electronic Equipment, Instruments & Components — 2.5%  
  16,875      CDW Corp.      1,960,538  
  43,725      Keysight Technologies, Inc.(a)      4,406,605  
     

 

 

  
        6,367,143  
     

 

 

  
       Energy Equipment & Services — 0.8%  
  128,750      Baker Hughes Co.      1,981,463  
     

 

 

  
       Food & Staples Retailing — 1.8%  
  161,350      Performance Food Group Co.(a)      4,701,739  
     

 

 

  
       Health Care Equipment & Supplies — 3.4%  
  14,190      Cooper Cos., Inc. (The)      4,024,852  
  80,625      Hologic, Inc.(a)      4,595,625  
     

 

 

  
        8,620,477  
     

 

 

  
       Health Care Providers & Services — 1.3%  
  53,325      Centene Corp.(a)      3,388,804  
     

 

 

  
       Hotels, Restaurants & Leisure — 1.5%  
  175,275      Aramark      3,955,957  
     

 

 

  
       Independent Power & Renewable Electricity Producers — 3.1%  
  77,650      Atlantica Sustainable Infrastructure PLC      2,259,615  
  300,150      Vistra Energy Corp.      5,588,793  
     

 

 

  
        7,848,408  
     

 

 

  
       Insurance — 5.3%  
  37,950      Allstate Corp. (The)      3,680,771  
  45,650      Arthur J. Gallagher & Co.      4,450,418  
  111,375      Athene Holding Ltd., Class A(a)      3,473,786  
  24,800      Reinsurance Group of America, Inc.      1,945,312  
     

 

 

  
        13,550,287  
     

 

 

  
       IT Services — 10.8%  
  15,135      Alliance Data Systems Corp.      682,891  
  25,550      Booz Allen Hamilton Holding Corp.      1,987,535  
  23,420      CACI International, Inc., Class A(a)      5,079,330  
  39,450      Fidelity National Information Services, Inc.      5,289,850  
  53,075      Fiserv, Inc.(a)      5,181,182  
  29,920      Global Payments, Inc.      5,075,030  
  64,000      MAXIMUS, Inc.      4,508,800  
     

 

 

  
        27,804,618  
     

 

 

  
       Life Sciences Tools & Services — 2.9%  
  26,300      Agilent Technologies, Inc.      2,324,131  
  35,787      IQVIA Holdings, Inc.(a)      5,077,460  
     

 

 

  
        7,401,591  
     

 

 

  

 

27  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Vaughan Nelson Mid Cap Fund* – (continued)

 

Shares

      Description    Value (†)  
       Machinery — 7.8%  
  87,575      Crane Co.    $ 5,207,209  
  66,975      Oshkosh Corp.      4,796,750  
  86,225      Otis Worldwide Corp.      4,902,754  
  113,850      Timken Co. (The)      5,179,036  
     

 

 

  
        20,085,749  
     

 

 

  
       Media — 3.1%  
  94,275      Nexstar Media Group, Inc., Class A      7,889,875  
     

 

 

  
       Metals & Mining — 1.9%  
  643,725      Constellium SE(a)      4,943,808  
     

 

 

  
       Multi-Utilities — 1.8%  
  45,650      Ameren Corp.      3,211,934  
  23,825      CMS Energy Corp.      1,391,856  
     

 

 

  
        4,603,790  
     

 

 

  
       Multiline Retail — 0.8%  
  10,175      Dollar General Corp.      1,938,439  
     

 

 

  
       Oil, Gas & Consumable Fuels — 2.5%  
  39,200      Pioneer Natural Resources Co.      3,829,840  
  404,100      WPX Energy, Inc.(a)      2,578,158  
     

 

 

  
        6,407,998  
     

 

 

  
       REITs – Diversified — 0.7%  
  241,375      New Residential Investment Corp.      1,793,416  
     

 

 

  
       REITs – Warehouse/Industrials — 1.9%  
  68,725      CyrusOne, Inc.      4,999,744  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 2.8%  
  21,575      Analog Devices, Inc.      2,645,958  
  74,900      Entegris, Inc.      4,422,845  
     

 

 

  
        7,068,803  
     

 

 

  
       Software — 3.3%  
  18,600      Check Point Software Technologies Ltd.(a)      1,998,198  
  5,110      RingCentral, Inc., Class A(a)      1,456,401  
  282,050      SolarWinds Corp.(a)      4,983,824  
     

 

 

  
        8,438,423  
     

 

 

  
       Thrifts & Mortgage Finance — 1.4%  
  34,475      Essent Group Ltd.      1,250,408  
  148,600      MGIC Investment Corp.      1,217,034  
  81,375      Radian Group, Inc.      1,262,126  
     

 

 

  
        3,729,568  
     

 

 

  
   Total Common Stocks
(Identified Cost $265,377,414)		      254,661,277  
     

 

 

  
     

 

  See accompanying notes to financial statements.   |  28

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Vaughan Nelson Mid Cap Fund* – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 1.0%   
$ 2,605,005      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $2,605,005 on 7/01/2020 collateralized by $2,345,900 U.S. Treasury Inflation Indexed Note, 2.250% due 8/15/2027 valued at $2,657,118 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,605,005)    $ 2,605,005  
     

 

 

  
     
   Total Investments — 100.2%
(Identified Cost $267,982,419)		      257,266,282  
   Other assets less liabilities — (0.2)%      (604,050 ) 
     

 

 

  
   Net Assets — 100.0%    $ 256,662,232  
     

 

 

  
     
  *      Formerly Vaughan Nelson Value Opportunity Fund.   
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   
     
  REITs      Real Estate Investment Trusts   

Industry Summary at June 30, 2020 (Unaudited)

 

IT Services

      10.8 % 

Machinery

      7.8  

Insurance

      5.3  

Electrical Equipment

      5.1  

Capital Markets

      4.9  

Diversified Consumer Services

      4.9  

Banks

      4.1  

Chemicals

      3.9  

Electric Utilities

      3.9  

Containers & Packaging

      3.7  

Health Care Equipment & Supplies

      3.4  

Software

      3.3  

Media

      3.1  

Independent Power & Renewable Electricity Producers

      3.1  

Life Sciences Tools & Services

      2.9  

Semiconductors & Semiconductor Equipment

      2.8  

Oil, Gas & Consumable Fuels

      2.5  

Electronic Equipment, Instruments & Components

      2.5  

Beverages

      2.1  

Other Investments, less than 2% each

      19.1  

Short-Term Investments

      1.0  
  

 

 

  

Total Investments

      100.2  

Other assets less liabilities

      (0.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

29  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Vaughan Nelson Small Cap Value Fund

 

Shares      Description    Value (†)  
  Common Stocks — 97.5% of Net Assets  
       Banks — 1.9%       
  32,850      First Bancorp    $ 823,878  
  30,175      First Merchants Corp.      831,925  
     

 

 

  
        1,655,803  
     

 

 

  
       Biotechnology — 0.7%       
  7,163      Emergent BioSolutions, Inc.(a)      566,450  
     

 

 

  
       Building Products — 5.8%       
  18,175      Armstrong World Industries, Inc.      1,416,923  
  80,350      Builders FirstSource, Inc.(a)      1,663,245  
  19,900      Fortune Brands Home & Security, Inc.      1,272,207  
  7,700      Simpson Manufacturing Co., Inc.      649,572  
     

 

 

  
        5,001,947  
     

 

 

  
       Capital Markets — 5.5%       
  31,250      LPL Financial Holdings, Inc.      2,450,000  
  36,800      Moelis & Co., Class A      1,146,688  
  48,075      Virtu Financial, Inc., Class A      1,134,570  
     

 

 

  
        4,731,258  
     

 

 

  
       Chemicals — 2.4%       
  130,800      Element Solutions, Inc.(a)      1,419,180  
  37,275      Huntsman Corp.      669,832  
     

 

 

  
        2,089,012  
     

 

 

  
       Commercial Services & Supplies — 3.6%       
  38,025      Brady Corp., Class A      1,780,330  
  7,450      UniFirst Corp.      1,333,178  
     

 

 

  
        3,113,508  
     

 

 

  
       Consumer Finance — 1.9%       
  24,650      FirstCash, Inc.      1,663,382  
     

 

 

  
       Electronic Equipment, Instruments & Components — 4.8%       
  25,155      Fabrinet(a)      1,570,175  
  52,425      Insight Enterprises, Inc.(a)      2,579,310  
     

 

 

  
        4,149,485  
     

 

 

  
       Food & Staples Retailing — 0.8%       
  22,475      Performance Food Group Co.(a)      654,922  
     

 

 

  
       Gas Utilities — 3.9%       
  25,100      Southwest Gas Holdings, Inc.      1,733,155  
  24,850      Spire, Inc.      1,632,893  
     

 

 

  
        3,366,048  
     

 

 

  
       Health Care Equipment & Supplies — 2.4%       
  29,450      Integra LifeSciences Holdings Corp.(a)      1,383,856  
  45,228      Lantheus Holdings, Inc.(a)      646,760  
     

 

 

  
        2,030,616  
     

 

 

  
       Health Care Providers & Services — 1.7%       
  31,575      AMN Healthcare Services, Inc.(a)      1,428,453  
     

 

 

  

 

  See accompanying notes to financial statements.   |  30

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Vaughan Nelson Small Cap Value Fund – (continued)

 

Shares      Description    Value (†)  
       Hotels, Restaurants & Leisure — 1.0%       
  53,125      Scientific Games Corp., Class A(a)    $ 821,313  
     

 

 

  
       Insurance — 8.4%       
  39,500      First American Financial Corp.      1,896,790  
  17,175      Hanover Insurance Group, Inc. (The)      1,740,343  
  117,375      Old Republic International Corp.      1,914,386  
  31,525      Selective Insurance Group, Inc.      1,662,628  
     

 

 

  
        7,214,147  
     

 

 

  
       IT Services — 3.1%       
  8,910      CACI International, Inc., Class A(a)      1,932,401  
  40,875      Switch, Inc., Class A      728,392  
     

 

 

  
        2,660,793  
     

 

 

  
       Life Sciences Tools & Services — 3.7%       
  32,300      Bruker Corp.      1,313,964  
  19,175      PRA Health Sciences, Inc.(a)      1,865,536  
     

 

 

  
        3,179,500  
     

 

 

  
       Machinery — 8.4%       
  12,375      Alamo Group, Inc.      1,270,170  
  12,200      Albany International Corp., Class A      716,262  
  38,300      Federal Signal Corp.      1,138,659  
  20,050      Franklin Electric Co., Inc.      1,053,026  
  48,175      Trinity Industries, Inc.      1,025,646  
  24,925      Watts Water Technologies, Inc., Series A      2,018,925  
     

 

 

  
        7,222,688  
     

 

 

  
       Media — 3.5%       
  12,025      Nexstar Media Group, Inc., Class A      1,006,372  
  40,400      Sinclair Broadcast Group, Inc., Class A      745,784  
  110,275      TEGNA, Inc.      1,228,464  
     

 

 

  
        2,980,620  
     

 

 

  
       Metals & Mining — 0.5%       
  6,675      Materion Corp.      410,446  
     

 

 

  
       Oil, Gas & Consumable Fuels — 1.2%       
  235,700      Kosmos Energy Ltd.      391,262  
  58,700      Parsley Energy, Inc., Class A      626,916  
     

 

 

  
        1,018,178  
     

 

 

  
       Professional Services — 3.4%       
  26,500      ASGN, Inc.(a)      1,767,020  
  10,075      FTI Consulting, Inc.(a)      1,154,091  
     

 

 

  
        2,921,111  
     

 

 

  
       Real Estate Management & Development — 3.5%       
  146,175      Cushman & Wakefield PLC(a)      1,821,340  
  40,825      Marcus & Millichap, Inc.(a)      1,178,210  
     

 

 

  
        2,999,550  
     

 

 

  

 

31  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Vaughan Nelson Small Cap Value Fund – (continued)

 

Shares      Description    Value (†)  
       REITs – Warehouse/Industrials — 2.0%       
  57,850      STAG Industrial, Inc.    $ 1,696,162  
     

 

 

  
       Road & Rail — 3.7%       
  16,175      Landstar System, Inc.      1,816,614  
  12,075      Saia, Inc.(a)      1,342,499  
     

 

 

  
        3,159,113  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 12.4%       
  24,175      Cabot Microelectronics Corp.      3,373,379  
  16,250      MKS Instruments, Inc.      1,840,150  
  30,525      Nova Measuring Instruments Ltd.(a)      1,471,000  
  44,700      Onto Innovation, Inc.(a)      1,521,588  
  76,750      Rambus, Inc.(a)      1,166,600  
  65,075      Tower Semiconductor Ltd.(a)      1,242,282  
     

 

 

  
        10,614,999  
     

 

 

  
       Software — 0.7%       
  6,175      CyberArk Software Ltd.(a)      612,992  
     

 

 

  
       Specialty Retail — 0.7%       
  8,425      Group 1 Automotive, Inc.      555,797  
     

 

 

  
       Thrifts & Mortgage Finance — 1.3%       
  133,775      MGIC Investment Corp.      1,095,617  
     

 

 

  
       Trading Companies & Distributors — 4.6%       
  30,700      GATX Corp.      1,872,086  
  28,025      Rush Enterprises, Inc., Class A      1,161,916  
  4,950      Watsco, Inc.      879,615  
     

 

 

  
        3,913,617  
     

 

 

  
   Total Common Stocks
(Identified Cost $86,706,675)		      83,527,527  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 1.7%  
$ 1,437,542      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $1,437,542 on 7/01/2020 collateralized by $1,297,400 U.S.Treasury Note, 2.250% due 11/15/2027 valued at $1,466,316 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,437,542)      1,437,542  
     

 

 

  
     
   Total Investments — 99.2%
(Identified Cost $88,144,217)		      84,965,069  
   Other assets less liabilities — 0.8%      708,026  
     

 

 

  
   Net Assets — 100.0%    $ 85,673,095  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Non-income producing security.

 

  
  REITs      Real Estate Investment Trusts

 

 

  See accompanying notes to financial statements.   |  32

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

 

Vaughan Nelson Small Cap Value Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

Semiconductors & Semiconductor Equipment

      12.4 % 

Machinery

      8.4  

Insurance

      8.4  

Building Products

      5.8  

Capital Markets

      5.5  

Electronic Equipment, Instruments & Components

      4.8  

Trading Companies & Distributors

      4.6  

Gas Utilities

      3.9  

Life Sciences Tools & Services

      3.7  

Road & Rail

      3.7  

Commercial Services & Supplies

      3.6  

Real Estate Management & Development

      3.5  

Media

      3.5  

Professional Services

      3.4  

IT Services

      3.1  

Chemicals

      2.4  

Health Care Equipment & Supplies

      2.4  

REITs—Warehouse/Industrials

      2.0  

Other Investments, less than 2% each

      12.4  

Short-Term Investments

      1.7  
  

 

 

  

Total Investments

      99.2  

Other assets less liabilities

      0.8  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

33  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Assets and Liabilities

 

June 30, 2020 (Unaudited)

 

     Natixis
Oakmark
Fund		      Natixis
Oakmark
International
Fund		     Vaughan Nelson
Mid Cap Fund*		  

ASSETS

        

Investments at cost

    $ 205,545,785      $ 624,531,767     $ 267,982,419  

Net unrealized appreciation (depreciation)

      5,874,261        (146,688,268 )      (10,716,137 ) 
  

 

 

     

 

 

    

 

 

  

Investments at value

      211,420,046        477,843,499       257,266,282  

Cash

      —        —       21,858  

Foreign currency at value (identified cost $0, $79,711 and $0, respectively)

      —        79,954       —  

Receivable for Fund shares sold

      96,389        204,276       181,109  

Receivable for securities sold

      180,624        578,397       272,394  

Dividends receivable

      103,067        139,858       131,090  

Tax reclaims receivable

      68,912        2,401,103       —  

Prepaid expenses (Note 8)

      41        89       52  
  

 

 

     

 

 

    

 

 

  

TOTAL ASSETS

      211,869,079        481,247,176       257,872,785  
  

 

 

     

 

 

    

 

 

  

LIABILITIES

        

Payable for securities purchased

      38,567        102,018       536,784  

Payable for Fund shares redeemed

      226,927        898,936       268,782  

Unrealized depreciation on forward foreign currency contracts (Note 2)

      —        12,058       —  

Management fees payable (Note 6)

      124,656        335,078       157,430  

Deferred Trustees’ fees (Note 6)

      544,281        101,744       155,428  

Administrative fees payable (Note 6)

      7,942        18,381       8,936  

Payable to distributor (Note 6d)

      147        1,589       1,054  

Other accounts payable and accrued expenses

      75,379        133,231       82,139  
  

 

 

     

 

 

    

 

 

  

TOTAL LIABILITIES

      1,017,899        1,603,035       1,210,553  
  

 

 

     

 

 

    

 

 

  

NET ASSETS

    $ 210,851,180      $ 479,644,141     $ 256,662,232  
  

 

 

     

 

 

    

 

 

  

NET ASSETS CONSIST OF:

        

Paid-in capital

    $ 200,025,822      $ 743,180,544     $ 251,578,172  

Accumulated earnings (loss)

      10,825,358        (263,536,403 )      5,084,060  
  

 

 

     

 

 

    

 

 

  

NET ASSETS

    $ 210,851,180      $ 479,644,141     $ 256,662,232  
  

 

 

     

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  34

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

     Natixis
Oakmark
Fund		      Natixis
Oakmark
International
Fund		      Vaughan Nelson
Mid Cap Fund*		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

         

Class A shares:

         

Net assets

    $ 141,001,454      $ 107,277,313      $ 24,589,916  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      7,297,512        10,280,024        1,335,024  
  

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 19.32      $ 10.44      $ 18.42  
  

 

 

     

 

 

     

 

 

  

Offering price per share (100/94.25 of net asset value) (Note 1)

    $ 20.50      $ 11.08      $ 19.54  
  

 

 

     

 

 

     

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 36,443,211      $ 101,746,629      $ 14,647,491  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      2,247,573        9,943,846        851,904  
  

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 16.21      $ 10.23      $ 17.19  
  

 

 

     

 

 

     

 

 

  

Class N shares:

         

Net assets

    $ 582,114      $ 403,533      $ 14,556,106  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      28,386        38,774        780,288  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 20.51      $ 10.41      $ 18.65  
  

 

 

     

 

 

     

 

 

  

Class Y shares:

         

Net assets

    $ 32,824,401      $ 270,216,666      $ 202,868,719  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      1,603,511        25,995,076        10,861,994  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 20.47      $ 10.39      $ 18.68  
  

 

 

     

 

 

     

 

 

  

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

 

35  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

     Vaughan Nelson
Small Cap
Value Fund		  

ASSETS

   

Investments at cost

    $ 88,144,217  

Net unrealized depreciation

      (3,179,148 ) 
  

 

 

  

Investments at value

      84,965,069  

Receivable for Fund shares sold

      30,773  

Receivable for securities sold

      1,429,246  

Dividends receivable

      48,272  

Prepaid expenses (Note 8)

      15  
  

 

 

  

TOTAL ASSETS

      86,473,375  
  

 

 

  

LIABILITIES

   

Payable for securities purchased

      257,728  

Payable for Fund shares redeemed

      243,374  

Management fees payable (Note 6)

      45,891  

Deferred Trustees’ fees (Note 6)

      193,929  

Administrative fees payable (Note 6)

      3,005  

Payable to distributor (Note 6d)

      318  

Other accounts payable and accrued expenses

      56,035  
  

 

 

  

TOTAL LIABILITIES

      800,280  
  

 

 

  

NET ASSETS

    $ 85,673,095  
  

 

 

  

NET ASSETS CONSIST OF:

   

Paid-in capital

    $ 96,045,684  

Accumulated loss

      (10,372,589 ) 
  

 

 

  

NET ASSETS

    $ 85,673,095  
  

 

 

  

 

  See accompanying notes to financial statements.   |  36

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

     Vaughan Nelson
Small Cap
Value Fund		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

   

Class A shares:

   

Net assets

    $ 49,765,013  
  

 

 

  

Shares of beneficial interest

      3,984,756  
  

 

 

  

Net asset value and redemption price per share

    $ 12.49  
  

 

 

  

Offering price per share (100/94.25 of net asset value) (Note 1)

    $ 13.25  
  

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

   

Net assets

    $ 944,840  
  

 

 

  

Shares of beneficial interest

      150,773  
  

 

 

  

Net asset value and offering price per share

    $ 6.27  
  

 

 

  

Class N shares:

   

Net assets

    $ 17,345  
  

 

 

  

Shares of beneficial interest

      1,322  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 13.12  
  

 

 

  

Class Y shares:

   

Net assets

    $ 34,945,897  
  

 

 

  

Shares of beneficial interest

      2,665,056  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 13.11  
  

 

 

  

 

37  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Operations

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

     Natixis
Oakmark
Fund		     Natixis
Oakmark
International
Fund		     Vaughan Nelson
Mid Cap
Fund*		  

INVESTMENT INCOME

       

Dividends

    $ 1,921,867     $ 4,731,634     $ 2,511,762  

Interest

      17,838       18,574       4,793  

Less net foreign taxes withheld

      (1,216 )      (638,833 )      —  
  

 

 

    

 

 

    

 

 

  
     1,938,489       4,111,375       2,516,555  
  

 

 

    

 

 

    

 

 

  

Expenses

       

Management fees (Note 6)

      794,829       1,995,527       1,167,858  

Service and distribution fees (Note 6)

      392,267       772,464       119,999  

Administrative fees (Note 6)

      50,927       113,896       64,822  

Trustees’ fees and expenses (Note 6)

      6,483       17,308       13,233  

Transfer agent fees and expenses (Notes 6 and 7)

      114,570       511,233       163,030  

Audit and tax services fees

      20,276       20,967       20,757  

Custodian fees and expenses

      4,986       89,543       7,193  

Legal fees (Note 8)

      3,162       6,286       3,587  

Registration fees

      35,450       71,154       29,046  

Shareholder reporting expenses

      13,580       25,489       13,006  

Miscellaneous expenses (Note 8)

      18,707       35,243       20,855  
  

 

 

    

 

 

    

 

 

  

Total expenses

      1,455,237       3,659,110       1,623,386  

Less waiver and/or expense reimbursement (Note 6)

      (734 )      (16,587 )      (118,672 ) 
  

 

 

    

 

 

    

 

 

  

Net expenses

      1,454,503       3,642,523       1,504,714  
  

 

 

    

 

 

    

 

 

  

Net investment income

      483,986       468,852       1,011,841  
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

       

Net realized gain (loss) on:

       

Investments

      5,663,416       (67,490,665 )      20,146,115  

Forward foreign currency contracts (Note 2d)

      —       (85,289 )      —  

Foreign currency transactions (Note 2c)

      —       (57,735 )      —  

Net change in unrealized appreciation (depreciation) on:

       

Investments

      (45,737,486 )      (99,629,143 )      (77,950,231 ) 

Forward foreign currency contracts (Note 2d)

      —       58,201       —  

Foreign currency translations (Note 2c)

      —       19,401       —  
  

 

 

    

 

 

    

 

 

  

Net realized and unrealized loss on investments, forward foreign currency contracts and foreign currency transactions

      (40,074,070 )      (167,185,230 )      (57,804,116 ) 
  

 

 

    

 

 

    

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (39,590,084 )    $ (166,716,378 )    $ (56,792,275 ) 
  

 

 

    

 

 

    

 

 

  

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

 

  See accompanying notes to financial statements.   |  38

Table of Contents

Statements of Operations (continued)

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

     Vaughan Nelson
Small Cap
Value Fund		  

INVESTMENT INCOME

 

Dividends

    $ 761,111  

Interest

      5,341  
  

 

 

  
     766,452  
  

 

 

  

Expenses

 

Management fees (Note 6)

      409,655  

Service and distribution fees (Note 6)

      72,505  

Administrative fees (Note 6)

      20,217  

Trustees’ fees and expenses (Note 6)

      8,305  

Transfer agent fees and expenses (Notes 6 and 7)

      56,574  

Audit and tax services fees

      20,282  

Custodian fees and expenses

      5,684  

Legal fees (Note 8)

      1,385  

Registration fees

      24,301  

Shareholder reporting expenses

      8,376  

Miscellaneous expenses (Note 8)

      16,423  
  

 

 

  

Total expenses

      643,707  

Less waiver and/or expense reimbursement (Note 6)

      (74,882 ) 
  

 

 

  

Net expenses

      568,825  
  

 

 

  

Net investment income

      197,627  
  

 

 

  

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS

 

Net realized loss on:

   

Investments

      (5,188,529 ) 

Net change in unrealized appreciation (depreciation) on:

   

Investments

      (16,067,803 ) 
  

 

 

  

Net realized and unrealized loss on investments

      (21,256,332 ) 
  

 

 

  

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ (21,058,705 ) 
  

 

 

  

 

39  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Changes in Net Assets

 

         
Natixis Oakmark Fund		  
     Six Months Ended
June 30, 2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

     

Net investment income

    $ 483,986     $ 2,288,224  

Net realized gain on investments

      5,663,416       14,578,257  

Net change in unrealized appreciation (depreciation) on investments

      (45,737,486 )      50,910,323  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (39,590,084 )      67,776,804  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      (245,999 )      (16,820,039 ) 

Class C

      (84,082 )      (5,798,979 ) 

Class N

      (958 )      (37,043 ) 

Class Y

      (58,320 )      (5,261,958 ) 
  

 

 

    

 

 

  

Total distributions

      (389,359 )      (27,918,019 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (32,607,092 )      (28,613,857 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      (72,586,535 )      11,244,928  

NET ASSETS

     

Beginning of the period

      283,437,715       272,192,787  
  

 

 

    

 

 

  

End of the period

    $ 210,851,180     $ 283,437,715  
  

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  40

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Natixis Oakmark
International Fund		  
     Six Months Ended
June 30, 2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

     

Net investment income

    $ 468,852     $ 17,206,258  

Net realized loss on investments, forward foreign currency contracts and foreign currency transactions

      (67,633,689 )      (15,858,364 ) 

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations

      (99,551,541 )      136,447,696  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (166,716,378 )      137,795,590  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      —       (5,093,122 ) 

Class C

      —       (4,034,677 ) 

Class N

      —       (27,558 ) 

Class Y

      —       (8,066,849 ) 
  

 

 

    

 

 

  

Total distributions

      —       (17,222,206 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      48,524,349       (208,787,046 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (118,192,029 )      (88,213,662 ) 

NET ASSETS

     

Beginning of the period

      597,836,170       686,049,832  
  

 

 

    

 

 

  

End of the period

    $ 479,644,141     $ 597,836,170  
  

 

 

    

 

 

  

 

41  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Vaughan Nelson
Mid Cap Fund*		  
     Six Months Ended
June 30, 2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income

    $ 1,011,841     $ 1,697,453  

Net realized gain on investments

      20,146,115       26,643,511  

Net change in unrealized appreciation (depreciation) on investments

      (77,950,231 )      96,669,546  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (56,792,275 )      125,010,510  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (832,824 )      (293,257 ) 

Class C

      (564,565 )      (183,363 ) 

Class N

      (468,474 )      (212,174 ) 

Class Y

      (6,836,075 )      (3,167,841 ) 
  

 

 

    

 

 

  

Total distributions

      (8,701,938 )      (3,856,635 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (50,176,045 )      (340,544,321 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (115,670,258 )      (219,390,446 ) 

NET ASSETS

 

Beginning of the period

      372,332,490       591,722,936  
  

 

 

    

 

 

  

End of the period

    $ 256,662,232     $ 372,332,490  
  

 

 

    

 

 

  

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

 

  See accompanying notes to financial statements.   |  42

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Vaughan Nelson
Small Cap Value Fund		  
     Six Months Ended
June 30, 2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income

    $ 197,627     $ 258,053  

Net realized gain (loss) on investments

      (5,188,529 )      3,647,835  

Net change in unrealized appreciation (depreciation) on investments

      (16,067,803 )      24,895,047  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (21,058,705 )      28,800,935  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      (370,452 )      (475,801 ) 

Class C

      (14,118 )      (18,939 ) 

Class N

      (119 )      (194 ) 

Class Y

      (236,190 )      (411,969 ) 
  

 

 

    

 

 

  

Total distributions

      (620,879 )      (906,903 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (6,125,277 )      (42,810,460 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (27,804,861 )      (14,916,428 ) 

NET ASSETS

     

Beginning of the period

      113,477,956       128,394,384  
  

 

 

    

 

 

  

End of the period

    $ 85,673,095     $ 113,477,956  
  

 

 

    

 

 

  

 

43  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Natixis Oakmark Fund—Class A  
    Six Months
Ended
June  30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 22.45     $ 19.44     $ 24.72     $ 21.37     $ 18.79     $ 20.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.05       0.18 (b)      0.10       0.11       0.16       0.14  

Net realized and unrealized gain (loss)

     (3.15 )      4.93       (3.28 )      4.28       3.20       (1.02 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.10 )      5.11       (3.18 )      4.39       3.36       (0.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.21 )      (0.08 )      (0.10 )      (0.16 )      (0.13 ) 

Net realized capital gains

     (0.03 )      (1.89 )      (2.02 )      (0.94 )      (0.62 )      (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.03 )      (2.10 )      (2.10 )      (1.04 )      (0.78 )      (0.76 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 19.32     $ 22.45     $ 19.44     $ 24.72     $ 21.37     $ 18.79  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (13.78 )%(d)      26.77 %(b)      (13.01 )%      20.75 %      18.37 %      (4.41 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 141,001     $ 181,417     $ 164,748     $ 203,792     $ 173,036     $ 173,925  

Net expenses

     1.17 %(e)(f)      1.17 %      1.13 %      1.18 %      1.18 %      1.14 % 

Gross expenses

     1.17 %(e)(f)      1.17 %      1.13 %      1.18 %      1.18 %      1.14 % 

Net investment income

     0.51 %(e)      0.85 %(b)      0.41 %      0.48 %      0.82 %      0.68 % 

Portfolio turnover rate

     16 %      15 %      39 %      16 %      16 %      23 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Periods less than one year are not annualized.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Includes refund of prior year service fee of 0.01%. See Note 6b of Notes to Financial Statements.

 

  See accompanying notes to financial statements.   |  44

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 18.92     $ 16.66     $ 21.58     $ 18.83     $ 16.65     $ 18.19  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.02 )      0.02 (b)      (0.07 )      (0.05 )      0.01       (0.01 ) 

Net realized and unrealized gain (loss)

     (2.66 )      4.20       (2.83 )      3.74       2.80       (0.90 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.68 )      4.22       (2.90 )      3.69       2.81       (0.91 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.07 )      —       (0.00 )(c)      (0.01 )      (0.00 )(c) 

Net realized capital gains

     (0.03 )      (1.89 )      (2.02 )      (0.94 )      (0.62 )      (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.03 )      (1.96 )      (2.02 )      (0.94 )      (0.63 )      (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 16.21     $ 18.92     $ 16.66     $ 21.58     $ 18.83     $ 16.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (14.13 )%(e)      25.82 %(b)      (13.63 )%      19.85 %      17.45 %      (5.07 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 36,443     $ 54,384     $ 53,606     $ 62,272     $ 55,910     $ 70,616  

Net expenses

     1.92 %(f)      1.92 %      1.88 %      1.93 %      1.93 %      1.89 % 

Gross expenses

     1.92 %(f)      1.92 %      1.88 %      1.93 %      1.93 %      1.89 % 

Net investment income (loss)

     (0.24 )%(f)      0.12 %(b)      (0.33 )%      (0.27 )%      0.09 %      (0.07 )% 

Portfolio turnover rate

     16 %      15 %      39 %      16 %      16 %      23 % 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%.

(c)

Amount rounds to less than $0.01 per share.

(d)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)

Periods less than one year are not annualized.

(f)

Computed on an annualized basis for periods less than one year.

 

45  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 23.78     $ 20.49     $ 25.91     $ 23.13  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.09       0.22 (b)      0.22       0.14  

Net realized and unrealized gain (loss)

     (3.33 )      5.25       (3.45 )      3.44  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.24 )      5.47       (3.23 )      3.58  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

     —       (0.29 )      (0.17 )      (0.17 ) 

Net realized capital gains

     (0.03 )      (1.89 )      (2.02 )      (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.03 )      (2.18 )      (2.19 )      (0.80 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 20.51     $ 23.78     $ 20.49     $ 25.91  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (13.60 )%(d)      27.16 %(b)      (12.60 )%      15.46 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 582     $ 801     $ 10     $ 1  

Net expenses(e)

     0.83 %(f)      0.83 %      0.75 %      0.75 %(f) 

Gross expenses

     1.06 %(f)      1.25 %      3.79 %      13.79 %(f) 

Net investment income

     0.86 %(f)      0.93 %(b)      0.88 %      0.84 %(f) 

Portfolio turnover rate

     16 %      15 %      39 %      16 %(g) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

  See accompanying notes to financial statements.   |  46

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 23.75     $ 20.46     $ 25.90     $ 22.34     $ 19.60     $ 21.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08       0.27 (b)      0.17       0.17       0.21       0.19  

Net realized and unrealized gain (loss)

     (3.33 )      5.17       (3.44 )      4.48       3.36       (1.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.25 )      5.44       (3.27 )      4.65       3.57       (0.87 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.26 )      (0.15 )      (0.15 )      (0.21 )      (0.18 ) 

Net realized capital gains

     (0.03 )      (1.89 )      (2.02 )      (0.94 )      (0.62 )      (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.03 )      (2.15 )      (2.17 )      (1.09 )      (0.83 )      (0.81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 20.47     $ 23.75     $ 20.46     $ 25.90     $ 22.34     $ 19.60  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (13.66 )%(c)      27.06 %(b)(d)      (12.76 )%      21.05 %      18.69 %      (4.18 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 32,824     $ 46,836     $ 53,829     $ 49,955     $ 26,252     $ 21,696  

Net expenses

     0.93 %(e)      0.91 %(f)      0.88 %      0.93 %      0.92 %      0.89 % 

Gross expenses

     0.93 %(e)      0.92 %      0.88 %      0.93 %      0.92 %      0.89 % 

Net investment income

     0.79 %(e)      1.16 %(b)      0.68 %      0.71 %      1.05 %      0.92 % 

Portfolio turnover rate

     16 %      15 %      39 %      16 %      16 %      23 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%.

(c)

Periods less than one year are not annualized.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Computed on an annualized basis for periods less than one year.

(f)

The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

47  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark International Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 13.63     $ 11.29     $ 15.58     $ 12.15     $ 11.47     $ 12.44  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment
income(a)

     0.00 (b)      0.37 (c)      0.25       0.18       0.17       0.15  

Net realized and unrealized gain (loss)

     (3.19 )      2.38       (4.02 )      3.41       0.76       (0.80 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.19 )      2.75       (3.77 )      3.59       0.93       (0.65 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.41 )      (0.29 )      (0.16 )      (0.21 )      (0.20 ) 

Net realized capital gains

     —       —       (0.23 )      —       (0.04 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.41 )      (0.52 )      (0.16 )      (0.25 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.44     $ 13.63     $ 11.29     $ 15.58     $ 12.15     $ 11.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (23.40 )%(e)(f)      24.35 %(c)      (24.15 )%      29.56 %      8.19 %      (5.35 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 107,277     $ 172,906     $ 257,551     $ 603,988     $ 533,112     $ 722,805  

Net expenses

     1.37 %(g)(h)      1.29 %      1.31 %      1.32 %      1.34 %      1.31 % 

Gross expenses

     1.38 %(g)      1.29 %      1.31 %      1.32 %      1.34 %      1.31 % 

Net investment income

     0.06 %(g)      2.91 %(c)      1.72 %      1.28 %      1.54 %      1.17 % 

Portfolio turnover rate

     34 %      28 %      50 %      40 %      41 %      51 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%.

(d)

A sales charge for Class A shares is not reflected in total return calculations.

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Periods less than one year are not annualized.

(g)

Computed on an annualized basis for periods less than one year.

(h)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

  See accompanying notes to financial statements.   |  48

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark International Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 13.41     $ 11.11     $ 15.30     $ 11.96     $ 11.29     $ 12.25  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.04 )      0.26 (b)      0.13       0.06       0.08       0.05  

Net realized and unrealized gain (loss)

     (3.14 )      2.34       (3.92 )      3.35       0.74       (0.78 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.18 )      2.60       (3.79 )      3.41       0.82       (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.30 )      (0.17 )      (0.07 )      (0.11 )      (0.11 ) 

Net realized capital gains

     —       —       (0.23 )      —       (0.04 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.30 )      (0.40 )      (0.07 )      (0.15 )      (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.23     $ 13.41     $ 11.11     $ 15.30     $ 11.96     $ 11.29  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (23.71 )%(d)(e)      23.44 %(b)      (24.74 )%      28.55 %      7.36 %      (6.08 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 101,747     $ 179,533     $ 212,618     $ 363,018     $ 255,249     $ 341,959  

Net expenses

     2.12 %(f)(g)      2.04 %      2.07 %      2.07 %      2.09 %      2.06 % 

Gross expenses

     2.13 %(f)      2.04 %      2.07 %      2.07 %      2.09 %      2.06 % 

Net investment income (loss)

     (0.72 )%(f)      2.09 %(b)      0.94 %      0.42 %      0.73 %      0.39 % 

Portfolio turnover rate

     34 %      28 %      50 %      40 %      41 %      51 % 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%.

(c)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

Computed on an annualized basis for periods less than one year.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

 

49  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark International Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 13.56     $ 11.25     $ 15.58     $ 13.98  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.02       0.33 (b)      0.28       0.15  

Net realized and unrealized gain (loss)

     (3.17 )      2.45       (4.02 )      1.66  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.15 )      2.78       (3.74 )      1.81  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

     —       (0.47 )      (0.36 )      (0.21 ) 

Net realized capital gains

     —       —       (0.23 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.47 )      (0.59 )      (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.41     $ 13.56     $ 11.25     $ 15.58  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (23.23 )%(d)      24.75 %(b)      (23.94 )%      12.96 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 404     $ 811     $ 758     $ 1  

Net expenses(e)

     0.93 %(f)      0.94 %      0.99 %      0.92 %(f) 

Gross expenses

     1.21 %(f)      1.08 %      1.02 %      25.21 %(f) 

Net investment income

     0.45 %(f)      2.56 %(b)      2.04 %      1.54 %(f) 

Portfolio turnover rate

     34 %      28 %      50 %      40 %(g) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

  See accompanying notes to financial statements.   |  50

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Oakmark International Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 13.56     $ 11.25     $ 15.56     $ 13.98  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.03       0.37 (b)      0.26       0.00 (c) 

Net realized and unrealized gain (loss)

     (3.20 )      2.40       (3.99 )      1.79  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.17 )      2.77       (3.73 )      1.79  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

     —       (0.46 )      (0.35 )      (0.21 ) 

Net realized capital gains

     —       —       (0.23 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     —       (0.46 )      (0.58 )      (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.39     $ 13.56     $ 11.25     $ 15.56  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (23.38 )%(d)(e)      24.64 %(b)      (23.93 )%      12.79 %(e) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 270,217     $ 244,586     $ 215,123     $ 172,978  

Net expenses

     1.12 %(f)(g)      1.04 %      1.07 %      1.07 %(f) 

Gross expenses

     1.13 %(f)      1.04 %      1.07 %      1.07 %(f) 

Net investment income

     0.66 %(f)      2.91 %(b)      1.85 %      0.03 %(f) 

Portfolio turnover rate

     34 %      28 %      50 %      40 %(h) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%.

(c)

Amount rounds to less than $0.01 per share.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

Computed on an annualized basis for periods less than one year.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

51  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Mid Cap Fund*—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 22.42     $ 17.37     $ 22.65     $ 20.55     $ 20.04     $ 21.29  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment
income(a)

     0.05       0.03       0.09       0.17 (b)      0.07       0.03 (c) 

Net realized and unrealized gain (loss)

     (3.44 )      5.21       (3.71 )      2.48       1.05       (0.79 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.39 )      5.24       (3.62 )      2.65       1.12       (0.76 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.02 )      (0.15 )      (0.18 )      (0.05 )      (0.02 ) 

Net realized capital gains

     (0.61 )      (0.17 )      (1.51 )      (0.37 )      (0.56 )      (0.47 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.61 )      (0.19 )      (1.66 )      (0.55 )      (0.61 )      (0.49 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 18.42     $ 22.42     $ 17.37     $ 22.65     $ 20.55     $ 20.04  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (14.84 )%(e)(f)      30.21 %(e)      (16.10 )%      12.93 %(b)      5.85 %      (3.66 )%(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 24,590     $ 33,434     $ 43,769     $ 67,186     $ 87,536     $ 142,833  

Net expenses

     1.20 %(g)(h)      1.25 %(g)(i)(j)      1.24 %      1.22 %      1.23 %      1.23 % 

Gross expenses

     1.29 %(h)      1.28 %(i)      1.24 %      1.22 %      1.23 %      1.23 % 

Net investment income

     0.53 %(h)      0.16 %      0.42 %      0.77 %(b)      0.35 %      0.16 %(c) 

Portfolio turnover rate

     23 %      52 %      44 %      42 %      57 %      32 % 

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.09, total return would have been 12.53% and the ratio of net investment income to average net assets would have been 0.41%.

(c)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been (3.94)% and the ratio of net investment loss to average net assets would have been (0.04)%.

(d)

A sales charge for Class A shares is not reflected in total return calculations.

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Periods less than one year are not annualized.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)

Computed on an annualized basis for periods less than one year.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%.

(j)

Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%.

 

  See accompanying notes to financial statements.   |  52

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Mid Cap Fund*—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 21.06     $ 16.43     $ 21.50     $ 19.51     $ 19.16     $ 20.51  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     (0.02 )      (0.10 )      (0.08 )      0.00 (b)(c)      (0.07 )      (0.13 )(d) 

Net realized and unrealized gain (loss)

     (3.24 )      4.90       (3.48 )      2.36       0.98       (0.75 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.26 )      4.80       (3.56 )      2.36       0.91       (0.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.00 )(b)      —       —       (0.00 )(b)      —  

Net realized capital gains

     (0.61 )      (0.17 )      (1.51 )      (0.37 )      (0.56 )      (0.47 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.61 )      (0.17 )      (1.51 )      (0.37 )      (0.56 )      (0.47 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 17.19     $ 21.06     $ 16.43     $ 21.50     $ 19.51     $ 19.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(e)

     (15.19 )%(f)(g)      29.25 %(f)      (16.71 )%      12.11 %(c)      5.03 %      (4.39 )%(d) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 14,647     $ 21,932     $ 23,967     $ 47,559     $ 68,923     $ 89,284  

Net expenses

     1.95 %(h)(i)      1.99 %(h)(j)(k)      1.98 %      1.97 %      1.98 %      1.98 % 

Gross expenses

     2.04 %(i)      2.02 %(j)      1.98 %      1.97 %      1.98 %      1.98 % 

Net investment income (loss)

     (0.24 )%(i)      (0.50 )%      (0.36 )%      0.00 %(c)(l)      (0.38 )%      (0.61 )%(d) 

Portfolio turnover rate

     23 %      52 %      44 %      42 %      57 %      32 % 

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 11.70% and the ratio of net investment loss to average net assets would have been (0.35)%.

(d)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (4.68)% and the ratio of net investment loss to average net assets would have been (0.77)%.

(e)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(f)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)

Periods less than one year are not annualized.

(h)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)

Computed on an annualized basis for periods less than one year.

(j)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%.

(k)

Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%.

(l)

Amount rounds to less than 0.01%.

 

53  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Mid Cap Fund*—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 22.66     $ 17.54     $ 22.87     $ 20.75     $ 20.26     $ 21.50  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment
income(a)

     0.08       0.11       0.17       0.25 (b)      0.16       0.11 (c) 

Net realized and unrealized gain (loss)

     (3.48 )      5.27       (3.75 )      2.51       1.04       (0.81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.40 )      5.38       (3.58 )      2.76       1.20       (0.70 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.09 )      (0.24 )      (0.27 )      (0.15 )      (0.07 ) 

Net realized capital gains

     (0.61 )      (0.17 )      (1.51 )      (0.37 )      (0.56 )      (0.47 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.61 )      (0.26 )      (1.75 )      (0.64 )      (0.71 )      (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 18.65     $ 22.66     $ 17.54     $ 22.87     $ 20.75     $ 20.26  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (14.68 )%(d)(e)      30.67 %(d)      (15.78 )%      13.31 %(b)      6.21 %      (3.35 )%(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 14,556     $ 18,262     $ 70,902     $ 134,205     $ 148,365     $ 65,010  

Net expenses

     0.90 %(f)(g)      0.92 %(f)(h)(i)      0.88 %      0.88 %      0.88 %      0.89 % 

Gross expenses

     0.93 %(g)      0.93 %(h)      0.88 %      0.88 %      0.88 %      0.89 % 

Net investment income

     0.84 %(g)      0.51 %      0.76 %      1.16 %(b)      0.78 %      0.50 %(c) 

Portfolio turnover rate

     23 %      52 %      44 %      42 %      57 %      32 % 

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 12.92% and the ratio of net investment income to average net assets would have been 0.76%.

(c)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08, total return would have been (3.59)% and the ratio of net investment income to average net assets would have been 0.35%.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%.

(i)

Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%.

 

  See accompanying notes to financial statements.   |  54

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Mid Cap Fund*—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 22.69     $ 17.57     $ 22.89     $ 20.77     $ 20.27     $ 21.52  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08       0.10       0.15       0.23 (b)      0.12       0.09 (c) 

Net realized and unrealized gain (loss)

     (3.48 )      5.26       (3.75 )      2.51       1.07       (0.82 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (3.40 )      5.36       (3.60 )      2.74       1.19       (0.73 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.07 )      (0.21 )      (0.25 )      (0.13 )      (0.05 ) 

Net realized capital gains

     (0.61 )      (0.17 )      (1.51 )      (0.37 )      (0.56 )      (0.47 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.61 )      (0.24 )      (1.72 )      (0.62 )      (0.69 )      (0.52 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 18.68     $ 22.69     $ 17.57     $ 22.89     $ 20.77     $ 20.27  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (14.70 )%(d)(e)      30.52 %(d)      (15.85 )%      13.19 %(b)      6.14 %      (3.47 )%(c) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 202,869     $ 298,705     $ 453,085     $ 774,304     $ 903,545     $ 1,133,634  

Net expenses

     0.95 %(f)(g)      1.00 %(f)(h)(i)      0.99 %      0.97 %      0.98 %      0.98 % 

Gross expenses

     1.04 %(g)      1.02 %(i)      0.99 %      0.97 %      0.98 %      0.98 % 

Net investment income

     0.77 %(g)      0.48 %      0.66 %      1.04 %(b)      0.62 %      0.39 %(c) 

Portfolio turnover rate

     23 %      52 %      44 %      42 %      57 %      32 % 

 

*

Formerly Vaughan Nelson Value Opportunity Fund.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, total return would have been 12.80% and the ratio of net investment income to average net assets would have been 0.67%.

(c)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been (3.70)% and the ratio of net investment income to average net assets would have been 0.20%.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Computed on an annualized basis for periods less than one year.

(h)

Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%.

(i)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%.

 

55  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Small Cap Value Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 15.45     $ 12.48     $ 18.71     $ 19.79     $ 17.74     $ 20.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income (loss)(a)

     0.02       0.02       0.01       (0.01 )      0.02       0.06 (b) 

Net realized and unrealized gain (loss)

     (2.89 )      3.06       (2.76 )      1.21       3.49       (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.87 )      3.08       (2.75 )      1.20       3.51       (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(c)      (0.03 )      (0.00 )(c)      (0.00 )(c)      (0.01 )      (0.04 ) 

Net realized capital gains

     (0.09 )      (0.08 )      (3.48 )      (2.28 )      (1.45 )      (2.86 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.11 )      (3.48 )      (2.28 )      (1.46 )      (2.90 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 12.49     $ 15.45     $ 12.48     $ 18.71     $ 19.79     $ 17.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (18.51 )%(e)(f)      24.66 %(e)      (14.84 )%      6.28 %      20.24 %      (0.29 )%(b) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 49,765     $ 67,525     $ 66,376     $ 93,751     $ 106,447     $ 103,092  

Net expenses

     1.34 %(g)(h)      1.40 %(h)(i)      1.38 %      1.36 %      1.35 %      1.35 % 

Gross expenses

     1.50 %(g)      1.47 %      1.38 %      1.36 %      1.35 %      1.35 % 

Net investment income (loss)

     0.34 %(g)      0.12 %      0.03 %      (0.03 )%      0.11 %      0.26 %(b) 

Portfolio turnover rate

     55 %      61 %      70 %      92 %      74 %      62 % 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.04), total return would have been (0.77)% and the ratio of net investment loss to average net assets would have been (0.20)%.

(c)

Amount rounds to less than $0.01 per share.

(d)

A sales charge for Class A shares is not reflected in total return calculations.

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Periods less than one year are not annualized.

(g)

Computed on an annualized basis for periods less than one year.

(h)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)

Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%.

 

  See accompanying notes to financial statements.   |  56

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Small Cap Value Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 7.84     $ 6.41     $ 11.67     $ 13.26     $ 12.39     $ 15.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.01 )      (0.05 )      (0.09 )      (0.10 )      (0.08 )      (0.08 )(b) 

Net realized and unrealized gain (loss)

     (1.47 )      1.57       (1.69 )      0.79       2.40       (0.03 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (1.48 )      1.52       (1.78 )      0.69       2.32       (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(c)      (0.01 )      (0.00 )(c)      (0.00 )(c)      —       —  

Net realized capital gains

     (0.09 )      (0.08 )      (3.48 )      (2.28 )      (1.45 )      (2.86 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.09 )      (3.48 )      (2.28 )      (1.45 )      (2.86 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 6.27     $ 7.84     $ 6.41     $ 11.67     $ 13.26     $ 12.39  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (18.74 )%(e)(f)      23.69 %(e)      (15.51 )%      5.50 %      19.32 %      (1.02 )%(b) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 945     $ 1,450     $ 3,480     $ 15,756     $ 20,379     $ 21,188  

Net expenses

     2.09 %(g)(h)      2.16 %(h)(i)      2.12 %      2.11 %      2.10 %      2.10 % 

Gross expenses

     2.25 %(g)      2.23 %      2.12 %      2.11 %      2.10 %      2.10 % 

Net investment loss

     (0.41 )%(g)      (0.68 )%      (0.83 )%      (0.79 )%      (0.64 )%      (0.48 )%(b) 

Portfolio turnover rate

     55 %      61 %      70 %      92 %      74 %      62 % 

 

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.15), total return would have been (1.48)% and the ratio of net investment loss to average net assets would have been (0.96)%.

(c)

Amount rounds to less than $0.01 per share.

(d)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Periods less than one year are not annualized.

(g)

Computed on an annualized basis for periods less than one year.

(h)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)

Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%.

 

57  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Small Cap Value Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 16.20     $ 13.08     $ 19.37     $ 19.55  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.04       0.08       0.08       0.07  

Net realized and unrealized gain (loss)

     (3.03 )      3.20       (2.86 )      1.35  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.99 )      3.28       (2.78 )      1.42  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

     (0.00 )(b)      (0.08 )      (0.03 )      (0.02 ) 

Net realized capital gains

     (0.09 )      (0.08 )      (3.48 )      (1.58 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.16 )      (3.51 )      (1.60 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.12     $ 16.20     $ 13.08     $ 19.37  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (18.39 )%(d)      25.08 %      (14.48 )%      7.17 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 17     $ 21     $ 1     $ 1  

Net expenses(e)

     1.04 %(f)      1.03 %(g)      0.96 %      0.96 %(f) 

Gross expenses

     9.28 %(f)      11.80 %      15.17 %      14.68 %(f) 

Net investment income

     0.64 %(f)      0.52 %      0.43 %      0.56 %(f) 

Portfolio turnover rate

     55 %      61 %      70 %      92 %(h) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%.

(h)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

  See accompanying notes to financial statements.   |  58

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Small Cap Value Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 16.19     $ 13.08     $ 19.37     $ 20.36     $ 18.21     $ 21.13  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.04       0.05       0.04       0.05       0.07       0.11 (b) 

Net realized and unrealized gain (loss)

     (3.03 )      3.21       (2.84 )      1.25       3.59       (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (2.99 )      3.26       (2.80 )      1.30       3.66       0.04  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.00 )(c)      (0.07 )      (0.01 )      (0.01 )      (0.06 )      (0.10 ) 

Net realized capital gains

     (0.09 )      (0.08 )      (3.48 )      (2.28 )      (1.45 )      (2.86 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.15 )      (3.49 )      (2.29 )      (1.51 )      (2.96 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 13.11     $ 16.19     $ 13.08     $ 19.37     $ 20.36     $ 18.21  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (18.40 )%(d)(e)      24.88 %(d)      (14.61 )%      6.60 %      20.53 %      (0.05 )%(b) 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 34,946     $ 44,482     $ 58,538     $ 176,940     $ 183,145     $ 179,322  

Net expenses

     1.09 %(f)(g)      1.15 %(g)(h)      1.12 %      1.11 %      1.10 %      1.10 % 

Gross expenses

     1.25 %(f)      1.23 %      1.12 %      1.11 %      1.10 %      1.10 % 

Net investment income

     0.59 %(f)      0.35 %      0.22 %      0.23 %      0.36 %      0.50 %(b) 

Portfolio turnover rate

     55 %      61 %      70 %      92 %      74 %      62 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.02, total return would have been (0.53)% and the ratio of net investment income to average net assets would have been 0.07%.

(c)

Amount rounds to less than $0.01 per share.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

Computed on an annualized basis for periods less than one year.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)

Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%.

 

59  |   See accompanying notes to financial statements.  

Table of Contents

Notes to Financial Statements

 

June 30, 2020 (Unaudited)

 

1.  Organization.  Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

Natixis Oakmark International Fund

Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)

Natixis Funds Trust II:

Natixis Oakmark Fund

Vaughan Nelson Mid Cap Fund (formerly Vaughan Nelson Value Opportunity Fund) (the “Mid Cap Fund”)

Effective at the close of business on June 30, 2020, Vaughan Nelson Value Opportunity Fund changed its name to Vaughan Nelson Mid Cap Fund and its investment strategy changed to require the Fund to invest at least 80% of its net assets (plus any borrowings made for investment purposes) in companies that, at the time of purchase, have market capitalizations either within the capitalization range of the Russell Midcap® Value Index, or are $15 billion or less.

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Small Cap Value Fund was closed to new investors effective July 31, 2009. The Fund re-opened to new investors effective March 31, 2020.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and

 

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Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to the class (such as the Rule 12b-1 fees applicable to Class A and Class C) and transfer agent fees for each Fund are borne collectively for Class A, Class C and Class Y and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  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 or sub-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 or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In

 

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those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted 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.

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 Funds 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. 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 Funds 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 a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of June 30, 2020, securities held by Natixis Oakmark International Fund were fair valued as follows:

 

Equity
securities1

   

Percentage of
Net Assets

$426,578,113    88.9%

 

1

Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual

 

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basis. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

 

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d.  Forward Foreign Currency Contracts.  Certain Funds 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 appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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.

e.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the

 

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event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution re-designations, return of capital distributions received, distributions in excess of income and/or capital gain, foreign currency gains and losses and capital gains taxes. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, return of capital distributions received and forward foreign currency contract mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

   

Ordinary
Income

     

Long-Term
Capital Gains

     

Total

  

Natixis Oakmark Fund

    $ 2,339,088      $ 25,578,931      $ 27,918,019  

Natixis Oakmark International Fund

      17,222,206        —        17,222,206  

Mid Cap Fund

      996,088        2,860,547        3,856,635  

Small Cap Value Fund

      348,253        558,650        906,903  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

 

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As of December 31, 2019, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

    

Natixis
Oakmark
Fund

     

Natixis
Oakmark
International
Fund

    

Mid Cap

Fund

     

Small Cap
Value Fund

  

Capital loss carryforward:

           

Long-term:

           

No expiration date

    $   —      $ (32,773,225 )    $   —      $   —  
  

 

 

     

 

 

    

 

 

     

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $   —      $ (62,337 )    $   —      $   —  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

*

Under current tax law, capital losses, foreign currency losses and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Natixis Oakmark International Fund is deferring foreign currency losses.

As of June 30, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

Natixis
Oakmark
Fund

    

Natixis
Oakmark
International
Fund

    

Mid Cap
Fund

    

Small Cap
Value Fund

  

Federal tax cost

    $ 205,545,785     $ 624,531,767     $ 267,982,419     $ 88,144,217  
  

 

 

    

 

 

    

 

 

    

 

 

  

Gross tax appreciation

    $ 32,334,787     $ 13,875,086     $ 23,076,115     $ 5,447,853  

Gross tax depreciation

      (26,460,526 )      (160,575,412 )      (33,792,252 )      (8,627,001 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net tax appreciation (depreciation)

    $ 5,874,261     $ (146,700,326 )    $ (10,716,137 )    $ (3,179,148 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each 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

 

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default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Securities Lending.  Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2020, none of the Funds had loaned securities under this agreement.

i.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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

 

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  (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 each 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 Funds’ investments as of June 30, 2020, at value:

Natixis Oakmark Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 197,959,011      $ —      $   —      $ 197,959,011  

Short-Term Investments

      —        13,461,035        —        13,461,035  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 197,959,011      $ 13,461,035      $   —      $ 211,420,046  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

 

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Natixis Oakmark International Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks

            

Australia

    $ —      $ 16,480,591      $ —      $ 16,480,591  

China

      8,716,682        3,367,577        —        12,084,259  

Finland

      —        4,081,125        —        4,081,125  

France

      —        56,401,912        —        56,401,912  

Germany

      —        80,366,036        —        80,366,036  

India

      —        5,073,143        —        5,073,143  

Indonesia

      —        4,670,240        —        4,670,240  

Italy

      —        19,498,426        —        19,498,426  

Japan

      —        12,392,319        —        12,392,319  

Korea

      —        12,105,302        —        12,105,302  

Netherlands

      —        10,724,328        —        10,724,328  

South Africa

      —        10,463,531        —        10,463,531  

Spain

      —        6,084,994        —        6,084,994  

Sweden

      —        25,572,091        —        25,572,091  

Switzerland

      —        57,368,046        —        57,368,046  

Taiwan

      —        886,399        —        886,399  

United Kingdom

      7,599,235        99,484,048        —        107,083,283  

All Other Common stocks(a)

      25,749,746        —        —        25,749,746  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      42,065,663        425,020,108        —        467,085,771  
  

 

 

     

 

 

     

 

 

     

 

 

  

Preferred Stocks(a)

      —        1,558,005        —        1,558,005  

Short-Term Investments

      —        9,199,723        —        9,199,723  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 42,065,663      $ 435,777,836      $   —      $ 477,843,499  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

   

Level 1

     

Level 2

    

Level 3

     

Total

  

Forward Foreign Currency Contracts (unrealized depreciation)

    $   —      $ (12,058 )    $   —      $ (12,058 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

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

 

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Mid Cap Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 254,661,277      $ —      $ —      $ 254,661,277  

Short-Term Investments

      —        2,605,005        —        2,605,005  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 254,661,277      $ 2,605,005      $   —      $ 257,266,282  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

Small Cap Value Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 83,527,527      $ —      $ —      $ 83,527,527  

Short-Term Investments

      —        1,437,542        —        1,437,542  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 83,527,527      $ 1,437,542      $   —      $ 84,965,069  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Natixis Oakmark International Fund used during the period include forward foreign currency contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2020, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

   

Unrealized
depreciation on
forward foreign
currency contracts

  

Over-the-counter liability derivatives

   

Foreign exchange contracts

      $(12,058)  

 

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Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

   

Forward foreign
currency
contracts

Foreign exchange contracts    $(85,289)

Net Change in Unrealized
Appreciation (Depreciation) on:

   

Forward foreign
currency
contracts

Foreign exchange contracts    $58,201

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does 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 these disclosures.

The volume of forward foreign currency contract activity, as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2020:

 

Natixis Oakmark International Fund

   

Forwards

Average Notional Amount Outstanding    0.91%
Highest Notional Amount Outstanding    1.12%
Lowest Notional Amount Outstanding    0.70%
Notional Amount Outstanding as of June 30, 2020    0.95%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

The Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. 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

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.

As of June 30, 2020, gross amounts of derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Natixis Oakmark International Fund

 

Counterparty

   

Gross Amounts of
Liabilities

    

Offset
Amount

     

Net
Amount

  

State Street Bank and Trust Company

    $ (12,058 )    $   —      $ (12,058 ) 

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, 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 ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2020:

 

Fund

   

Maximum Amount
of Loss - Gross

     

Maximum Amount
of Loss - Net

  

Natixis Oakmark International Fund

    $   —      $   —  

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2020, purchases and sales of securities (excluding short-term investments) were as follows:

 

Fund

   

Purchases

     

Sales

  

Natixis Oakmark Fund

    $ 35,490,102      $ 75,622,432  

Natixis Oakmark International Fund

      225,889,499        175,449,179  

Mid Cap Fund

      68,396,652        124,131,638  

Small Cap Value Fund

      49,898,585        58,584,861  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays

 

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a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

    Percentage of Average Daily Net Assets  

Fund

  

First

$150 million

    

Next

$50 million

    

Next

$300 million

    

Next

$500 million

    

Next

$500 million

    

Over

$1.5 billion

  

Natixis Oakmark Fund

     0.70 %      0.70 %      0.65 %      0.60 %      0.60 %      0.60 % 

Natixis Oakmark International Fund

     0.85 %      0.75 %      0.75 %      0.75 %      0.70 %      0.70 % 

Mid Cap Fund

     0.80 %      0.80 %      0.80 %      0.80 %      0.80 %      0.75 % 

Small Cap Value Fund

     0.90 %      0.90 %      0.90 %      0.90 %      0.90 %      0.90 % 

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

 

Natixis Oakmark Fund

   

Harris Associates L.P. (“Harris”)

Natixis Oakmark International Fund

   

Harris

Mid Cap Fund

   

Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)

Small Cap Value Fund

   

Vaughan Nelson

Natixis Advisors, Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

 

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Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

        Percentage of Average
Daily Net Assets		  

Fund

  

Subadviser

  

First

$150 million

    

Next

$50 million

    

Next

$800 million

    

Next

$500 million

    

Over

$1.5 billion

  

Natixis Oakmark Fund

   Harris     0.52 %      0.52 %      0.50 %      0.50 %      0.50 % 

Natixis Oakmark International Fund

   Harris     0.60 %      0.50 %      0.50 %      0.45 %      0.45 % 

Mid Cap Fund

   Vaughan
Nelson		     0.50 %      0.50 %      0.50 %      0.50 %      0.47 % 

Small Cap Value Fund

   Vaughan
Nelson		     0.55 %      0.55 %      0.55 %      0.55 %      0.55 % 

Natixis Advisors has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, substitute dividend expenses on securities sold short, taxes, organizational and extraordinary expenses, such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

    

Expense Limit as a Percentage of
Average Daily Net Assets

  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Natixis Oakmark Fund

      1.30 %      2.05 %      1.00 %      1.05 % 

Natixis Oakmark International Fund

      1.37 %      2.12 %      1.07 %      1.12 % 

Mid Cap Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Small Cap Value Fund

      1.34 %      2.09 %      1.04 %      1.09 % 

 

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Effective July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Natixis Oakmark International Fund and Small Cap Value Fund are as follows:

 

    

Expense Limit as a Percentage of
Average Daily Net Assets

  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Natixis Oakmark International Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Small Cap Value Fund

      1.30 %      2.05 %      1.00 %      1.05 % 

These new undertakings are in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2020, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

  

Gross
Management
Fees

     

Contractual
Waivers of
Management
Fees1

     

Net
Management
Fees

     

Percentage of
Average Daily
Net Assets

  
  

Gross

    

Net

  

Natixis Oakmark Fund

   $ 794,829      $ —      $ 794,829        0.69 %      0.69 % 

Natixis Oakmark International Fund

     1,995,527        —        1,995,527        0.78 %      0.78 % 

Mid Cap Fund

     1,167,858        118,672        1,049,186        0.80 %      0.72 % 

Small Cap Value Fund

     409,655        74,155        335,500        0.90 %      0.74 % 

For the six months ended June 30, 2020, class-specific expenses have been reimbursed as follows:

 

     Reimbursement1  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Total

  

Natixis Oakmark International Fund

    $ 4,198      $ 4,358      $ —      $ 7,268      $ 15,824  

 

1 

Waiver/expense reimbursements are subject to possible recovery until December 31, 2021.

No expenses were recovered for any of the Funds during the six months ended June 30, 2020 under the terms of the expense limitation agreements.

 

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b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Class C

  

Natixis Oakmark Fund

    $ 179,943      $ 53,081      $ 159,243  

Natixis Oakmark International Fund

      154,759        154,426        463,279  

Mid Cap Fund

      33,955        21,511        64,533  

Small Cap Value Fund

      67,149        1,339        4,017  

For the six months ended June 30, 2020, Natixis Distribution refunded Natixis Oakmark Fund $4,543 of prior year Class A service fees paid to Natixis Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by these amounts.

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata

 

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portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended June 30, 2020, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

Natixis Oakmark Fund

    $ 50,927  

Natixis Oakmark International Fund

      113,896  

Mid Cap Fund

      64,822  

Small Cap Value Fund

      20,217  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Natixis Oakmark Fund

    $ 50,093  

Natixis Oakmark International Fund

      488,247  

Mid Cap Fund

      144,903  

Small Cap Value Fund

      26,578  

 

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As of June 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

Natixis Oakmark Fund

    $ 147  

Natixis Oakmark International Fund

      1,589  

Mid Cap Fund

      1,054  

Small Cap Value Fund

      318  

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2020, were as follows:

 

Fund

   

Commissions

  

Natixis Oakmark Fund

    $ 6,425  

Natixis Oakmark International Fund

      7,024  

Mid Cap Fund

      448  

Small Cap Value Fund

      1,156  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets

 

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of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trusts.

g.  Affiliated Ownership.  As of June 30, 2020, Natixis and affiliates held shares of Small Cap Value Fund representing less than 0.01% of the Fund’s net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to Natixis Oakmark Fund, Natixis Oakmark International Fund and Small Cap Value Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2020, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

 

     Reimbursement of
Transfer Agency
Expenses		  

Fund

   

  Class N  

  

Natixis Oakmark Fund

    $ 734  

Natixis Oakmark International Fund

      763  

Small Cap Value Fund

      727  

i.  Payment by Affiliates.  For the six months ended June 30, 2020, Harris reimbursed Natixis Oakmark International Fund $2,108 in connection with a trading error.

 

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j.  Interfund Transactions.  A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common Trustees. For the six months ended June 30, 2020, Natixis Oakmark Fund engaged in purchase and sale transactions of $10,946 and $295,969, respectively, with an affiliate of Natixis in compliance with Rule 17a-7 of the 1940 Act pursuant to procedures adopted by the Board of Trustees.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the six months ended June 30, 2020 the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

Natixis Oakmark Fund

    $ 73,517      $ 21,082      $ 734      $ 19,237  

Natixis Oakmark International Fund

      115,880        113,696        763        280,894  

Mid Cap Fund

      15,966        10,099        755        136,210  

Small Cap Value Fund

      32,967        656        727        22,224  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2020, Natixis Oakmark International Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $6,700,000 at a weighted average interest rate of 1.18%. Interest expense incurred on the line of credit was $440.

 

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9.  Risk.  Natixis Oakmark International Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

10.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

Natixis Oakmark International Fund

      1        27.76 % 

Mid Cap Fund

      2        24.27 % 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

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11.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Natixis Oakmark Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      267,769     $ 4,932,958       341,587     $ 7,422,550  

Issued in connection with the reinvestment of distributions

      13,561       230,700       707,759       15,556,227  

Redeemed

      (1,065,271 )      (20,436,276 )      (1,440,445 )      (31,399,881 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (783,941 )    $ (15,272,618 )      (391,099 )    $ (8,421,104 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      124,847     $ 1,895,856       411,202     $ 7,542,498  

Issued in connection with the reinvestment of distributions

      4,876       69,780       258,850       4,802,209  

Redeemed

      (757,239 )      (11,946,953 )      (1,012,379 )      (18,545,938 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (627,516 )    $ (9,981,317 )      (342,327 )    $ (6,201,231 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      —     $ —       38,538     $ 856,493  

Issued in connection with the reinvestment of distributions

      53       958       1,564       37,043  

Redeemed

      (5,358 )      (94,061 )      (6,880 )      (164,534 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (5,305 )    $ (93,103 )      33,222     $ 729,002  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      716,148     $ 13,262,852       1,091,333     $ 25,027,333  

Issued in connection with the reinvestment of distributions

      2,330       41,979       178,407       4,126,503  

Redeemed

      (1,087,014 )      (20,564,885 )      (1,928,446 )      (43,874,360 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (368,536 )    $ (7,260,054 )      (658,706 )    $ (14,720,524 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (1,785,298 )    $ (32,607,092 )      (1,358,910 )    $ (28,613,857 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Natixis Oakmark International Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      1,039,527     $ 10,941,159       3,833,342     $ 48,961,166  

Issued in connection with the reinvestment of distributions

      —       —       293,582       3,983,907  

Redeemed

      (3,448,952 )      (33,994,046 )      (14,255,482 )      (182,428,373 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (2,409,425 )    $ (23,052,887 )      (10,128,558 )    $ (129,483,300 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      325,687     $ 3,450,396       1,189,713     $ 14,652,748  

Issued in connection with the reinvestment of distributions

      —       —       235,439       3,145,368  

Redeemed

      (3,768,935 )      (37,015,305 )      (7,169,411 )      (88,659,492 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (3,443,248 )    $ (33,564,909 )      (5,744,259 )    $ (70,861,376 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      2,418     $ 23,378       35,523     $ 453,334  

Issued in connection with the reinvestment of distributions

      —       —       2,041       27,558  

Redeemed

      (23,451 )      (224,513 )      (45,088 )      (565,153 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (21,033 )    $ (201,135 )      (7,524 )    $ (84,261 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      21,144,348     $ 230,812,549       7,903,073     $ 103,147,261  

Issued in connection with the reinvestment of distributions

      —       —       590,961       7,977,970  

Redeemed

      (13,190,897 )      (125,469,269 )      (9,581,271 )      (119,483,340 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      7,953,451     $ 105,343,280       (1,087,237 )    $ (8,358,109 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      2,079,745     $ 48,524,349       (16,967,578 )    $ (208,787,046 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

83  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Mid Cap Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      75,228     $ 1,444,779       861,269     $ 17,619,199  

Issued in connection with the reinvestment of distributions

      48,711       808,115       12,533       280,906  

Redeemed

      (280,300 )      (5,103,100 )      (1,901,968 )      (37,334,239 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (156,361 )    $ (2,850,206 )      (1,028,166 )    $ (19,434,134 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      13,192     $ 230,848       41,784     $ 804,347  

Issued in connection with the reinvestment of distributions

      31,145       483,062       7,533       158,588  

Redeemed

      (234,019 )      (4,138,341 )      (466,640 )      (9,000,145 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (189,682 )    $ (3,424,431 )      (417,323 )    $ (8,037,210 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      63,631     $ 1,297,011       265,852     $ 5,433,660  

Issued in connection with the reinvestment of distributions

      27,450       460,894       9,232       208,696  

Redeemed

      (116,653 )      (2,244,408 )      (3,511,497 )      (74,546,739 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (25,572 )    $ (486,503 )      (3,236,413 )    $ (68,904,383 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      1,074,047     $ 19,695,153       2,842,232     $ 59,252,207  

Issued in connection with the reinvestment of distributions

      379,132       6,373,204       129,190       2,931,301  

Redeemed

      (3,753,845 )      (69,483,262 )      (15,601,071 )      (306,352,102 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (2,300,666 )    $ (43,414,905 )      (12,629,649 )    $ (244,168,594 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (2,672,281 )    $ (50,176,045 )      (17,311,551 )    $ (340,544,321 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

    |  84

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Small Cap Value Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      93,253     $ 1,180,153       291,593     $ 4,253,300  

Issued in connection with the reinvestment of distributions

      31,423       353,345       29,009       447,550  

Redeemed

      (510,678 )      (6,597,938 )      (1,267,013 )      (18,496,699 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (386,002 )    $ (5,064,440 )      (946,411 )    $ (13,795,849 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C         

Issued from the sale of shares

      9,521     $ 59,315       14,584     $ 107,063  

Issued in connection with the reinvestment of distributions

      1,869       10,560       1,709       13,304  

Redeemed

      (45,492 )      (312,815 )      (374,191 )      (2,772,672 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (34,102 )    $ (242,940 )      (357,898 )    $ (2,652,305 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N         

Issued from the sale of shares

      —     $ —       2,117     $ 32,857  

Issued in connection with the reinvestment of distributions

      10       119       12       194  

Redeemed

      —       —       (887 )      (14,210 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      10     $ 119       1,242     $ 18,841  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y         

Issued from the sale of shares

      559,564     $ 7,513,075       255,977     $ 3,867,153  

Issued in connection with the reinvestment of distributions

      18,958       223,701       24,035       388,742  

Redeemed

      (660,408 )      (8,554,792 )      (2,009,269 )      (30,637,042 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (81,886 )    $ (818,016 )      (1,729,257 )    $ (26,381,147 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (501,980 )    $ (6,125,277 )      (3,032,324 )    $ (42,810,460 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Table of Contents

LOGO

 

LOGO

 

Semiannual Report

June 30, 2020

Loomis Sayles Strategic Alpha Fund

Natixis U.S. Equity Opportunities Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     15  
Financial Statements     48  
Notes to Financial Statements     61  

 

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.

Table of Contents

LOOMIS SAYLES STRATEGIC ALPHA FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    LABAX
Kevin P. Kearns   Class C    LABCX
Todd P. Vandam, CFA®   Class N    LASNX
Loomis, Sayles & Company, L.P.   Class Y    LASYX

 

 

Investment Goal

The Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility.

 

1  |    

Table of Contents

Average Annual Total Returns — June 30, 20204

 

             
                                    Expense Ratios5  
     6 Months     1 Year     5 Years     Life of Class     Gross     Net  
     
Class Y (Inception 12/15/10)           Class Y/A/C        Class N        
NAV     2.06 %      2.73 %      2.74 %      2.87 %      — %      0.74 %      0.74 % 
     
Class A (Inception 12/15/10)                
NAV     2.01       2.54       2.49       2.63       —       0.99       0.99  
With 4.25% Maximum Sales Charge     -2.33       -1.78       1.60       2.17       —        
     
Class C (Inception 12/15/10)                
NAV     1.65       1.77       1.75       1.85       —       1.74       1.74  
With CDSC1     0.65       0.77       1.75       1.85       —        
     
Class N (Inception 5/1/17)                
NAV     2.19       2.80       —       —       2.78       0.67       0.67  
   
Comparative Performance                
3-Month LIBOR2     0.53       1.58       1.47       0.91       1.91        
3-Month LIBOR + 300 basis points3     2.02       4.57       4.47       3.90       4.90                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates.

 

3

3-Month LIBOR + 300 basis points is created by adding 3.00% to the annual return of 3-Month LIBOR. The calculation is performed on a monthly basis and is subject to the effects of compounding.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

    |  2

Table of Contents

NATIXIS U.S. EQUITY OPPORTUNITIES FUND

 

Managers   Symbols
Large Cap Value Segment   Class A    NEFSX
Harris Associates L.P.   Class C    NECCX
All Cap Growth Segment   Class N    NESNX
Loomis, Sayles & Company, L.P.   Class Y    NESYX

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

3  |    

Table of Contents

Average Annual Total Returns — June 30, 20204

 

             
                            

Life of

      Expense Ratios5  
     6 Months     1 Year     5 Years     10 Years     Class N     Gross     Net  
     
Class Y (Inception 11/15/94)                
NAV     -1.57 %      7.32 %      12.13 %      15.39 %      — %      0.92 %      0.92 % 
     
Class A (Inception 7/7/94)                
NAV     -1.68       7.07       11.85       15.10       —       1.17       1.17  
With 5.75% Maximum Sales Charge     -7.34       0.92       10.54       14.42       —        
     
Class C (Inception 7/7/94)                
NAV     -2.06       6.27       11.02       14.23       —       1.92       1.92  
With CDSC1     -3.00       5.37       11.02       14.23       —        
     
Class N (Inception 5/1/17)                
NAV     -1.50       7.41       —       —       11.71       1.42       0.83  
   
Comparative Performance                
S&P 500® Index2     -3.08       7.51       10.73       13.99       10.74        
Russell 1000® Index3     -2.81       7.48       10.47       13.97       10.63                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

 

3

Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

    |  4

Table of Contents

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

 

5  |    

Table of Contents

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2020 through June 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.

The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

 

|  6

Table of Contents
LOOMIS SAYLES STRATEGIC ALPHA FUND   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $1,020.10       $4.97  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.94       $4.97  
Class C        
Actual     $1,000.00       $1,016.50       $8.72  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.21       $8.72  
Class N        
Actual     $1,000.00       $1,021.90       $3.42  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.48       $3.42  
Class Y        
Actual     $1,000.00       $1,020.60       $3.72  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.18       $3.72  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 0.99%, 1.74%, 0.68% and 0.74% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

NATIXIS U.S. EQUITY OPPORTUNITIES
FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $983.20       $5.82  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.00       $5.92  
Class C        
Actual     $1,000.00       $979.40       $9.50  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.27       $9.67  
Class N        
Actual     $1,000.00       $985.00       $4.15  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.69       $4.22  
Class Y        
Actual     $1,000.00       $984.30       $4.54  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.29       $4.62  

 

*

Expenses are equal to the Fund’s annualized expense ratio: 1.18%, 1.93%, 0.84% and 0.92% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

7  |

Table of Contents

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Natixis U.S. Equity Opportunities Fund’s sub-advisory agreements (collectively, the “Agreements”), at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, as applicable (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a

 

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Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the

 

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independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

    

Three-Year

    

Five-Year

  

Loomis Sayles Strategic Alpha Fund

      88 %      82 %      77 % 

Natixis U.S. Equity Opportunities Fund

      63 %      77 %      42 % 

In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that Loomis Sayles Strategic Alpha Fund’s more recent performance had shown improvement relative to its category and (3) that Natixis U.S. Equity Opportunities Fund’s longer-term performance was strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers

 

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and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and that each Fund’s current expenses are below the limitation, under their respective expense limitation agreements.

The Trustees noted that Natixis U.S. Equity Opportunities Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such a relatively higher advisory fee rate, including the quality of the services and the reputation and performance of the portfolio management team, and that the Fund’s long-term performance has been consistently strong.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Loomis Sayles Strategic Alpha Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

 

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The Trustees also considered other factors, which included but were not limited to the following:

 

·  

The effect of recent market and economic events, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

·  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

 

·  

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

·  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2021.

 

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through June 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). The Loomis Sayles Strategic Alpha Fund has established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2020 through June 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

 

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Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund

 

Principal
Amount (‡)		      Description    Value (†)  
  Bonds and Notes — 78.6% of Net Assets  
  Non-Convertible Bonds — 77.0%  
       ABS Car Loan — 7.4%  
$ 2,805,000      AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024(a)    $ 2,917,642  
  26,217      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class A2B,
1-month LIBOR + 0.250%, 0.444%, 1/18/2022(a)(b)		      26,217  
  3,845,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D,
4.040%, 11/18/2024(a)		      3,986,717  
  1,210,000      Avid Automobile Receivables Trust, Series 2019-1, Class C,
3.140%, 7/15/2026, 144A		      1,222,122  
  1,035,000      Avid Automobile Receivables Trust, Series 2019-1, Class D,
4.030%, 7/15/2026, 144A		      998,298  
  1,785,000      California Republic Auto Receivables Trust, Series 2018-1, Class D,
4.330%, 4/15/2025		      1,825,456  
  135,000      CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024      136,106  
  1,435,000      CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a)      1,465,401  
  1,002,264      CarMax Auto Owner Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.200%, 0.385%, 2/15/2022(a)(b)      1,002,337  
  1,125,000      CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025      1,146,059  
  2,350,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025      2,378,097  
  25,555      CIG Auto Receivables Trust, Series 2017-1A, Class A,
2.710%, 5/15/2023, 144A(a)		      25,599  
  230,000      CPS Auto Receivables Trust, Series 2018-A, Class C,
3.050%, 12/15/2023, 144A(a)		      231,152  
  1,795,000      CPS Auto Receivables Trust, Series 2018-D, Class C,
3.830%, 9/15/2023, 144A(a)		      1,832,019  
  525,000      Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A(a)      525,257  
  1,205,000      Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C,
4.160%, 9/15/2027, 144A(a)		      1,244,197  
  4,745,000      Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C,
3.940%, 6/15/2028, 144A(a)		      4,881,200  
  2,955,000      Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a)      2,990,402  
  195,000      Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024(a)      200,692  
  2,395,000      Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a)      2,496,660  
  1,330,000      Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a)      1,355,756  
  1,390,000      DT Auto Owner Trust, Series 2018-2A, Class D, 4.150%, 3/15/2024, 144A(a)      1,421,153  
  1,655,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A      1,664,617  
  635,000      First Investors Auto Owner Trust , Series 2019-2A, Class D,
2.800%, 12/15/2025, 144A		      635,486  
  1,475,000      First Investors Auto Owner Trust , Series 2019-2A, Class E,
3.880%, 1/15/2026, 144A		      1,423,956  
  650,000      Flagship Credit Auto Trust, Series 2016-3, Class D,
3.890%, 11/15/2022, 144A(a)		      661,142  
  3,305,000      Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A      3,379,328  
  1,260,000      GLS Auto Receivables Trust, Series 2018-3A, Class B,
3.780%, 8/15/2023, 144A(a)		      1,286,474  

 

15  |   See accompanying notes to financial statements.  

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Car Loan — continued  
$ 5,030,000      GLS Auto Receivables Trust, Series 2019-2A, Class C,
3.540%, 2/18/2025, 144A(a)		    $ 5,133,787  
  4,355,000      NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1,
1-month LIBOR + 0.680%, 0.865%, 10/17/2022, 144A(a)(b)		      4,338,625  
  2,590,000      NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1,
1-month LIBOR + 0.640%, 0.825%, 2/15/2023, 144A(a)(b)		      2,569,368  
  2,820,000      NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A1,
1-month LIBOR + 0.600%, 0.785%, 10/15/2023, 144A(a)(b)		      2,756,488  
  2,879,608      Prestige Auto Receivables Trust, Series 2016-1A, Class D,
5.150%, 11/15/2021, 144A(a)		      2,899,639  
  910,000      Prestige Auto Receivables Trust, Series 2019-1A, Class E,
3.900%, 5/15/2026, 144A		      880,283  
  3,210,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a)      3,528,182  
  3,585,000      Santander Drive Auto Receivables Trust, Series 2018-2, Class D,
3.880%, 2/15/2024(a)		      3,656,725  
  4,140,000      Santander Drive Auto Receivables Trust, Series 2019-2, Class D,
3.220%, 7/15/2025(a)		      4,246,795  
  353,000      Tidewater Auto Receivables Trust, Series 2018-AA, Class D,
4.300%, 11/15/2024, 144A(a)		      361,553  
  602,057      Toyota Auto Receivables Owner Trust, Series 2018-C, Class A2B,
1-month LIBOR + 0.120%, 0.305%, 8/16/2021(a)(b)		      602,112  
  10,030      Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A2B,
1-month LIBOR + 0.180%, 0.370%, 7/20/2021(a)(b)		      10,030  
  4,605,000      Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A,
1-month LIBOR + 0.520%, 0.705%, 7/17/2023, 144A(a)(b)		      4,577,831  
  847,028      World Omni Automobile Lease Securitization Trust, Series 18-B, Class A2B,
1-month LIBOR + 0.180%, 0.365%, 6/15/2021(a)(b)		      846,725  
     

 

 

  
        79,767,685  
     

 

 

  
       ABS Credit Card — 1.2%  
  5,425,000      Discover Card Execution Note Trust, Series 2018-A3, Class A3,
1-month LIBOR + 0.230%, 0.415%, 12/15/2023(a)(b)		      5,430,919  
  640,000      Genesis Sales Finance Master Trust, Series 2019-AA, Class A,
4.680%, 8/20/2023, 144A(a)		      636,776  
  6,995,000      World Financial Network Credit Card Master Trust, Series 2019-C, Class M,
2.710%, 7/15/2026(a)		      6,943,381  
     

 

 

  
        13,011,076  
     

 

 

  
       ABS Home Equity — 7.7%  
  1,086,404      Ajax Mortgage Loan Trust, Series 2017-B, Class A,
3.163%, 9/25/2056, 144A(a)(c)		      1,079,465  
  275,520      Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)      284,728  
  298,140      Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)      308,437  
  474,253      Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(d)(e)      477,584  
  300,000      American Homes 4 Rent, Series 2014-SFR2, Class D,
5.149%, 10/17/2036, 144A(a)		      329,990  

 

  See accompanying notes to financial statements.   |  16

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Home Equity — continued  
$ 2,170,000      American Homes 4 Rent, Series 2014-SFR2, Class E,
6.231%, 10/17/2036, 144A(a)		    $ 2,411,987  
  1,200,000      American Homes 4 Rent, Series 2014-SFR3, Class E,
6.418%, 12/17/2036, 144A(a)		      1,342,228  
  3,138,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A      3,461,188  
  1,281,000      AMSR Trust, Series 2019-SFR1, Class B, 3.023%, 1/19/2039, 144A(a)      1,308,287  
  460,578      Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033      462,860  
  506,141      Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035      545,012  
  319,081      Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034      314,271  
  3,958,717      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1,
3.228%, 11/25/2070, 144A(a)(c)		      3,968,043  
  1,141,110      Citigroup Mortgage Loan Trust, Series 2018-A, Class A1,
4.000%, 1/25/2068, 144A(c)		      1,149,307  
  2,722,040      Citigroup Mortgage Loan Trust, Series 2018-C, Class A1,
4.125%, 3/25/2059, 144A(c)		      2,729,292  
  2,089,844      Citigroup Mortgage Loan Trust, Series 2019-B, Class A1,
3.258%, 4/25/2066, 144A(c)		      2,083,801  
  2,200,000      Colony American Finance Ltd., Series 2015-1, Class D,
5.649%, 10/15/2047, 144A		      2,209,894  
  1,065,000      Colony American Finance Ltd., Series 2016-1, Class C,
4.638%, 6/15/2048, 144A(a)(c)		      1,067,802  
  1,304,000      Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2,
1-month LIBOR + 2.050%, 2.235%, 1/25/2040, 144A(b)		      1,237,447  
  1,830,000      CoreVest American Finance Ltd., Series 2019-2, Class B,
3.424%, 6/15/2052, 144A(a)		      1,830,483  
  438,839      Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)      456,547  
  790,966      Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034      829,505  
  55,694      Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.870%, 9/20/2034(a)(c)(d)(e)      51,859  
  2,405,136      Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.303%, 8/25/2062, 144A(a)(c)      2,406,779  
  1,068,053      Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1,
4.000%, 8/26/2058, 144A(a)		      1,076,760  
  2,551,791      Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1,
3.135%, 12/26/2059, 144A(c)		      2,444,976  
  174,357      CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)      182,111  
  475,341      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.524%, 9/19/2045(b)      347,023  
  1,316,798      Dukinfield II PLC, Series 2, Class A, 3-month LIBOR + 1.250%, 1.432%, 12/20/2052, (GBP)(a)(b)      1,629,739  
  1,297,671      Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.385%, 1/25/2030(b)      1,270,635  
  548,864      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 2.035%, 10/25/2027(a)(b)      548,076  

 

17  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Home Equity — continued  
$ 114,230      Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.985%, 7/25/2030(b)    $ 111,713  
  691,825      Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1,
3.250%, 8/25/2064, 144A		      672,494  
  570,579      IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5,
1-month LIBOR + 1.220%, 1.405%, 9/25/2034(b)		      507,787  
  2,430,559      IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1,
1-month LIBOR + 0.210%, 0.395%, 2/25/2046(b)		      1,915,990  
  2,614,643      Invitation Homes Trust, Series 2018-SFR1, Class E,
1-month LIBOR + 2.000%, 2.194%, 3/17/2037, 144A(b)		      2,530,838  
  4,475,000      Invitation Homes Trust, Series 2018-SFR2, Class E,
1-month LIBOR + 2.000%, 2.185%, 6/17/2037, 144A(b)		      4,326,350  
  1,199,196      JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034      1,269,094  
  2,254,144      Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1,
3.750%, 4/25/2059, 144A(c)		      2,288,399  
  1,990,234      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1,
2.882%, 10/25/2059, 144A(c)		      1,971,242  
  430,222      Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 0.445%, 2/25/2046(b)      369,896  
  181,107      MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1,
4.375%, 5/25/2034(a)(c)(d)(e)		      177,107  
  286,226      MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)      295,193  
  255,354      MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)      263,046  
  308,156      MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)      320,321  
  964,548      MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034      997,584  
  64,976      Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A,
3.236%, 5/25/2036(a)(c)(d)(e)		      62,176  
  399,344      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d)(e)      352,047  
  859,583      Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035      842,924  
  895,000      Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2,
5.000%, 4/25/2023, 144A(c)		      858,331  
  1,757,669      Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1,
3.351%, 11/25/2024, 144A(c)		      1,759,204  
  3,775,381      Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1,
2.981%, 2/25/2025, 144A(a)(c)		      3,751,493  
  1,005,000      Progress Residential Trust, Series 2019-SFR3, Class D,
2.871%, 9/17/2036, 144A		      1,008,007  
  681,000      Progress Residential Trust, Series 2017-SFR2, Class E,
4.142%, 12/17/2034, 144A		      688,407  
  564,000      Progress Residential Trust, Series 2018-SFR2, Class E,
4.656%, 8/17/2035, 144A		      577,755  
  2,398,000      Progress Residential Trust, Series 2019-SFR1, Class E,
4.466%, 8/17/2035, 144A		      2,472,779  
  3,089,657      RCO V Mortgage LLC, Series 2019-1, Class A1, 3.721%, 5/24/2024, 144A(c)      3,096,353  

 

  See accompanying notes to financial statements.   |  18

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Home Equity — continued  
$ 1,158,335      Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035    $ 968,679  
  2,752,258      Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1,
1-month LIBOR + 0.310%, 0.495%, 7/25/2035(b)		      1,978,715  
  1,167,006      Towd Point Mortgage Trust, Series 2015-2, Class 1A13,
2.500%, 11/25/2060, 144A(a)(c)		      1,175,470  
  4,428,262      Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A,
3.352%, 9/25/2049, 144A(c)		      4,429,816  
  1,445,974      Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A,
3.327%, 11/26/2049, 144A(c)		      1,443,425  
     

 

 

  
        83,328,751  
     

 

 

  
       ABS Other — 5.2%  
  713,754      Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A      702,049  
  2,218,114      AIM Aviation Finance Ltd., Series 2015-1A, Class B1,
5.072%, 2/15/2040, 144A(c)(f)(g)		      610,949  
  350,000      Ascentium Equipment Receivables Trust, Series 2017-2A, Class C,
2.870%, 8/10/2022, 144A(a)		      353,913  
  982,255      Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A,
4.213%, 12/16/2041, 144A(a)(c)		      824,456  
  1,335,469      Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B,
5.682%, 12/16/2041, 144A(a)(c)(f)(g)		      771,134  
  250,000      CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)      251,574  
  580,000      Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A      585,174  
  775,000      Chesapeake Funding II LLC, Series 2017-4A, Class D,
3.260%, 11/15/2029, 144A		      765,946  
  790,000      Chesapeake Funding II LLC, Series 2018-1A, Class C,
3.570%, 4/15/2030, 144A(a)		      804,861  
  2,125,000      Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A      2,144,296  
  323,771      Diamond Resorts Owner Trust, Series 2017-1A, Class C,
6.070%, 10/22/2029, 144A		      323,110  
  1,282,594      Diamond Resorts Owner Trust, Series 2018-1, Class C,
4.530%, 1/21/2031, 144A		      1,202,836  
  1,770,790      Diamond Resorts Owner Trust, Series 2019-1, Class B,
3.530%, 2/20/2032, 144A(a)		      1,697,903  
  3,100,000      Fairstone Financial Issuance Trust I, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a)      2,241,449  
  2,211,228      GCA2014 Holdings Ltd., Series 2014-1, Class C,
6.000%, 1/05/2030, 144A(d)(e)(f)(h)		      682,739  
  989,736      GCA2014 Holdings Ltd., Series 2014-1, Class D,
7.500%, 1/05/2030, 144A(d)(e)(f)(h)		      101,092  
  3,410,000      GCA2014 Holdings Ltd., Series 2014-1, Class E,
Zero Coupon, 1/05/2030, 144A(d)(e)(f)(h)(i)		      —  
  791,756      Global Container Assets Ltd., Series 2015-1A, Class B,
4.500%, 2/05/2030, 144A(e)(f)(g)		      626,540  
  4,463,313      Horizon Aircraft Finance I Ltd., Series 2018-1, Class A,
4.458%, 12/15/2038, 144A(a)		      4,026,886  
  975,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a)      956,028  
  2,154,749      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A,
4.250%, 12/15/2038, 144A(a)		      1,799,232  

 

19  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Other — continued  
$ 1,322,070      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a)    $ 1,155,623  
  1,726,248      MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A(f)(g)      950,148  
  605,498      Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A(a)      611,143  
  1,739,007      Marlette Funding Trust, Series 2019-3A, Class A, 2.690%, 9/17/2029, 144A(a)      1,748,170  
  607,398      MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A      565,428  
  1,100,000      Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 0.815%, 9/25/2023, 144A(a)(b)      1,095,974  
  3,120,000      OneMain Financial Issuance Trust, Series 2015-3A, Class B,
4.160%, 11/20/2028, 144A(a)		      3,108,944  
  3,100,000      OneMain Financial Issuance Trust, Series 2016-1A, Class C,
6.000%, 2/20/2029, 144A(a)		      3,112,138  
  3,230,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D,
4.220%, 2/14/2031, 144A		      3,060,838  
  1,460,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B,
4.830%, 5/14/2032, 144A		      1,529,712  
  810,000      Oxford Finance Funding Trust, Series 2019-1A, Class A2,
4.459%, 2/15/2027, 144A(a)		      831,330  
  3,980,000      Republic Finance Issuance Trust, Series 2019-A, Class A,
3.430%, 11/22/2027, 144A(a)		      3,959,891  
  4,090,958      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)      3,619,332  
  3,718,000      SCF Equipment Trust LLC, Series 2018-1A, Class C,
4.210%, 4/20/2027, 144A(a)		      3,784,318  
  580,000      SoFi Consumer Loan Program Trust, Series 2018-1, Class B,
3.650%, 2/25/2027, 144A(a)		      583,496  
  1,690,000      SoFi Consumer Loan Program Trust, Series 2018-2, Class B,
3.790%, 4/26/2027, 144A(a)		      1,741,442  
  1,010,000      SoFi Consumer Loan Program Trust, Series 2018-4, Class C,
4.170%, 11/26/2027, 144A(a)		      999,850  
  1,021,957      Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a)(f)(g)      552,674  
  1,267,583      TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)      1,276,406  
  1,037,652      Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)(f)(g)      520,342  
     

 

 

  
        56,279,366  
     

 

 

  
       ABS Student Loan — 1.5%  
  3,016,172      Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a)      3,104,133  
  3,410,000      Navient Private Education Refi Loan Trust, Series 2019-FA, Class B,
3.120%, 8/15/2068, 144A(a)		      3,332,298  
  1,035,000      Navient Private Education Refi Loan Trust, Series 2018-A, Class B,
3.680%, 2/18/2042, 144A(a)		      1,018,042  
  695,000      Navient Private Education Refi Loan Trust, Series 2019-GA, Class B,
3.080%, 10/15/2068, 144A(a)		      684,799  
  727,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3,
28-day ARS, 3.694%, 6/15/2032(a)(b)		      691,458  
  2,046,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3,
28-day ARS, 3.678%, 3/15/2033(a)(b)		      2,020,765  
  222,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4,
28-day ARS, 3.666%, 3/15/2033(a)(b)		      211,198  
  800,000      SMB Private Education Loan Trust, Series 2015-C, Class B,
3.500%, 9/15/2043, 144A(a)		      822,694  

 

  See accompanying notes to financial statements.   |  20

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       ABS Student Loan — continued  
$ 1,022,710      SMB Private Education Loan Trust, Series 2017-B, Class A2B,
1-month LIBOR + 0.750%, 0.935%, 10/15/2035, 144A(a)(b)		    $ 1,012,526  
  190,000      SMB Private Education Loan Trust, Series 2018-B, Class B,
4.000%, 7/15/2042, 144A(a)		      187,891  
  510,000      SMB Private Education Loan Trust, Series 2018-C, Class B,
4.000%, 11/17/2042, 144A(a)		      514,904  
  714,956      SoFi Professional Loan Program LLC, Series 2016-A, Class B,
3.570%, 1/26/2038, 144A(a)		      742,393  
  125,000      SoFi Professional Loan Program LLC, Series 2016-C, Class B,
3.350%, 5/25/2037, 144A(a)(c)		      127,552  
  1,350,000      SoFi Professional Loan Program Trust, Series 2020-A, Class BFX,
3.120%, 5/15/2046, 144A(a)		      1,331,030  
     

 

 

  
        15,801,683  
     

 

 

  
       ABS Whole Business — 2.9%  
  4,229,102      Adams Outdoor Advertising LP, Series 2018-1, Class A,
4.810%, 11/15/2048, 144A(a)		      4,299,203  
  3,278,600      Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)      3,136,090  
  496,250      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A      536,610  
  2,836,275      Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a)      3,058,923  
  211,238      Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048, 144A(a)      224,871  
  1,479,800      Driven Brands Funding LLC, Series 2018-1A, Class A2,
4.739%, 4/20/2048, 144A		      1,566,087  
  2,972,063      Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A      2,985,021  
  2,562,125      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      2,207,168  
  2,575,200      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2,
4.540%, 2/25/2044, 144A(a)		      2,696,299  
  5,516,000      Taco Bell Funding LLC, Series 2018-1A, Class A2I,
4.318%, 11/25/2048, 144A(a)		      5,633,380  
  3,358,875      Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a)      3,547,509  
  720,300      Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A      770,201  
  891,000      Wingstop Funding LLC, Series 2018-1, Class A2, 4.970%, 12/05/2048, 144A      928,778  
     

 

 

  
        31,590,140  
     

 

 

  
       Aerospace & Defense — 2.4%  
  1,635,000      Boeing Co. (The), 2.250%, 6/15/2026      1,580,208  
  3,035,000      Boeing Co. (The), 2.700%, 5/01/2022(a)      3,072,955  
  700,000      Boeing Co. (The), 2.950%, 2/01/2030      689,890  
  70,000      Boeing Co. (The), 3.100%, 5/01/2026      71,329  
  30,000      Boeing Co. (The), 3.550%, 3/01/2038      27,321  
  15,000      Boeing Co. (The), 3.625%, 3/01/2048      13,181  
  385,000      Boeing Co. (The), 3.750%, 2/01/2050      345,672  
  325,000      Boeing Co. (The), 3.850%, 11/01/2048      290,607  
  575,000      Boeing Co. (The), 3.950%, 8/01/2059      503,884  
  3,185,000      Boeing Co. (The), 5.150%, 5/01/2030(a)      3,551,370  
  3,185,000      Boeing Co. (The), 5.805%, 5/01/2050(a)      3,761,439  

 

21  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Aerospace & Defense — continued  
$ 1,985,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025    $ 1,757,718  
  1,105,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      977,925  
  2,550,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A      2,954,124  
  305,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      246,288  
  2,580,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      2,544,525  
  125,000      TransDigm, Inc., 5.500%, 11/15/2027      109,088  
  3,010,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      3,002,535  
  410,000      TransDigm, Inc., 8.000%, 12/15/2025, 144A      430,906  
     

 

 

  
        25,930,965  
     

 

 

  
       Airlines — 0.6%       
  3,570,329      Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025      1,811,942  
  6,950,000      United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a)      4,934,500  
     

 

 

  
        6,746,442  
     

 

 

  
       Automotive — 3.9%       
  2,960,000      FCE Bank PLC, EMTN, 0.869%, 9/13/2021, (EUR)      3,210,029  
  370,000      FCE Bank PLC, EMTN, 1.134%, 2/10/2022, (EUR)      399,305  
  1,580,000      FCE Bank PLC, EMTN, 1.875%, 6/24/2021, (EUR)      1,734,195  
  1,530,000      Ford Motor Co., 8.500%, 4/21/2023      1,617,975  
  1,800,000      Ford Motor Co., 9.000%, 4/22/2025      1,947,960  
  400,000      Ford Motor Co., 9.625%, 4/22/2030      473,720  
  655,000      Ford Motor Credit Co. LLC, 1.514%, 2/17/2023, (EUR)      688,864  
  1,515,000      General Motors Co., 6.800%, 10/01/2027      1,765,369  
  3,585,000      General Motors Financial Co., Inc., 3-month LIBOR + 0.850%, 2.170%, 4/09/2021(a)(b)      3,563,612  
  2,870,000      General Motors Financial Co., Inc., EMTN, 1.694%, 3/26/2025, (EUR)      2,988,795  
  3,250,000      General Motors Financial Co., Inc., EMTN, 2.200%, 4/01/2024, (EUR)(a)      3,576,834  
  2,625,000      Hyundai Capital America, 2.375%, 2/10/2023, 144A(a)      2,644,638  
  7,750,000      Hyundai Capital America, 3.950%, 2/01/2022, 144A(a)      7,971,513  
  6,865,000      Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A(a)      6,881,491  
  2,245,000      Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A(a)      2,395,944  
     

 

 

  
        41,860,244  
     

 

 

  
       Banking — 2.2%       
  345,000      Ally Financial, Inc., 3.875%, 5/21/2024      356,721  
  325,000      Ally Financial, Inc., 4.625%, 3/30/2025      346,879  
  2,000,000      Ally Financial, Inc., 5.750%, 11/20/2025      2,140,077  
  2,350,000      Ally Financial, Inc., 5.800%, 5/01/2025      2,618,271  
  44,570,000      Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 33.750%, 11/07/2022, 144A, (ARS)(b)      332,012  
  21,970,000      Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)      129,651  
  23,000,000      Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 24.833%, 8/09/2020, 144A, (ARS)(b)      200,788  
  1,430,000      Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter),
3.244%, 12/20/2025, 144A(a)		      1,486,668  
  6,690,000      JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter),
4.493%, 3/24/2031(a)		      8,155,594  

 

  See accompanying notes to financial statements.   |  22

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Banking — continued       
$ 6,720,000      Mitsubishi UFJ Financial Group, Inc., 3-month LIBOR + 0.650%, 1.641%, 7/26/2021(a)(b)    $ 6,743,533  
  1,100,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter),
4.644%, 4/01/2031, 144A(a)		      1,243,194  
     

 

 

  
        23,753,388  
     

 

 

  
       Brokerage — 0.2%       
  2,500,000      Jefferies Group LLC, 5.125%, 1/20/2023      2,713,051  
     

 

 

  
       Building Materials — 0.7%       
  1,915,000      Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A      1,960,481  
  200,000      CEMEX Finance LLC, 6.000%, 4/01/2024, 144A      197,940  
  1,725,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      1,593,382  
  615,000      Cemex SAB de CV, 5.700%, 1/11/2025, 144A      601,162  
  210,000      Cemex SAB de CV, 7.750%, 4/16/2026, 144A      214,400  
  1,970,000      Standard Industries, Inc., 4.375%, 7/15/2030, 144A      1,965,075  
  805,000      Vulcan Materials Co., 3.500%, 6/01/2030      876,910  
     

 

 

  
        7,409,350  
     

 

 

  
       Cable Satellite — 1.4%       
  1,585,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      1,616,700  
  175,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A      177,187  
  310,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A      327,050  
  1,610,000      CSC Holdings LLC, 4.125%, 12/01/2030, 144A      1,595,912  
  2,710,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      2,632,386  
  1,060,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      1,159,375  
  265,000      Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A      271,625  
  1,355,000      Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A      1,384,905  
  255,000      Sirius XM Radio, Inc., 5.375%, 4/15/2025, 144A      261,885  
  485,000      Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A      500,879  
  110,000      Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A      115,788  
  1,660,000      Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A      1,622,999  
  1,225,000      Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A      1,253,101  
  1,725,000      Ziggo BV, 4.875%, 1/15/2030, 144A      1,725,052  
  900,000      Ziggo BV, 5.500%, 1/15/2027, 144A      911,305  
     

 

 

  
        15,556,149  
     

 

 

  
       Chemicals — 0.1%       
  1,540,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      1,409,100  
     

 

 

  
       Construction Machinery — 0.5%       
  5,460,000      United Rentals North America, Inc., 4.000%, 7/15/2030      5,281,076  
     

 

 

  
       Consumer Cyclical Services — 2.6%       
  2,045,000      Booking Holdings, Inc., 4.500%, 4/13/2027(a)      2,348,815  
  3,325,000      Booking Holdings, Inc., 4.625%, 4/13/2030(a)      3,924,564  
  270,000      eBay, Inc., 4.000%, 7/15/2042(a)      293,874  
  4,220,000      Expedia Group, Inc., 3.250%, 2/15/2030      3,934,496  
  4,395,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      4,681,876  
  2,250,000      Expedia Group, Inc., 7.000%, 5/01/2025, 144A      2,338,768  
  515,000      Uber Technologies, Inc., 7.500%, 5/15/2025, 144A      518,862  

 

23  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Consumer Cyclical Services — continued       
$ 4,580,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A    $ 4,591,450  
  5,160,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A      5,250,300  
     

 

 

  
        27,883,005  
     

 

 

  
       Consumer Products — 0.1%       
  930,000      Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A      936,956  
     

 

 

  
       Diversified Manufacturing — 0.2%       
  1,515,000      General Electric Co., 3.625%, 5/01/2030(a)      1,516,713  
  720,000      General Electric Co., 4.350%, 5/01/2050(a)      712,083  
     

 

 

  
        2,228,796  
     

 

 

  
       Electric — 1.8%       
  965,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      1,020,488  
  985,000      AES Corp. (The), 5.125%, 9/01/2027      1,021,938  
  325,000      AES Corp. (The), 5.500%, 4/15/2025      333,414  
  115,000      AES Corp. (The), 6.000%, 5/15/2026      119,456  
  2,445,000      Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)      2,778,033  
  270,000      IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A      292,512  
  480,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      504,000  
  1,075,000      NRG Energy, Inc., 5.750%, 1/15/2028      1,134,125  
  1,785,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      1,725,167  
  10,765,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a)      11,086,110  
     

 

 

  
        20,015,243  
     

 

 

  
       Finance Companies — 3.6%       
  905,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027      801,322  
  2,430,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028      2,194,839  
  2,745,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 9/15/2023      2,745,322  
  1,140,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025      1,195,295  
  2,755,000      Air Lease Corp., 3.375%, 7/01/2025      2,759,711  
  6,000,000      Aircastle Ltd., 4.250%, 6/15/2026(a)      5,506,551  
  4,695,000      Ares Capital Corp., 3.250%, 7/15/2025(a)      4,556,554  
  5,755,000      GE Capital Funding LLC, 4.400%, 5/15/2030, 144A(a)      5,988,682  
  90,000      Navient Corp., 5.875%, 10/25/2024      84,544  
  5,865,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      6,051,976  
  875,000      Quicken Loans LLC, 5.750%, 5/01/2025, 144A      894,504  
  280,000      Springleaf Finance Corp., 5.375%, 11/15/2029      261,800  
  190,000      Springleaf Finance Corp., 6.625%, 1/15/2028      188,100  
  5,000      Springleaf Finance Corp., 6.875%, 3/15/2025      5,130  
  3,218,000      Springleaf Finance Corp., 7.125%, 3/15/2026      3,330,598  
  1,855,000      Springleaf Finance Corp., 8.875%, 6/01/2025      1,983,088  
     

 

 

  
        38,548,016  
     

 

 

  
       Financial Other — 0.5%       
  2,595,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024      2,439,819  
  2,525,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      2,436,625  
  485,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026      485,339  
     

 

 

  
        5,361,783  
     

 

 

  

 

  See accompanying notes to financial statements.   |  24

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Food & Beverage — 2.3%       
$ 5,290,000      Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046(a)    $ 6,473,295  
  5,200,000      Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050(a)      6,164,704  
  990,000      Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048(a)      1,158,911  
  3,256,000      Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050      3,360,714  
  1,455,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      1,427,559  
  2,305,000      Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A      2,347,217  
  715,000      Kraft Heinz Foods Co., 5.000%, 6/04/2042      753,328  
  680,000      Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A      720,467  
  2,735,000      NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A      2,739,950  
     

 

 

  
        25,146,145  
     

 

 

  
       Gaming — 0.3%  
  3,825,000      Boyd Gaming Corp., 4.750%, 12/01/2027, 144A      3,289,500  
     

 

 

  
       Government Owned – No Guarantee — 2.3%  
  4,120,000      Export-Import Bank of Korea, 3-month LIBOR + 0.525%, 0.822%, 6/25/2022(a)(b)      4,114,123  
  18,670,000,000      Financiera de Desarrollo Territorial S.A.,
7.875%, 8/12/2024, 144A, (COP)(a)		      5,264,529  
  12,050,000      Petroleos Mexicanos, 5.950%, 1/28/2031, 144A      9,943,058  
  5,290,000      Petroleos Mexicanos, 6.625%, 6/15/2035(a)      4,304,473  
  1,770,000      YPF S.A., 6.950%, 7/21/2027, 144A      1,239,000  
  1,930,000      YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 32.229%, 7/07/2020, 144A(b)      360,044  
     

 

 

  
        25,225,227  
     

 

 

  
       Government Sponsored — 0.1%  
  950,000      Petrobras Global Finance BV, 7.250%, 3/17/2044      1,030,750  
     

 

 

  
       Health Insurance — 0.0%  
  300,000      Centene Corp., 4.625%, 12/15/2029      316,500  
     

 

 

  
       Healthcare — 0.5%  
  380,000      Encompass Health Corp., 4.750%, 2/01/2030      362,900  
  735,000      IQVIA, Inc., 5.000%, 5/15/2027, 144A      753,145  
  2,790,000      Rede D’or Finance S.a.r.l., 4.500%, 1/22/2030, 144A      2,455,200  
  890,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      867,038  
  340,000      Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A      331,075  
  135,000      Tenet Healthcare Corp., 5.125%, 5/01/2025      130,303  
  255,000      Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A      253,088  
     

 

 

  
        5,152,749  
     

 

 

  
       Home Construction — 0.2%  
  320,000      Kaisa Group Holding Ltd., 11.950%, 10/22/2022, 144A      332,400  
  1,361,000      Lennar Corp., 4.750%, 11/29/2027      1,476,685  
  310,000      Lennar Corp., 4.875%, 12/15/2023      327,050  
  30,000      Lennar Corp., 5.000%, 6/15/2027      32,400  
  340,000      Yuzhou Properties Co. Ltd., 8.300%, 5/27/2025      335,995  
     

 

 

  
        2,504,530  
     

 

 

  

 

25  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Independent Energy — 0.8%  
$ 4,360,000      Aker BP ASA, 3.750%, 1/15/2030, 144A    $ 4,095,016  
  4,155,000      Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A(f)(g)      83,100  
  5,895,000      California Resources Corp., 8.000%, 12/15/2022, 144A(f)(g)(j)      232,086  
  925,000      Diamondback Energy, Inc., 3.500%, 12/01/2029      895,927  
  1,300,000      Hess Corp., 5.600%, 2/15/2041      1,365,600  
  640,000      Occidental Petroleum Corp., 2.700%, 8/15/2022      595,808  
  140,000      Occidental Petroleum Corp., 2.700%, 2/15/2023      127,575  
  885,000      Occidental Petroleum Corp., 2.900%, 8/15/2024      756,215  
  340,000      Occidental Petroleum Corp., 3.500%, 6/15/2025      287,300  
  75,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      68,453  
  2,075,000      Whiting Petroleum Corp., 6.625%, 1/15/2026(f)(g)(j)      368,313  
     

 

 

  
        8,875,393  
     

 

 

  
       Industrial Other — 0.3%  
  3,080,000      HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A      3,114,989  
     

 

 

  
       Life Insurance — 1.2%  
  5,240,000      American International Group, Inc., 4.375%, 6/30/2050(a)      6,059,738  
  6,780,000      New York Life Global Funding, 3-month LIBOR + 0.320%,
0.821%, 8/06/2021, 144A(a)(b)		      6,796,822  
     

 

 

  
        12,856,560  
     

 

 

  
       Local Authorities — 0.2%  
  67,000,000      Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 24.253%, 4/12/2025, 144A, (ARS)(b)      490,805  
  216,360,000      Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 32.741%, 5/31/2022, (ARS)(b)      1,719,841  
     

 

 

  
        2,210,646  
     

 

 

  
       Lodging — 0.7%  
  360,000      Hyatt Hotels Corp., 5.375%, 4/23/2025      381,477  
  665,000      Hyatt Hotels Corp., 5.750%, 4/23/2030      731,181  
  440,000      Marriott International, Inc., 5.750%, 5/01/2025      477,997  
  5,145,000      Marriott International, Inc., 3-month LIBOR + 0.650%, 0.968%, 3/08/2021(b)      5,095,556  
  695,000      Marriott International, Inc., 4.625%, 6/15/2030      721,143  
     

 

 

  
        7,407,354  
     

 

 

  
       Media Entertainment — 2.5%  
  2,745,000      Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A      2,635,200  
  2,830,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A      2,610,675  
  2,205,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      2,111,287  
  750,000      iHeartCommunications, Inc., 6.375%, 5/01/2026      742,500  
  3,150,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      2,886,565  
  415,000      Lamar Media Corp., 3.750%, 2/15/2028, 144A      391,262  
  825,000      Lamar Media Corp., 4.000%, 2/15/2030, 144A      789,690  
  855,000      Lamar Media Corp., 5.000%, 5/01/2023      859,275  
  135,000      Netflix, Inc., 4.875%, 4/15/2028      144,351  
  1,470,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      1,576,575  
  490,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      536,648  

 

  See accompanying notes to financial statements.   |  26

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Media Entertainment — continued  
$ 1,075,000      Outfront Media Capital LLC/Outfront Media Capital Corp.,
4.625%, 3/15/2030, 144A		    $ 972,875  
  610,000      ViacomCBS, Inc., 4.200%, 6/01/2029      683,632  
  3,575,000      ViacomCBS, Inc., 4.200%, 5/19/2032      4,019,704  
  935,000      ViacomCBS, Inc., 4.375%, 3/15/2043      977,734  
  270,000      ViacomCBS, Inc., 4.900%, 8/15/2044      293,717  
  4,030,000      ViacomCBS, Inc., 4.950%, 1/15/2031(a)      4,758,904  
  270,000      ViacomCBS, Inc., 5.850%, 9/01/2043      317,716  
     

 

 

  
        27,308,310  
     

 

 

  
       Metals & Mining — 1.0%  
  2,655,000      ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028      2,455,530  
  400,000      ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024      394,900  
  4,515,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      4,277,962  
  425,000      First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A      405,875  
  1,755,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      1,680,412  
  1,155,000      Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A      1,240,593  
     

 

 

  
        10,455,272  
     

 

 

  
       Midstream — 1.0%  
  5,460,000      Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A      5,570,684  
  300,000      Kinder Morgan, Inc., 5.050%, 2/15/2046      344,169  
  3,745,000      Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A      4,157,715  
  800,000      Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027      976,712  
     

 

 

  
        11,049,280  
     

 

 

  
       Non-Agency Commercial Mortgage-Backed Securities — 3.6%  
  4,565,000      CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.292%, 4/15/2044, 144A(a)(c)      4,436,006  
  140,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.721%, 12/10/2044(a)(c)      114,514  
  790,000      Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.785%, 1/15/2034, 144A(b)      696,048  
  5,680,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E,
4.373%, 9/15/2037, 144A		      4,272,090  
  750,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D,
3.648%, 10/10/2034, 144A(c)		      763,431  
  2,552,340      DBUBS Mortgage Trust, Series 2011-LC1A, Class E,
5.876%, 11/10/2046, 144A(a)(c)		      2,464,440  
  3,195,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(c)      2,503,703  
  2,170,000      GS Mortgage Securities Trust, Series 2011-GC5, Class D,
5.555%, 8/10/2044, 144A(c)		      1,609,762  
  1,606,402      Hospitality Mortgage Trust, Series 2019-HIT, Class C,
1-month LIBOR + 1.600%, 1.785%, 11/15/2036, 144A(a)(b)		      1,469,696  
  1,570,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class D,
5.661%, 6/15/2044, 144A(a)(c)		      1,161,221  
  2,515,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E,
5.661%, 6/15/2044, 144A(c)		      1,503,291  

 

27  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Non-Agency Commercial Mortgage-Backed Securities — continued  
$ 3,868,554      Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.111%, 8/15/2024, 144A(b)    $ 3,235,794  
  1,060,000      Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.935%, 11/15/2027, 144A(b)(f)(g)      725,705  
  4,243,654      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.685%, 11/15/2027, 144A(b)(f)(g)      2,672,626  
  3,575,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.585%, 11/15/2027, 144A(b)(d)(e)(f)      1,623,134  
  1,370,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.046%, 5/10/2063, 144A(c)(f)(g)      511,158  
  4,885,000      Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(c)      4,550,970  
  2,987,500      WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.850%, 2/15/2044, 144A(a)(c)      2,928,918  
  1,809,189      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.852%, 3/15/2044, 144A(c)      929,086  
  605,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.966%, 6/15/2045(a)(c)      416,611  
  950,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.966%, 6/15/2045, 144A(c)      394,761  
     

 

 

  
        38,982,965  
     

 

 

  
       Pharmaceuticals — 1.9%  
  2,320,000      Bausch Health Cos., Inc., 4.500%, 5/15/2023, (EUR)      2,576,674  
  2,070,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      2,080,350  
  645,000      Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030      651,911  
  1,665,000      Teva Pharmaceutical Finance Netherlands II BV,
6.000%, 1/31/2025, 144A, (EUR)		      1,973,399  
  10,035,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      8,429,400  
  1,860,000      Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025, 144A      1,979,951  
  2,445,000      Upjohn, Inc., 4.000%, 6/22/2050, 144A      2,600,466  
     

 

 

  
        20,292,151  
     

 

 

  
       REITs – Mortgage — 0.5%  
  5,245,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      4,196,000  
  405,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A      384,750  
  1,120,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
5.250%, 10/01/2025, 144A		      965,664  
     

 

 

  
        5,546,414  
     

 

 

  
       Restaurants — 0.9%  
  435,000      1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A      422,024  
  5,765,000      1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A      5,650,795  
  2,115,000      McDonald’s Corp., MTN, 3.625%, 9/01/2049(a)      2,320,652  
  920,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      933,800  
     

 

 

  
        9,327,271  
     

 

 

  

 

  See accompanying notes to financial statements.   |  28

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Retailers — 0.3%  
$ 525,000      AutoNation, Inc., 4.750%, 6/01/2030    $ 568,873  
  400,000      Dollar General Corp., 3.500%, 4/03/2030      449,297  
  2,065,000      Levi Strauss & Co., 5.000%, 5/01/2025, 144A      2,072,765  
     

 

 

  
        3,090,935  
     

 

 

  
       Supermarkets — 0.2%  
  2,515,000      Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC,
5.750%, 3/15/2025		      2,570,028  
     

 

 

  
       Technology — 4.1%  
  100,000      Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028      105,825  
  360,000      Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027      389,022  
  115,000      Broadcom, Inc., 4.250%, 4/15/2026, 144A      127,984  
  6,185,000      Broadcom, Inc., 4.300%, 11/15/2032, 144A      6,786,049  
  6,220,000      Broadcom, Inc., 4.750%, 4/15/2029, 144A(a)      7,060,539  
  1,655,000      Broadcom, Inc., 5.000%, 4/15/2030, 144A      1,902,212  
  1,650,000      CDW LLC/CDW Finance Corp., 4.125%, 5/01/2025      1,652,062  
  2,070,000      CommScope, Inc., 6.000%, 3/01/2026, 144A      2,121,750  
  3,610,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      3,601,336  
  3,610,000      Equinix, Inc., 2.150%, 7/15/2030      3,578,340  
  375,000      Equinix, Inc., 3.200%, 11/18/2029      407,835  
  1,375,000      Iron Mountain, Inc., 5.000%, 7/15/2028, 144A      1,347,088  
  1,375,000      Iron Mountain, Inc., 5.250%, 7/15/2030, 144A      1,354,375  
  5,645,000      Micron Technology, Inc., 5.327%, 2/06/2029      6,753,744  
  2,305,000      MSCI, Inc., 3.625%, 9/01/2030, 144A      2,293,475  
  1,660,000      Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR)      1,846,956  
  575,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A      609,547  
  330,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A      355,063  
  570,000      Open Text Corp., 3.875%, 2/15/2028, 144A      548,528  
  530,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      520,725  
  240,000      Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A      252,900  
  810,000      Seagate HDD Cayman, 4.125%, 1/15/2031, 144A      851,129  
  535,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      542,832  
     

 

 

  
        45,009,316  
     

 

 

  
       Transportation Services — 0.7%  
  1,645,000      GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024      1,590,369  
  5,805,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 3.650%, 7/29/2021, 144A(a)      5,941,608  
     

 

 

  
        7,531,977  
     

 

 

  
       Treasuries — 1.5%  
  338,660,000      Republic of South Africa Government Bond, Series 2037,
8.500%, 1/31/2037, (ZAR)		      15,775,261  
     

 

 

  
       Wireless — 2.8%  
  2,375,000      American Tower Corp., 2.100%, 6/15/2030      2,380,841  
  860,000      Bharti Airtel Ltd., 4.375%, 6/10/2025      887,517  
  5,430,000      Crown Castle International Corp., 2.250%, 1/15/2031      5,479,527  
  1,985,000      IHS Netherlands Holdco BV, 7.125%, 3/18/2025, 144A      2,006,120  
  3,170,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      3,203,887  

 

29  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
       Wireless — continued  
$ 730,000      Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A    $ 733,796  
  330,000      Sprint Capital Corp., 6.875%, 11/15/2028      401,775  
  575,000      Sprint Communications, Inc., 7.000%, 8/15/2020      577,329  
  12,470,000      T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A(a)      13,878,611  
  550,000      T-Mobile USA, Inc., 4.500%, 2/01/2026      556,578  
     

 

 

  
        30,105,981  
     

 

 

  
       Wirelines — 0.4%  
  2,760,000      AT&T, Inc., 3.650%, 6/01/2051      2,889,778  
  470,000      Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A      473,525  
  1,150,000      Level 3 Financing, Inc., 5.375%, 8/15/2022      1,151,035  
     

 

 

  
        4,514,338  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $870,372,372)		      834,102,107  
     

 

 

  
     
  Convertible Bonds — 1.6%  
       Cable Satellite — 0.9%  
  4,280,000      DISH Network Corp., 2.375%, 3/15/2024      3,829,943  
  6,680,000      DISH Network Corp., 3.375%, 8/15/2026      6,136,346  
     

 

 

  
        9,966,289  
     

 

 

  
       Diversified Manufacturing — 0.1%  
  600,000      Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024      493,783  
     

 

 

  
       Independent Energy — 0.0%  
  1,280,000      Chesapeake Energy Corp., 5.500%, 9/15/2026(f)(g)(j)      33,766  
     

 

 

  
       Pharmaceuticals — 0.4%  
  2,570,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      3,140,692  
  1,000,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A      1,163,772  
     

 

 

  
        4,304,464  
     

 

 

  
       Technology — 0.2%  
  2,255,000      CalAmp Corp., 2.000%, 8/01/2025      1,771,506  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $17,916,698)		      16,569,808  
     

 

 

  
     
   Total Bonds and Notes
(Identified Cost $888,289,070)		      850,671,915  
     

 

 

  
     
  Senior Loans — 0.5%  
       Cable Satellite — 0.2%  
  1,930,000      Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(b)      2,090,575  
     

 

 

  
       Independent Energy — 0.0%  
  811,000      California Resources Corp., 2017 1st Lien Term Loan, 12/31/2022(f)(g)(j)      276,754  
  3,740,000      Gavilan Resources LLC, 2nd Lien Term Loan, 3/01/2024(f)(g)(j)      9,350  
     

 

 

  
        286,104  
     

 

 

  

 

  See accompanying notes to financial statements.   |  30

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
  Amount (‡)		      Description    Value (†)  
       Technology — 0.2%  
$ 1,805,000      Cardtronics USA, Inc., Term Loan B, 6/25/2027(k)    $ 1,768,900  
     

 

 

  
       Wireless — 0.1%  
  1,600,000      T-Mobile USA, Inc., 2020 Term Loan, 1-month LIBOR + 3.000%, 3.178%, 4/01/2027(b)      1,596,544  
     

 

 

  
   Total Senior Loans
(Identified Cost $9,984,047)		      5,742,123  
     

 

 

  
     
  Collateralized Loan Obligations — 5.0%  
  1,740,000      AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 4.190%, 1/15/2033, 144A(b)      1,582,095  
  1,350,000      AGL CLO 3 Ltd., Series 2020-3A, Class C,
3-month LIBOR + 2.150%, 3.040%, 1/15/2033, 144A(a)(b)		      1,284,858  
  865,000      Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class DR,
3-month LIBOR + 4.000%, 5.219%, 7/15/2032, 144A(b)		      828,443  
  480,000      Apidos CLO XX, Series 2015-20A, Class BRR,
3-month LIBOR + 1.950%, 3.126%, 7/16/2031, 144A(a)(b)		      451,526  
  3,175,000      Apidos CLO XXIII, Series 2015-23A, Class CR,
3-month LIBOR + 2.000%, 3.601%, 4/15/2033, 144A(a)(b)		      3,006,888  
  475,000      Apidos CLO XXXII, Series 2019-32A, Class D,
3-month LIBOR + 3.500%, 5.183%, 1/20/2033, 144A(b)		      452,446  
  1,790,000      ARES LI CLO Ltd., Series 2019-51A, Class C,
3-month LIBOR + 2.700%, 3.919%, 4/15/2031, 144A(a)(b)		      1,768,185  
  400,000      Ballyrock CLO Ltd., Series 2018-1A, Class C,
3-month LIBOR + 3.150%, 4.285%, 4/20/2031, 144A(b)		      350,471  
  850,000      Barings CLO Ltd., Series 2019-4A, Class C,
3-month LIBOR + 2.800%, 4.405%, 1/15/2033, 144A(a)(b)		      837,426  
  500,000      Battalion CLO XVI Ltd., Series 2019-16A, Class D,
3-month LIBOR + 4.360%, 6.263%, 12/19/2032, 144A(b)		      480,176  
  1,915,000      BlueMountain CLO XXIV Ltd., Series 2019-24A, Class C,
3-month LIBOR + 2.700%, 3.835%, 4/20/2031, 144A(a)(b)		      1,892,653  
  915,000      Bristol Park CLO Ltd., Series 2016-1A, Class CR,
3-month LIBOR + 1.950%, 3.169%, 4/15/2029, 144A(a)(b)		      872,689  
  455,000      Burnham Park CLO Ltd., Series 2016-1A, Class CR,
3-month LIBOR + 2.150%, 3.285%, 10/20/2029, 144A(a)(b)		      449,611  
  400,000      Carbone CLO Ltd., Series 2017-1A, Class B,
3-month LIBOR + 1.800%, 2.935%, 1/20/2031, 144A(a)(b)		      374,593  
  1,575,000      Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR,
3-month LIBOR + 2.250%, 3.241%, 4/27/2027, 144A(b)		      1,390,561  
  500,000      Catamaran CLO Ltd., Series 2013-1A, Class CR,
3-month LIBOR + 1.800%, 2.791%, 1/27/2028, 144A(a)(b)		      472,331  
  265,000      CIFC Funding II Ltd., Series 2014-2RA, Class A3,
3-month LIBOR + 1.900%, 2.920%, 4/24/2030, 144A(a)(b)		      250,416  
  730,000      CIFC Funding II Ltd., Series 2013-2A, Class A3LR,
3-month LIBOR + 1.950%, 3.085%, 10/18/2030, 144A(a)(b)		      687,446  
  2,410,000      Cole Park CLO Ltd., Series 2015-1A, Class DR,
3-month LIBOR + 3.150%, 4.285%, 10/20/2028, 144A(b)		      2,223,978  
  875,000      Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER,
3-month LIBOR + 5.850%, 7.069%, 10/15/2030, 144A(b)		      752,759  

 

31  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — (continued)  
$ 615,000      Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 5.984%, 1/17/2033, 144A(b)    $ 593,994  
  250,000      Dryden CLO Ltd., Series 2018-64A, Class C,
3-month LIBOR + 1.750%, 2.885%, 4/18/2031, 144A(a)(b)		      233,323  
  300,000      Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR,
3-month LIBOR + 1.850%, 3.069%, 4/15/2029, 144A(a)(b)		      275,569  
  230,823      Galaxy XXIX CLO Ltd., Series 2018-29A, Class A,
3-month LIBOR + 0.790%, 1.182%, 11/15/2026, 144A(a)(b)		      226,770  
  330,000      Galaxy XXIX CLO Ltd., Series 2018-29A, Class D,
3-month LIBOR + 2.400%, 2.792%, 11/15/2026, 144A(b)		      315,346  
  1,405,000      Galaxy XXVI CLO Ltd., Series 2018-26A, Class E,
3-month LIBOR + 5.850%, 6.208%, 11/22/2031, 144A(b)		      1,107,389  
  650,000      Gilbert Park CLO Ltd., Series 2017-1A, Class D,
3-month LIBOR + 2.950%, 4.169%, 10/15/2030, 144A(b)		      585,879  
  320,000      Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C,
3-month LIBOR + 1.900%, 3.035%, 4/20/2030, 144A(a)(b)		      301,121  
  1,110,000      LCM 30 Ltd., Series 30A, Class D, 3-month LIBOR + 3.750%, 4.885%, 4/20/2031, 144A(b)      1,032,923  
  475,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class C,
3-month LIBOR + 2.150%, 3.193%, 1/23/2031, 144A(a)(b)		      447,411  
  300,000      Madison Park Funding XXXI Ltd., Series 2018-31A, Class D,
3-month LIBOR + 3.000%, 4.043%, 1/23/2031, 144A(b)		      267,052  
  3,300,000      Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2,
3-month LIBOR + 1.900%, 2.787%, 1/28/2030, 144A(a)(b)		      3,151,599  
  725,000      Neuberger Berman Loan Advisers CLO Ltd., Series 2018-30A, Class E,
3-month LIBOR + 6.750%, 7.885%, 1/20/2031, 144A(b)		      627,591  
  495,000      Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E,
3-month LIBOR + 5.750%, 6.885%, 10/20/2030, 144A(b)		      432,468  
  1,420,000      Octagon Investment Partners 40 Ltd., Series 2019-1A, Class D,
3-month LIBOR + 3.800%, 4.935%, 4/20/2031, 144A(b)		      1,335,440  
  920,000      Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR,
3-month LIBOR + 1.900%, 2.998%, 1/22/2030, 144A(a)(b)		      850,037  
  1,745,000      OHA Credit Funding 5 Ltd., Series 2020-5A, Class C,
3-month LIBOR + 2.000%, 3.306%, 4/18/2033, 144A(a)(b)		      1,622,746  
  2,245,000      OHA Loan Funding Ltd., Series 2013-1A, Class DR2,
3-month LIBOR + 3.050%, 4.093%, 7/23/2031, 144A(b)		      2,007,906  
  1,570,000      OHA Loan Funding Ltd., Series 2016-1A, Class CR,
3-month LIBOR + 1.950%, 3.085%, 1/20/2033, 144A(a)(b)		      1,463,461  
  247,294      OZLM XIII Ltd., Series 2015-13A, Class A1R,
3-month LIBOR + 1.080%, 1.840%, 7/30/2027, 144A(a)(b)		      243,915  
  325,000      Palmer Square CLO Ltd., Series 2015-1A, Class CR2,
3-month LIBOR + 3.150%, 3.524%, 5/21/2029, 144A(b)		      298,360  
  300,000      Palmer Square CLO Ltd., Series 2015-2A, Class BR2,
3-month LIBOR + 1.950%, 3.085%, 7/20/2030, 144A(a)(b)		      286,366  
  2,610,000      Parallel Ltd., Series 2017-1A, Class CR,
3-month LIBOR + 2.000%, 3.135%, 7/20/2029, 144A(a)(b)		      2,388,495  
  1,645,000      Parallel Ltd., Series 2018-2A, Class B,
3-month LIBOR + 2.150%, 3.285%, 10/20/2031, 144A(a)(b)		      1,535,245  

 

  See accompanying notes to financial statements.   |  32

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Principal
Amount (‡)		      Description    Value (†)  
  Collateralized Loan Obligations — (continued)  
$ 1,045,000      Pikes Peak CLO 1, Series 2018-1A, Class D,
3-month LIBOR + 3.150%, 4.170%, 7/24/2031, 144A(b)		    $ 926,340  
  340,000      Recette CLO LLC, Series 2015-1A, Class DR,
3-month LIBOR + 2.750%, 3.885%, 10/20/2027, 144A(a)(b)		      330,781  
  920,000      Regatta XIII Funding Ltd., Series 2018-2A, Class C,
3-month LIBOR + 3.100%, 4.319%, 7/15/2031, 144A(b)		      838,906  
  2,565,000      Rockford Tower CLO Ltd., Series 2017-2A, Class CR,
3-month LIBOR + 1.900%, 3.119%, 10/15/2029, 144A(a)(b)		      2,447,764  
  740,000      Symphony CLO XX Ltd., Series 2018-20A, Class D, 3-month LIBOR + 3.860%, 5.036%, 1/16/2032, 144A(b)      734,427  
  920,000      TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.901%, 4/25/2031, 144A(b)      819,878  
  1,030,000      TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 3.660%, 4/15/2033, 144A(a)(b)      981,162  
  610,000      TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 3.785%, 4/20/2033, 144A(a)(b)      574,194  
  895,000      TRESTLES CLO II Ltd., Series 2018-2A, Class D,
3-month LIBOR + 5.750%, 6.741%, 7/25/2031, 144A(b)		      707,526  
  780,000      VERDE CLO Ltd., Series 2019-1A, Class E,
3-month LIBOR + 6.900%, 8.119%, 4/15/2032, 144A(b)		      721,669  
  695,000      Voya CLO Ltd, Series 2019-3A, Class D,
3-month LIBOR + 3.850%, 4.985%, 10/17/2032, 144A(b)		      657,160  
  2,435,000      York CLO-7 Ltd., Series 2019-2A, Class D,
3-month LIBOR + 3.800%, 5.592%, 1/22/2033, 144A(b)		      2,230,002  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $53,430,067)		      54,009,766  
     

 

 

  
     
  Loan Participations — 0.0%  
       ABS Other — 0.0%  
  1,061,479      Harbour Aircraft Investments Ltd., Series 2017-1, Class C,
8.000%, 11/15/2037 (d)(e)
(Identified Cost $1,059,184)		      480,319  
     

 

 

  
     
Shares                
  Common Stocks — 2.1%  
       Aerospace & Defense — 0.0%  
  428      Lockheed Martin Corp.      156,186  
  218      Northrop Grumman Corp.      67,022  
     

 

 

  
        223,208  
     

 

 

  
       Air Freight & Logistics — 0.1%  
  8,781      Expeditors International of Washington, Inc.      667,707  
     

 

 

  
       Banks — 0.0%  
  4,334      Truist Financial Corp.      162,742  
     

 

 

  
       Beverages — 0.0%  
  628      PepsiCo, Inc.      83,059  
     

 

 

  

 

33  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Shares      Description        
Value (†)		  
       Biotechnology — 0.0%  
  1,835      AbbVie, Inc.    $ 180,160  
  722      Amgen, Inc.      170,291  
     

 

 

  
        350,451  
     

 

 

  
       Building Products — 0.0%  
  4,994      Johnson Controls International PLC      170,495  
     

 

 

  
       Capital Markets — 0.1%  
  857      CME Group, Inc.      139,297  
  1,859      Intercontinental Exchange, Inc.      170,284  
  539      S&P Global, Inc.      177,590  
     

 

 

  
        487,171  
     

 

 

  
       Chemicals — 0.1%  
  138,555      Hexion Holdings Corp., Class B(i)      978,614  
     

 

 

  
       Communications Equipment — 0.0%  
  3,847      Cisco Systems, Inc.      179,424  
     

 

 

  
       Construction Materials — 0.2%  
  673,076      Cemex SAB de CV, Sponsored ADR      1,938,459  
     

 

 

  
       Diversified Telecommunication Services — 0.2%  
  75,762      AT&T, Inc.      2,290,285  
  3,101      Verizon Communications, Inc.      170,958  
     

 

 

  
        2,461,243  
     

 

 

  
       Electric Utilities — 0.0%  
  1,925      Duke Energy Corp.      153,788  
  619      Entergy Corp.      58,069  
     

 

 

  
        211,857  
     

 

 

  
       Entertainment — 0.0%  
  2,466      Activision Blizzard, Inc.      187,169  
     

 

 

  
       Food & Staples Retailing — 0.0%  
  1,243      Walmart, Inc.      148,887  
     

 

 

  
       Health Care Providers & Services — 0.1%  
  1,823      AmerisourceBergen Corp.      183,704  
  665      Anthem, Inc.      174,881  
  926      Cigna Corp.      173,764  
  453      Humana, Inc.      175,651  
  575      UnitedHealth Group, Inc.      169,596  
     

 

 

  
        877,596  
     

 

 

  
       Hotels, Restaurants & Leisure — 0.1%  
  444      Domino’s Pizza, Inc.      164,031  
  928      McDonald’s Corp.      171,188  
  6,587      Starbucks Corp.      484,737  
  1,505      Yum! Brands, Inc.      130,800  
     

 

 

  
        950,756  
     

 

 

  
       Household Durables — 0.0%  
  3,043      DR Horton, Inc.      168,734  
     

 

 

  

 

  See accompanying notes to financial statements.   |  34

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Shares      Description        
Value (†)		  
       Household Products — 0.0%  
  1,158      Kimberly-Clark Corp.    $ 163,683  
  1,478      Procter & Gamble Co. (The)      176,725  
     

 

 

  
        340,408  
     

 

 

  
       Independent Power & Renewable Electricity Producers — 0.0%  
  8,267      AES Corp. (The)      119,789  
     

 

 

  
       Industrial Conglomerates — 0.0%  
  1,087      Honeywell International, Inc.      157,169  
     

 

 

  
       Insurance — 0.1%  
  1,789      Allstate Corp. (The)      173,515  
  1,491      Lincoln National Corp.      54,854  
  4,577      MetLife, Inc.      167,152  
  2,006      Progressive Corp. (The)      160,701  
  10,189      Unum Group      169,035  
     

 

 

  
        725,257  
     

 

 

  
       Internet & Direct Marketing Retail — 0.1%  
  337      Booking Holdings, Inc.(i)      536,618  
  3,606      eBay, Inc.      189,135  
     

 

 

  
        725,753  
     

 

 

  
       IT Services — 0.1%  
  870      Accenture PLC, Class A      186,806  
  1,656      Leidos Holdings, Inc.      155,118  
  586      MasterCard, Inc., Class A      173,280  
  158      Visa, Inc., Class A      30,521  
     

 

 

  
        545,725  
     

 

 

  
       Media — 0.0%  
  4,589      Comcast Corp., Class A      178,879  
  3,086      Fox Corp., Class A      82,767  
  2,544      Omnicom Group, Inc.      138,902  
     

 

 

  
        400,548  
     

 

 

  
       Metals & Mining — 0.0%  
  2,759      Newmont Corp.      170,341  
     

 

 

  
       Multiline Retail — 0.0%  
  922      Dollar General Corp.      175,650  
  448      Target Corp.      53,729  
     

 

 

  
        229,379  
     

 

 

  
       Oil, Gas & Consumable Fuels — 0.1%  
  1,884      Dommo Energia S.A., Sponsored ADR(d)(e)(i)      5,474  
  9,081      Enterprise Products Partners LP      165,002  
  11,126      Kinder Morgan, Inc.      168,781  
  9,018      Williams Cos., Inc. (The)      171,522  
     

 

 

  
        510,779  
     

 

 

  
       Personal Products — 0.1%  
  3,082      Estee Lauder Cos., Inc. (The), Class A      581,512  
     

 

 

  
       Pharmaceuticals — 0.1%  
  3,141      Bristol-Myers Squibb Co.      184,691  

 

35  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Shares      Description        
Value (†)		  
       Pharmaceuticals — continued  
  1,055      Eli Lilly & Co.    $ 173,210  
  1,221      Johnson & Johnson      171,709  
  2,323      Merck & Co., Inc.      179,638  
     

 

 

  
        709,248  
     

 

 

  
       REITs – Diversified — 0.0%  
  679      American Tower Corp.      175,549  
     

 

 

  
       Road & Rail — 0.0%  
  1,696      CSX Corp.      118,279  
  1,002      Union Pacific Corp.      169,408  
     

 

 

  
        287,687  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 0.2%  
  3,018      Applied Materials, Inc.      182,438  
  554      Broadcom, Inc.      174,848  
  2,912      Intel Corp.      174,225  
  3,478      KLA Corp.      676,401  
  554      Lam Research Corp.      179,197  
  478      NVIDIA Corp.      181,597  
  8,486      QUALCOMM, Inc.      774,008  
     

 

 

  
        2,342,714  
     

 

 

  
       Software — 0.1%  
  618      Intuit, Inc.      183,045  
  897      Microsoft Corp.      182,549  
  6,653      NortonLifeLock, Inc.      131,929  
  3,317      Oracle Corp.      183,331  
     

 

 

  
        680,854  
     

 

 

  
       Specialty Retail — 0.1%  
  2,264      Best Buy Co., Inc.      197,579  
  705      Home Depot, Inc. (The)      176,610  
  1,297      Lowe’s Cos., Inc.      175,251  
     

 

 

  
        549,440  
     

 

 

  
       Technology Hardware, Storage & Peripherals — 0.1%  
  2,674      Apple, Inc.      975,475  
  10,505      HP, Inc.      183,102  
     

 

 

  
        1,158,577  
     

 

 

  
       Textiles, Apparel & Luxury Goods — 0.1%  
  1,414      LVMH Moet Hennessy Louis Vuitton SE      624,274  
  6,477      NIKE, Inc., Class B      635,070  
     

 

 

  
        1,259,344  
     

 

 

  
       Tobacco — 0.0%  
  4,256      Altria Group, Inc.      167,048  
  2,297      Philip Morris International, Inc.      160,928  
     

 

 

  
        327,976  
     

 

 

  
   Total Common Stocks
(Identified Cost $37,243,546)		      22,245,621  
     

 

 

  

 

  See accompanying notes to financial statements.   |  36

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Shares      Description        
Value (†)		  
  Preferred Stocks — 0.8%  
  Convertible Preferred Stocks — 0.4%  
       Banking — 0.1%  
  811      Bank of America Corp., Series L, 7.250%    $ 1,088,524  
     

 

 

  
       Food & Beverage — 0.3%  
  42,272      Bunge Ltd., 4.875%      3,770,663  
     

 

 

  
       Midstream — 0.0%  
  1,714      Chesapeake Energy Corp., 5.750%(d)(e)(f)      —  
  2,329      El Paso Energy Capital Trust I, 4.750%      103,547  
     

 

 

  
        103,547  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $6,307,289)		      4,962,734  
     

 

 

  
     
  Non-Convertible Preferred Stocks — 0.4%  
       Cable Satellite — 0.4%  
  4,040,000      NBCUniversal Enterprise, Inc., 5.250%, 144A(a)
(Identified Cost $4,040,000)		      4,050,100  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $10,347,289)		      9,012,834  
     

 

 

  
     
Principal
Amount (‡)		                
  Other Investments — 0.1%  
       Aircraft ABS — 0.1%  
$ 900      ECAF I Blocker Ltd.(d)(e)(f)(h)
(Identified Cost $9,000,000)		      1,129,500  
     

 

 

  
     
  Short-Term Investments — 8.2%  
  35,525,583      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $35,525,583 on 7/01/2020 collateralized by $31,735,700 U.S. Treasury Note 2.875% due 7/31/2025 valued at $36,236,124 including accrued interest (Note 2 of Notes to Financial Statements)      35,525,583  
  15,915,000      U.S. Treasury Bills, 0.137%, 11/05/2020(l)      15,906,017  
  10,785,000      U.S. Treasury Bills, 0.143%, 11/19/2020(l)      10,778,136  
  10,840,000      U.S. Treasury Bills, 0.161%, 11/27/2020(l)(m)      10,832,597  
  15,915,000      U.S. Treasury Cash Management Bills, 0.141%, 10/13/2020(l)      15,907,644  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $88,953,168)		      88,949,977  
     

 

 

  
     
   Total Investments — 95.3%
(Identified Cost $1,098,306,371)		      1,032,242,055  
   Other assets less liabilities — 4.7%      50,688,162  
     

 

 

  
   Net Assets — 100.0%    $ 1,082,930,217  
     

 

 

  

 

37  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Written Options — (0.0%)

 

Description   Expiration
Date		     Exercise
Price		   Shares (††)     Notional
Amount		     Premiums
(Received)		     Value (†)  
Options on Securities — (0.0%)

 

AbbVie, Inc., Call     8/21/2020     105.00     (1,200 )    $ (117,816 )    $ (1,568 )    $ (1,824 ) 
Accenture PLC, Call     8/21/2020     215.00     (500 )      (107,360 )      (2,114 )      (4,275 ) 
Activision Blizzard, Inc. Call     8/21/2020     82.50     (1,700 )      (129,030 )      (4,058 )      (3,026 ) 
AES Corp. (The), Call     8/21/2020     16.00     (3,300 )      (47,817 )      (810 )      (1,320 ) 
Allstate Corp. (The), Call     8/21/2020     105.00     (800 )      (77,592 )      (1,982 )      (1,392 ) 
Altria Group, Inc., Call     8/21/2020     45.00     (1,700 )      (66,725 )      (981 )      (399 ) 
American Tower Corp., Call     8/21/2020     280.00     (400 )      (103,416 )      (2,827 )      (2,120 ) 
AmerisourceBergen Corp., Call     8/21/2020     110.00     (1,000 )      (100,770 )      (2,167 )      (1,700 ) 
Amgen, Inc., Call     8/21/2020     250.00     (500 )      (117,930 )      (2,933 )      (2,225 ) 
Anthem, Inc., Call     8/21/2020     300.00     (400 )      (105,192 )      (1,547 )      (1,208 ) 
Apple, Inc., Call     8/21/2020     380.00     (200 )      (72,960 )      (1,733 )      (2,210 ) 
Applied Materials, Inc., Call     8/21/2020     70.00     (2,400 )      (145,080 )      (3,089 )      (2,016 ) 
AT&T, Inc., Call     8/21/2020     33.00     (3,400 )      (102,782 )      (1,418 )      (1,207 ) 
Best Buy Co., Inc., Call     8/21/2020     90.00     (1,500 )      (130,905 )      (4,211 )      (6,375 ) 
Bristol-Myers Squibb Co., Call     8/21/2020     62.50     (1,200 )      (70,560 )      (980 )      (1,464 ) 
Broadcom Ltd., Call     8/21/2020     350.00     (300 )      (94,683 )      (1,160 )      (1,185 ) 
Cisco Systems, Inc., Call     8/21/2020     50.00     (1,500 )      (69,960 )      (1,001 )      (1,290 ) 
CME GROUP, Inc., Call     8/21/2020     200.00     (300 )      (48,762 )      (398 )      (67 ) 
CSX Corp., Call     8/21/2020     80.00     (800 )      (55,792 )      (366 )      (540 ) 
Dollar General Corp., Call     8/21/2020     200.00     (500 )      (95,255 )      (1,834 )      (1,575 ) 
Domino’s Pizza, Inc., Call     8/21/2020     410.00     (200 )      (73,888 )      (2,473 )      (1,200 ) 
DR Horton, Inc., Call     8/21/2020     65.00     (2,400 )      (133,080 )      (2,465 )      (1,836 ) 
Duke Energy Corp., Call     8/21/2020     92.50     (900 )      (71,901 )      (528 )      (157 ) 
eBay, Inc., Call     8/21/2020     50.00     (1,400 )      (73,430 )      (3,286 )      (6,090 ) 
Eli Lilly & Co., Call     8/21/2020     170.00     (400 )      (65,672 )      (1,527 )      (2,060 ) 
Entergy Corp., Call     8/21/2020     110.00     (300 )      (28,143 )      (236 )      (105 ) 
Fox Corp., Call     8/21/2020     33.00     (1,500 )      (40,230 )      (581 )      (412 ) 
Home Depot, Inc. (The), Call     8/21/2020     275.00     (400 )      (100,204 )      (1,207 )      (998 ) 
Honeywell International, Inc., Call     8/21/2020     165.00     (500 )      (72,295 )      (444 )      (515 ) 
HP, Inc., Call     8/21/2020     20.00     (8,400 )      (146,412 )      (2,435 )      (2,982 ) 
Humana, Inc., Call     8/21/2020     420.00     (300 )      (116,325 )      (1,490 )      (2,175 ) 
Intel Corp., Call     8/21/2020     67.50     (1,400 )      (83,762 )      (1,158 )      (798 ) 
Intercontinental Exchange, Inc., Call     8/21/2020     100.00     (1,300 )      (119,080 )      (2,442 )      (1,008 ) 
Intuit, Inc., Call     8/21/2020     310.00     (400 )      (118,476 )      (2,867 )      (3,640 ) 
Johnson & Johnson, Call     8/21/2020     155.00     (900 )      (126,567 )      (1,266 )      (743 ) 
Johnson Controls International PLC, Call     8/21/2020     39.00     (2,900 )      (99,006 )      (1,558 )      (1,349 ) 
Kimberly-Clark Corp., Call     8/21/2020     150.00     (600 )      (84,810 )      (1,510 )      (1,080 ) 
Kinder Morgan, Inc., Call     8/21/2020     18.00     (4,400 )      (66,748 )      (559 )      (396 ) 
Lam Research Corp., Call     8/21/2020     375.00     (400 )      (129,384 )      (2,467 )      (2,610 ) 
Leidos Holdings, Inc., Call     8/21/2020     110.00     (600 )      (56,202 )      (826 )      (375 ) 
Lincoln National Corp., Call     8/21/2020     50.00     (800 )      (29,432 )      (710 )      (312 ) 
Lockheed Martin Corp., Call     8/21/2020     420.00     (200 )      (72,984 )      (993 )      (305 ) 
Lowe’s Cos., Inc., Call     8/21/2020     150.00     (1,100 )      (148,632 )      (2,021 )      (1,870 ) 
MasterCard, Inc., Call     8/21/2020     340.00     (400 )      (118,280 )      (1,347 )      (482 ) 

 

  See accompanying notes to financial statements.   |  38

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Written Options — (continued)

 

Description   Expiration
Date		     Exercise
Price		   Shares (††)     Notional
Amount		     Premiums
(Received)		     Value (†)  
Options on Securities — (continued)

 

McDonald’s Corp., Call     8/21/2020     200.00     (300 )    $ (55,341 )    $ (1,055 )    $ (657 ) 
Merck & Co., Inc., Call     8/21/2020     82.50     (1,100 )      (85,063 )      (1,416 )      (1,348 ) 
Microsoft Corp., Call     8/21/2020     220.00     (700 )      (142,457 )      (1,909 )      (2,153 ) 
Newmont Corp., Call     8/21/2020     65.00     (1,600 )      (98,784 )      (3,403 )      (4,792 ) 
Northrop Grumman Corp., Call     8/21/2020     350.00     (100 )      (30,744 )      (367 )      (232 ) 
NVIDIA Corp., Call     8/21/2020     435.00     (300 )      (113,973 )      (2,795 )      (2,483 ) 
Omnicom Group, Inc., Call     8/21/2020     62.50     (1,500 )      (81,900 )      (806 )      (1,500 ) 
Oracle Corp., Call     8/21/2020     57.50     (2,300 )      (127,121 )      (2,408 )      (2,852 ) 
PepsiCo, Inc., Call     8/21/2020     140.00     (200 )      (26,452 )      (355 )      (286 ) 
Philip Morris International, Inc., Call     8/21/2020     80.00     (1,100 )      (77,066 )      (976 )      (511 ) 
Procter & Gamble Co. (The), Call     8/21/2020     130.00     (1,300 )      (155,441 )      (945 )      (871 ) 
Progressive Corp. (The), Call     8/21/2020     85.00     (1,400 )      (112,154 )      (3,594 )      (2,240 ) 
QUALCOMM, Inc., Call     8/21/2020     100.00     (1,500 )      (136,815 )      (2,771 )      (3,150 ) 
S&P Global, Inc., Call     8/21/2020     350.00     (300 )      (98,844 )      (2,390 )      (2,580 ) 
Target Corp., Call     8/21/2020     130.00     (300 )      (35,979 )      (725 )      (587 ) 
Truist Financial Corp., Call     8/21/2020     47.50     (2,100 )      (78,855 )      (1,548 )      (504 ) 
Union Pacific Corp., Call     8/21/2020     185.00     (600 )      (101,442 )      (1,960 )      (1,650 ) 
UnitedHealth Group, Inc., Call     8/21/2020     320.00     (200 )      (58,990 )      (953 )      (1,105 ) 
Unum Group, Call     8/21/2020     20.00     (4,000 )      (66,360 )      (1,548 )      (1,100 ) 
Verizon Communications, Inc., Call     8/21/2020     60.00     (2,100 )      (115,773 )      (855 )      (462 ) 
Williams Cos., Inc. (The), Call     8/21/2020     23.00     (3,600 )      (68,472 )      (854 )      (432 ) 
Yum Brands, Inc., Call     8/21/2020     100.00     (600 )      (52,146 )      (532 )      (390 ) 
         

 

 

    

 

 

  
Total           $ (107,738 )    $ (102,801 ) 
         

 

 

    

 

 

  
                    
  (‡)      Principal Amount/Par Value stated in U.S. dollars unless otherwise noted.
  (†)      See Note 2 of Notes to Financial Statements.
  (††)      Options on securities are expressed as shares.
  (a)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
  (b)      Variable rate security. Rate as of June 30, 2020 is disclosed.
  (c)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2020 is disclosed.
  (d)      Fair valued by the Fund’s adviser. At June 30, 2020, the value of these securities amounted to $5,143,031 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
  (e)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (f)      Illiquid security.
  (g)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2020, the value of these securities amounted to $8,944,645 or 0.8% of net assets. See Note 2 of Notes to Financial Statements.

 

39  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

                    
  (h)      Securities subject to restriction on resale. At June 30, 2020, the restricted securities held by the Fund are as follows:
  
     Acquisition
Date		    Acquisition
Cost		      Value      % of Net
Assets		  
ECAF I Blocker Ltd.    6/18/2015    $ 9,000,000      $ 1,129,500        0.1%  
GCA2014 Holdings Ltd., Series 2014-1, Class C    12/18/2014      2,211,228        682,739        0.1%  
GCA2014 Holdings Ltd., Series 2014-1, Class D    12/18/2014      989,736        101,092        Less than 0.1%  
GCA2014 Holdings Ltd., Series 2014-1, Class E    12/18/2014      2,657,606        —        —  
           
  (i)      Non-income producing security.

 

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

 

  (k)      Position is unsettled. Contract rate was not determined at June 30, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

 

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

 

  (m)      Security (or a portion thereof) has been pledged as collateral for open derivative 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 June 30, 2020, the value of Rule 144A holdings amounted to $566,285,650 or 52.3% of net assets.

 

  ABS      Asset-Backed Securities

 

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

 

  ARS      Auction Rate Security

 

  EMTN      Euro Medium Term Note

 

  EURIBOR      Euro Interbank Offered Rate

 

  JIBAR      Johannesburg Interbank Agreed Rate

 

  LIBOR      London Interbank Offered Rate

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts

 

  SAFEX      South African Futures Exchange

 

  SLM      Sallie Mae

 

     
  ARS      Argentine Peso

 

  CAD      Canadian Dollar

 

  COP      Colombian Peso

 

  EUR      Euro

 

  GBP      British Pound

 

  THB      Thai Baht

 

  ZAR      South African Rand

 

 

  See accompanying notes to financial statements.   |  40

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

At June 30, 2020, the Fund had the following open bilateral credit default swap agreements:

 

Buy Protection              
Counterparty   Reference
Obligation		   (Pay)/
Receive
Fixed Rate1		   Expiration
Date		     Notional
Value(‡)		     Unamortized
Up Front
Premium
Paid/
(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  
Bank of America, N.A.   Enel SpA   (1.00%)     6/20/2023       550,000  EUR    $ (191 )    $ (11,116 )    $ (10,925 ) 
Bank of America, N.A.   United Mexican States   (1.00%)     6/20/2025       1,945,000       168,731       52,563       (116,168 ) 
Bank of America, N.A.   United Mexican States   (1.00%)     6/20/2025       9,720,000       843,358       262,680       (580,678 ) 
Bank of America, N.A.   United Mexican States   (1.00%)     6/20/2025       9,860,000       932,438       266,462       (665,976 ) 
Morgan Stanley Capital Services, Inc.   China Government International Bond   (1.00%)     6/20/2025       10,750,000       (204,679 )      (268,985 )      (64,306 ) 
Morgan Stanley Capital Services, Inc.   China Government International Bond   (1.00%)     6/20/2025       10,700,000       (245,567 )      (267,734 )      (22,167 ) 
Morgan Stanley Capital Services, Inc.   Enel SpA   (1.00%)     12/20/2023       6,115,000  EUR      28,568       (127,656 )      (156,224 ) 
           

 

 

    

 

 

  
Total             $ (93,786 )    $ (1,616,444 ) 
           

 

 

    

 

 

  

At June 30, 2020, the Fund had the following open centrally cleared interest rate swap agreements:

 

Notional Value    Currency      Expiration
Date		    Fund
Pays1		     Fund Receives1      Market
Value		     Unrealized
Appreciation
(Depreciation)2 		 
330,000,000      ZAR      5/07/2030      7.580 %      3-month SAFEX-JIBAR      $ (943,318 )    $ (944,793 ) 
               

 

 

  

At June 30, 2020, 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(‡)		      Unamortized
Up Front
Premium
Paid/
(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  

CDX.NA.HY* Series 34 500, 5-Year

      5.00 %      06/20/2025        5.16 %      94,259,000      $ (4,665,005 )    $ (532,375 )    $ 4,132,630  
              

 

 

    

 

 

  

 

(‡)

Notional value stated in U.S. dollars unless otherwise noted.

 

41  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

1 

Payments are made quarterly.

2 

Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

^

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.

At June 30, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty   Delivery
Date		   Currency
Bought/
Sold (B/S)		     Units
of
Currency		     In Exchange
for		     Notional
Value		     Unrealized
Appreciation
(Depreciation)		  
Bank of America, N.A.   7/23/2020     CAD       S       3,020,000     $ 2,126,392     $ 2,224,642     $ (98,250 ) 
Bank of America, N.A.   7/23/2020     EUR       S       1,665,000       1,809,192       1,871,471       (62,279 ) 
Barclays Bank PLC   7/23/2020     EUR       S       1,955,000       2,124,319       2,197,433       (73,114 ) 
Deutsche Bank AG   7/31/2020     GBP       S       1,400,000       1,741,446       1,735,070       6,376  
HSBC Bank USA   8/13/2020     EUR       S       590,000       639,140       663,470       (24,330 ) 
JPMorgan Chase Bank N.A.   7/06/2020     EUR       S       4,900,000       5,306,491       5,505,596       (199,105 ) 
Morgan Stanley Capital Services, Inc.   7/08/2020     COP       S       18,400,000,000       4,535,371       4,893,610       (358,239 ) 
Morgan Stanley Capital Services, Inc.   9/16/2020     EUR       S       1,550,000       1,755,406       1,744,337       11,069  
Morgan Stanley Capital Services, Inc.   9/30/2020     EUR       S       1,480,000       1,663,254       1,666,093       (2,839 ) 
Morgan Stanley Capital Services, Inc.   7/31/2020     ZAR       S       315,790,000       16,750,949       18,140,339       (1,389,390 ) 
Standard Chartered Bank   7/02/2020     EUR       B       5,280,000       5,924,688       5,932,078       7,390  
Standard Chartered Bank   7/02/2020     EUR       S       5,280,000       5,747,038       5,932,078       (185,040 ) 
Standard Chartered Bank   10/02/2020     EUR       S       5,280,000       5,936,700       5,944,169       (7,469 ) 
UBS AG   7/22/2020     THB       B       471,555,000       14,708,515       15,256,206       547,691  
UBS AG   7/22/2020     THB       S       471,555,000       14,494,667       15,256,206       (761,539 ) 
             

 

 

  
Total

 

   $ (2,589,068 ) 
             

 

 

  

At June 30, 2020, open short futures contracts were as follows:

 

Financial Futures    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Ultra Long U.S. Treasury Bond

      9/21/2020        72      $ 15,704,410      $ 15,707,250      $ (2,840 ) 
              

 

 

  

 

  See accompanying notes to financial statements.   |  42

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Strategic Alpha Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

ABS Home Equity

      7.7 % 

ABS Car Loan

      7.4  

ABS Other

      5.2  

Technology

      4.5  

Automotive

      3.9  

Non-Agency Commercial Mortgage-Backed Securities

      3.6  

Finance Companies

      3.6  

Wireless

      2.9  

Cable Satellite

      2.9  

ABS Whole Business

      2.9  

Food & Beverage

      2.6  

Consumer Cyclical Services

      2.6  

Media Entertainment

      2.5  

Aerospace & Defense

      2.4  

Pharmaceuticals

      2.4  

Government Owned – No Guarantee

      2.3  

Banking

      2.3  

Other Investments, less than 2% each

      20.4  

Short-Term Investments

      8.2  

Collateralized Loan Obligations

      5.0  
  

 

 

  

Total Investments

      95.3  

Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)

      4.7  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

43  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis U.S. Equity Opportunities Fund

 

Shares      Description    Value (†)  
  Common Stocks — 97.0% of Net Assets  
       Aerospace & Defense — 2.1%  
  93,323      Boeing Co. (The)    $ 17,106,106  
     

 

 

  
       Air Freight & Logistics — 1.8%  
  202,263      Expeditors International of Washington, Inc.      15,380,079  
     

 

 

  
       Automobiles — 1.0%  
  327,700      General Motors Co.      8,290,810  
     

 

 

  
       Banks — 4.3%  
  604,160      Bank of America Corp.      14,348,800  
  287,005      Citigroup, Inc.      14,665,956  
  255,400      Wells Fargo & Co.      6,538,240  
     

 

 

  
        35,552,996  
     

 

 

  
       Beverages — 4.1%  
  66,391      Constellation Brands, Inc., Class A      11,615,106  
  324,142      Monster Beverage Corp.(a)      22,469,523  
     

 

 

  
        34,084,629  
     

 

 

  
       Biotechnology — 4.0%  
  80,761      BioMarin Pharmaceutical, Inc.(a)      9,961,062  
  36,771      Regeneron Pharmaceuticals, Inc.(a)      22,932,234  
     

 

 

  
        32,893,296  
     

 

 

  
       Capital Markets — 7.2%  
  333,245      Charles Schwab Corp. (The)      11,243,686  
  28,218      FactSet Research Systems, Inc.      9,268,766  
  38,000      Moody’s Corp.      10,439,740  
  23,875      MSCI, Inc.      7,969,953  
  173,594      SEI Investments Co.      9,544,198  
  179,111      State Street Corp.      11,382,504  
     

 

 

  
        59,848,847  
     

 

 

  
       Communications Equipment — 1.1%  
  202,377      Cisco Systems, Inc.      9,438,863  
     

 

 

  
       Consumer Finance — 2.4%  
  77,800      American Express Co.      7,406,560  
  201,985      Capital One Financial Corp.      12,642,241  
     

 

 

  
        20,048,801  
     

 

 

  
       Electronic Equipment, Instruments & Components — 0.8%  
  81,400      TE Connectivity Ltd.      6,638,170  
     

 

 

  
       Energy Equipment & Services — 0.5%  
  210,651      Schlumberger Ltd.      3,873,872  
     

 

 

  
       Entertainment — 2.9%       
  31,330      Netflix, Inc.(a)      14,256,403  
  89,702      Walt Disney Co. (The)      10,002,670  
     

 

 

  
        24,259,073  
     

 

 

  
       Health Care Equipment & Supplies — 0.9%       
  8,779      Intuitive Surgical, Inc.(a)      5,002,538  

 

  See accompanying notes to financial statements.   |  44

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)

 

Shares      Description    Value (†)  
       Health Care Equipment & Supplies — continued       
  23,368      Varian Medical Systems, Inc.(a)    $ 2,863,047  
     

 

 

  
        7,865,585  
     

 

 

  
       Health Care Providers & Services — 2.9%       
  127,200      CVS Health Corp.      8,264,184  
  66,600      HCA Healthcare, Inc.      6,464,196  
  24,390      Humana, Inc.      9,457,223  
     

 

 

  
        24,185,603  
     

 

 

  
       Health Care Technology — 1.2%       
  147,555      Cerner Corp.      10,114,895  
     

 

 

  
       Hotels, Restaurants & Leisure — 3.5%       
  99,800      Hilton Worldwide Holdings, Inc.      7,330,310  
  114,060      Starbucks Corp.      8,393,675  
  171,698      Yum China Holdings, Inc.      8,253,523  
  61,872      Yum! Brands, Inc.      5,377,296  
     

 

 

  
        29,354,804  
     

 

 

  
       Household Products — 0.7%       
  85,073      Colgate-Palmolive Co.      6,232,448  
     

 

 

  
       Industrial Conglomerates — 0.8%       
  949,250      General Electric Co.      6,483,378  
     

 

 

  
       Insurance — 1.2%       
  325,155      American International Group, Inc.      10,138,333  
     

 

 

  
       Interactive Media & Services — 10.2%       
  20,387      Alphabet, Inc., Class A(a)      28,909,785  
  8,312      Alphabet, Inc., Class C(a)      11,749,926  
  194,025      Facebook, Inc., Class A(a)      44,057,257  
     

 

 

  
        84,716,968  
     

 

 

  
       Internet & Direct Marketing Retail — 10.1%       
  132,410      Alibaba Group Holding Ltd., Sponsored ADR(a)      28,560,837  
  14,851      Amazon.com, Inc.(a)      40,971,236  
  7,300      Booking Holdings, Inc.(a)      11,624,082  
  290,543      Qurate Retail, Inc., Class A(a)      2,760,158  
     

 

 

  
        83,916,313  
     

 

 

  
       IT Services — 5.7%       
  25,806      Automatic Data Processing, Inc.      3,842,255  
  353,800      DXC Technology Co.      5,837,700  
  21,000      MasterCard, Inc., Class A      6,209,700  
  162,904      Visa, Inc., Class A      31,468,166  
     

 

 

  
        47,357,821  
     

 

 

  
       Life Sciences Tools & Services — 1.1%       
  25,008      Illumina, Inc.(a)      9,261,713  
     

 

 

  
       Machinery — 2.5%       
  62,900      Caterpillar, Inc.      7,956,850  
  83,000      Deere & Co.      13,043,450  
     

 

 

  
        21,000,300  
     

 

 

  

 

45  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)

 

Shares      Description    Value (†)  
       Media — 2.6%       
  17,425      Charter Communications, Inc., Class A(a)    $ 8,887,447  
  321,980      Comcast Corp., Class A      12,550,780  
     

 

 

  
        21,438,227  
     

 

 

  
       Oil, Gas & Consumable Fuels — 2.0%       
  525,541      Apache Corp.      7,094,804  
  182,938      EOG Resources, Inc.      9,267,639  
     

 

 

  
        16,362,443  
     

 

 

  
       Pharmaceuticals — 3.4%       
  86,558      Novartis AG, Sponsored ADR      7,559,976  
  73,273      Novo Nordisk A/S, Sponsored ADR      4,797,916  
  373,493      Roche Holding AG, Sponsored ADR      16,202,126  
     

 

 

  
        28,560,018  
     

 

 

  
       Semiconductors & Semiconductor Equipment — 4.0%       
  61,765      NVIDIA Corp.      23,465,141  
  109,692      QUALCOMM, Inc.      10,005,007  
     

 

 

  
        33,470,148  
     

 

 

  
       Software — 11.2%       
  114,816      Autodesk, Inc.(a)      27,462,839  
  75,511      Microsoft Corp.      15,367,243  
  373,078      Oracle Corp.      20,620,021  
  82,233      salesforce.com, Inc.(a)      15,404,708  
  78,069      Workday, Inc., Class A(a)      14,627,008  
     

 

 

  
        93,481,819  
     

 

 

  
       Textiles, Apparel & Luxury Goods — 0.8%  
  641,510      Under Armour, Inc., Class A(a)      6,248,307  
     

 

 

  
   Total Common Stocks
(Identified Cost $609,264,324)		      807,604,665  
     

 

 

  
     
Principal
Amount		                
  Short-Term Investments — 2.8%   
$ 23,154,685      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $23,154,685 on 7/01/2020 collateralized by $19,549,300 U.S. Treasury Note, 2.250% due 11/15/2027 valued at $22,094,531; $1,415,200 U.S. Treasury Note, 1.625% due 2/15/2026 valued at $1,523,354 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $23,154,685)      23,154,685  
     

 

 

  
     
   Total Investments — 99.8%
(Identified Cost $632,419,009)		      830,759,350  
   Other assets less liabilities — 0.2%      1,913,665  
     

 

 

  
   Net Assets — 100.0%    $ 832,673,015  
     

 

 

  

 

  See accompanying notes to financial statements.   |  46

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Natixis U.S. Equity Opportunities Fund – (continued)

 

  
  (†)      See Note 2 of Notes to Financial Statements.
  (a)      Non-income producing security.
  
  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.

Industry Summary at June 30, 2020 (Unaudited)

 

Software

      11.2 % 

Interactive Media & Services

      10.2  

Internet & Direct Marketing Retail

      10.1  

Capital Markets

      7.2  

IT Services

      5.7  

Banks

      4.3  

Beverages

      4.1  

Semiconductors & Semiconductor Equipment

      4.0  

Biotechnology

      4.0  

Hotels, Restaurants & Leisure

      3.5  

Pharmaceuticals

      3.4  

Entertainment

      2.9  

Health Care Providers & Services

      2.9  

Media

      2.6  

Machinery

      2.5  

Consumer Finance

      2.4  

Aerospace & Defense

      2.1  

Oil, Gas & Consumable Fuels

      2.0  

Other Investments, less than 2% each

      11.9  

Short-Term Investments

      2.8  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities

      0.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

47  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Assets and Liabilities

 

June 30, 2020 (Unaudited)

 

    Loomis Sayles
Strategic
Alpha Fund		     Natixis U.S.
Equity
Opportunities
Fund		  

ASSETS

 

Investments at cost

   $ 1,098,306,371     $ 632,419,009  

Net unrealized appreciation (depreciation)

     (66,064,316 )      198,340,341  
 

 

 

    

 

 

  

Investments at value

     1,032,242,055       830,759,350  

Cash

     734,586       114  

Due from brokers (Note 2)

     33,684,214       —  

Foreign currency at value (identified cost $2,003,205 and $0, respectively)

     2,001,921       —  

Receivable for Fund shares sold

     1,788,102       293,294  

Receivable for securities sold

     21,298,389       3,354,064  

Collateral received for open forward foreign currency contracts, options or swap agreements (Notes 2 and 4)

     495,789       —  

Dividends and interest receivable

     8,431,539       335,003  

Unrealized appreciation on forward foreign currency contracts (Note 2)

     572,526       —  

Tax reclaims receivable

     —       470,047  

Receivable for variation margin on centrally cleared swap agreements (Note 2)

     831,023       —  

Unamortized upfront premiums paid on bilateral swap agreements (Note 2)

     1,973,095       —  

Prepaid expenses (Note 8)

     207       150  
 

 

 

    

 

 

  

TOTAL ASSETS

     1,104,053,446       835,212,022  
 

 

 

    

 

 

  

LIABILITIES

 

Options written, at value (premiums received $107,738 and $0, respectively) (Note 2)

     102,801       —  

Payable for securities purchased

     11,900,869       —  

Unrealized depreciation on bilateral swap agreements (Note 2)

     1,616,444       —  

Payable for Fund shares redeemed

     2,419,121       1,392,120  

Unrealized depreciation on forward foreign currency contracts (Note 2)

     3,161,594       —  

Unamortized upfront premiums received on bilateral swap agreements (Note 2)

     450,437       —  

Due to brokers (Note 2)

     495,789       —  

Payable for variation margin on futures contracts (Note 2)

     98,503       —  

Management fees payable (Note 6)

     536,692       520,025  

Deferred Trustees’ fees (Note 6)

     169,308       441,480  

Administrative fees payable (Note 6)

     38,005       30,595  

Payable to distributor (Note 6d)

     189       1,999  

Other accounts payable and accrued expenses

     133,477       152,788  
 

 

 

    

 

 

  

TOTAL LIABILITIES

     21,123,229       2,539,007  
 

 

 

    

 

 

  

NET ASSETS

   $ 1,082,930,217     $ 832,673,015  
 

 

 

    

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 1,184,510,624     $ 586,609,498  

Accumulated earnings (loss)

     (101,580,407 )      246,063,517  
 

 

 

    

 

 

  

NET ASSETS

   $ 1,082,930,217     $ 832,673,015  
 

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  48

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

    Loomis Sayles
Strategic
Alpha Fund		     Natixis U.S.
Equity
Opportunities
Fund		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 31,161,205     $ 552,514,857  
 

 

 

    

 

 

  

Shares of beneficial interest

     3,186,047       15,821,825  
 

 

 

    

 

 

  

Net asset value and redemption price per share

   $ 9.78     $ 34.92  
 

 

 

    

 

 

  

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

   $ 10.21     $ 37.05  
 

 

 

    

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

    

Net assets

   $ 14,072,009     $ 63,193,224  
 

 

 

    

 

 

  

Shares of beneficial interest

     1,443,756       2,981,952  
 

 

 

    

 

 

  

Net asset value and offering price per share

   $ 9.75     $ 21.19  
 

 

 

    

 

 

  

Class N shares:

 

Net assets

   $ 434,462,863     $ 326,948  
 

 

 

    

 

 

  

Shares of beneficial interest

     44,519,555       7,794  
 

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 9.76     $ 41.95  
 

 

 

    

 

 

  

Class Y shares:

 

Net assets

   $ 603,234,140     $ 216,637,986  
 

 

 

    

 

 

  

Shares of beneficial interest

     61,843,240       5,172,425  
 

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 9.75     $ 41.88  
 

 

 

    

 

 

  

 

49  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Operations

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

     Loomis Sayles
Strategic Alpha
Fund		     Natixis U.S.
Equity
Opportunities
Fund		  

INVESTMENT INCOME

 

Dividends

    $ 1,751,757     $ 5,597,257  

Interest

      22,100,987       30,834  

Less net foreign taxes withheld

      —       (127,914 ) 
  

 

 

    

 

 

  
     23,852,744       5,500,177  
  

 

 

    

 

 

  

Expenses

     

Management fees (Note 6)

      3,471,713       3,186,374  

Service and distribution fees (Note 6)

      119,235       1,017,358  

Administrative fees (Note 6)

      257,765       188,856  

Trustees’ fees and expenses (Note 6)

      29,033       19,083  

Transfer agent fees and expenses (Notes 6 and 7)

      220,039       357,642  

Audit and tax services fees

      41,398       20,773  

Custodian fees and expenses

      35,029       27,353  

Legal fees (Note 8)

      14,326       10,705  

Registration fees

      31,088       57,907  

Shareholder reporting expenses

      30,175       42,374  

Miscellaneous expenses (Note 8)

      49,989       25,081  
  

 

 

    

 

 

  

Total expenses

      4,299,790       4,953,506  

Less waiver and/or expense reimbursement (Note 6)

      —       (735 ) 
  

 

 

    

 

 

  

Net expenses

      4,299,790       4,952,771  
  

 

 

    

 

 

  

Net investment income

      19,552,954       547,406  
  

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

     

Net realized gain (loss) on:

     

Investments

      407,173       49,184,271  

Futures contracts

      6,650,842       —  

Options written

      46,838       —  

Swap agreements

      2,272,156       —  

Forward foreign currency contracts (Note 2d)

      3,694,970       —  

Foreign currency transactions (Note 2c)

      (719,582 )      —  

Net change in unrealized appreciation (depreciation) on:

 

Investments

      (17,230,775 )      (79,610,039 ) 

Futures contracts

      372       —  

Options written

      (2,379 )      —  

Swap agreements

      1,775,256       —  

Forward foreign currency contracts (Note 2d)

      (1,483,978 )      —  

Foreign currency translations (Note 2c)

      82,158       —  
  

 

 

    

 

 

  

Net realized and unrealized loss on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      (4,506,949 )      (30,425,768 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ 15,046,005     $ (29,878,362 ) 
  

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  50

Table of Contents

Statements of Changes in Net Assets

 

     Loomis Sayles Strategic
Alpha Fund		  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income

    $ 19,552,954     $ 49,850,113  

Net realized gain (loss) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency transactions

      12,352,397       (8,071,488 ) 

Net change in unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements, forward foreign currency contracts and foreign currency translations

      (16,859,346 )      15,971,337  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      15,046,005       57,749,962  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (323,429 )      (1,581,199 ) 

Class C

      (99,859 )      (411,487 ) 

Class N

      (5,301,837 )      (8,768,965 ) 

Class Y

      (7,349,120 )      (34,262,581 ) 
  

 

 

    

 

 

  

Total distributions

      (13,074,245 )      (45,024,232 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (219,764,298 )      (216,962,192 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (217,792,538 )      (204,236,462 ) 

NET ASSETS

 

Beginning of the period

      1,300,722,755       1,504,959,217  
  

 

 

    

 

 

  

End of the period

    $ 1,082,930,217     $ 1,300,722,755  
  

 

 

    

 

 

  

 

51  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Natixis U.S. Equity
Opportunities Fund		  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

 

Net investment income

    $ 547,406     $ 4,347,188  

Net realized gain on investments

      49,184,271       90,186,547  

Net change in unrealized appreciation (depreciation) on investments

      (79,610,039 )      167,414,696  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (29,878,362 )      261,948,431  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Class A

      (13,750,474 )      (63,482,836 ) 

Class C

      (2,699,204 )      (12,360,421 ) 

Class N

      (7,287 )      (44,503 ) 

Class Y

      (4,631,193 )      (26,597,489 ) 
  

 

 

    

 

 

  

Total distributions

      (21,088,158 )      (102,485,249 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

      (95,724,860 )      (78,802,617 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      (146,691,380 )      80,660,565  

NET ASSETS

 

Beginning of the period

      979,364,395       898,703,830  
  

 

 

    

 

 

  

End of the period

    $ 832,673,015     $ 979,364,395  
  

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  52

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Loomis Sayles Strategic Alpha Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 9.69     $ 9.62     $ 9.92     $ 9.86     $ 9.45     $ 9.96  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.15       0.30       0.33       0.32       0.30       0.26  

Net realized and unrealized gain (loss)

     0.04 (b)      0.04       (0.30 )      (0.01 )      0.31       (0.42 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.19       0.34       0.03       0.31       0.61       (0.16 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.10 )      (0.27 )      (0.33 )      (0.25 )      (0.20 )      (0.35 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.78     $ 9.69     $ 9.62     $ 9.92     $ 9.86     $ 9.45  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     2.01 %(d)      3.58 %      0.39 %      3.22 %(e)      6.57 %      (1.68 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 31,161     $ 48,815     $ 36,528     $ 28,020     $ 67,746     $ 116,055  

Net expenses

     0.99 %(f)      0.99 %      1.00 %(g)      1.05 %(h)(i)      1.10 %      1.10 % 

Gross expenses

     0.99 %(f)      0.99 %      1.00 %(g)      1.06 %      1.10 %      1.10 % 

Net investment income

     3.11 %(f)      3.10 %      3.29 %      3.26 %      3.14 %      2.66 % 

Portfolio turnover rate

     245 %      414 %(j)      379 %(j)      178 %(k)      72 %      72 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Periods less than one year are not annualized.

(e)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Includes fee/expense recovery of less than 0.01%.

(h)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)

Effective July 1, 2017, the expense limit decreased from 1.30% to 1.00%.

(j)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(k)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

53  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Strategic Alpha Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 9.66     $ 9.58     $ 9.88     $ 9.82     $ 9.42     $ 9.93  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.23       0.26       0.25       0.23       0.19  

Net realized and unrealized gain (loss)

     0.05 (b)      0.04       (0.31 )      0.00 (b)(c)      0.30       (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.16       0.27       (0.05 )      0.25       0.53       (0.24 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.07 )      (0.19 )      (0.25 )      (0.19 )      (0.13 )      (0.27 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.75     $ 9.66     $ 9.58     $ 9.88     $ 9.82     $ 9.42  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     1.65 %(e)      2.87 %(f)      (0.42 )%      2.53 %      5.70 %      (2.44 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 14,072     $ 16,337     $ 26,883     $ 33,759     $ 45,674     $ 62,453  

Net expenses

     1.74 %(g)      1.73 %(h)      1.75 %(i)      1.81 %(j)      1.85 %      1.85 % 

Gross expenses

     1.74 %(g)      1.74 %      1.75 %(i)      1.81 %      1.85 %      1.85 % 

Net investment income

     2.38 %(g)      2.33 %      2.61 %      2.52 %      2.40 %      1.91 % 

Portfolio turnover rate

     245 %      414 %(k)      379 %(k)      178 %(l)      72 %      72 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

Amount rounds to less than $0.01 per share.

(d)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)

Periods less than one year are not annualized.

(f)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)

Computed on an annualized basis for periods less than one year.

(h)

The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(i)

Includes fee/expense recovery of less than 0.01%.

(j)

Effective July 1, 2017, the expense limit decreased from 2.05% to 1.75%.

(k)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(l)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

  See accompanying notes to financial statements.   |  54

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Strategic Alpha Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 9.67     $ 9.60     $ 9.90     $ 9.90  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.17       0.33       0.34       0.25  

Net realized and unrealized gain (loss)

     0.04 (b)      0.04       (0.28 )      (0.04 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.21       0.37       0.06       0.21  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

 

Net investment income

     (0.12 )      (0.30 )      (0.36 )      (0.21 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.76     $ 9.67     $ 9.60     $ 9.90  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.19 %(c)      3.92 %      0.68 %      2.11 %(c)(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 434,463     $ 297,300     $ 255,226     $ 59,282  

Net expenses

     0.68 %(e)      0.67 %      0.70 %(f)      0.70 %(e)(g)(h) 

Gross expenses

     0.68 %(e)      0.67 %      0.70 %(f)      0.72 %(e) 

Net investment income

     3.49 %(e)      3.39 %      3.44 %      3.83 %(e) 

Portfolio turnover rate

     245 %      414 %(i)      379 %(i)      178 %(j) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

Periods less than one year are not annualized.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Includes fee/expense recovery of 0.01%.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)

Effective July 1, 2017, the expense limit decreased from 1.00% to 0.70%.

(i)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

55  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Strategic Alpha Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 9.67     $ 9.59     $ 9.90     $ 9.85     $ 9.44     $ 9.95  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.16       0.32       0.35       0.35       0.32       0.29  

Net realized and unrealized gain (loss)

     0.03 (b)      0.06       (0.31 )      (0.01 )      0.32       (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.19       0.38       0.04       0.34       0.64       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.30 )      (0.35 )      (0.29 )      (0.23 )      (0.37 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 9.75     $ 9.67     $ 9.59     $ 9.90     $ 9.85     $ 9.44  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     2.06 %(c)      3.96 %      0.53 %      3.48 %(d)      6.86 %      (1.43 )% 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 603,234     $ 938,271     $ 1,186,322     $ 1,031,537     $ 1,083,527     $ 1,183,723  

Net expenses

     0.74 %(e)      0.74 %      0.75 %(f)      0.80 %(g)(h)      0.85 %      0.85 % 

Gross expenses

     0.74 %(e)      0.74 %      0.75 %(f)      0.81 %      0.85 %      0.85 % 

Net investment income

     3.34 %(e)      3.33 %      3.51 %      3.53 %      3.39 %      2.91 % 

Portfolio turnover rate

     245 %      414 %(i)      379 %(i)      178 %(j)      72 %      72 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(c)

Periods less than one year are not annualized.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Includes fee/expense recovery of less than 0.01%.

(g)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(h)

Effective July 1, 2017, the expense limit decreased from 1.05% to 0.75%.

(i)

The variation in the Fund’s turnover rate from 2017 to 2018 was primarily due to a repositioning of the portfolio. During 2019, turnover has remained elevated due to a larger volume of short duration securities held by the Fund.

(j)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to a repositioning of the portfolio.

 

  See accompanying notes to financial statements.   |  56

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis U.S. Equity Opportunities Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 36.53     $ 31.00     $ 36.90     $ 30.27     $ 27.60     $ 27.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.02       0.15 (b)      0.08       0.06       0.12       0.06  

Net realized and unrealized gain (loss)

     (0.77 )      9.34       (2.51 )      7.88       3.12       1.55  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.75 )      9.49       (2.43 )      7.94       3.24       1.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.17 )      (0.05 )      (0.06 )      (0.12 )      —  

Net realized capital gains

     (0.86 )      (3.79 )      (3.42 )      (1.25 )      (0.45 )      (1.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.86 )      (3.96 )      (3.47 )      (1.31 )      (0.57 )      (1.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 34.92     $ 36.53     $ 31.00     $ 36.90     $ 30.27     $ 27.60  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (1.68 )%(d)      31.03 %(b)      (6.48 )%      26.28 %      11.86 %      5.86 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 552,515     $ 616,922     $ 523,665     $ 604,330     $ 472,436     $ 422,069  

Net expenses

     1.18 %(e)      1.17 %      1.16 %      1.21 %(f)      1.23 %(g)      1.25 %(h) 

Gross expenses

     1.18 %(e)      1.17 %      1.16 %      1.21 %      1.23 %(g)      1.25 % 

Net investment income

     0.12 %(e)      0.42 %(b)      0.20 %      0.16 %      0.42 %      0.21 % 

Portfolio turnover rate

     17 %      12 %      23 %      17 %      17 %      20 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Periods less than one year are not annualized.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2017, the expense limit decreased from 1.25% to 1.20%.

(g)

Includes fee/expense recovery of less than 0.01%.

(h)

Effective July 1, 2015, the expense limit decreased from 1.30% to 1.25%.

 

57  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis U.S. Equity Opportunities Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 22.65     $ 20.42     $ 25.73     $ 21.54     $ 19.86     $ 20.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment loss(a)

     (0.07 )      (0.07 )(b)      (0.14 )      (0.14 )      (0.07 )      (0.11 ) 

Net realized and unrealized gain (loss)

     (0.53 )      6.10       (1.75 )      5.58       2.22       1.14  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.60 )      6.03       (1.89 )      5.44       2.15       1.03  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.01 )      —       (0.00 )(c)      (0.02 )      —  

Net realized capital gains

     (0.86 )      (3.79 )      (3.42 )      (1.25 )      (0.45 )      (1.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.86 )      (3.80 )      (3.42 )      (1.25 )      (0.47 )      (1.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 21.19     $ 22.65     $ 20.42     $ 25.73     $ 21.54     $ 19.86  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(d)

     (2.06 )%(e)      30.06 %(b)      (7.18 )%      25.35 %      11.02 %      5.06 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 63,193     $ 77,924     $ 78,783     $ 112,615     $ 72,768     $ 61,864  

Net expenses

     1.93 %(f)      1.92 %      1.91 %      1.96 %(g)      1.98 %(h)      2.00 %(i) 

Gross expenses

     1.93 %(f)      1.92 %      1.91 %      1.96 %      1.98 %(h)      2.00 % 

Net investment loss

     (0.63 )%(f)      (0.31 )%(b)      (0.54 )%      (0.59 )%      (0.33 )%      (0.54 )% 

Portfolio turnover rate

     17 %      12 %      23 %      17 %      17 %      20 % 

 

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%.

(c)

Amount rounds to less than $0.01 per share.

(d)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(e)

Periods less than one year are not annualized.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2017, the expense limit decreased from 2.00% to 1.95%.

(h)

Includes fee/expense recovery of less than 0.01%.

(i)

Effective July 1, 2015, the expense limit decreased from 2.05% to 2.00%.

 

  See accompanying notes to financial statements.   |  58

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis U.S. Equity Opportunities Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Period Ended
December 31,
2017*		  

Net asset value, beginning of the period

   $ 43.61     $ 36.37     $ 42.63     $ 37.62  
 

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income(a)

     0.10       0.19 (b)      0.25       0.12  

Net realized and unrealized gain (loss)

     (0.90 )      11.14       (2.91 )      6.20  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.80 )      11.33       (2.66 )      6.32  
 

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

        

Net investment income

     —       (0.30 )      (0.18 )      (0.16 ) 

Net realized capital gains

     (0.86 )      (3.79 )      (3.42 )      (1.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.86 )      (4.09 )      (3.60 )      (1.31 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 41.95     $ 43.61     $ 36.37     $ 42.63  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total return(c)

     (1.50 )%(d)      31.44 %(b)      (6.11 )%      16.78 %(d) 

Ratios to Average Net Assets:

        

Net assets, end of the period (000’s)

   $ 327     $ 654     $ 1     $ 1  

Net expenses(e)

     0.84 %(f)      0.83 %      0.76 %      0.78 %(f)(g) 

Gross expenses

     1.16 %(f)      1.42 %      13.35 %      13.41 %(f) 

Net investment income

     0.52 %(f)      0.44 %(b)      0.56 %      0.44 %(f) 

Portfolio turnover rate

     17 %      12 %      23 %      17 %(h) 

 

*

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2017, the expense limit decreased from 0.95% to 0.90%.

(h)

Represents the Fund’s portfolio turnover rate for the year ended December 31, 2017.

 

59  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis U.S. Equity Opportunities Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Year Ended
December 31,
2018		     Year Ended
December 31,
2017		     Year Ended
December 31,
2016		     Year Ended
December 31,
2015		  

Net asset value, beginning of the period

   $ 43.56     $ 36.33     $ 42.61     $ 34.77     $ 31.61     $ 31.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.08       0.29 (b)      0.20       0.16       0.21       0.15  

Net realized and unrealized gain (loss)

     (0.90 )      10.99       (2.92 )      9.07       3.59       1.76  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.82 )      11.28       (2.72 )      9.23       3.80       1.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     —       (0.26 )      (0.14 )      (0.14 )      (0.19 )      (0.07 ) 

Net realized capital gains

     (0.86 )      (3.79 )      (3.42 )      (1.25 )      (0.45 )      (1.41 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.86 )      (4.05 )      (3.56 )      (1.39 )      (0.64 )      (1.48 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 41.88     $ 43.56     $ 36.33     $ 42.61     $ 34.77     $ 31.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     (1.57 )%(c)      31.36 %(b)(d)      (6.24 )%      26.60 %      12.13 %      6.11 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 216,638     $ 283,864     $ 296,255     $ 285,008     $ 143,231     $ 70,643  

Net expenses

     0.92 %(e)      0.91 %(f)      0.91 %      0.95 %(g)      0.98 %(h)      1.00 %(i) 

Gross expenses

     0.92 %(e)      0.92 %      0.91 %      0.95 %      0.98 %(h)      1.00 % 

Net investment income

     0.38 %(e)      0.69 %(b)      0.45 %      0.40 %      0.63 %      0.46 % 

Portfolio turnover rate

     17 %      12 %      23 %      17 %      17 %      20 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%.

(c)

Periods less than one year are not annualized.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Computed on an annualized basis for periods less than one year.

(f)

The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(g)

Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.

(h)

Includes fee/expense recovery of less than 0.01%.

(i)

Effective July 1, 2015, the expense limit decreased from 1.05% to 1.00%.

 

  See accompanying notes to financial statements.   |  60

Table of Contents

Notes to Financial Statements

 

June 30, 2020 (Unaudited)

 

1.  Organization.   Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”)

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

The U.S. Equity Opportunities Fund is a diversified investment company and the Strategic Alpha Fund is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for Strategic Alpha Fund and 5.75% for U.S. Equity Opportunities Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fee applicable to Class A and Class C) and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

 

61  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  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 or sub-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 or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. 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 preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Equity linked notes are valued using broker-dealer bid prices. Broker-dealer bid prices may be used to value debt, unlisted equity securities, senior loans and collateralized loan obligations 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

 

    |  62

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent 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 clearing house 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. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Option contracts on foreign indices are priced at the most recent settlement price. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations 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 Funds 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. 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 Funds 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 a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

 

63  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

As of June 30, 2020, securities and other investments of the funds included in net assets were fair valued as follows:

 

Fund

  

Securities
classified
as fair
valued

    

Percentage
of Net
Assets

    

Securities
fair valued by
the Fund’s
adviser

    

Percentage
of Net
Assets

  

Strategic Alpha Fund

   $ 8,944,645       0.8 %    $ 5,143,031       0.5 % 

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign

 

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withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

For the six months ended June 30, 2020, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Strategic Alpha Fund

    $ 5,476,755  

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  The Funds 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 appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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.

 

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e.  Futures Contracts.  The Funds 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 a 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 a 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). 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 a 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 Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f.  Option Contracts.  The Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to

 

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determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option.

Exchange-traded options 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 Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

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

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

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

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

 

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There were no swaptions held by the Funds as of June 30, 2020.

h.  Swap Agreements.  The Funds may enter into credit default and interest rate 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 Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have 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 Funds 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 a 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.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads 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.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded

 

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in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds 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 OTC 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 Funds face the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are 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 Funds based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds’ counterparty credit risk is reduced as the CCP stands between the Funds and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

i.  Due to/from Brokers.  Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash pledged as collateral for forward foreign currency contracts, options, bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to brokers balance in the Statements of Assets and Liabilities for Strategic Alpha Fund represents cash received as collateral for forward foreign currency contracts. In certain circumstances the Fund’s use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2020 and has concluded that no provisions for income tax are required. The Funds’

 

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federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, partnership basis adjustments, capital gains taxes, defaulted and/or non-income producing securities, swap adjustments, foreign currency gains and losses, convertible bond adjustments, distribution redesignations and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, trust preferred securities, partnership basis adjustments, defaulted and/or non-income producing securities, swap adjustments, wash sales, convertible bond adjustments, forward foreign currency contract mark-to-market, straddle loss deferrals and corporate actions. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times

 

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during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

   

Ordinary
Income

     

Long-Term
Capital
Gains

     

Total

  

Strategic Alpha Fund

    $ 45,024,232      $ —      $ 45,024,232  

U.S. Equity Opportunities Fund

      6,527,175        95,958,074        102,485,249  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2019, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:

 

    

Strategic
Alpha Fund

    

U.S. Equity
Opportunities
Fund

  

Capital loss carryforward:

     

Short-term:

 

No expiration date

    $ (32,119,936 )    $ —  

Long-term:

 

No expiration date

      (18,331,675 )      —  
  

 

 

    

 

 

  

Total capital loss carryforward

    $ (50,451,611 )    $   —  
  

 

 

    

 

 

  

Late-year ordinary and post-October capital loss deferrals*

    $ (2,056,475 )    $ —  
  

 

 

    

 

 

  

 

*

Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses.

 

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As of June 30, 2020, unrealized appreciation (depreciation) on a tax basis was approximately as follows:

 

    

Strategic
Alpha Fund

    

U.S. Equity
Opportunities
Fund

  

Unrealized appreciation (depreciation)

     

Investments

    $ (33,203,770 )    $ 198,340,341  

Foreign currency translations

      (34,207,122 )      —  
  

 

 

    

 

 

  

Total unrealized appreciation (depreciation)

    $ (67,410,892 )    $ 198,340,341  
  

 

 

    

 

 

  

As of June 30, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

Strategic
Alpha Fund

    

U.S. Equity
Opportunities
Fund

  

Federal tax cost

    $ 1,098,598,855     $ 632,419,009  
  

 

 

    

 

 

  

Gross tax appreciation

    $ 49,422,835     $ 261,507,576  

Gross tax depreciation

      (116,795,213 )      (63,167,235 ) 
  

 

 

    

 

 

  

Net tax appreciation (depreciation)

    $ (67,372,378 )    $ 198,340,341  
  

 

 

    

 

 

  

The difference between these amounts and those reported in the preceding table are primarily attributable to foreign currency mark-to-market.

Amounts in the tables above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

l.  Senior Loans.  Strategic Alpha Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior 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 senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. The Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.

 

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m.  Loan Participations.  Strategic Alpha Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, the 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. The 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, the Fund may be subject to credit risk from both the party from whom it purchased the loan participation and the borrower. Additionally, the Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, are listed in the Fund’s Portfolio of Investments.

n.  Collateralized Loan Obligations.  Strategic Alpha Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. The intent of the Funds when investing in CLOs is to purchase only higher level, investment grade level select tranches. CLOs outstanding at the end of the period are listed in the Fund’s Portfolio of Investments.

o.  Equity Linked Notes.  Strategic Alpha Fund may invest in equity linked notes. An equity linked note is a structured product that differs from a standard debt instrument where the cash payouts will be based on the return of an underlying equity. An equity linked note is typically purchased at a full nominal amount and includes a coupon with an enhanced yield relative to the dividend yield of the underlying security. At maturity the Fund will receive a redemption amount based on the final price of the underlying equity. The risk of investment in an equity linked note depends on the principal protection offered. Some equity linked notes may guarantee total principal or partial principal amounts while others may not provide any guarantee of principal. The maturity value may also be impacted to the extent of any limit on the return value as part of the note structure. Equity linked notes outstanding at the end of the period, if any, are listed in the Fund’s Portfolio of Investments.

p.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each 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

 

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a Fund’s ability to dispose of the underlying securities. As of June 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

q.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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 Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ 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.

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2020.

r.  Stripped Securities.  Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

 

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s.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2020, the Funds did not loan securities under this agreement.

t.  Unfunded Loan Commitments.  The Funds may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower. Unfunded loan commitments represent a future obligation, in full, even though a percentage of the committed amount may not be utilized by the borrower. Unfunded loan commitments, and the obligation for future funding, are recorded as a liability on the Statements of Assets and Liabilities at par value at the time the commitment is entered into. Purchases of unfunded loan commitments may have a similar effect on the Fund’s NAV as if the Fund had created a degree of leverage in the portfolio. Market risk exists with these commitments to the same extent as if the securities were owned on a settled basis. Losses may arise due to changes in the value of the unfunded loan commitments.

As of June 30, 2020, the Funds did not have any unfunded loan commitments.

u.  Indemnifications.  Under the Trusts’ organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

v.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform

 

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(Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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 Funds’ 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 Funds 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

 

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June 30, 2020 (Unaudited)

 

not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2020, at value:

Strategic Alpha Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Bonds and Notes

        

Non-Convertible Bonds

        

ABS Home Equity

   $ —     $ 82,207,978     $ 1,120,773 (b)    $ 83,328,751  

ABS Other

     —       54,868,995       1,410,371 (c)(d)      56,279,366  

Non-Agency Commercial Mortgage-Backed Securities

     —       37,359,831       1,623,134 (b)      38,982,965  

All Other Non-Convertible Bonds(a)

     —       655,511,025       —       655,511,025  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     —       829,947,829       4,154,278       834,102,107  
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —       16,569,808       —       16,569,808  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     —       846,517,637       4,154,278       850,671,915  
 

 

 

    

 

 

    

 

 

    

 

 

  

Senior Loans(a)

     —       5,742,123       —       5,742,123  

Collateralized Loan Obligations

     —       54,009,766       —       54,009,766  

Loan Participations(a)

     —       —       480,319 (b)      480,319  

Common Stocks

        

Chemicals

     —       978,614       —       978,614  

Oil, Gas & Consumable Fuels

     505,305       —       5,474 (b)      510,779  

Textiles, Apparel & Luxury Goods

     635,070       624,274       —       1,259,344  

Other Common Stocks(a)

     19,496,884       —       —       19,496,884  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

     20,637,259       1,602,888       5,474       22,245,621  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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June 30, 2020 (Unaudited)

 

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Preferred Stocks

        

Convertible Preferred Stocks

        

Banking

   $ 1,088,524     $ —     $ —     $ 1,088,524  

Food & Beverage

     —       3,770,663       —       3,770,663  

Midstream

     103,547       —       — (d)      103,547  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Convertible Preferred Stocks

     1,192,071       3,770,663       —       4,962,734  
 

 

 

    

 

 

    

 

 

    

 

 

  

Non-Convertible Preferred Stocks(a)

     —       4,050,100       —       4,050,100  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     1,192,071       7,820,763       —       9,012,834  
 

 

 

    

 

 

    

 

 

    

 

 

  

Other Investments(a)

     —       —       1,129,500 (b)      1,129,500  

Short-Term Investments

     —       88,949,977       —       88,949,977  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments

     21,829,330       1,004,643,154       5,769,571       1,032,242,055  
 

 

 

    

 

 

    

 

 

    

 

 

  

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)

     —       4,132,630       —       4,132,630  

Forward Foreign Currency Contracts (unrealized appreciation)

     —       572,526       —       572,526  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 21,829,330     $ 1,009,348,310     $ 5,769,571     $ 1,036,947,211  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

Liability Valuation Inputs

 

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Written Options(a)

   $ (102,801 )    $ —     $ —     $ (102,801 ) 

Bilateral Credit Default Swap Agreements (unrealized depreciation)

     —       (1,616,444 )      —       (1,616,444 ) 

Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)

     —       (944,793 )      —       (944,793 ) 

Forward Foreign Currency Contracts (unrealized depreciation)

     —       (3,161,594 )      —       (3,161,594 ) 

Futures Contracts (unrealized depreciation)

     (2,840 )      —       —       (2,840 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (105,641 )    $ (5,722,831 )    $ —     $ (5,828,472 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

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

(b)

Fair valued by the Fund’s adviser.

 

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June 30, 2020 (Unaudited)

 

(c)

Fair valued by the Fund’s adviser using a broker dealer bid price provided by a single market maker ($783,831) or valued using broker-dealer bid prices ($626,540).

(d)

Includes securities fair valued at zero by the Fund’s adviser using level 3 inputs.

U.S. Equity Opportunities Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Common Stocks(a)

    $ 807,604,665      $ —      $   —      $ 807,604,665  

Short-Term Investments

      —        23,154,685        —        23,154,685  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 807,604,665      $ 23,154,685      $ —      $ 830,759,350  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2019 and/or June 30, 2020:

Strategic Alpha Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2019

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ 801,522     $ —     $ 5,345     $ (30,775 )    $ —  

ABS Other

     2,337,230 (a)      —       28       (1,831,035 )      122,937  

Independent Energy

     523,200 (a)      22,686       (1,472,185 )      926,299       —  

Non-Agency Commercial Mortgage-Backed Securities

     2,770,066       —       —       (1,146,932 )      —  

Collateralized Loan Obligations

     475,000       —       —       —       —  

Loan Participations

          

ABS Other

     —       91       14,429       (598,152 )      —  

Common Stocks

          

Oil, Gas & Consumable Fuels

     - (a)      —       (439,289 )      436,379       —  

Preferred Stocks

          

Midstream

     293,900       —       —       (293,900 )      —  

Other Investments

          

Aircraft ABS

     7,776,000       —       —       (6,646,500 )      —  

Equity Linked Notes

     688,113       —       36,124       (30,859 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 15,665,031     $ 22,777     $ (1,855,548 )    $ (9,215,475 )    $ 122,937  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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June 30, 2020 (Unaudited)

 

Investments in Securities

  

Sales

    

Transfers
into
Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,
2020

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2020

  

Bonds and Notes

          

Non-Convertible Bonds

          

ABS Home Equity

   $ (237,425 )    $ 582,106     $ —     $ 1,120,773     $ (25,782 ) 

ABS Other

     (81,328 )      862,539       —       1,410,371 (a)      (1,831,035 ) 

Independent Energy

     —       —       —       —       —  

Non-Agency Commercial Mortgage-Backed Securities

     —       —       —       1,623,134       (1,146,932 ) 

Collateralized Loan Obligations

     —       —       (475,000 )      —       —  

Loan Participations

          

ABS Other

     (3,939,608 )      5,003,559       —       480,319       (598,152 ) 

Common Stocks

          

Oil, Gas & Consumable Fuels

     —       8,384       —       5,474       (2,910 ) 

Preferred Stocks

          

Midstream

     —       —       —       — (a)      (293,900 ) 

Other Investments

          

Aircraft ABS

     —       —       —       1,129,500       (6,646,500 ) 

Equity Linked Notes

     (693,378 )      —       —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (4,951,739 )    $ 6,456,588     $ (475,000 )    $ 5,769,571     $ (10,545,211 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes securities fair valued at zero using level 3 inputs.

A debt security valued at $582,106 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2020, this security was 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 security.

A debt security valued at $862,539 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2020, 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 securities.

A debt security valued at $5,003,559 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued at a bid

 

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June 30, 2020 (Unaudited)

 

price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2020, this security was 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 security.

A debt security valued at $475,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2020. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2020 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A common stock valued at $8,384 was transferred from Level 1 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued at the market price in accordance with the Fund’s valuation policies. At June 30,2020, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service was unable to price the security.

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Strategic Alpha Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

Strategic Alpha Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 2020, the Fund used futures, forward foreign currency contracts, option contracts, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

Strategic Alpha 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 and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2020, the Fund engaged in forward foreign currency contracts for hedging purposes.

Strategic Alpha Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the

 

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June 30, 2020 (Unaudited)

 

Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the six months ended June 30, 2020, the Fund engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.

Strategic Alpha Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2020, the Fund engaged in interest rate swap agreements for hedging purposes.

Strategic Alpha Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2020, the Fund engaged in futures and option contracts for hedging purposes.

The following is a summary of derivative instruments for Strategic Alpha Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

   

Unrealized
appreciation
on forward
foreign
currency
contracts

     

Swap
agreements
at value1

     

Total

  

Over-the-counter asset derivatives

         

Foreign exchange contracts

    $ 572,526      $ —      $ 572,526  

Credit contracts

      —        581,705        581,705  
  

 

 

     

 

 

     

 

 

  

Total over-the counter asset derivatives

    $ 572,526      $ 581,705      $ 1,154,231  
  

 

 

     

 

 

     

 

 

  

Total asset derivatives

    $ 572,526      $ 581,705      $ 1,154,231  
  

 

 

     

 

 

     

 

 

  

 

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June 30, 2020 (Unaudited)

 

Liabilities

  

Options
written at
value

    

Unrealized
depreciation
on forward
foreign
currency
contracts

    

Unrealized
depreciation
on futures
contracts2

    

Swap
agreements
at value1

    

Total

  

Over-the-counter liability derivatives

          

Foreign exchange contracts

   $ —     $ (3,161,594 )    $ —     $ —     $ (3,161,594 ) 

Credit contracts

     —       —       —       (675,491 )      (675,491 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total over-the counter liability derivatives

   $ —     $ (3,161,594 )    $ —     $ (675,491 )    $ (3,837,085 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Exchange-traded/cleared liability derivatives

          

Interest rate contracts

   $ —     $ —     $ (2,840 )    $ (943,318 )    $ (946,158 ) 

Credit contracts

     —       —       —       (532,375 )      (532,375 ) 

Equity contracts

     (102,801 )      —       —       —       (102,801 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total exchange-traded/cleared liability derivatives

   $ (102,801 )    $ —     $ (2,840 )    $ (1,475,693 )    $ (1,581,334 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liability derivatives

   $ (102,801 )    $ (3,161,594 )    $ (2,840 )    $ (2,151,184 )    $ (5,418,419 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

1 

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities.

2

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

 

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June 30, 2020 (Unaudited)

 

Transactions in derivative instruments for Strategic Alpha Fund during the six months ended June 30, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain
(Loss) on:

   

Investments3

    

Futures
contracts

     

Options
written

    

Swap
agreements

    

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ —     $ 5,071,738      $ —     $ 2,168     $ —  

Foreign exchange contracts

      —       —        —       —       3,694,970  

Credit contracts

      —       —        —       2,269,988       —  

Equity contracts

      (94,053 )      1,579,104        46,838       —       —  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total

    $ (94,053 )    $ 6,650,842      $ 46,838     $ 2,272,156     $ 3,694,970  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net Change in
Unrealized
Appreciation
(Depreciation) on:

   

Investments3

    

Futures
contracts

     

Options
written

    

Swap
agreements

    

Forward
foreign
currency
contracts

  

Interest rate contracts

    $ —     $ 372      $ —     $ (87,385 )    $ —  

Foreign exchange contracts

      —       —        —       —       (1,483,978 ) 

Credit contracts

      —       —        —       1,862,641       —  

Equity contracts

      21,464       —        (2,379 )      —       —  
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total

    $ 21,464     $ 372      $ (2,379 )    $ 1,775,256     $ (1,483,978 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

 

3  

Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased options during the period.

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does 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 these disclosures.

 

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June 30, 2020 (Unaudited)

 

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets for Strategic Alpha Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2020:

 

Strategic Alpha Fund

   

Forwards

    

Futures

    

Credit

Default

Swaps

    

Interest

Rate

Swaps

  

Average Notional Amount Outstanding

      15.04 %      2.92 %      8.62 %      0.46 % 

Highest Notional Amount Outstanding

      25.04 %      3.68 %      13.60 %      1.76 % 

Lowest Notional Amount Outstanding

      5.57 %      1.45 %      6.52 %      0.00 % 

Notional Amount Outstanding as of June 30, 2020

      8.22 %      1.45 %      13.36 %      1.76 % 

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

The volume of option contract activity, as a percentage of net assets for Strategic Alpha Fund, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2020:

 

Strategic Alpha Fund

   

Put Options

Purchased*

    

Call Options

Written*

  

Average Market Value of Underlying Instruments

      1.23 %      0.35 % 

Highest Market Value of Underlying Instruments

      4.18 %      0.55 % 

Lowest Market Value of Underlying Instruments

      0.00 %      0.23 % 

Market Value of Underlying Instruments as of June 30, 2020

      0.00 %      0.55 % 

 

*

Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate, for foreign indices by multiplying the number of contracts by the contract multiplier by the price of the underlying index and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract.

Amounts outstanding at the end of the prior period are included in the average amount outstanding.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their

 

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June 30, 2020 (Unaudited)

 

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 a 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 Funds 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 Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of June 30, 2020, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Strategic Alpha Fund

 

Counterparty

  

Gross Amounts
of Assets

    

Offset
Amount

    

Net Asset
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

Bank of America, N.A.

   $ 581,705     $ (171,645 )    $ 410,060     $ (410,060 )    $ —  

Deutsche Bank AG

     6,376       —       6,376       —       6,376  

Morgan Stanley Capital Services, Inc.

     11,069       (11,069 )      —       —       —  

Standard Chartered Bank

     7,390       (7,390 )      —       —       —  

UBS AG

     547,691       (547,691 )      —       —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 1,154,231     $ (737,795 )    $ 416,436     $ (410,060 )    $ 6,376  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Counterparty

  

Gross Amounts
of Liabilities

    

Offset
Amount

    

Net
Liability
Balance

    

Collateral
(Received)/
Pledged

    

Net
Amount

  

Bank of America, N.A.

   $ (171,645 )    $ 171,645     $ —     $ —     $ —  

Barclays Bank PLC

     (73,114 )      —       (73,114 )      —       (73,114 ) 

HSBC Bank USA

     (24,330 )      —       (24,330 )      —       (24,330 ) 

JPMorgan

     (199,105 )      —       (199,105 )      —       (199,105 ) 

Morgan Stanley Capital Services, Inc.

     (2,414,843 )      11,069       (2,403,774 )      2,403,774       —  

Standard Chartered Bank

     (192,509 )      7,390       (185,119 )      —       (185,119 ) 

UBS AG

     (761,539 )      547,691       (213,848 )      130,000       (83,848 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ (3,837,085 )    $ 737,795     $ (3,099,290 )    $ 2,533,774     $ (565,516 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

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June 30, 2020 (Unaudited)

 

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to over collateralization. Timing differences may exist between when contracts under the ISDA agreements 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 each 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. A 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 clearing house, 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. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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 June 30, 2020:

 

Fund

   

Maximum Amount

of Loss - Gross

     

Maximum Amount

of Loss - Net

  

Strategic Alpha Fund

    $ 39,741,685      $ 36,060,056  

 

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Net loss amount reflects securities received as collateral of $495,789, which is recorded on the Statements of Assets and Liabilities. Securities received as collateral are valued in accordance with the Fund’s valuation policies.

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2020, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:

 

     U.S. Government/Agency
Securities		      Other Securities  

Fund

   

Purchases

     

Sales

     

Purchases

     

Sales

  

Strategic Alpha Fund

    $ 1,978,137,685      $ 1,978,781,831      $ 580,069,793      $ 810,692,063  

U.S. Equity Opportunities Fund

      —        —        141,667,509        266,749,558  

6.   Management Fees and Other Transactions with Affiliates.  

a.  Management Fees.  Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to U.S. Equity Opportunities Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.75% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into subadvisory agreements for the Fund as listed below.

 

U.S. Equity Opportunities Fund

    Harris Associates L.P. (“Harris”)
   Loomis, Sayles & Company, L.P. (“Loomis Sayles”)

Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis. Harris is a wholly-owned subsidiary of Natixis.

Under the terms of the subadvisory agreements, the Fund has agreed to pay its subadvisers a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Segment’s average daily net assets:

 

Fund

   

Subadviser

     

Percentage of
Average
Daily Net Assets

  

U.S. Equity Opportunities Fund

      

Large Cap Value Segment

      Harris        0.52 % 

All Cap Growth Segment

      Loomis Sayles        0.35 % 

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Loomis Sayles is the investment adviser to Strategic Alpha Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60% of the first $1.25 billion and 0.55% in excess of $1.25 billion of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit
as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

  

Strategic Alpha Fund

      1.00 %      1.75 %      0.70 %      0.75 % 

U.S. Equity Opportunities Fund

      1.20 %      1.95 %      0.90 %      0.95 % 

Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2020, the management fees for each Fund were as follows:

 

Fund

   

Gross
Management
Fees

     

Percentage of
Average Daily
Net Assets

  

Strategic Alpha Fund

    $ 3,471,713        0.60 % 

U.S. Equity Opportunities Fund

      3,186,374        0.75 % 

 

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No expenses were recovered for either Fund during the six months ended June 30, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the six months ended June 30, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Class C

  

Strategic Alpha Fund

    $ 45,114      $ 18,530      $ 55,591  

U.S. Equity Opportunities Fund

      684,083        83,319        249,956  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

 

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June 30, 2020 (Unaudited)

 

For the six months ended June 30, 2020, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

Strategic Alpha Fund

    $ 257,765  

U.S. Equity Opportunities Fund

      188,856  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

Strategic Alpha Fund

    $ 206,135  

U.S. Equity Opportunities Fund

      206,889  

As of June 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

Strategic Alpha Fund

    $ 189  

U.S. Equity Opportunities Fund

      1,999  

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

 

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e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2020 were as follows:

 

Fund

   

Commissions

  

Strategic Alpha Fund

    $ 96  

U.S. Equity Opportunities Fund

      13,039  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

 

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g.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to U.S. Equity Opportunities Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2020, Natixis Advisors reimbursed the Fund $735 for transfer agency expenses.

h.  Affiliated Ownership.  As of June 30, 2020, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Strategic Alpha Fund representing 0.25% of the Fund’s net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

i.  Interfund Transactions.  A Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common Trustees. For the six months ended June 30, 2020, U.S. Equity Opportunities Fund engaged in purchase transactions of $16,443 with an affiliate of Natixis in compliance with Rule 17a-7 of the 1940 Act pursuant to procedures adopted by the Board of Trustees.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

For the six months ended June 30, 2020, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

  

Strategic Alpha Fund

    $ 10,664      $ 4,343      $ 1,086      $ 203,946  

U.S. Equity Opportunities Fund

      230,511        28,037        735        98,359  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2020, neither Fund had borrowings under this agreement.

9.  Risk.  Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Funds’ investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Strategic Alpha Fund is non-diversified, which means it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

10.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%
Account Holders

     

Percentage of
Ownership

  

Strategic Alpha Fund

      4        51.15 % 

 

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June 30, 2020 (Unaudited)

 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

11.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Strategic Alpha Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      387,143     $ 3,678,184       4,057,576     $ 39,431,401  

Issued in connection with the reinvestment of distributions

      31,493       293,249       153,689       1,492,303  

Redeemed

      (2,269,796 )      (21,919,988 )      (2,971,674 )      (28,966,949 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,851,160 )    $ (17,948,555 )      1,239,591     $ 11,956,755  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      90,087     $ 857,558       166,733     $ 1,611,447  

Issued in connection with the reinvestment of distributions

      5,942       55,163       26,221       253,548  

Redeemed

      (343,473 )      (3,261,320 )      (1,308,080 )      (12,656,029 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (247,444 )    $ (2,348,599 )      (1,115,126 )    $ (10,791,034 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      20,996,996     $ 203,614,083       3,995,830     $ 38,781,677  

Issued in connection with the reinvestment of distributions

      391,492       3,630,872       905,302       8,768,965  

Redeemed

      (7,608,616 )      (71,071,353 )      (750,043 )      (7,281,454 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      13,779,872     $ 136,173,602       4,151,089     $ 40,269,188  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      8,901,676     $ 85,107,964       33,476,137     $ 325,247,908  

Issued in connection with the reinvestment of distributions

      729,957       6,752,426       2,397,834       23,222,284  

Redeemed

      (44,845,141 )      (427,501,136 )      (62,461,312 )      (606,867,293 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (35,213,508 )    $ (335,640,746 )      (26,587,341 )    $ (258,397,101 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (23,532,240 )    $ (219,764,298 )      (22,311,787 )    $ (216,962,192 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

11.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

U.S. Equity Opportunities Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      409,422     $ 13,227,163       1,147,417     $ 39,768,929  

Issued in connection with the reinvestment of distributions

      432,483       13,035,014       1,642,521       59,555,999  

Redeemed

      (1,907,189 )      (62,392,380 )      (2,797,920 )      (100,075,167 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,065,284 )    $ (36,130,203 )      (7,982 )    $ (750,239 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      158,507     $ 3,132,183       409,399     $ 9,361,060  

Issued in connection with the reinvestment of distributions

      118,950       2,179,158       443,035       10,083,593  

Redeemed

      (736,050 )      (14,725,630 )      (1,269,592 )      (29,351,029 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (458,593 )    $ (9,414,289 )      (417,158 )    $ (9,906,376 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      909     $ 36,105       14,461     $ 605,261  

Issued in connection with the reinvestment of distributions

      201       7,287       1,020       44,503  

Redeemed

      (8,321 )      (295,429 )      (506 )      (22,193 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (7,211 )    $ (252,037 )      14,975     $ 627,571  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class Y

 

Issued from the sale of shares

      1,167,168     $ 48,413,441       1,739,715     $ 72,112,902  

Issued in connection with the reinvestment of distributions

      106,921       3,863,059       514,088       22,126,509  

Redeemed

      (2,618,308 )      (102,204,831 )      (3,890,590 )      (163,012,984 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (1,344,219 )    $ (49,928,331 )      (1,636,787 )    $ (68,773,573 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (2,875,307 )    $ (95,724,860 )      (2,046,952 )    $ (78,802,617 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

    |  96

Table of Contents

LOGO

 

LOGO

 

Semiannual Report

June 30, 2020

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Municipal Bond Fund

Loomis Sayles Investment Grade Bond Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     17  
Financial Statements     58  
Notes to Financial Statements     76  

 

IMPORTANT NOTICE TO SHAREHOLDERS

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-225-5478. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.

Table of Contents

LOOMIS SAYLES HIGH INCOME FUND

 

Managers   Symbols
Matthew J. Eagan, CFA®   Class A    NEFHX
Brian P. Kennedy   Class C    NEHCX
Elaine M. Stokes   Class N    LSHNX
Todd P. Vandam, CFA®   Class Y    NEHYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

 

1  |

Table of Contents

Average Annual Total Returns — June 30, 20203

 

                                        Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Gross     Net  
     
Class Y (Inception 2/29/08)                
NAV     -4.39 %      -1.90 %      3.34 %      5.79 %      —       0.93 %      0.75 % 
     
Class A (Inception 2/22/84)                
NAV     -4.27       -2.14       3.07       5.54       —       1.18       1.00  
With 4.25% Maximum Sales Charge     -8.37       -6.32       2.18       5.07       —        
     
Class C (Inception 3/2/98)                
NAV     -4.85       -2.89       2.28       4.73       —       1.93       1.75  
With CDSC1     -5.77       -3.82       2.28       4.73       —        
     
Class N (Inception 11/30/16)                
NAV     -4.13       -1.85       —       —       3.80       0.82       0.70  
   
Comparative Performance                
Bloomberg Barclays U.S. Corporate High-Yield Bond Index2     -3.80       0.03       4.79       6.68       4.69                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

 

2

The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2

Table of Contents

LOOMIS SAYLES INTERMEDIATE MUNICIPAL BOND FUND

 

Managers   Symbols
Dawn Mangerson   Class A    MIMAX
James Grabovac, CFA®   Class C    MIMCX
Lawrence Jones   Class Y    MIMYX
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.

 

3  |

Table of Contents

Average Annual Total Returns — June 30, 20204

 

                                 Expense Ratios5  
     6 Months     1 Year     5 Years     Life of
Fund		     Gross     Net  
     
Class Y (Inception 12/31/12)1              
NAV     1.27 %      3.35 %      3.14 %      2.61 %      1.61 %      0.46 % 
     
Class A (Inception 12/31/12)1              
NAV     1.24       3.10       2.88       2.32       1.85       0.71  
With 3.00% Maximum Sales Charge     -1.78       0.00       2.25       1.90        
     
Class C (Inception 12/31/12)1              
NAV     0.88       2.34       2.12       1.57       2.61       1.46  
With CDSC2     -0.12       1.34       2.12       1.57                  
   
Comparative Performance              
Bloomberg Barclays Municipal Bond Index3     2.08       4.45       3.93       3.44                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

December 31, 2012 represents the date shares were first registered for public sale under the Securities Act of 1933. November 16, 2012 represents commencement of operations for accounting and financial reporting purposes only.

 

2

Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

3

Bloomberg Barclays Municipal Bond Index is a market value-weighted index of investment-grade municipal bonds with maturities of one year or more.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4

Table of Contents

LOOMIS SAYLES INVESTMENT GRADE BOND FUND

 

Managers      Symbols   
Matthew J. Eagan, CFA®      Class A    LIGRX
Brian P. Kennedy      Class C    LGBCX
Elaine M. Stokes      Class N    LGBNX
Loomis, Sayles & Company, L.P.      Class Y    LSIIX
     Admin Class    LIGAX

 

 

Investment Goal

The Fund seeks high total investment return through a combination of current income and capital appreciation.

 

5  |

Table of Contents

Average Annual Total Returns — June 30, 20203

 

                                        Expense Ratios4  
     6 Months     1 Year     5 Years     10 Years     Life of
Class N		     Gross     Net  
     
Class Y (Inception 12/31/96)                
NAV     5.59 %      8.31 %      4.76 %      5.11 %      —       0.56 %      0.51 % 
     
Class A (Inception 12/31/96)                
NAV     5.47       8.05       4.50       4.84       —       0.81       0.76  
With 4.25% Maximum Sales Charge     1.01       3.45       3.60       4.39       —        
     
Class C (Inception 9/12/03)                
NAV     5.06       7.23       3.70       4.06       —       1.56       1.51  
With CDSC1     4.06       6.23       3.70       4.06       —        
     
Class N (Inception 2/1/13)                
NAV     5.62       8.37       4.84       —       3.74       0.47       0.46  
     
Admin Class (Inception 2/1/10)                
NAV     5.36       7.80       4.26       4.60       —       1.06       1.01  
   
Comparative Performance                
Bloomberg Barclays U.S. Government/Credit Bond Index2     7.21       10.02       4.74       4.13       3.74                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

The Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes investment grade, US dollar denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg Barclays U.S. Aggregate Index.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  6

Table of Contents

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Forms N-PORT reports are available on the SEC’s website at www.sec.gov.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

7  |

Table of Contents

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2020 through June 30, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

The second line in the table of each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

 

|  8

Table of Contents
LOOMIS SAYLES HIGH INCOME FUND   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $957.30       $4.87  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.89       $5.02  
Class C        
Actual     $1,000.00       $951.50       $8.49  
Hypothetical (5% return before expenses)     $1,000.00       $1,016.16       $8.77  
Class N        
Actual     $1,000.00       $958.70       $3.41  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.38       $3.52  
Class Y        
Actual     $1,000.00       $956.10       $3.65  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.13       $3.77  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

LOOMIS SAYLES INTERMEDIATE
MUNICIPAL BOND FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $1,012.40       $3.50  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.38       $3.52  
Class C        
Actual     $1,000.00       $1,008.80       $7.24  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.65       $7.27  
Class Y        
Actual     $1,000.00       $1,012.70       $2.25  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.63       $2.26  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45% and 0.45% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

9  |

Table of Contents
LOOMIS SAYLES INVESTMENT GRADE
BOND FUND		   BEGINNING
ACCOUNT VALUE
1/1/2020		     ENDING
ACCOUNT VALUE
6/30/2020		     EXPENSES PAID
DURING PERIOD*
1/1/2020 – 6/30/2020		  
Class A        
Actual     $1,000.00       $1,054.70       $3.88  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.08       $3.82  
Class C        
Actual     $1,000.00       $1,050.60       $7.70  
Hypothetical (5% return before expenses)     $1,000.00       $1,017.36       $7.57  
Class N        
Actual     $1,000.00       $1,056.20       $2.35  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.58       $2.31  
Class Y        
Actual     $1,000.00       $1,055.90       $2.61  
Hypothetical (5% return before expenses)     $1,000.00       $1,022.33       $2.56  
Admin Class        
Actual     $1,000.00       $1,053.60       $5.16  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.84       $5.07  

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.76%, 1.51%, 0.46%, 0.51% and 1.01% for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 366 (to reflect the half-year period).

 

|  10

Table of Contents

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and Loomis Sayles Intermediate Municipal Bond Fund’s sub-advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, as applicable (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for

 

11  |    

Table of Contents

various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings. These updates have increased in frequency during the COVID-19 crisis.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2020. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

 

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The Board noted that, through December 31, 2019, each Fund’s one-, three- and five-year performance stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

    

Three-Year

    

Five-Year

  

Loomis Sayles High Income Fund

      70 %      62 %      80 % 

Loomis Sayles Intermediate Municipal Bond Fund

      50 %      46 %      55 % 

Loomis Sayles Investment Grade Bond Fund

      61 %      11 %      70 % 

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that more recent performance of the Loomis Sayles Intermediate Municipal Bond Fund has been stronger relative to its category; and (3) that the Loomis Sayles Investment Grade Bond Fund’s mid-term performance was strong relative to its category. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the COVID-19 crisis.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided both by management and by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation and the potential need to expend additional

 

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resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for a Fund under their respective expense limitation agreements. They further noted that management had proposed to reduce the expense limitation for Loomis Sayles Investment Grade Bond Fund on all share classes, effective as of July 1, 2020.

The Trustees noted that each of Loomis Sayles High Income Fund and Loomis Sayles Investment Grade Bond Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including that: (1) the advisory fee was only one basis point higher than the median of a peer group of funds for Loomis Sayles High Income Fund; (2) Loomis Sayles High Income Fund had an expense limitation reduction last year that was not fully captured in the comparison data; and (3) management had proposed to further reduce the expense limitation of Loomis Sayles Investment Grade Bond Fund, which had also been reduced last year.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations. With respect to economies of scale, the Trustees noted that Loomis Sayles Investment Grade Bond Fund has a breakpoint in its advisory fees and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Loomis Sayles Investment Grade Bond Fund. In considering these issues, the Trustees also took note of

 

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the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

·  

The effect of recent market and economic events, including but not limited to the COVID-19 crisis, on the performance, asset levels and expense ratios of each Fund.

 

·  

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

 

·  

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution and administrative services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

·  

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2021.

 

15  |    

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LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on December 1, 2018 and ending December 31, 2019 (including updates through June 30, 2020)

Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). The Loomis Sayles High Income Fund and the Loomis Sayles Investment Grade Bond Fund have established an HLIM.

During the period from December 1, 2018 to December 31, 2019, there were no material changes to the Program and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations during the period.

During the period January 1, 2020 through June 30, 2020, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board has been implemented effectively. The Program Administrator has also monitored, assessed and managed each Fund’s liquidity risk regularly and has determined that the Program is operating effectively.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Program, assessed its adequacy and effectiveness and described any material changes made to the Program.

 

    |  16

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 91.9% of Net Assets  
  Non-Convertible Bonds — 88.8%  
       ABS Car Loan — 0.1%  
$ 100,000      Prestige Auto Receivables Trust, Series 2019-1A, Class E,
3.900%, 5/15/2026, 144A		    $ 96,734  
     

 

 

  
       ABS Home Equity — 0.1%  
  147,019      DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A,
1-month LIBOR + 0.330%, 0.524%, 9/19/2045(a)		      107,331  
     

 

 

  
       Aerospace & Defense — 4.7%  
  20,000      Boeing Co. (The), 3.250%, 2/01/2035      18,236  
  55,000      Boeing Co. (The), 3.375%, 6/15/2046      45,596  
  45,000      Boeing Co. (The), 3.500%, 3/01/2039      40,080  
  20,000      Boeing Co. (The), 3.550%, 3/01/2038      18,214  
  25,000      Boeing Co. (The), 3.625%, 3/01/2048      21,968  
  5,000      Boeing Co. (The), 3.650%, 3/01/2047      4,342  
  30,000      Boeing Co. (The), 3.750%, 2/01/2050      26,936  
  535,000      Boeing Co. (The), 5.150%, 5/01/2030      596,541  
  535,000      Boeing Co. (The), 5.805%, 5/01/2050      631,827  
  640,000      Bombardier, Inc., 6.000%, 10/15/2022, 144A      448,000  
  360,000      Bombardier, Inc., 6.125%, 1/15/2023, 144A      247,608  
  135,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      119,543  
  25,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      22,125  
  638,000      Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A      739,110  
  383,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A      482,224  
  60,000      Moog, Inc., 4.250%, 12/15/2027, 144A      58,200  
  175,000      Signature Aviation U.S. Holdings, Inc., 4.000%, 3/01/2028, 144A      158,156  
  295,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      238,213  
  365,000      Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A      359,981  
  945,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      942,656  
  70,000      Wolverine Escrow LLC, 9.000%, 11/15/2026, 144A      50,400  
     

 

 

  
        5,269,956  
     

 

 

  
       Airlines — 0.4%  
  30,000      American Airlines Group, Inc., 5.000%, 6/01/2022, 144A      17,400  
  205,000      American Airlines, Inc., 11.750%, 7/15/2025, 144A      194,174  
  535,000      Latam Finance Ltd., 6.875%, 4/11/2024, 144A(b)      153,524  
  200,000      Latam Finance Ltd., 7.000%, 3/01/2026, 144A(b)      56,632  
     

 

 

  
        421,730  
     

 

 

  
       Automotive — 5.0%  
  145,000      American Axle & Manufacturing, Inc., 6.250%, 4/01/2025      142,463  
  260,000      Clarios Global LP/Clarios U.S. Finance Co.., 8.500%, 5/15/2027, 144A      261,287  
  170,000      Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A      172,550  
  20,000      Dana, Inc., 5.625%, 6/15/2028      19,854  
  255,000      Delphi Technologies PLC, 5.000%, 10/01/2025, 144A      273,806  
  685,000      Ford Motor Co., 8.500%, 4/21/2023      724,387  
  1,510,000      Ford Motor Co., 9.000%, 4/22/2025      1,634,122  
  200,000      Ford Motor Credit Co. LLC, 3.219%, 1/09/2022      194,542  

 

17  |   See accompanying notes to financial statements.  

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Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Automotive — continued  
$ 200,000      Ford Motor Credit Co. LLC, 4.250%, 9/20/2022    $ 196,042  
  200,000      Ford Motor Credit Co. LLC, 4.542%, 8/01/2026      189,500  
  200,000      Ford Motor Credit Co. LLC, 5.113%, 5/03/2029      194,366  
  200,000      Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026      190,436  
  65,000      General Motors Co., 5.000%, 4/01/2035      64,927  
  70,000      General Motors Co., 5.150%, 4/01/2038      67,093  
  450,000      General Motors Co., 6.250%, 10/02/2043      478,203  
  150,000      General Motors Co., 6.750%, 4/01/2046      163,388  
  90,000      General Motors Co., 6.800%, 10/01/2027      104,873  
  150,000      General Motors Financial Co., Inc., 3.700%, 5/09/2023      154,152  
  180,000      General Motors Financial Co., Inc., 3.950%, 4/13/2024      186,210  
  10,000      General Motors Financial Co., Inc., 4.250%, 5/15/2023      10,442  
  115,000      Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026      107,123  
     

 

 

  
        5,529,766  
     

 

 

  
       Banking — 1.3%  
  505,000      Ally Financial, Inc., 5.750%, 11/20/2025      540,370  
  400,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      371,596  
  265,000      Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A      279,245  
  200,000      UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A      201,626  
     

 

 

  
        1,392,837  
     

 

 

  
       Building Materials — 2.0%  
  260,000      American Builders & Contractors Supply Co., Inc., 4.000%, 1/15/2028, 144A      252,660  
  265,000      Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A      249,100  
  230,000      Cemex SAB de CV, 5.700%, 1/11/2025, 144A      224,825  
  445,000      James Hardie International Finance DAC, 5.000%, 1/15/2028, 144A      453,900  
  360,000      JELD-WEN, Inc., 4.625%, 12/15/2025, 144A      345,600  
  160,000      JELD-WEN, Inc., 4.875%, 12/15/2027, 144A      153,600  
  565,000      U.S. Concrete, Inc., 6.375%, 6/01/2024      557,938  
     

 

 

  
        2,237,623  
     

 

 

  
       Cable Satellite — 5.3%  
  350,000      Altice Financing S.A., 5.000%, 1/15/2028, 144A      347,676  
  80,000      Block Communications, Inc., 4.875%, 3/01/2028, 144A      79,023  
  230,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      234,600  
  165,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A      167,063  
  315,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A      322,305  
  205,000      Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A      194,237  
  605,000      CSC Holdings LLC, 4.125%, 12/01/2030, 144A      599,706  
  775,000      CSC Holdings LLC, 4.625%, 12/01/2030, 144A      752,804  
  150,000      DISH DBS Corp., 7.375%, 7/01/2028, 144A      150,185  
  415,000      DISH DBS Corp., 7.750%, 7/01/2026      439,900  
  600,000      Sirius XM Radio, Inc., 4.125%, 7/01/2030, 144A      593,376  
  1,000,000      Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A      1,040,170  
  235,000      ViaSat, Inc., 6.500%, 7/15/2028, 144A      235,049  
  225,000      Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A      219,985  

 

  See accompanying notes to financial statements.   |  18

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Cable Satellite — continued  
$ 536,000      Ziggo BV, 5.500%, 1/15/2027, 144A    $ 542,732  
     

 

 

  
        5,918,811  
     

 

 

  
       Chemicals — 2.3%  
  250,000      Chemours Co. (The), 5.375%, 5/15/2027      225,922  
  50,000      Chemours Co. (The), 7.000%, 5/15/2025      47,797  
  1,510,000      Hercules LLC, 6.500%, 6/30/2029      1,476,342  
  140,000      Hexion, Inc., 7.875%, 7/15/2027, 144A      127,400  
  20,000      Methanex Corp., 5.250%, 12/15/2029      17,644  
  230,000      Methanex Corp., 5.650%, 12/01/2044      181,194  
  185,000      Olin Corp., 5.000%, 2/01/2030      163,725  
  65,000      Olin Corp., 5.125%, 9/15/2027      60,775  
  5,000      Olin Corp., 5.625%, 8/01/2029      4,600  
  200,000      PolyOne Corp., 5.750%, 5/15/2025, 144A      205,750  
     

 

 

  
        2,511,149  
     

 

 

  
       Construction Machinery — 0.3%  
  280,000      United Rentals North America, Inc., 4.625%, 10/15/2025      281,400  
     

 

 

  
       Consumer Cyclical Services — 4.4%  
  335,000      Expedia Group, Inc., 3.250%, 2/15/2030      312,335  
  405,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      431,436  
  205,000      Expedia Group, Inc., 7.000%, 5/01/2025, 144A      213,088  
  420,000      Prime Security Services Borrower LLC/Prime Finance, Inc.,
6.250%, 1/15/2028, 144A		      395,850  
  10,000      QVC, Inc., 4.450%, 2/15/2025      9,803  
  10,000      QVC, Inc., 4.850%, 4/01/2024      10,066  
  135,000      Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A      135,027  
  350,000      ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      378,770  
  300,000      Staples, Inc., 7.500%, 4/15/2026, 144A      235,725  
  410,000      Uber Technologies, Inc., 7.500%, 9/15/2027, 144A      411,025  
  2,315,000      Uber Technologies, Inc., 8.000%, 11/01/2026, 144A      2,355,512  
     

 

 

  
        4,888,637  
     

 

 

  
       Consumer Products — 0.4%  
  115,000      Mattel, Inc., 5.875%, 12/15/2027, 144A      118,450  
  65,000      Newell Brands, Inc., 4.875%, 6/01/2025      68,074  
  175,000      Prestige Brands, Inc., 5.125%, 1/15/2028, 144A      172,375  
  85,000      Valvoline, Inc., 4.375%, 8/15/2025, 144A      85,425  
     

 

 

  
        444,324  
     

 

 

  
       Diversified Manufacturing — 0.5%  
  200,000      Vertical U.S. Newco, Inc., 5.250%, 7/15/2027, 144A      200,000  
  155,000      WESCO Distribution, Inc., 7.125%, 6/15/2025, 144A      163,235  
  215,000      WESCO Distribution, Inc., 7.250%, 6/15/2028, 144A      227,363  
     

 

 

  
        590,598  
     

 

 

  
       Electric — 2.0%  
  125,000      AES Corp. (The), 5.125%, 9/01/2027      129,688  
  150,000      AES Corp. (The), 6.000%, 5/15/2026      155,812  

 

19  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Electric — continued  
$ 720,000      Calpine Corp., 5.125%, 3/15/2028, 144A    $ 705,600  
  602,000      Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter),
8.750%, 9/24/2073, 144A		      683,998  
  35,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      36,750  
  80,000      NRG Energy, Inc., 5.750%, 1/15/2028      84,400  
  140,000      PG&E Corp., 5.000%, 7/01/2028      139,958  
  135,000      PG&E Corp., 5.250%, 7/01/2030      135,770  
  160,000      Talen Energy Supply LLC, 10.500%, 1/15/2026, 144A      126,400  
     

 

 

  
        2,198,376  
     

 

 

  
       Finance Companies — 3.6%  
  180,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025      188,731  
  120,000      Navient Corp., 5.000%, 3/15/2027      100,800  
  465,000      Navient Corp., 6.500%, 6/15/2022      456,863  
  320,000      Navient Corp., 6.750%, 6/25/2025      305,200  
  315,000      Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A      294,525  
  1,355,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      1,398,197  
  15,000      Springleaf Finance Corp., 5.375%, 11/15/2029      14,025  
  10,000      Springleaf Finance Corp., 6.625%, 1/15/2028      9,900  
  700,000      Springleaf Finance Corp., 7.125%, 3/15/2026      724,493  
  120,000      Springleaf Finance Corp., 8.875%, 6/01/2025      128,286  
  405,000      Unifin Financiera SAB de CV, 7.250%, 9/27/2023, 144A      328,852  
     

 

 

  
        3,949,872  
     

 

 

  
       Financial Other — 1.9%  
  230,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024      216,246  
  1,320,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      1,273,800  
  120,000      Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A      114,000  
  175,000      Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023, 144A      179,585  
  330,000      Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A      348,767  
     

 

 

  
        2,132,398  
     

 

 

  
       Food & Beverage — 2.6%  
  45,000      Aramark Services, Inc., 4.750%, 6/01/2026      43,312  
  65,000      Aramark Services, Inc., 5.000%, 2/01/2028, 144A      61,750  
  165,000      Aramark Services, Inc., 6.375%, 5/01/2025, 144A      170,384  
  330,000      JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A      334,125  
  495,000      Kraft Heinz Foods Co., 4.375%, 6/01/2046      485,664  
  545,000      Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A      554,982  
  275,000      Kraft Heinz Foods Co., 5.000%, 6/04/2042      289,742  
  10,000      Kraft Heinz Foods Co., 5.200%, 7/15/2045      10,845  
  75,000      Kraft Heinz Foods Co., 5.500%, 6/01/2050, 144A      79,947  
  70,000      Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A      74,166  
  200,000      NBM U.S Holdings, Inc., 6.625%, 8/06/2029, 144A      202,940  
  225,000      Performance Food Group, Inc., 5.500%, 10/15/2027, 144A      217,125  
  15,000      Post Holdings, Inc., 5.500%, 12/15/2029, 144A      15,512  
  335,000      Post Holdings, Inc., 5.750%, 3/01/2027, 144A      345,887  
     

 

 

  
        2,886,381  
     

 

 

  

 

  See accompanying notes to financial statements.   |  20

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Gaming — 3.3%  
$  375,000      Boyd Gaming Corp., 4.750%, 12/01/2027, 144A    $ 322,500  
  175,000      Boyd Gaming Corp., 6.375%, 4/01/2026      166,250  
  140,000      Caesars Resort Collection LLC/CRC Finco, Inc., 5.250%, 10/15/2025, 144A      121,800  
  100,000      Colt Merger Sub, Inc., 5.750%, 7/01/2025, 144A      100,570  
  220,000      Colt Merger Sub, Inc., 6.250%, 7/01/2025, 144A      218,625  
  120,000      Colt Merger Sub, Inc., 8.125%, 7/01/2027, 144A      115,950  
  290,000      International Game Technology PLC, 5.250%, 1/15/2029, 144A      283,243  
  200,000      International Game Technology PLC, 6.250%, 1/15/2027, 144A      205,000  
  205,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028      194,750  
  70,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.750%, 2/01/2027      71,750  
  350,000      MGM Resorts International, 5.500%, 4/15/2027      336,875  
  155,000      Scientific Games International, Inc., 7.000%, 5/15/2028, 144A      124,000  
  160,000      Scientific Games International, Inc., 7.250%, 11/15/2029, 144A      128,000  
  270,000      VICI Properties LP/VICI Note Co., Inc., 4.125%, 8/15/2030, 144A      257,513  
  575,000      Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A      526,125  
  250,000      Wynn Macau Ltd., 5.125%, 12/15/2029, 144A      242,500  
  215,000      Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A      192,156  
     

 

 

  
        3,607,607  
     

 

 

  
       Government Owned – No Guarantee — 0.6%  
  260,000      Petroleos Mexicanos, 5.950%, 1/28/2031, 144A      214,539  
  130,000      Petroleos Mexicanos, 6.625%, 6/15/2035      105,781  
  530,000      YPF S.A., 6.950%, 7/21/2027, 144A      371,000  
     

 

 

  
        691,320  
     

 

 

  
       Healthcare — 5.2%  
  65,000      CHS/Community Health Systems, Inc., 6.250%, 3/31/2023      61,181  
  745,000      CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A      700,300  
  300,000      CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A      283,560  
  300,000      Encompass Health Corp., 4.500%, 2/01/2028      287,736  
  170,000      HCA, Inc., 7.050%, 12/01/2027      190,400  
  655,000      HCA, Inc., 7.500%, 12/15/2023      730,325  
  145,000      HCA, Inc., 7.500%, 11/06/2033      176,175  
  480,000      HCA, Inc., 8.360%, 4/15/2024      552,000  
  515,000      HCA, Inc., MTN, 7.750%, 7/15/2036      605,125  
  290,000      MPH Acquisition Holdings LLC, 7.125%, 6/01/2024, 144A      269,700  
  125,000      Polaris Intermediate Corp., 8.500%, (9.250% PIK or
8.500% Cash), 12/01/2022, 144A(c)		      110,000  
  655,000      Rede D’or Finance S.a.r.l., 4.500%, 1/22/2030, 144A      576,400  
  90,000      Select Medical Corp., 6.250%, 8/15/2026, 144A      90,986  
  100,000      Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A      97,420  
  390,000      Tenet Healthcare Corp., 5.125%, 5/01/2025      376,432  
  510,000      Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A      503,217  
  210,000      Tenet Healthcare Corp., 6.750%, 6/15/2023      208,425  
     

 

 

  
        5,819,382  
     

 

 

  

 

21  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Home Construction — 0.8%  
$ 215,000      Brookfield Residential Properties, Inc./Brookfield Residential U.S Corp., 4.875%, 2/15/2030, 144A    $ 179,666  
  1,200,000      Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(b)(d)(e)(f)      —  
  230,000      KB Home, 4.800%, 11/15/2029      225,975  
  245,000      Mattamy Group Corp., 4.625%, 3/01/2030, 144A      236,214  
  185,000      Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A      190,550  
  90,000      TRI Pointe Group, Inc., 5.700%, 6/15/2028      91,350  
     

 

 

  
        923,755  
     

 

 

  
       Independent Energy — 6.4%  
  460,000      Aker BP ASA, 5.875%, 3/31/2025, 144A      467,521  
  255,000      Apache Corp., 4.250%, 1/15/2030      220,437  
  300,000      Apache Corp., 4.250%, 1/15/2044      228,098  
  125,000      Apache Corp., 4.750%, 4/15/2043      100,636  
  55,000      Apache Corp., 5.100%, 9/01/2040      45,185  
  1,025,000      Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A(f)(g)      20,500  
  90,000      California Resources Corp., 5.500%, 9/15/2021(f)(g)(h)      900  
  41,000      California Resources Corp., 6.000%, 11/15/2024(b)(f)(g)      410  
  950,000      California Resources Corp., 8.000%, 12/15/2022, 144A(b)(f)(g)      37,402  
  195,000      Centennial Resource Production LLC, 8.000%, 6/01/2025, 144A      165,766  
  130,000      Comstock Resources, Inc., 9.750%, 8/15/2026      121,225  
  185,000      Continental Resources, Inc., 3.800%, 6/01/2024      172,979  
  255,000      Continental Resources, Inc., 4.375%, 1/15/2028      224,456  
  120,000      Continental Resources, Inc., 4.500%, 4/15/2023      114,864  
  160,000      Continental Resources, Inc., 4.900%, 6/01/2044      127,400  
  25,000      Diamondback Energy, Inc., 3.500%, 12/01/2029      24,214  
  55,000      EQT Corp., 6.125%, 2/01/2025      54,809  
  175,000      EQT Corp., 7.000%, 2/01/2030      180,255  
  200,000      Hess Corp., 5.600%, 2/15/2041      210,092  
  130,000      MEG Energy Corp., 7.125%, 2/01/2027, 144A      108,063  
  425,000      Montage Resources Corp., 8.875%, 7/15/2023      335,750  
  130,000      Murphy Oil Corp., 6.375%, 12/01/2042      100,867  
  302,000      Oasis Petroleum, Inc., 6.875%, 3/15/2022(f)(g)      49,830  
  215,000      Occidental Petroleum Corp., 2.700%, 8/15/2022      200,154  
  240,000      Occidental Petroleum Corp., 2.700%, 2/15/2023      218,700  
  840,000      Occidental Petroleum Corp., 2.900%, 8/15/2024      717,763  
  40,000      Occidental Petroleum Corp., 3.000%, 2/15/2027      31,008  
  20,000      Occidental Petroleum Corp., 3.400%, 4/15/2026      16,250  
  620,000      Occidental Petroleum Corp., 3.500%, 6/15/2025      523,900  
  70,000      Occidental Petroleum Corp., 3.500%, 8/15/2029      51,212  
  70,000      Occidental Petroleum Corp., 4.400%, 8/15/2049      48,300  
  145,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      132,343  
  110,000      Occidental Petroleum Corp., 8.500%, 7/15/2027      109,862  
  100,000      Occidental Petroleum Corp., 8.875%, 7/15/2030      99,875  
  90,000      Parsley Energy LLC/Parsley Finance Corp., 5.250%, 8/15/2025, 144A      86,432  
  110,000      Parsley Energy LLC/Parsley Finance Corp., 5.375%, 1/15/2025, 144A      107,008  
  265,000      Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027, 144A      261,025  
  50,000      Range Resources Corp., 5.000%, 3/15/2023      43,000  

 

  See accompanying notes to financial statements.   |  22

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Independent Energy — continued  
$ 85,000      Range Resources Corp., 9.250%, 2/01/2026, 144A    $ 76,420  
  305,000      Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A      268,400  
  206,000      SM Energy Co., 10.000%, 1/15/2025, 144A      195,706  
  200,000      Southwestern Energy Co., 6.200%, 1/23/2025      171,250  
  30,000      Southwestern Energy Co., 7.500%, 4/01/2026      26,259  
  20,000      Southwestern Energy Co., 7.750%, 10/01/2027      17,400  
  210,000      Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A      127,050  
  50,000      Viper Energy Partners LP, 5.375%, 11/01/2027, 144A      49,046  
  405,000      Whiting Petroleum Corp., 5.750%, 3/15/2021(b)(f)(g)      77,963  
  50,000      Whiting Petroleum Corp., 6.250%, 4/01/2023(b)(f)(g)      8,679  
  805,000      Whiting Petroleum Corp., 6.625%, 1/15/2026(b)(f)(g)      142,887  
  60,000      WPX Energy, Inc., 5.250%, 10/15/2027      56,051  
  100,000      WPX Energy, Inc., 5.875%, 6/15/2028      96,095  
     

 

 

  
        7,071,697  
     

 

 

  
       Industrial Other — 0.5%  
  65,000      Hillenbrand, Inc., 5.750%, 6/15/2025      67,275  
  325,000      HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A      328,692  
  130,000      Installed Building Products, Inc., 5.750%, 2/01/2028, 144A      130,000  
     

 

 

  
        525,967  
     

 

 

  
       Integrated Energy — 0.4%  
  85,000      Cenovus Energy, Inc., 3.000%, 8/15/2022      82,658  
  30,000      Cenovus Energy, Inc., 4.250%, 4/15/2027      27,171  
  20,000      Cenovus Energy, Inc., 5.250%, 6/15/2037      17,295  
  200,000      Cenovus Energy, Inc., 5.400%, 6/15/2047      171,695  
  200,000      Geopark Ltd., 6.500%, 9/21/2024, 144A      182,638  
     

 

 

  
        481,457  
     

 

 

  
       Leisure — 0.5%  
  330,000      Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A      283,869  
  300,000      Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A      273,000  
     

 

 

  
        556,869  
     

 

 

  
       Lodging — 1.3%  
  75,000      Hyatt Hotels Corp., 5.375%, 4/23/2025      79,475  
  135,000      Hyatt Hotels Corp., 5.750%, 4/23/2030      148,435  
  145,000      Marriott International, Inc., 4.625%, 6/15/2030      150,454  
  605,000      Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028, 144A      549,267  
  10,000      Marriott Ownership Resorts, Inc., 6.125%, 9/15/2025, 144A      10,225  
  275,000      Marriott Ownership Resorts, Inc./ILG LLC, 6.500%, 9/15/2026      277,063  
  20,000      Wyndham Destinations, Inc., 3.900%, 3/01/2023      18,671  
  255,000      Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A      234,600  
     

 

 

  
        1,468,190  
     

 

 

  
       Media Entertainment — 4.1%       
  160,000      Clear Channel Worldwide Holdings, Inc., 9.250%, 2/15/2024      148,416  
  720,000      Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A      521,100  
  120,000      Gray Television, Inc., 5.125%, 10/15/2024, 144A      120,000  

 

23  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Media Entertainment — continued       
$ 275,000      iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A    $ 253,687  
  119,931      iHeartCommunications, Inc., 6.375%, 5/01/2026      118,732  
  1,171,125      iHeartCommunications, Inc., 8.375%, 5/01/2027      1,073,184  
  335,000      Lamar Media Corp., 3.750%, 2/15/2028, 144A      315,838  
  125,000      Lamar Media Corp., 4.000%, 2/15/2030, 144A      119,650  
  305,000      Meredith Corp., 6.875%, 2/01/2026      253,611  
  915,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      981,337  
  105,000      Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A      104,219  
  120,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A      108,600  
  160,000      Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A      161,048  
  170,000      Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A      162,987  
  100,000      Univision Communications, Inc., 6.625%, 6/01/2027, 144A      95,500  
     

 

 

  
        4,537,909  
     

 

 

  
       Metals & Mining — 4.5%       
  205,000      ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028      189,598  
  60,000      Allegheny Technologies, Inc., 5.875%, 12/01/2027      55,500  
  245,000      ArcelorMittal S.A., 7.000%, 3/01/2041      286,540  
  65,000      ArcelorMittal S.A., 7.250%, 10/15/2039      77,675  
  435,000      Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A      456,293  
  190,000      Commercial Metals Co., 4.875%, 5/15/2023      191,425  
  265,000      First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A      250,094  
  1,035,000      First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A      980,662  
  210,000      First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A      201,075  
  265,000      FMG Resources (August 2006) Pty Ltd., 5.125%, 5/15/2024, 144A      272,950  
  470,000      Freeport-McMoRan, Inc., 4.125%, 3/01/2028      455,900  
  555,000      Freeport-McMoRan, Inc., 4.250%, 3/01/2030      538,350  
  435,000      Mineral Resources Ltd., 8.125%, 5/01/2027, 144A      462,188  
  440,000      Novelis Corp., 4.750%, 1/30/2030, 144A      420,200  
  125,000      United States Steel Corp., 6.250%, 3/15/2026      79,063  
  75,000      United States Steel Corp., 6.875%, 8/15/2025      51,000  
     

 

 

  
        4,968,513  
     

 

 

  
       Midstream — 4.3%       
  80,000      Buckeye Partners LP, 5.600%, 10/15/2044      64,000  
  55,000      Buckeye Partners LP, 5.850%, 11/15/2043      47,729  
  40,000      DCP Midstream Operating LP, 5.125%, 5/15/2029      38,375  
  70,000      DCP Midstream Operating LP, 5.375%, 7/15/2025      69,475  
  230,000      DCP Midstream Operating LP, 5.625%, 7/15/2027      231,438  
  75,000      Enable Midstream Partners LP, 4.400%, 3/15/2027      69,862  
  160,000      Enable Midstream Partners LP, 4.950%, 5/15/2028      148,207  
  185,000      Energy Transfer Operating LP, 5.000%, 5/15/2050      175,706  
  385,000      EnLink Midstream Partners LP, 5.050%, 4/01/2045      239,778  
  205,000      EnLink Midstream Partners LP, 5.450%, 6/01/2047      127,059  
  435,000      EnLink Midstream Partners LP, 5.600%, 4/01/2044      265,350  
  195,000      EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A      197,519  
  200,000      EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A      204,844  
  80,000      EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028      76,200  

 

  See accompanying notes to financial statements.   |  24

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Midstream — continued       
$ 320,000      Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028    $ 284,800  
  840,000      Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A      831,172  
  105,000      NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025      79,275  
  115,000      Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047      115,059  
  335,000      Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,
6.000%, 3/01/2027, 144A		      297,312  
  95,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023      90,725  
  285,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023      277,875  
  255,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030, 144A      246,233  
  360,000      Western Midstream Operating LP, 3.100%, 2/01/2025      341,100  
  200,000      Western Midstream Operating LP, 4.050%, 2/01/2030      192,518  
  5,000      Western Midstream Operating LP, 5.250%, 2/01/2050      4,327  
  20,000      Western Midstream Operating LP, 5.450%, 4/01/2044      16,656  
     

 

 

  
        4,732,594  
     

 

 

  
       Non-Agency Commercial Mortgage-Backed Securities — 1.3%       
  100,000      CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.685%, 11/15/2031, 144A(a)(f)(g)      70,136  
  225,000      CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.685%, 11/15/2031, 144A(a)(f)(g)      141,220  
  1,020,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A      767,171  
  380,000      Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.685%, 11/15/2027, 144A(a)(f)(g)      239,322  
  420,000      Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.585%, 11/15/2027, 144A(a)(d)(e)(f)      190,690  
  125,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E,
4.966%, 6/15/2045, 144A(i)		      51,942  
     

 

 

  
        1,460,481  
     

 

 

  
       Oil Field Services — 0.6%       
  935,000      McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.625%, 5/01/2024, 144A(b)      60,775  
  160,000      Noble Holding International Ltd., 5.250%, 3/15/2042(f)(g)      4,800  
  620,000      Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A      279,000  
  212,925      Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A      185,189  
  110,500      Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A      100,555  
     

 

 

  
        630,319  
     

 

 

  
       Packaging — 1.2%       
  570,000      ARD Finance S.A., 6.500%, (7.250% PIK or 6.500% Cash), 6/30/2027, 144A(c)      563,944  
  500,000      Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
5.250%, 8/15/2027, 144A		      491,190  
  290,000      Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A      262,963  
     

 

 

  
        1,318,097  
     

 

 

  

 

25  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Pharmaceuticals — 4.2%       
$ 30,000      Bausch Health Americas, Inc., 8.500%, 1/31/2027, 144A    $ 31,838  
  400,000      Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A      376,596  
  910,000      Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A      863,363  
  40,000      Bausch Health Cos., Inc., 5.500%, 3/01/2023, 144A      40,000  
  36,000      Bausch Health Cos., Inc., 5.875%, 5/15/2023, 144A      35,910  
  420,000      Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A      422,100  
  145,000      Bausch Health Cos., Inc., 7.250%, 5/30/2029, 144A      152,250  
  280,000      Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026, 144A      284,256  
  315,000      Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A      203,175  
  206,000      Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.500%, 7/31/2027, 144A      217,886  
  170,000      Jaguar Holding Co. II/PPD Development LP, 5.000%, 6/15/2028, 144A      174,038  
  77,000      Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A      79,017  
  180,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      160,718  
  1,970,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      1,654,800  
     

 

 

  
        4,695,947  
     

 

 

  
       Property & Casualty Insurance — 1.0%       
  45,000      AmWINS Group, Inc., 7.750%, 7/01/2026, 144A      47,250  
  200,000      Ardonagh Midco 2 PLC, 11.500%, 1/15/2027, 144A      201,000  
  780,000      Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A      814,710  
     

 

 

  
        1,062,960  
     

 

 

  
               
       Refining — 0.5%       
  405,000      Parkland Corp., 5.875%, 7/15/2027, 144A      420,188  
  135,000      Parkland Corp., 6.000%, 4/01/2026, 144A      138,375  
     

 

 

  
        558,563  
     

 

 

  
               
   REITs – Diversified — 0.3%   
  350,000      iStar, Inc., 5.250%, 9/15/2022      339,500  
     

 

 

  
   REITs – Hotels — 0.3%   
  5,000      Service Properties Trust, 4.350%, 10/01/2024      4,506  
  5,000      Service Properties Trust, 4.500%, 6/15/2023      4,787  
  5,000      Service Properties Trust, 4.650%, 3/15/2024      4,519  
  290,000      Service Properties Trust, 4.750%, 10/01/2026      256,565  
  30,000      Service Properties Trust, 7.500%, 9/15/2025      31,606  
     

 

 

  
        301,983  
     

 

 

  
   REITs – Mortgage — 1.0%   
  285,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      228,000  
  10,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A      9,500  
  725,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A      625,095  
  285,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A      282,150  
     

 

 

  
        1,144,745  
     

 

 

  

 

  See accompanying notes to financial statements.   |  26

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   REITs – Regional Malls — 0.5%   
$  645,000      Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.750%, 5/15/2026, 144A    $ 545,025  
     

 

 

  
   Restaurants — 0.6%   
  400,000      1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A      392,076  
  270,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      274,050  
     

 

 

  
        666,126  
     

 

 

  
   Retailers — 1.6%   
  75,000      Asbury Automotive Group, Inc., 4.500%, 3/01/2028, 144A      72,750  
  83,000      Asbury Automotive Group, Inc., 4.750%, 3/01/2030, 144A      80,925  
  55,000      AutoNation, Inc., 4.750%, 6/01/2030      59,596  
  140,000      L Brands, Inc., 5.250%, 2/01/2028      110,763  
  105,000      L Brands, Inc., 6.750%, 7/01/2036      86,100  
  390,000      L Brands, Inc., 6.875%, 11/01/2035      324,441  
  105,000      Murphy Oil USA, Inc., 4.750%, 9/15/2029      107,363  
  805,000      PetSmart, Inc., 7.125%, 3/15/2023, 144A      793,634  
  40,000      PetSmart, Inc., 8.875%, 6/01/2025, 144A      40,098  
  125,000      William Carter Co. (The), 5.625%, 3/15/2027, 144A      128,750  
     

 

 

  
        1,804,420  
     

 

 

  
   Supermarkets — 0.3%   
  365,000      Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC,
4.875%, 2/15/2030, 144A		      373,442  
     

 

 

  
   Technology — 4.0%   
  180,000      Broadcom, Inc., 4.300%, 11/15/2032, 144A      197,492  
  335,000      Camelot Finance S.A., 4.500%, 11/01/2026, 144A      335,000  
  290,000      CDW LLC/CDM Finance Corp., 4.250%, 4/01/2028      295,527  
  825,000      CommScope Technologies LLC, 5.000%, 3/15/2027, 144A      743,077  
  100,000      CommScope Technologies LLC, 6.000%, 6/15/2025, 144A      96,570  
  385,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      384,076  
  160,000      Dun & Bradstreet Corp. (The), 6.875%, 8/15/2026, 144A      168,650  
  245,000      Iron Mountain, Inc., 4.875%, 9/15/2029, 144A      238,263  
  50,000      NCR Corp., 8.125%, 4/15/2025, 144A      53,000  
  530,000      Nokia OYJ, 4.375%, 6/12/2027      560,009  
  110,000      Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A      107,525  
  110,000      Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A      110,000  
  170,000      PTC, Inc., 3.625%, 2/15/2025, 144A      168,725  
  245,000      PTC, Inc., 4.000%, 2/15/2028, 144A      242,579  
  275,000      Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A      253,000  
  370,000      Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A      389,887  
  15,000      Science Applications International Corp., 4.875%, 4/01/2028, 144A      14,911  
  55,000      Seagate HDD Cayman, 4.125%, 1/15/2031, 144A      57,793  
     

 

 

  
        4,416,084  
     

 

 

  
       Wireless — 2.0%       
  710,000      Altice France Holding S.A., 10.500%, 5/15/2027, 144A      784,756  
  265,000      IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A      270,295  
  345,000      Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A      348,688  

 

27  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Wireless — continued       
$ 200,000      Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A    $ 201,040  
  550,000      Sprint Capital Corp., 6.875%, 11/15/2028      669,625  
     

 

 

  
        2,274,404  
     

 

 

  
       Wirelines — 0.6%       
  25,000      CenturyLink, Inc., 5.125%, 12/15/2026, 144A      24,938  
  130,000      Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028      125,369  
  120,000      Telecom Italia Capital S.A., 7.200%, 7/18/2036      142,800  
  130,000      Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/2025, 144A      131,725  
  235,000      Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.250%, 10/15/2023      222,075  
     

 

 

  
        646,907  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $103,265,446)		      98,482,186  
     

 

 

  
  Convertible Bonds — 3.1%   
       Cable Satellite — 1.4%       
  335,000      DISH Network Corp., 2.375%, 3/15/2024      299,774  
  1,365,000      DISH Network Corp., 3.375%, 8/15/2026      1,253,909  
     

 

 

  
        1,553,683  
     

 

 

  
       Diversified Manufacturing — 0.3%       
  455,000      Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024      374,452  
     

 

 

  
       Healthcare — 0.2%       
  260,000      Integra LifeSciences Holdings Corp.,
0.500%, 8/15/2025, 144A		      236,834  
     

 

 

  
       Independent Energy — 0.0%       
  645,000      Chesapeake Energy Corp., 5.500%, 9/15/2026(b)(f)(g)      17,015  
     

 

 

  
       Oil Field Services — 0.3%       
  315,000      Nabors Industries, Inc., 0.750%, 1/15/2024      113,551  
  395,000      Oil States International, Inc., 1.500%, 2/15/2023      198,148  
     

 

 

  
        311,699  
     

 

 

  
       Pharmaceuticals — 0.5%       
  145,000      Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024, 144A      128,700  
  165,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      201,640  
  70,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A      81,464  
  130,000      Flexion Therapeutics, Inc., 3.375%, 5/01/2024      107,006  
     

 

 

  
        518,810  
     

 

 

  
       Technology — 0.4%       
  185,000      Avaya Holdings Corp., 2.250%, 6/15/2023      151,785  
  370,000      CalAmp Corp., 2.000%, 8/01/2025      290,669  
     

 

 

  
        442,454  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $4,791,096)		      3,454,947  
     
     

 

 

  
   Total Bonds and Notes
(Identified Cost $108,056,542)		      101,937,133  
     

 

 

  

 

  See accompanying notes to financial statements.   |  28

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Collateralized Loan Obligations — 0.2%   
$  250,000     

Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR, 3-month LIBOR + 2.250%, 3.241%, 4/27/2027, 144A(a)

(Identified Cost $220,000)

    $ 220,724  
     

 

 

  
  Loan Participations — 0.1%   
       ABS Other — 0.1%w       
  294,855      Harbour Aircraft Investments Ltd., Series 2017-1, Class C,
8.000%, 11/15/2037 (d)(e)
(Identified Cost $294,218)		      133,422  
     

 

 

  
     
Shares                
  Preferred Stocks — 1.4%   
       Banking — 0.1%       
  83      Bank of America Corp., Series L, 7.250%      111,402  
     

 

 

  
       Food & Beverage — 1.3%       
  16,069      Bunge Ltd., 4.875%      1,433,355  
     

 

 

  
       Midstream — 0.0%       
  137      Chesapeake Energy Corp., 5.750%(d)(e)(f)      —  
  20      Chesapeake Energy Corp., 5.750%, 144A(d)(e)(f)      —  
  988      Chesapeake Energy Corp., 5.750%(d)(e)(f)      —  
     

 

 

  
        —  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $2,503,819)		      1,544,757  
     

 

 

  
     
  Common Stocks — 0.3%   
       Chemicals — 0.1%       
  12,177      Hexion Holdings Corp., Class B(h)      86,006  
     

 

 

  
       Media — 0.2%       
  41,970      Clear Channel Outdoor Holdings, Inc.(h)      43,649  
  17,204      iHeartMedia, Inc., Class A(h)      143,653  
     

 

 

  
        187,302  
     

 

 

  
       Oil, Gas & Consumable Fuels — 0.0%       
  3,650      Battalion Oil Corp.(h)      34,675  
     

 

 

  
   Total Common Stocks
(Identified Cost $1,402,430)		      307,983  
     

 

 

  
     
  Other Investments — 0.1%   
       Aircraft ABS — 0.1%       
  100      ECAF I Blocker Ltd.(d)(e)(f)(j)
(Identified Cost $1,000,000)		      125,500  
     

 

 

  
     
  Warrants — 0.0%   
  466      iHeartMedia, Inc., Expiration on 5/1/2039(h)
(Identified Cost $7,398)		      4,078  
     

 

 

  

 

29  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
  Short-Term Investments — 6.1%   
$ 6,786,496      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $6,786,496 on 7/01/2020 collateralized by $6,430,800 U.S. Treasury Note,1.625% due 2/15/2026 valued at $6,922,264 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $6,786,496)		    $ 6,786,496  
     

 

 

  
   Total Investments — 100.1%
(Identified Cost $120,270,903)		      111,060,093  
   Other assets less liabilities — (0.1)%      (125,484 ) 
     

 

 

  
   Net Assets — 100.0%    $ 110,934,609  
     

 

 

  
     
  (†)     

See Note 2 of Notes to Financial Statements.

 

  (a)      Variable rate security. Rate as of June 30, 2020 is disclosed.

 

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

 

  (c)      Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended June 30, 2020, interest payments were made in cash.

 

  (d)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (e)      Fair valued by the Fund’s adviser. At June 30, 2020, the value of these securities amounted to $449,612 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.

 

  (f)      Illiquid security.   
  (g)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2020, the value of these securities amounted to $811,064 or 0.7% of net assets. See Note 2 of Notes to Financial Statements.

 

  (h)      Non-income producing security.   
  (i)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2020 is disclosed.

 

  (j)      Securities subject to restriction on resale. At June 30, 2020, the restricted securities held by the Fund are as follows:

 

 

     Acquisition
Date		      Acquisition Cost    Value      % of Net
Assets		  
ECAF I Blocker Ltd.      12/20/2016      $1,000,000    $ 125,500        0.1 % 

 

  144A     

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the value of Rule 144A holdings amounted to $60,232,990 or 54.3% of net assets.

   
  ABS     

Asset-Backed Securities

   
  GMTN     

Global Medium Term Note

   
  LIBOR     

London Interbank Offered Rate

   
  MTN     

Medium Term Note

   
  PIK      Payment-in-Kind   
  REITs      Real Estate Investment Trusts   

 

  See accompanying notes to financial statements.   |  30

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles High Income Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

Cable Satellite

      6.7 % 

Independent Energy

      6.4  

Healthcare

      5.4  

Automotive

      5.0  

Aerospace & Defense

      4.7  

Pharmaceuticals

      4.7  

Metals & Mining

      4.5  

Consumer Cyclical Services

      4.4  

Technology

      4.4  

Midstream

      4.3  

Media Entertainment

      4.1  

Food & Beverage

      3.9  

Finance Companies

      3.6  

Gaming

      3.3  

Chemicals

      2.4  

Wireless

      2.0  

Building Materials

      2.0  

Electric

      2.0  

Other Investments, less than 2% each

      20.0  

Short-Term Investments

      6.1  

Collateralized Loan Obligations

      0.2  
  

 

 

  

Total Investments

      100.1  

Other assets less liabilities

      (0.1 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

31  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 97.5% of Net Assets   
  Municipals — 97.5%   
       Colorado — 9.0%       
$     260,000      Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033    $ 296,650  
  400,000      Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026      444,668  
  250,000      Denver City & County, Airport System Revenue, Series A, AMT,
5.000%, 11/15/2030		      305,842  
  500,000      Regional Transportation District Sales Tax Revenue, Series A, 5.000%, 11/01/2028      652,515  
  500,000      State of Colorado, Certificate of Participation, Series A, 4.000%, 12/15/2035      609,270  
     

 

 

  
        2,308,945  
     

 

 

  
       Connecticut — 1.6%       
  375,000      Connecticut State Health & Educational Facilities Authority, University of New Haven, Series K-1, 5.000%, 7/01/2033      403,462  
     

 

 

  
       Delaware — 1.5%       
  250,000      University of Delaware, Revenue Bond, 5.000%, 11/01/2043      391,100  
     

 

 

  
       Florida — 12.4%       
  500,000      Alachua County School Board, Certificate of Participation, (AGM Insured), 5.000%, 7/01/2028      636,705  
  340,000      Bay County School Board, Certificate of Participation, Series A, (AGM Insured), 5.000%, 7/01/2033      436,750  
  235,000      City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027      262,448  
  95,000      City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028      107,167  
  200,000      Clay County, Sales Surtax Revenue, 4.000%, 10/01/2039      232,212  
  500,000      Fernandina Beach Utility System Revenue, Refunding, Series A,
5.000%, 9/01/2027		      567,530  
  400,000      Sarasota County Utility System Revenue, 5.000%, 10/01/2023      460,076  
  400,000      Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025      467,564  
     

 

 

  
        3,170,452  
     

 

 

  
       Georgia — 1.1%       
  250,000      Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027      277,725  
     

 

 

  
   Illinois — 4.5%   
  540,000      Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031      592,051  
  500,000      Chicago O’Hare International Airport, Series C, AMT, 5.000%, 1/01/2046      550,730  
     

 

 

  
        1,142,781  
     

 

 

  
   Louisiana — 2.0%   
  200,000      New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035      233,034  
  250,000      New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036      290,347  
     

 

 

  
        523,381  
     

 

 

  

 

  See accompanying notes to financial statements.   |  32

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Michigan — 2.9%   
$     600,000      University of Michigan, 5.000%, 4/01/2032    $ 732,960  
     

 

 

  
   Nebraska — 1.3%   
  250,000      Douglas County Hospital Authority No. 2, Series A, 5.000%, 11/15/2030      323,575  
     

 

 

  
   Nevada — 4.3%   
  500,000      City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026      589,230  
  240,000      Las Vegas Convention & Visitors Authority, Refunding, Series C,
5.000%, 7/01/2032		      260,266  
  200,000      Washoe County School District, GO, Series A, 5.000%, 10/01/2025      241,310  
     

 

 

  
        1,090,806  
     

 

 

  
   New Jersey — 3.4%   
  265,000      New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023      301,334  
  500,000      New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032      568,330  
     

 

 

  
        869,664  
     

 

 

  
   New Mexico — 2.3%   
  500,000      New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031      580,920  
     

 

 

  
   New York — 3.0%   
  500,000      Metropolitan Transportation Authority, Series D, 4.000%, 11/15/2032      530,600  
  200,000      New York State Dormitory Authority, Series D, 4.000%, 2/15/2038      234,518  
     

 

 

  
        765,118  
     

 

 

  
   North Carolina — 2.5%   
  180,000      Buncombe County, Limited Obligation, Revenue, Series A, 4.000%, 6/01/2034      218,162  
  400,000      North Carolina Agricultural & Technical University System Revenue, Series A, 4.000%, 10/01/2045      418,240  
     

 

 

  
        636,402  
     

 

 

  
   Ohio — 7.0%   
  500,000      Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023      572,000  
  500,000      Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024      568,230  
  500,000      Ohio State University (The), Series A, 5.000%, 12/01/2026      634,880  
     

 

 

  
        1,775,110  
     

 

 

  
   Pennsylvania — 1.2%   
  270,000      Allegheny County Higher Education Building Authority, Refunding, Series A, 5.000%, 3/01/2029      305,743  
     

 

 

  
   Rhode Island — 2.2%   
  500,000      Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024      573,695  
     

 

 

  
   Tennessee — 2.3%   
  500,000      Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030      588,255  
     

 

 

  

 

33  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
   Texas — 22.2%   
$     1,000,000      Bexar County TX, GO, Series B, Prerefunded 6/15/2023@100, 5.000%, 6/15/2043    $ 1,137,430  
  500,000      Dallas TX Waterworks & Sewer System Revenue, Series C, 4.000%, 10/01/2037      611,690  
  500,000      Grand Parkway Transportation Corp, Series A, Prerefunded 10/01/2023@100, 5.500%, 4/01/2053      582,715  
  1,000,000      Houston TX Combined Utility System Revenue, Refunding, Series A, (AGM Insured), Zero Coupon, 12/01/2025      951,240  
  300,000      Lower Colorado River Authority, Refunding, 5.000%, 5/15/2030      390,822  
  500,000      New Braunfels TX Utility System Revenue, 5.000%, 7/01/2029      650,515  
  400,000      Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024      452,344  
  250,000      Texas City Independent School District, GO, (PSF-GTD), 4.000%, 8/15/2034      298,010  
  500,000      Texas Public Finance Authority, Refunding, 4.000%, 2/01/2034      606,640  
     

 

 

  
        5,681,406  
     

 

 

  
   Utah — 3.1%   
  500,000      Utah County Hospital Revenue, IHC Health Services, Inc., Series A, 4.000%, 5/15/2043      582,425  
  180,000      Utah Transit Authority Sales Tax Revenue, Series A, Prerefunded 06/15/2025@100, 5.000%, 6/15/2038      220,466  
     

 

 

  
        802,891  
     

 

 

  
   Washington — 6.7%   
  500,000      King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032      590,005  
  500,000      Port of Seattle Revenue, AMT, 5.000%, 7/01/2029      546,730  
  500,000      Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031      578,025  
     

 

 

  
        1,714,760  
     

 

 

  
   Wisconsin — 1.0%   
  225,000      Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031      257,112  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $23,713,768)		      24,916,263  
     

 

 

  
     
  Short-Term Investments — 6.6%   
  1,673,044      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $1,673,044 on 7/01/2020 collateralized by $1,512,300 U.S. Treasury Note, 2.500% due 2/28/2026 valued at $1,706,605 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,673,044)      1,673,044  
     

 

 

  
   Total Investments — 104.1%
(Identified Cost $25,386,812)		      26,589,307  
   Other assets less liabilities — (4.1)%      (1,044,767 ) 
     

 

 

  
   Net Assets — 100.0%    $ 25,544,540  
     

 

 

  
     
  (†)      See Note 2 of Notes to Financial Statements.   
     
  AGM      Assured Guaranty Municipal Corporation   
  AMT      Alternative Minimum Tax   
  GO      General Obligation   

 

  See accompanying notes to financial statements.   |  34

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Intermediate Municipal Bond Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

Hospitals

      15.5 % 

Higher Education

      13.2  

Water and Sewer

      11.5  

Primary Secondary Education

      11.3  

General Purpose Public Improvement

      11.1  

Airports

      9.8  

Mass Rapid Transportation

      5.4  

Toll Roads, Streets & Highways

      4.5  

Pre-Refunded

      4.4  

Combined Utilities

      3.7  

Other Transportation

      2.4  

Pollution Control

      2.2  

Other Investments, less than 2% each

      2.5  

Short-Term Investments

      6.6  
  

 

 

  

Total Investments

      104.1  

Other assets less liabilities

      (4.1 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

35  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

 

Principal
Amount		      Description    Value (†)  
  Bonds and Notes — 92.9% of Net Assets   
  Non-Convertible Bonds — 92.0%   
       ABS Car Loan — 6.5%       
$ 763,318      Ally Auto Receivables Trust, Series 2017-3, Class A3, 1.740%, 9/15/2021    $ 763,721  
  16,590,000      Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023      17,018,342  
  7,865,000      American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A      7,896,770  
  1,965,000      AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024      2,043,910  
  10,515,000      AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024      10,902,556  
  25,880,000      AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025      26,540,714  
  12,340,000      AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025      12,422,230  
  3,655,000      Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A, 2.970%, 3/20/2024, 144A      3,666,553  
  3,650,000      CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025      3,681,129  
  13,585,000      CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025      13,747,424  
  5,811,000      CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025      5,797,043  
  2,315,000      CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026      2,338,494  
  4,625,000      CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026      4,459,966  
  1,800,000      Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A      1,800,880  
  23,320,000      Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A      23,989,377  
  6,555,000      Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026      6,833,239  
  16,395,000      Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026      16,712,502  
  3,700,000      Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026      3,759,946  
  10,760,000      DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A      11,083,520  
  3,950,000      DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A      3,972,953  
  3,400,000      DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A      3,415,596  
  3,790,000      First Investors Auto Owner Trust, Series 2019-1A, Class D,
3.550%, 4/15/2025, 144A		      3,868,708  
  4,610,000      Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A      4,629,558  
  601,916      Ford Credit Auto Owner Trust, Series 2017-B, Class A3, 1.690%, 11/15/2021      603,537  
  30,600,000      Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024      30,642,409  
  8,555,000      GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A      8,731,520  
  15,645,000      GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023      15,989,409  
  6,255,000      GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024      6,400,717  
  355,594      Honda Auto Receivables Owner Trust, Series 2017-2, Class A3, 1.680%, 8/16/2021      356,566  
  3,925,000      Honda Auto Receivables Owner Trust, Series 2017-2, Class A4, 1.870%, 9/15/2023      3,945,383  

 

  See accompanying notes to financial statements.   |  36

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Car Loan — continued       
$ 5,925,000      Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023    $ 6,087,342  
  6,655,000      Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024      6,840,128  
  18,955,000      Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024      18,963,606  
  12,815,000      Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028      14,085,248  
  27,665,000      Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025      28,453,898  
  6,995,000      Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025      7,175,442  
  8,455,000      Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025      8,438,261  
  1,570,837      Toyota Auto Receivables Owner Trust, Series 2017-B, Class A3, 1.760%, 7/15/2021      1,573,127  
  545,122      Toyota Auto Receivables Owner Trust, Series 2018-C, Class A2A, 2.770%, 8/16/2021      546,338  
  15,495,000      Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A      15,950,231  
     

 

 

  
        366,128,293  
     

 

 

  
       ABS Credit Card — 0.5%       
  8,000,000      American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024      8,334,768  
  6,170,000      Capital One Multi-Asset Execution Trust, Series 2017-A4, Class A4, 1.990%, 7/17/2023      6,190,246  
  11,730,000      Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024      12,186,732  
     

 

 

  
        26,711,746  
     

 

 

  
       ABS Home Equity — 5.0%       
  15,451,000      American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A      17,042,325  
  2,894,558      Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(a)      2,867,549  
  1,250,000      Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(a)      1,323,291  
  5,241,121      Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 1.086%, 11/16/2066, 144A(b)      5,196,619  
  1,938,472      Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)      1,943,039  
  458,277      Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(a)      461,569  
  5,190,085      Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)      5,175,078  
  7,194,564      Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(a)      7,612,685  

 

37  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Home Equity — continued       
$ 2,434,000      CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A    $ 2,366,276  
  5,473,728      CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A      5,615,185  
  2,929,000      CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A      2,888,401  
  1,259,000      CoreVest American Finance Trust, Series 2020-2, Class C, 4.845%, 5/15/2052, 144A(a)      1,186,786  
  3,910,531      GCAT LLC, Series 2019-3, Class A1, 3.352%, 10/25/2049, 144A(a)      3,810,287  
  4,210,451      GCAT LLC, Series 2020-1, Class A1, 2.981%, 1/26/2060, 144A(a)      4,070,443  
  8,490,559      GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)      8,782,596  
  748,516      Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.810%, 8/25/2060, 144A(b)      747,239  
  1,761,450      Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A      1,712,230  
  1,538,294      Home Partners of America Trust, Series 2018-1, Class A, 1-month LIBOR + 0.900%, 1.094%, 7/17/2037, 144A(b)      1,515,692  
  2,812,947      Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A      2,778,145  
  2,597,969      Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A      2,498,389  
  3,050,000      Invitation Homes Trust, Series 2018-SFR4, Class D, 1-month LIBOR + 1.650%, 1.844%, 1/17/2038, 144A(b)      2,977,721  
  7,020,000      Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(a)      7,176,918  
  895,000      Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(a)      913,192  
  11,095,973      Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(a)      11,036,285  
  3,914,770      Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)      3,974,261  
  7,998,613      Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)      7,922,290  
  1,467,786      Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(a)      1,540,116  
  2,744,944      Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(a)      2,856,265  
  4,606,568      Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(a)      4,849,648  
  11,456,919      Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(a)      11,989,577  
  5,822,501      OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(a)      5,881,077  
  3,036,667      Preston Ridge Partners Mortgage LLC, Series 2019-3A, Class A1, 3.351%, 7/25/2024, 144A(a)      3,052,399  
  5,221,311      Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(a)      5,225,870  

 

  See accompanying notes to financial statements.   |  38

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Home Equity — continued       
$ 12,047,619      Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)    $ 11,971,388  
  3,708,000      Progress Residential Trust, Series 2017-SFR2, Class E,
4.142%, 12/17/2034, 144A		      3,748,331  
  1,332,000      Progress Residential Trust, Series 2018-SFR2, Class E,
4.656%, 8/17/2035, 144A		      1,364,485  
  2,290,000      Progress Residential Trust, Series 2018-SFR3, Class D,
4.427%, 10/17/2035, 144A		      2,358,052  
  2,830,000      Progress Residential Trust, Series 2019-SFR1, Class D,
4.168%, 8/17/2035, 144A		      2,927,886  
  4,732,000      Progress Residential Trust, Series 2019-SFR2, Class D,
3.794%, 5/17/2036, 144A		      4,862,426  
  3,860,000      Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A      3,926,105  
  155,000      Progress Residential Trust, Series 2020-SFR2, Class C,
3.077%, 6/18/2037, 144A		      155,165  
  5,660,150      RCO V Mortgage LLC, Series 2019-1, Class A1, 3.721%, 5/24/2024, 144A(a)      5,672,417  
  2,539,340      Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(a)      2,635,458  
  4,764,141      Sequoia Mortgage Trust, Series 2019-CH2, Class A1,
4.500%, 8/25/2049, 144A(a)		      4,896,513  
  4,930,000      Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a)      5,024,527  
  6,390,000      Towd Point Mortgage Trust, Series 2017-5, Class M2,
1-month LIBOR + 1.500%, 1.685%, 2/25/2057, 144A(b)		      5,876,229  
  2,912,729      Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(a)      2,933,853  
  1,176,765      Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, 2/25/2055, 144A(a)      1,190,729  
  1,775,000      Towd Point Mortgage Trust, Series 2018-4, Class A2,
3.000%, 6/25/2058, 144A(a)		      1,793,704  
  12,015,000      Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(a)      12,189,900  
  10,140,609      Towd Point Mortgage Trust, Series 2019-4, Class A1,
2.900%, 10/25/2059, 144A(a)		      10,666,885  
  3,325,000      Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(a)      3,087,578  
  2,575,000      Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A      2,574,809  
  11,350,088      Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A, 3.278%, 11/25/2049, 144A(a)      11,337,259  
  11,338,972      Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(a)      11,342,950  
  4,333,836      Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(a)      4,326,198  
  8,738,496      Vericrest Opportunity Loan Trust, Series 2020-NPL1, Class A1A, 3.228%, 1/25/2050, 144A(a)      8,684,198  

 

39  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Home Equity — continued       
$ 5,805,726      Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A, 2.981%, 2/25/2050, 144A(a)    $ 5,750,362  
     

 

 

  
        280,286,850  
     

 

 

  
       ABS Other — 3.2%       
  39,262,848      FAN Engine Securitization Ltd., Series 2013-1A, Class 1A,
4.625%, 10/15/2043, 144A(c)(d)(e)		      26,306,108  
  12,075,372      Horizon Aircraft Finance I Ltd., Series 2018-1, Class A,
4.458%, 12/15/2038, 144A		      10,894,630  
  2,854,171      Horizon Aircraft Finance II Ltd., Series 2019-1, Class A,
3.721%, 7/15/2039, 144A		      2,510,593  
  1,975,000      HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A      1,970,686  
  3,645,000      HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A      3,574,076  
  1,980,000      HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A      2,013,238  
  7,716,390      Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A,
4.250%, 12/15/2038, 144A		      6,443,246  
  13,651,536      MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A      11,932,818  
  3,966,854      MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A      3,490,205  
  13,610,000      Mariner Finance Issuance Trust, Series 2018-AA, Class A, 4.200%, 11/20/2030, 144A      13,624,074  
  3,774,682      Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A      3,789,292  
  1,516,541      Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A      1,530,679  
  8,040,000      OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A      7,618,928  
  7,292,000      OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A      7,640,179  
  15,030,945      S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A      13,298,105  
  840,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day ARS, 3.685%, 9/15/2032(b)      803,271  
  1,295,000      SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day ARS, 3.671%, 9/15/2032(b)      1,230,597  
  13,765,000      SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A      13,895,011  
  3,659,000      SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A      3,681,057  
  6,720,000      SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A      6,652,470  
  6,805,000      SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A      6,820,117  
  12,755,000      SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A      12,797,525  
  7,370,000      SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A      7,306,729  
  11,358,397      SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.200%, 5/27/2036, 144A      11,427,581  
     

 

 

  
        181,251,215  
     

 

 

  

 

  See accompanying notes to financial statements.   |  40

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Student Loan — 0.9%       
$ 9,239,552      ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A    $ 9,469,418  
  6,910,000      Navient Student Loan Trust, Series 2018-EA, Class A2,
4.000%, 12/15/2059, 144A		      7,197,238  
  699,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.694%, 6/15/2032(b)      664,827  
  519,000      SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day ARS, 3.679%, 6/15/2032(b)      496,731  
  1,020,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.678%, 3/15/2033(b)      1,007,419  
  696,000      SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.674%, 3/15/2033(b)      662,133  
  2,500,000      SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A      2,570,920  
  565,000      SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A      558,730  
  1,525,000      SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A      1,539,663  
  10,385,000      SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A      10,854,564  
  16,265,000      SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A      16,798,731  
     

 

 

  
        51,820,374  
     

 

 

  
       ABS Whole Business — 1.8%       
  10,147,903      Adams Outdoor Advertising LP, Series 2018-1, Class A,
4.810%, 11/15/2048, 144A		      10,316,112  
  3,595,000      Adams Outdoor Advertising LP, Series 2018-1, Class B,
5.653%, 11/15/2048, 144A		      3,573,963  
  26,044,500      Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A      24,912,432  
  7,242,273      DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A      7,831,286  
  2,371,200      Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A      2,557,339  
  132,638      Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048, 144A      141,198  
  5,218,058      Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A      5,675,159  
  4,014,825      Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A      4,205,891  
  1,229,900      Driven Brands Funding LLC, Series 2018-1A, Class A2,
4.739%, 4/20/2048, 144A		      1,301,615  
  3,441,438      Driven Brands Funding LLC, Series 2019-1A, Class A2,
4.641%, 4/20/2049, 144A		      3,640,972  
  741,275      Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A      638,579  
  17,493,600      Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2,
4.540%, 2/25/2044, 144A		      18,316,238  
  13,391,075      Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.318%, 11/25/2048, 144A      13,676,037  

 

41  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       ABS Whole Business — continued       
$ 3,663,000      Wingstop Funding LLC, Series 2018-1, Class A2, 4.970%, 12/05/2048, 144A    $ 3,818,311  
     

 

 

  
        100,605,132  
     

 

 

  
       Aerospace & Defense — 3.6%       
  13,620,000      BAE Systems PLC, 3.400%, 4/15/2030, 144A      14,834,461  
  3,780,000      Boeing Co. (The), 2.250%, 6/15/2026      3,653,325  
  4,874,000      Boeing Co. (The), 2.950%, 2/01/2030      4,803,606  
  655,000      Boeing Co. (The), 3.100%, 5/01/2026      667,434  
  3,225,000      Boeing Co. (The), 3.200%, 3/01/2029      3,192,908  
  540,000      Boeing Co. (The), 3.250%, 2/01/2035      492,373  
  1,615,000      Boeing Co. (The), 3.375%, 6/15/2046      1,338,870  
  1,427,000      Boeing Co. (The), 3.500%, 3/01/2039      1,270,969  
  850,000      Boeing Co. (The), 3.550%, 3/01/2038      774,094  
  838,000      Boeing Co. (The), 3.625%, 3/01/2048      736,378  
  146,000      Boeing Co. (The), 3.650%, 3/01/2047      126,797  
  5,350,000      Boeing Co. (The), 3.750%, 2/01/2050      4,803,497  
  2,981,000      Boeing Co. (The), 3.850%, 11/01/2048      2,665,536  
  4,795,000      Boeing Co. (The), 3.950%, 8/01/2059      4,201,956  
  8,060,000      Boeing Co. (The), 5.150%, 5/01/2030      8,987,141  
  8,060,000      Boeing Co. (The), 5.805%, 5/01/2050      9,518,744  
  6,600,000      Embraer Netherlands Finance BV, 5.050%, 6/15/2025      5,844,300  
  5,385,000      Embraer Netherlands Finance BV, 5.400%, 2/01/2027      4,765,725  
  6,885,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025, 144A      7,475,903  
  4,245,000      Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A      4,730,141  
  650,000      Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039      818,396  
  1,335,000      Spirit AeroSystems, Inc., 4.600%, 6/15/2028      1,078,012  
  29,075,000      Textron, Inc., 3.000%, 6/01/2030      28,946,269  
  78,795,000      Textron, Inc., 5.950%, 9/21/2021      81,641,105  
  225,000      TransDigm, Inc., 5.500%, 11/15/2027      196,358  
  2,705,000      TransDigm, Inc., 6.250%, 3/15/2026, 144A      2,698,292  
  895,000      TransDigm, Inc., 8.000%, 12/15/2025, 144A      940,636  
     

 

 

  
        201,203,226  
     

 

 

  
       Airlines — 1.0%       
  2,610,811      Air Canada Pass Through Trust, Series 2013-1, Class B,
5.375%, 11/15/2022, 144A		      2,362,810  
  7,501,343      American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025      4,961,986  
  13,114,780      American Airlines Pass Through Certificates, Series 2016-3, Class A, 3.250%, 4/15/2030      10,716,518  
  1,597,035      American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027      1,119,505  
  5,519,963      American Airlines Pass Through Certificates, Series 2017-2, Class A, 3.600%, 4/15/2031      4,489,166  
  3,557,335      American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027      2,470,897  
  1,882,463      American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025      1,319,117  

 

  See accompanying notes to financial statements.   |  42

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Airlines — continued       
$ 22,651,757      American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029    $ 15,755,203  
  6,826,572      British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A      5,641,001  
  324,173      Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022      326,342  
  999,864      Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024      975,957  
  4,442,801      Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024      4,168,629  
  858,872      Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025      435,878  
  2,654,461      United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031      2,116,578  
     

 

 

  
        56,859,587  
     

 

 

  
       Automotive — 2.4%       
  18,836,000      Cummins, Inc., 5.650%, 3/01/2098      22,001,390  
  5,274,000      Cummins, Inc., 6.750%, 2/15/2027      6,707,896  
  13,420,000      General Motors Co., 6.250%, 10/02/2043      14,261,069  
  1,780,000      General Motors Co., 6.800%, 10/01/2027      2,074,163  
  5,825,000      General Motors Financial Co., Inc., 3.150%, 6/30/2022      5,926,185  
  3,150,000      General Motors Financial Co., Inc., 3.450%, 1/14/2022      3,201,608  
  3,469,000      General Motors Financial Co., Inc., 3.550%, 7/08/2022      3,556,640  
  15,120,000      General Motors Financial Co., Inc., 3.950%, 4/13/2024      15,641,670  
  1,595,000      General Motors Financial Co., Inc., 4.300%, 7/13/2025      1,662,884  
  38,060,000      Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022      39,426,908  
  4,750,000      Volkswagen Group of America Finance LLC, 2.500%, 9/24/2021, 144A      4,825,676  
  12,005,000      Volkswagen Group of America Finance LLC, 2.700%, 9/26/2022, 144A      12,401,122  
  2,895,000      Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A      3,089,648  
     

 

 

  
        134,776,859  
     

 

 

  
       Banking — 7.9%       
  300,000      Ally Financial, Inc., 3.875%, 5/21/2024      310,192  
  39,613,000      Ally Financial, Inc., 4.625%, 3/30/2025      42,279,697  
  2,835,000      Ally Financial, Inc., 5.750%, 11/20/2025      3,033,559  
  1,468,000      Ally Financial, Inc., 8.000%, 11/01/2031      1,856,298  
  10,155,000      Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A      11,113,632  
  49,304,000      Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028      54,917,360  
  100,000      Bank of America Corp., MTN, 4.250%, 10/22/2026      114,706  
  25,627,000      Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027      29,329,021  
  4,287,000      Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030      4,866,663  
  22,500,000      BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A      25,083,612  
  460,000      Capital One Financial Corp., 4.200%, 10/29/2025      510,980  
  1,230,000      Citigroup, Inc., 4.125%, 7/25/2028      1,393,248  
  7,155,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A      7,867,137  
  14,200,000      Danske Bank A/S, 5.375%, 1/12/2024, 144A      15,802,080  

 

43  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Banking — continued       
$ 3,390,000      Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A    $ 3,524,339  
  13,075,000      Danske Bank A/S, (fixed rate to 9/20/2021, variable rate thereafter), 3.001%, 9/20/2022, 144A      13,278,295  
  2,640,000      Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032      2,452,534  
  70,245,000      JPMorgan Chase & Co., 4.125%, 12/15/2026      81,755,965  
  28,715,000      JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031      35,005,665  
  100,000      KeyBank NA, 6.950%, 2/01/2028      129,079  
  5,900,000      Morgan Stanley, 5.750%, 1/25/2021      6,076,185  
  1,845,000      Morgan Stanley, GMTN, 4.350%, 9/08/2026      2,127,433  
  20,695,000      Morgan Stanley, MTN, 4.100%, 5/22/2023      22,365,460  
  15,160,000      Santander Holdings USA, Inc., 3.244%, 10/05/2026      15,750,042  
  20,295,000      Societe Generale S.A., 4.250%, 4/14/2025, 144A      21,507,626  
  21,340,000      Standard Chartered PLC, 3-month LIBOR + 1.150%, 2.285%, 1/20/2023, 144A(b)      21,331,037  
  7,090,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A      8,012,950  
  7,580,000      Synchrony Financial, 2.850%, 7/25/2022      7,709,499  
  3,865,000      Synchrony Financial, 4.375%, 3/19/2024      4,045,523  
     

 

 

  
        443,549,817  
     

 

 

  
       Brokerage — 1.6%       
  50,270,000      Jefferies Group LLC, 5.125%, 1/20/2023      54,554,030  
  19,498,000      Jefferies Group LLC, 6.250%, 1/15/2036      22,338,589  
  8,760,000      Jefferies Group LLC, 6.450%, 6/08/2027      10,279,611  
     

 

 

  
        87,172,230  
     

 

 

  
       Building Materials — 0.8%       
  835,000      CEMEX Finance LLC, 6.000%, 4/01/2024, 144A      826,400  
  5,955,000      Cemex SAB de CV, 5.450%, 11/19/2029, 144A      5,500,633  
  1,665,000      Cemex SAB de CV, 5.700%, 1/11/2025, 144A      1,627,538  
  460,000      Cemex SAB de CV, 7.750%, 4/16/2026, 144A      469,637  
  3,285,000      Ferguson Finance PLC, 3.250%, 6/02/2030, 144A      3,365,484  
  23,975,000      Owens Corning, 7.000%, 12/01/2036      30,634,214  
  2,655,000      Vulcan Materials Co., 3.500%, 6/01/2030      2,892,167  
     

 

 

  
        45,316,073  
     

 

 

  
       Cable Satellite — 2.4%       
  2,826,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A      2,882,520  
  315,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A      318,938  
  550,000      CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A      580,250  
  2,711,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.750%, 2/15/2028      2,955,294  
  567,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.200%, 3/15/2028      635,994  
  30,810,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050      34,101,183  

 

  See accompanying notes to financial statements.   |  44

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Cable Satellite — continued       
$ 860,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.050%, 3/30/2029    $ 1,015,150  
  6,695,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048      8,334,261  
  10,320,000      Cox Communications, Inc., 4.500%, 6/30/2043, 144A      12,193,769  
  5,820,000      Cox Communications, Inc., 4.700%, 12/15/2042, 144A      7,186,075  
  240,000      CSC Holdings LLC, 5.750%, 1/15/2030, 144A      249,960  
  2,360,000      CSC Holdings LLC, 6.500%, 2/01/2029, 144A      2,581,250  
  745,000      CSC Holdings LLC, 7.750%, 7/15/2025, 144A      774,874  
  470,000      Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A      481,750  
  2,416,000      Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A      2,469,321  
  455,000      Sirius XM Radio, Inc., 5.375%, 4/15/2025, 144A      467,285  
  865,000      Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A      893,320  
  200,000      Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A      210,524  
  13,630,000      Time Warner Cable LLC, 4.125%, 2/15/2021      13,786,252  
  17,891,000      Time Warner Cable LLC, 4.500%, 9/15/2042      19,048,586  
  15,815,000      Time Warner Cable LLC, 5.500%, 9/01/2041      19,075,395  
  800,000      Videotron Ltd., 5.000%, 7/15/2022      826,000  
  2,185,000      Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A      2,235,124  
  1,600,000      Ziggo BV, 5.500%, 1/15/2027, 144A      1,620,096  
     

 

 

  
        134,923,171  
     

 

 

  
       Chemicals — 0.9%       
  6,990,000      Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A      6,395,850  
  27,205,000      CF Industries, Inc., 4.500%, 12/01/2026, 144A      29,916,128  
  3,740,000      FMC Corp., 3.450%, 10/01/2029      4,055,407  
  2,075,000      FMC Corp., 4.500%, 10/01/2049      2,438,270  
  8,145,000      LYB International Finance III LLC, 4.200%, 10/15/2049      8,760,965  
     

 

 

  
        51,566,620  
     

 

 

  
       Consumer Cyclical Services — 1.4%       
  20,300,000      Amazon.com, Inc., 2.500%, 6/03/2050      20,840,382  
  9,850,000      Booking Holdings, Inc., 4.500%, 4/13/2027      11,313,363  
  16,000,000      Booking Holdings, Inc., 4.625%, 4/13/2030      18,885,120  
  1,205,000      eBay, Inc., 4.000%, 7/15/2042      1,311,549  
  15,200,000      Expedia Group, Inc., 3.250%, 2/15/2030      14,171,643  
  5,385,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      5,736,496  
  2,755,000      Expedia Group, Inc., 7.000%, 5/01/2025, 144A      2,863,692  
  4,402,000      IHS Markit Ltd., 4.250%, 5/01/2029      5,060,495  
     

 

 

  
        80,182,740  
     

 

 

  
       Consumer Products — 0.3%       
  7,458,000      Hasbro, Inc., 6.600%, 7/15/2028      9,072,600  
  4,580,000      Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A      4,614,259  
     

 

 

  
        13,686,859  
     

 

 

  
       Diversified Manufacturing — 0.7%       
  15,225,000      Carrier Global Corp., 2.722%, 2/15/2030, 144A      15,291,115  
  10,335,000      Carrier Global Corp., 3.577%, 4/05/2050, 144A      10,172,861  

 

45  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Diversified Manufacturing — continued       
$ 6,010,000      General Electric Co., 3.625%, 5/01/2030    $ 6,016,795  
  2,865,000      General Electric Co., 4.350%, 5/01/2050      2,833,498  
  5,305,000      General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 1.519%, 5/13/2024(b)      4,953,647  
     

 

 

  
        39,267,916  
     

 

 

  
       Electric — 2.7%       
  3,695,000      AES Corp. (The), 3.950%, 7/15/2030, 144A      3,907,463  
  1,850,000      AES Corp. (The), 5.125%, 9/01/2027      1,919,375  
  585,000      AES Corp. (The), 5.500%, 4/15/2025      600,146  
  200,000      AES Corp. (The), 6.000%, 5/15/2026      207,750  
  18,590,692      Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A      22,495,751  
  13,025,000      Enel Finance International NV, 6.000%, 10/07/2039, 144A      17,343,145  
  9,007,000      Enel Finance International NV, 6.800%, 9/15/2037, 144A      12,488,727  
  21,030,000      FirstEnergy Corp., Series C, 3.400%, 3/01/2050      22,205,936  
  2,355,000      IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A      2,551,357  
  9,641,000      NRG Energy, Inc., 4.450%, 6/15/2029, 144A      10,118,759  
  1,435,000      NRG Energy, Inc., 5.250%, 6/15/2029, 144A      1,506,750  
  4,437,000      NRG Energy, Inc., 5.750%, 1/15/2028      4,681,035  
  8,915,000      Pacific Gas & Electric Co., 3.500%, 8/01/2050      8,616,169  
  40,595,000      Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A      41,805,910  
  990,000      Vistra Operations Co. LLC, 4.300%, 7/15/2029, 144A      1,040,838  
     

 

 

  
        151,489,111  
     

 

 

  
       Finance Companies — 2.0%       
  1,245,000      Air Lease Corp., 2.250%, 1/15/2023      1,230,571  
  905,000      Air Lease Corp., 3.250%, 10/01/2029      859,776  
  10,270,000      Air Lease Corp., 3.375%, 7/01/2025      10,287,562  
  345,000      Air Lease Corp., 4.625%, 10/01/2028      352,950  
  5,021,000      Air Lease Corp., MTN, 3.000%, 2/01/2030      4,653,941  
  12,430,000      Aircastle Ltd., 4.125%, 5/01/2024      11,677,326  
  20,595,000      Aircastle Ltd., 4.400%, 9/25/2023      19,978,957  
  8,160,000      Aircastle Ltd., 5.000%, 4/01/2023      7,950,481  
  6,700,000      Antares Holdings LP, 6.000%, 8/15/2023, 144A      6,426,581  
  9,530,000      GE Capital Funding LLC, 4.400%, 5/15/2030, 144A      9,916,965  
  3,460,000      GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035      3,517,966  
  18,830,000      International Lease Finance Corp., 4.625%, 4/15/2021      19,031,844  
  3,425,000      Navient Corp., 5.000%, 3/15/2027      2,877,000  
  50,000      Navient Corp., 5.875%, 10/25/2024      46,969  
  35,000      Navient Corp., 6.500%, 6/15/2022      34,388  
  145,000      Navient Corp., 6.750%, 6/15/2026      134,125  
  370,000      Navient Corp., 7.250%, 9/25/2023      361,634  
  20,000      Navient Corp., MTN, 6.125%, 3/25/2024      19,000  
  165,000      Navient Corp., MTN, 7.250%, 1/25/2022      165,413  
  7,805,000      Quicken Loans LLC, 5.250%, 1/15/2028, 144A      8,053,823  
  6,392,000      Quicken Loans LLC, 5.750%, 5/01/2025, 144A      6,534,478  
     

 

 

  
        114,111,750  
     

 

 

  

 

  See accompanying notes to financial statements.   |  46

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Financial Other — 0.1%       
$ 2,415,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024    $ 2,270,583  
  3,182,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      3,070,630  
     

 

 

  
        5,341,213  
     

 

 

  
       Food & Beverage — 2.9%       
  2,040,000      Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.,
4.900%, 2/01/2046		      2,496,318  
  40,580,000      Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050      48,108,398  
  6,002,000      Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048      7,026,041  
  15,285,000      Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050      15,776,572  
  8,595,000      JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A      8,702,437  
  4,910,000      JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A      5,186,237  
  10,660,000      JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.,
5.500%, 1/15/2030, 144A		      10,926,500  
  10,465,000      NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A      10,483,942  
  9,535,000      PepsiCo, Inc., 1.700%, 10/06/2021      9,687,868  
  45,980,000      PepsiCo, Inc., 2.000%, 4/15/2021      46,569,449  
     

 

 

  
        164,963,762  
     

 

 

  
       Government Owned – No Guarantee — 0.2%       
  8,080,000      Equinor ASA, 3.700%, 4/06/2050      9,236,280  
     

 

 

  
       Government Sponsored — 0.1%       
  6,130,000      Petrobras Global Finance BV, 6.900%, 3/19/2049      6,451,825  
     

 

 

  
       Health Insurance — 0.0%       
  565,000      Centene Corp., 4.625%, 12/15/2029      596,075  
     

 

 

  
       Healthcare — 2.2%       
  19,420,000      Cigna Corp., 4.375%, 10/15/2028      22,983,355  
  1,261,000      Cigna Corp., 7.875%, 5/15/2027, 144A      1,688,762  
  7,210,000      CVS Health Corp., 3.250%, 8/15/2029      7,966,175  
  13,765,000      CVS Health Corp., 4.100%, 3/25/2025      15,567,420  
  685,000      Encompass Health Corp., 4.750%, 2/01/2030      654,175  
  8,810,000      HCA, Inc., 4.125%, 6/15/2029      9,718,201  
  16,050,000      HCA, Inc., 4.500%, 2/15/2027      17,895,280  
  22,730,000      HCA, Inc., 5.250%, 6/15/2049      27,232,020  
  4,806,000      HCA, Inc., 7.050%, 12/01/2027      5,382,720  
  1,592,000      HCA, Inc., 7.500%, 11/06/2033      1,934,280  
  1,295,000      HCA, Inc., 7.690%, 6/15/2025      1,476,300  
  2,480,000      HCA, Inc., MTN, 7.580%, 9/15/2025      2,852,000  
  3,068,000      HCA, Inc., MTN, 7.750%, 7/15/2036      3,604,900  
  7,280,000      Rede D’or Finance S.a.r.l., 4.500%, 1/22/2030, 144A      6,406,400  
     

 

 

  
        125,361,988  
     

 

 

  
       Home Construction – 0.1%       
  2,450,000      Lennar Corp., 4.750%, 11/29/2027      2,658,250  
  560,000      Lennar Corp., 4.875%, 12/15/2023      590,800  
  55,000      Lennar Corp., 5.000%, 6/15/2027      59,400  
     

 

 

  
        3,308,450  
     

 

 

  

 

47  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Independent Energy — 1.3%       
$ 3,195,000      Aker BP ASA, 3.000%, 1/15/2025, 144A    $ 3,111,657  
  9,925,000      Aker BP ASA, 3.750%, 1/15/2030, 144A      9,321,797  
  9,310,000      Continental Resources, Inc., 3.800%, 6/01/2024      8,705,036  
  20,900,000      Diamondback Energy, Inc., 3.500%, 12/01/2029      20,243,113  
  10,475,000      Hess Corp., 4.300%, 4/01/2027      10,847,570  
  14,450,000      Newfield Exploration Co., 5.625%, 7/01/2024      13,807,673  
  6,090,000      Occidental Petroleum Corp., 5.550%, 3/15/2026      5,558,404  
  1,885,000      Viper Energy Partners LP, 5.375%, 11/01/2027, 144A      1,849,034  
  60,000      Whiting Petroleum Corp., 6.250%, 4/01/2023(c)(d)(f)      10,414  
     

 

 

  
        73,454,698  
     

 

 

  
       Integrated Energy — 0.9%       
  52,303,000      Shell International Finance BV, 1.875%, 5/10/2021      52,861,648  
     

 

 

  
       Life Insurance — 3.4%       
  5,653,000      American International Group, Inc., 4.200%, 4/01/2028      6,402,226  
  1,475,000      American International Group, Inc., 4.875%, 6/01/2022      1,592,046  
  8,255,000      CNO Financial Group, Inc., 5.250%, 5/30/2029      8,866,283  
  19,600,000      Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A      21,168,000  
  15,000,000      Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A      15,696,352  
  2,565,000      Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/2050, 144A      2,636,994  
  5,895,000      Metropolitan Life Global Funding I, 3-month LIBOR + 0.230%,
1.582%, 1/08/2021, 144A(b)		      5,900,910  
  30,030,000      Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A      31,346,569  
  9,063,000      Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A      11,513,903  
  26,914,000      National Life Insurance Co., 10.500%, 9/15/2039, 144A(c)(d)      43,460,189  
  5,760,000      New York Life Insurance Co., 3.750%, 5/15/2050, 144A      6,504,950  
  6,440,000      NLV Financial Corp., 7.500%, 8/15/2033, 144A(c)(d)      8,322,927  
  2,872,000      Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A      3,456,537  
  14,489,000      Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A      20,850,119  
     

 

 

  
        187,718,005  
     

 

 

  
       Lodging – 0.0%       
  1,795,000      Marriott International, Inc., 4.625%, 6/15/2030      1,862,519  
     

 

 

  
       Media Entertainment – 1.6%       
  23,830,000      Discovery Communications LLC, 4.650%, 5/15/2050      27,189,134  
  3,115,000      Fox Corp., 3.050%, 4/07/2025      3,371,130  
  5,045,000      Fox Corp., 3.500%, 4/08/2030      5,633,707  
  3,225,000      iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A      3,087,938  
  1,530,000      iHeartCommunications, Inc., 6.375%, 5/01/2026      1,514,700  
  4,640,000      iHeartCommunications, Inc., 8.375%, 5/01/2027      4,251,957  
  245,000      Netflix, Inc., 4.875%, 4/15/2028      261,971  
  2,625,000      Netflix, Inc., 4.875%, 6/15/2030, 144A      2,815,313  
  870,000      Netflix, Inc., 5.375%, 11/15/2029, 144A      952,824  
  2,700,000      ViacomCBS, Inc., 4.200%, 6/01/2029      3,025,910  
  6,400,000      ViacomCBS, Inc., 4.200%, 5/19/2032      7,196,113  
  4,275,000      ViacomCBS, Inc., 4.375%, 3/15/2043      4,470,386  
  1,180,000      ViacomCBS, Inc., 4.900%, 8/15/2044      1,283,651  

 

  See accompanying notes to financial statements.   |  48

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Media Entertainment — continued       
$ 18,215,000      ViacomCBS, Inc., 4.950%, 1/15/2031    $ 21,509,536  
  1,180,000      ViacomCBS, Inc., 5.850%, 9/01/2043      1,388,539  
     

 

 

  
        87,952,809  
     

 

 

  
       Metals & Mining — 3.8%       
  6,260,000      Anglo American Capital PLC, 4.000%, 9/11/2027, 144A      6,692,706  
  34,334,000      Anglo American Capital PLC, 4.500%, 3/15/2028, 144A      37,657,314  
  8,785,000      Anglo American Capital PLC, 4.750%, 4/10/2027, 144A      9,777,829  
  47,920,000      ArcelorMittal S.A., 7.000%, 3/01/2041      56,044,836  
  19,365,000      ArcelorMittal S.A., 7.250%, 10/15/2039      23,141,175  
  7,688,000      Glencore Funding LLC, 3.875%, 10/27/2027, 144A      8,198,406  
  39,092,000      Glencore Funding LLC, 4.000%, 3/27/2027, 144A      41,898,110  
  11,700,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      12,539,502  
  4,280,000      Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A      4,597,174  
  395,000      Steel Dynamics, Inc., 3.250%, 1/15/2031      402,879  
  14,125,000      Steel Dynamics, Inc., 3.450%, 4/15/2030      14,765,870  
     

 

 

  
        215,715,801  
     

 

 

  
       Midstream — 2.9%       
  22,495,000      Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A      22,951,012  
  650,000      DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A      585,000  
  7,000,000      Energy Transfer Operating LP, 4.950%, 6/15/2028      7,517,261  
  36,405,000      Energy Transfer Operating LP, 5.250%, 4/15/2029      39,890,695  
  35,165,000      EnLink Midstream Partners LP, 5.450%, 6/01/2047      21,795,267  
  7,695,000      EnLink Midstream Partners LP, 5.600%, 4/01/2044      4,693,950  
  14,660,000      Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023      15,645,615  
  85,000      Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042      95,463  
  3,105,000      Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020      3,131,063  
  7,461,000      Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021      7,704,316  
  375,000      Kinder Morgan, Inc., 5.050%, 2/15/2046      430,211  
  14,040,000      MPLX LP, 4.250%, 12/01/2027      15,221,703  
  85,000      NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A      103,742  
  225,000      Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023      227,574  
  12,445,000      Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A      13,816,492  
  8,405,000      Williams Cos., Inc. (The), 3.350%, 8/15/2022      8,742,372  
     

 

 

  
        162,551,736  
     

 

 

  
       Mortgage Related — 0.0%       
  1,377      FNMA, 6.000%, 7/01/2029      1,557  
     

 

 

  
       Non-Agency Commercial Mortgage-Backed Securities — 0.7%       
  405,000      Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.721%, 12/10/2044(a)      331,273  
  3,205,000      Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.785%, 1/15/2034, 144A(b)      2,823,839  
  12,790,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class D,
4.373%, 9/15/2037, 144A		      9,873,975  
  5,095,000      DBUBS Mortgage Trust, Series 2017-BRBK, Class D,
3.648%, 10/10/2034, 144A(a)		      5,186,241  

 

49  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Non-Agency Commercial Mortgage-Backed Securities — continued       
$ 9,406,000      GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D,
3.668%, 3/05/2033, 144A(a)		    $ 7,370,839  
  3,456,000      Morgan Stanley Capital I Trust, Series 2011-C2, Class E,
5.661%, 6/15/2044, 144A(a)		      2,065,754  
  6,706,000      UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E,
5.046%, 5/10/2063, 144A(a)(c)(d)		      2,502,064  
  3,557,000      WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D,
5.850%, 2/15/2044, 144A(a)		      3,487,251  
  2,125,000      WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.852%, 3/15/2044, 144A(a)      1,091,266  
  1,746,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.966%, 6/15/2045(a)      1,202,320  
  865,000      WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.966%, 6/15/2045, 144A(a)      359,440  
     

 

 

  
        36,294,262  
     

 

 

  
       Paper — 0.4%       
  16,595,000      Weyerhaeuser Co., 4.000%, 4/15/2030      18,780,392  
  2,745,000      WRKCo, Inc., 3.000%, 6/15/2033      2,859,138  
     

 

 

  
        21,639,530  
     

 

 

  
       Pharmaceuticals — 1.3%       
  8,370,000      Merck & Co., Inc., 2.450%, 6/24/2050      8,412,685  
  12,646,000      Mylan NV, 5.250%, 6/15/2046      15,680,539  
  2,459,000      Mylan, Inc., 5.200%, 4/15/2048      3,052,726  
  9,724,000      Mylan, Inc., 5.400%, 11/29/2043      12,170,113  
  3,100,000      Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030      3,133,213  
  9,335,000      Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023      8,823,162  
  8,790,000      Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026      7,848,415  
  2,390,000      Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046      2,007,600  
  11,805,000      Upjohn, Inc., 4.000%, 6/22/2050, 144A      12,555,622  
     

 

 

  
        73,684,075  
     

 

 

  
       Property & Casualty Insurance — 0.5%       
  16,635,000      Fidelity National Financial, Inc., 3.400%, 6/15/2030      17,317,761  
  2,740,000      Fidelity National Financial, Inc., 5.500%, 9/01/2022      2,947,335  
  3,159,000      Sirius International Group Ltd., 4.600%, 11/01/2026, 144A      2,969,207  
  1,605,000      Travelers Cos., Inc. (The), 2.550%, 4/27/2050      1,596,576  
     

 

 

  
        24,830,879  
     

 

 

  
       REITs – Health Care — 0.1%       
  5,972,000      Welltower, Inc., 6.500%, 3/15/2041      7,593,616  
     

 

 

  
       REITs – Mortgage — 0.3%       
  12,311,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A      9,848,800  
  8,565,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A      8,136,750  
     

 

 

  
        17,985,550  
     

 

 

  

 

  See accompanying notes to financial statements.   |  50

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       REITs – Shopping Centers — 0.0%       
$ 2,280,000      Brixmor Operating Partnership LP, 4.050%, 7/01/2030    $ 2,331,901  
     

 

 

  
       Restaurants — 0.1%       
  2,375,000      Yum! Brands, Inc., 4.750%, 1/15/2030, 144A      2,410,625  
  1,890,000      Yum! Brands, Inc., 7.750%, 4/01/2025, 144A      2,038,838  
     

 

 

  
        4,449,463  
     

 

 

  
       Retailers — 1.1%       
  1,960,000      AutoNation, Inc., 4.750%, 6/01/2030      2,123,794  
  9,720,000      AutoZone, Inc., 3.625%, 4/15/2025      10,838,783  
  14,585,000      AutoZone, Inc., 4.000%, 4/15/2030      16,909,811  
  381,212      CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A      428,539  
  411,407      CVS Pass-Through Trust, 6.036%, 12/10/2028      463,968  
  11,392,261      CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A      12,149,277  
  1,194,535      CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A      1,254,727  
  5,620,000      Dollar General Corp., 3.500%, 4/03/2030      6,312,622  
  8,064,000      Marks & Spencer PLC, 7.125%, 12/01/2037, 144A      7,967,313  
  3,755,000      PVH Corp., 7.750%, 11/15/2023      4,094,227  
     

 

 

  
        62,543,061  
     

 

 

  
       Supermarkets — 0.0%       
  325,000      Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040      440,383  
     

 

 

  
       Technology — 4.9%       
  27,985,000      Avnet, Inc., 4.625%, 4/15/2026      31,676,446  
  1,300,000      Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028      1,375,721  
  5,156,000      Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027      5,571,657  
  5,002,000      Broadcom, Inc., 4.250%, 4/15/2026, 144A      5,566,751  
  17,895,000      Broadcom, Inc., 4.300%, 11/15/2032, 144A      19,634,010  
  31,450,000      Broadcom, Inc., 4.750%, 4/15/2029, 144A      35,699,992  
  12,400,000      Broadcom, Inc., 5.000%, 4/15/2030, 144A      14,252,223  
  3,900,000      CommScope, Inc., 6.000%, 3/01/2026, 144A      3,997,500  
  3,745,000      CommScope, Inc., 7.125%, 7/01/2028, 144A      3,736,012  
  13,560,000      Equifax, Inc., 3.600%, 8/15/2021      13,995,287  
  10,115,000      Equinix, Inc., 2.150%, 7/15/2030      10,026,291  
  17,195,000      Equinix, Inc., 3.200%, 11/18/2029      18,700,594  
  7,440,000      Jabil, Inc., 4.700%, 9/15/2022      7,902,396  
  16,735,000      KLA Corp., 5.650%, 11/01/2034      21,780,124  
  15,428,000      Micron Technology, Inc., 4.663%, 2/15/2030      17,905,495  
  10,622,000      Micron Technology, Inc., 5.327%, 2/06/2029      12,708,285  
  3,980,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A      4,219,124  
  2,225,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A      2,393,985  
  1,055,000      Open Text Corp., 3.875%, 2/15/2028, 144A      1,015,258  
  1,015,000      Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A      997,238  
  25,480,000      Oracle Corp., 3.600%, 4/01/2050      28,356,173  
  2,675,000      Seagate HDD Cayman, 4.125%, 1/15/2031, 144A      2,810,826  
  970,000      SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A      984,201  
  9,135,000      Verisk Analytics, Inc., 4.125%, 3/15/2029      10,673,277  
     

 

 

  
        275,978,866  
     

 

 

  

 

51  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Treasuries — 12.4%       
$ 27,405,000      U.S. Treasury Bond, 2.000%, 2/15/2050    $ 31,385,148  
  22,710,000      U.S. Treasury Bond, 3.000%, 8/15/2048      31,231,573  
  30,680,000      U.S. Treasury Bond, 3.000%, 2/15/2049      42,357,575  
  267,555,000      U.S. Treasury Note, 0.125%, 4/30/2022      267,345,973  
  209,930,000      U.S. Treasury Note, 0.375%, 3/31/2022      210,676,236  
  42,565,000      U.S. Treasury Note, 1.375%, 1/31/2022      43,369,744  
  67,000,000      U.S. Treasury Note, 1.500%, 11/30/2021      68,256,250  
     

 

 

  
        694,622,499  
     

 

 

  
       Wireless — 2.4%       
  21,805,000      American Tower Corp., 2.100%, 6/15/2030      21,858,629  
  375,000      Bharti Airtel Ltd., 4.375%, 6/10/2025      386,998  
  2,295,000      Crown Castle International Corp., 2.250%, 1/15/2031      2,315,933  
  3,725,000      Crown Castle International Corp., 3.300%, 7/01/2030      4,096,948  
  22,660,000      Crown Castle International Corp., 3.650%, 9/01/2027      25,323,198  
  6,615,000      Crown Castle International Corp., 4.000%, 3/01/2027      7,518,526  
  730,000      Crown Castle International Corp., 4.150%, 7/01/2050      842,894  
  610,000      Sprint Capital Corp., 6.875%, 11/15/2028      742,675  
  1,030,000      Sprint Communications, Inc., 7.000%, 8/15/2020      1,034,171  
  1,545,000      Sprint Corp., 7.250%, 9/15/2021      1,619,701  
  1,810,000      T-Mobile USA, Inc., 2.550%, 2/15/2031, 144A      1,816,371  
  59,470,000      T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A      66,187,731  
  980,000      T-Mobile USA, Inc., 4.500%, 2/01/2026      991,721  
     

 

 

  
        134,735,496  
     

 

 

  
       Wirelines — 2.7%       
  20,495,000      AT&T, Inc., 3.650%, 6/01/2051      21,458,698  
  61,415,000      AT&T, Inc., 4.300%, 2/15/2030      71,975,238  
  435,000      AT&T, Inc., 4.350%, 6/15/2045      489,522  
  3,105,000      AT&T, Inc., 4.500%, 3/09/2048      3,670,358  
  7,980,000      AT&T, Inc., 4.850%, 3/01/2039      9,624,863  
  857,000      Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A      863,428  
  2,070,000      Level 3 Financing, Inc., 5.375%, 8/15/2022      2,071,863  
  33,105,000      Telefonica Emisiones S.A., 5.520%, 3/01/2049      43,275,187  
     

 

 

  
        153,429,157  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $4,831,381,968)		      5,168,846,673  
     

 

 

  
     
  Convertible Bonds — 0.8%   
       Cable Satellite — 0.4%       
  9,050,000      DISH Network Corp., 2.375%, 3/15/2024      8,098,361  
  11,855,000      DISH Network Corp., 3.375%, 8/15/2026      10,890,177  
     

 

 

  
        18,988,538  
     

 

 

  
       Diversified Manufacturing — 0.1%       
  5,165,000      Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024      4,250,650  
     

 

 

  
       Electric — 0.0%       
  2,035,000      NRG Energy, Inc., 2.750%, 6/01/2048      2,057,411  
     

 

 

  

 

  See accompanying notes to financial statements.   |  52

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
       Independent Energy — 0.0%       
$ 6,390,000      Chesapeake Energy Corp., 5.500%, 9/15/2026(c)(d)(f)    $ 168,568  
     

 

 

  
       Pharmaceuticals — 0.3%       
  10,340,000      BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024      12,636,090  
  4,125,000      BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A      4,800,560  
     

 

 

  
        17,436,650  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $47,477,443)		      42,901,817  
     

 

 

  
  Municipals — 0.1%  
       Michigan — 0.0%       
  1,515,000      Michigan Tobacco Settlement Finance Authority, Series A, 7.309%, 6/01/2034      1,517,424  
     

 

 

  
       Virginia — 0.1%       
  7,515,000      Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046      7,195,688  
     

 

 

  
   Total Municipals
(Identified Cost $8,767,083)		      8,713,112  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $4,887,626,494)		      5,220,461,602  
     

 

 

  
  Collateralized Loan Obligations — 2.4%  
  4,650,000      Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR +
1.670%, 2.889%, 7/15/2031, 144A(b)		      4,482,030  
  4,075,000      Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR +
1.500%, 2.719%, 10/15/2030, 144A(b)		      3,905,900  
  2,881,177      Atrium XII, Series 12A, Class AR, 3-month LIBOR + 0.830%,
1.928%, 4/22/2027, 144A(b)		      2,849,458  
  83,001      Avery Point IV CLO Ltd., Series 2014-1A, Class AR, 3-month LIBOR +
1.100%, 2.091%, 4/25/2026, 144A(b)		      82,611  
  2,525,000      Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR +
1.700%, 2.919%, 7/15/2031, 144A(b)		      2,438,173  
  6,500,000      CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR +
1.800%, 2.935%, 10/17/2031, 144A(b)		      6,315,935  
  4,959,151      CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, 3-month LIBOR +
1.200%, 2.335%, 7/18/2026, 144A(b)		      4,938,247  
  3,335,000      Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR +
1.400%, 2.619%, 1/15/2031, 144A(b)		      3,134,887  
  4,678,651      Elevation CLO Ltd., Series 2015-4A, Class AR, 3-month LIBOR +
0.990%, 2.125%, 4/18/2027, 144A(b)		      4,655,551  
  1,349,007      Flatiron CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR +
0.890%, 2.109%, 4/15/2027, 144A(b)		      1,339,120  
  189,199      Galaxy XXIX CLO Ltd., Series 2018-29A, Class A, 3-month LIBOR +
0.790%, 1.182%, 11/15/2026, 144A(b)		      185,877  
  5,405,000      Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 2.685%, 4/20/2030, 144A(b)      5,194,286  
  324,683      Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class A1BR, 3-month LIBOR + 1.180%, 2.067%, 4/28/2025, 144A(b)      324,473  
  5,490,000      Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 2.798%, 10/22/2025, 144A(b)      5,429,759  

 

53  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Principal
Amount		      Description    Value (†)  
Collateralized Loan Obligations — continued       
$ 1,000,000      Jamestown CLO IX Ltd., Series 2016-9A, Class A2R, 3-month LIBOR +
1.850%, 2.985%, 10/20/2028, 144A(b)		    $ 978,282  
  9,058,838      Jamestown CLO VII Ltd., Series 2015-7A, Class A1R, 3-month LIBOR + 0.830%, 1.821%, 7/25/2027, 144A(b)      8,909,769  
  536,723      Limerock CLO III LLC, Series 2014-3A, Class A1R, 3-month LIBOR +
1.200%, 2.335%, 10/20/2026, 144A(b)		      534,072  
  4,475,000      Madison Park Funding XII Ltd., Series 2014-12A, Class CR, 3-month LIBOR + 2.350%, 3.485%, 7/20/2026, 144A(b)      4,461,743  
  2,770,000      Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, 3-month LIBOR + 1.900%, 3.035%, 4/20/2026, 144A(b)      2,714,633  
  1,450,000      Marble Point CLO X Ltd., Series 2017-1A, Class B, 3-month LIBOR +
1.800%, 3.019%, 10/15/2030, 144A(b)		      1,408,435  
  7,275,000      Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 3-month LIBOR + 1.330%, 2.465%, 1/20/2032, 144A(b)      7,049,819  
  12,487,749      Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3-month LIBOR + 0.820%, 2.131%, 10/13/2027, 144A(b)      12,383,306  
  11,433,715      OCP CLO Ltd., Series 2015-10A, Class A1R, 3-month LIBOR +
0.820%, 1.811%, 10/26/2027, 144A(b)		      11,272,380  
  725,360      OFSI Fund VII Ltd., Series 2014-7A, Class AR, 3-month LIBOR +
0.900%, 2.035%, 10/18/2026, 144A(b)		      723,022  
  3,605,000      OZLM XXIV Ltd., Series 2019-24A, Class A2A, 3-month LIBOR +
2.250%, 3.385%, 7/20/2032, 144A(b)		      3,499,529  
  8,927,360      Parallel Ltd., Series 2015-1A, Class AR, 3-month LIBOR +
0.850%, 1.985%, 7/20/2027, 144A(b)		      8,705,431  
  4,605,208      Recette CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR +
0.920%, 2.055%, 10/20/2027, 144A(b)		      4,539,270  
  1,000,000      Recette CLO Ltd., Series 2015-1A, Class CR, 3-month LIBOR +
1.700%, 2.835%, 10/20/2027, 144A(b)		      962,080  
  1,015,000      Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR +
1.850%, 2.841%, 10/25/2031, 144A(b)		      988,097  
  4,674,417      Venture XII CLO Ltd., Series 2012-12A, Class ARR, 3-month LIBOR +
0.800%, 1.171%, 2/28/2026, 144A(b)		      4,566,235  
  3,020,980      Venture XX CLO Ltd., Series 2015-20A, Class AR, 3-month LIBOR +
0.820%, 2.039%, 4/15/2027, 144A(b)		      2,956,638  
  7,012,309      Venture XXI CLO Ltd., Series 2015-21A, Class AR, 3-month LIBOR + 0.880%, 2.099%, 7/15/2027, 144A(b)      6,948,678  
  3,335,000      Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR +
1.700%, 2.835%, 10/18/2031, 144A(b)		      3,214,917  
  272,598      Voya CLO Ltd., Series 2014-3A, Class A1R, 3-month LIBOR +
0.720%, 1.711%, 7/25/2026, 144A(b)		      268,934  
  2,949,388      West CLO Ltd., Series 2014-1A, Class A1R, 3-month LIBOR +
0.920%, 2.055%, 7/18/2026, 144A(b)		      2,934,526  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $134,112,956)		      135,296,103  
     

 

 

  

 

  See accompanying notes to financial statements.   |  54

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

    
Shares		      Description    Value (†)  
  Preferred Stocks – 0.5%   
       Banking – 0.2%       
  8,233      Bank of America Corp., Series L, 7.250%    $ 11,050,333  
     

 

 

  
       Electric – 0.1%       
  59,423      NextEra Energy, Inc., 5.279%      2,522,506  
     

 

 

  
       Food & Beverage – 0.2%       
  138,889      Bunge Ltd., 4.875%      12,388,899  
     

 

 

  
       Independent Energy – 0.0%       
  40,860      Chesapeake Energy Corp., 5.000%(c)(e)(g)      —  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $31,254,224)		      25,961,738  
     

 

 

  
Principal
Amount		                
  Short-Term Investments – 3.5%   
$ 197,572,546      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $197,572,546 on 7/01/2020 collateralized by $61,729,200 U.S. Treasury Note, 2.750% due 8/31/2025 valued at $70,017,755; $115,173,600 U.S. Treasury Note, 2.875% due 7/31/2025 valued at $131,506,311 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $197,572,546)		      197,572,546  
     

 

 

  
     
   Total Investments — 99.3%
(Identified Cost $5,250,566,220)		      5,579,291,989  
   Other assets less liabilities — 0.7%      36,811,982  
     

 

 

  
   Net Assets — 100.0%    $ 5,616,103,971  
     

 

 

  

 

  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2020 is disclosed.   
  (b)      Variable rate security. Rate as of June 30, 2020 is disclosed.   
  (c)      Illiquid security.   
  (d)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2020, the value of these securities amounted to $80,770,270 or 1.4% of net assets. See Note 2 of Notes to Financial Statements.   
  (e)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.   
  (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. At June 30, 2020, the value of this security amounted to $0 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.   
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the value of Rule 144A holdings amounted to $1,943,739,611 or 34.6% of net assets.   

 

55  |   See accompanying notes to financial statements.  

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

     
  ABS      Asset-Backed Securities   
  ARS      Auction Rate Security   
  FNMA      Federal National Mortgage Association   
  GMTN      Global Medium Term Note   
  LIBOR      London Interbank Offered Rate

 

  MTN      Medium Term Note

 

  REITs      Real Estate Investment Trusts   
  SLM      Sallie Mae   

At June 30, 2020, 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(‡)		     Unamortized
Up Front
Premium
Paid/
(Received)		     Market
Value		     Unrealized
Appreciation
(Depreciation)		  
CDX.NA.HY* Series 34 500, 5-Year   5.00%   06/20/2025     5.16 %      105,735,000       $(4,418,627 )    $ (608,707 )    $ 3,809,920  
CDX.NA.HY* Series 34 500, 5-Year   5.00%   06/20/2025     5.16 %      125,115,000       (7,021,981 )      (558,439 )      6,463,542  
           

 

 

    

 

 

  
Total

 

     $ (1,167,146 )    $ 10,273,462  
           

 

 

    

 

 

  

 

(‡)

Notional value stated in U.S. dollars unless otherwise noted.

^

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.

 

  See accompanying notes to financial statements.   |  56

Table of Contents

Portfolio of Investments – as of June 30, 2020 (Unaudited)

Loomis Sayles Investment Grade Bond Fund – (continued)

 

Industry Summary at June 30, 2020 (Unaudited)

 

Treasuries

      12.4 % 

Banking

      8.1  

ABS Car Loan

      6.5  

ABS Home Equity

      5.0  

Technology

      4.9  

Metals & Mining

      3.8  

Aerospace & Defense

      3.6  

Life Insurance

      3.4  

ABS Other

      3.2  

Food & Beverage

      3.1  

Midstream

      2.9  

Electric

      2.8  

Cable Satellite

      2.8  

Wirelines

      2.7  

Automotive

      2.4  

Wireless

      2.4  

Healthcare

      2.2  

Finance Companies

      2.0  

Other Investments, less than 2% each

      19.2  

Short-Term Investments

      3.5  

Collateralized Loan Obligations

      2.4  
  

 

 

  

Total Investments

      99.3  

Other assets less liabilities (including swap agreements)

      0.7  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

 

57  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Assets and Liabilities

 

June 30, 2020 (Unaudited)

 

     High
Income
Fund		     Intermediate
Municipal
Bond Fund		      Investment
Grade Bond
Fund		  

ASSETS

 

Investments at cost

    $ 120,270,903     $ 25,386,812      $ 5,250,566,220  

Net unrealized appreciation (depreciation)

      (9,210,810 )      1,202,495        328,725,769  
  

 

 

    

 

 

     

 

 

  

Investments at value

      111,060,093       26,589,307        5,579,291,989  

Cash

      1,367       —        —  

Due from brokers (Note 2)

      —       —        32,050,000  

Receivable for Fund shares sold

      223,960       880        14,050,692  

Receivable from investment adviser (Note 6)

      —       2,255        —  

Receivable for securities sold

      732,093       —        1,685,880  

Dividends and interest receivable

      1,580,679       248,412        40,347,683  

Receivable for variation margin on centrally cleared swap agreements (Note 2)

      —       —        1,985,481  

Prepaid expenses (Note 8)

      22       2        937  
  

 

 

    

 

 

     

 

 

  

TOTAL ASSETS

      113,598,214       26,840,856        5,669,412,662  
  

 

 

    

 

 

     

 

 

  

LIABILITIES

 

Payable for securities purchased

      2,330,555       1,184,880        16,916,428  

Payable for Fund shares redeemed

      53,273       3,150        7,234,192  

Payable to custodian bank (Note 9)

      —       —        25,949,394  

Management fees payable (Note 6)

      29,171       —        1,654,387  

Deferred Trustees’ fees (Note 6)

      178,319       56,132        942,022  

Administrative fees payable (Note 6)

      3,730       928        194,832  

Payable to distributor (Note 6d)

      846       39        37,329  

Other accounts payable and accrued expenses

      67,711       51,187        380,107  
  

 

 

    

 

 

     

 

 

  

TOTAL LIABILITIES

      2,663,605       1,296,316        53,308,691  
  

 

 

    

 

 

     

 

 

  

NET ASSETS

    $ 110,934,609     $ 25,544,540      $ 5,616,103,971  
  

 

 

    

 

 

     

 

 

  

NET ASSETS CONSIST OF:

 

Paid-in capital

    $ 129,330,438     $ 24,757,888      $ 5,094,077,203  

Accumulated earnings (loss)

      (18,395,829 )      786,652        522,026,768  
  

 

 

    

 

 

     

 

 

  

NET ASSETS

    $ 110,934,609     $ 25,544,540      $ 5,616,103,971  
  

 

 

    

 

 

     

 

 

  

 

  See accompanying notes to financial statements.   |  58

Table of Contents

Statements of Assets and Liabilities (continued)

 

June 30, 2020 (Unaudited)

 

     High
Income
Fund		      Intermediate
Municipal
Bond Fund		      Investment
Grade Bond
Fund		  

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

         

Class A shares:

         

Net assets

    $ 19,179,051      $ 8,377,282      $ 809,447,554  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      4,848,585        805,591        69,174,902  
  

 

 

     

 

 

     

 

 

  

Net asset value and redemption price per share

    $ 3.96      $ 10.40      $ 11.70  
  

 

 

     

 

 

     

 

 

  

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

    $ 4.14      $ 10.72      $ 12.22  
  

 

 

     

 

 

     

 

 

  

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

         

Net assets

    $ 2,512,268      $ 1,555,966      $ 176,067,763  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      632,731        149,600        15,225,692  
  

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 3.97      $ 10.40      $ 11.56  
  

 

 

     

 

 

     

 

 

  

Class N shares:

         

Net assets

    $ 12,805,120      $ —      $ 1,197,188,467  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      3,235,241        —        102,297,340  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 3.96      $ —      $ 11.70  
  

 

 

     

 

 

     

 

 

  

Class Y shares:

         

Net assets

    $ 76,438,170      $ 15,611,292      $ 3,321,439,680  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      19,354,842        1,499,101        283,638,812  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 3.95      $ 10.41      $ 11.71  
  

 

 

     

 

 

     

 

 

  

Admin Class shares:

         

Net assets

    $ —      $ —      $ 111,960,507  
  

 

 

     

 

 

     

 

 

  

Shares of beneficial interest

      —        —        9,594,436  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ —      $ —      $ 11.67  
  

 

 

     

 

 

     

 

 

  

 

59  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Operations

 

For the Six Months Ended June 30, 2020 (Unaudited)

 

     High
Income
Fund		     Intermediate
Municipal
Bond Fund		     Investment
Grade Bond
Fund		  

INVESTMENT INCOME

 

Interest

    $ 3,811,859     $ 238,859     $ 99,342,769  

Dividends

      217,033       5,583       514,857  
  

 

 

    

 

 

    

 

 

  
     4,028,892       244,442       99,857,626  
  

 

 

    

 

 

    

 

 

  

Expenses

       

Management fees (Note 6)

      372,021       35,851       10,827,404  

Service and distribution fees (Note 6)

      39,833       17,327       2,165,802  

Administrative fees (Note 6)

      27,561       3,992       1,198,887  

Trustees’ fees and expenses (Note 6)

      9,351       9,273       97,808  

Transfer agent fees and expenses (Notes 6 and 7)

      60,989       6,571       1,718,708  

Audit and tax services fees

      25,959       26,030       31,338  

Custodian fees and expenses

      8,154       2,587       87,921  

Legal fees (Note 8)

      1,888       471       63,228  

Registration fees

      45,363       12,268       93,719  

Shareholder reporting expenses

      15,352       2,572       166,711  

Miscellaneous expenses (Note 8)

      17,185       13,683       106,724  
  

 

 

    

 

 

    

 

 

  

Total expenses

      623,656       130,625       16,558,250  

Less waiver and/or expense reimbursement (Note 6)

      (121,218 )      (72,917 )      (880,120 ) 
  

 

 

    

 

 

    

 

 

  

Net expenses

      502,438       57,708       15,678,130  
  

 

 

    

 

 

    

 

 

  

Net investment income

      3,526,454       186,734       84,179,496  
  

 

 

    

 

 

    

 

 

  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS

       

Net realized gain (loss) on:

 

Investments

      (3,477,969 )      159,075       184,315,002  

Swap agreements

      —       —       3,403,409  

Foreign currency transactions (Note 2c)

      —       —       120,794  

Net change in unrealized appreciation (depreciation) on:

       

Investments

      (9,395,373 )      30,604       11,156,956  

Swap agreements

      —       —       10,273,462  

Foreign currency translations (Note 2c)

      —       —       (514 ) 
  

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss) on investments, swap agreements and foreign currency transactions

      (12,873,342 )      189,679       209,269,109  
  

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    $ (9,346,888 )    $ 376,413     $ 293,448,605  
  

 

 

    

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  60

Table of Contents

Statements of Changes in Net Assets

 

     High Income Fund  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

     

Net investment income

    $ 3,526,454     $ 7,362,208  

Net realized loss on investments

      (3,477,969 )      (430,482 ) 

Net change in unrealized appreciation (depreciation) on investments

      (9,395,373 )      9,756,973  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (9,346,888 )      16,688,699  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      (525,078 )      (1,135,803 ) 

Class C

      (65,965 )      (194,240 ) 

Class N

      (337,742 )      (609,528 ) 

Class Y

      (2,473,008 )      (5,638,962 ) 
  

 

 

    

 

 

  

Total distributions

      (3,401,793 )      (7,578,533 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      (23,643,694 )      1,738,584  
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      (36,392,375 )      10,848,750  

NET ASSETS

 

Beginning of the period

      147,326,984       136,478,234  
  

 

 

    

 

 

  

End of the period

    $ 110,934,609     $ 147,326,984  
  

 

 

    

 

 

  

 

61  |   See accompanying notes to financial statements.  

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Intermediate Municipal Bond Fund  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

     

Net investment income

    $ 186,734     $ 488,192  

Net realized gain on investments

      159,075       156,434  

Net change in unrealized appreciation (depreciation) on investments

      30,604       682,883  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      376,413       1,327,509  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      (84,918 )      (157,363 ) 

Class C

      (9,819 )      (23,074 ) 

Class Y

      (92,091 )      (307,772 ) 
  

 

 

    

 

 

  

Total distributions

      (186,828 )      (488,209 ) 
  

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      6,329,951       (4,018,800 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      6,519,536       (3,179,500 ) 

NET ASSETS

 

Beginning of the period

      19,025,004       22,204,504  
  

 

 

    

 

 

  

End of the period

    $ 25,544,540     $ 19,025,004  
  

 

 

    

 

 

  

 

  See accompanying notes to financial statements.   |  62

Table of Contents

Statements of Changes in Net Assets (continued)

 

     Investment Grade Bond Fund  
     Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		  

FROM OPERATIONS:

     

Net investment income

    $ 84,179,496     $ 180,954,803  

Net realized gain on investments, swap agreements and foreign currency transactions

      187,839,205       74,860,931  

Net change in unrealized appreciation (depreciation) on investments, swap agreements and foreign currency translations

      21,429,904       216,386,447  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      293,448,605       472,202,181  
  

 

 

    

 

 

  

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

      (15,845,145 )      (25,364,474 ) 

Class C

      (3,191,679 )      (6,942,862 ) 

Class N

      (26,150,948 )      (47,788,079 ) 

Class Y

      (68,479,496 )      (111,238,434 ) 

Admin Class

      (2,163,866 )      (3,581,152 ) 
  

 

 

    

 

 

  

Total distributions

      (115,831,134 )      (194,915,001 ) 
  

 

 

    

 

 

  

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

      (135,509,597 )      (31,559,822 ) 
  

 

 

    

 

 

  

Net increase in net assets

      42,107,874       245,727,358  

NET ASSETS

 

Beginning of the period

      5,573,996,097       5,328,268,739  
  

 

 

    

 

 

  

End of the period

    $ 5,616,103,971     $ 5,573,996,097  
  

 

 

    

 

 

  

 

63  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    High Income Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 4.25     $ 3.99     $ 4.25     $ 4.37     $ 4.23     $ 3.99     $ 4.49  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.11       0.20       0.05       0.20       0.22       0.20       0.19  

Net realized and unrealized gain (loss)

     (0.29 )      0.27       (0.24 )      (0.14 )      0.12       0.21       (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.18 )      0.47       (0.19 )      0.06       0.34       0.41       (0.20 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.11 )      (0.21 )      (0.06 )      (0.18 )      (0.20 )      (0.16 )      (0.19 ) 

Net realized capital gains

     —       —       (0.01 )      —       —       (0.01 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.21 )      (0.07 )      (0.18 )      (0.20 )      (0.17 )      (0.30 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.96     $ 4.25     $ 3.99     $ 4.25     $ 4.37     $ 4.23     $ 3.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     (4.27 )%(d)     
 11.94
 % 
     (4.54 )%(d)      1.41 %      8.17 %      10.66 %      (4.78 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 19,179     $ 23,199     $ 23,125     $ 26,175     $ 34,039     $ 34,820     $ 37,870  

Net expenses(e)

     1.00 %(f)      1.03 %(g)      1.05 %(f)      1.05 %      1.09 %(h)      1.10 %      1.11 %(i) 

Gross expenses

     1.20 %(f)      1.18 %      1.27 %(f)      1.16 %      1.15 %      1.14 %      1.13 % 

Net investment income

     5.51 %(f)      4.84 %      5.13 %(f)      4.73 %      5.03 %      5.16 %      4.41 % 

Portfolio turnover rate

     53 %      48 %      17 %      55 %      46 %      38 %      69 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%.

(h)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(i)

Effective July 1, 2015, the expense limit decreased to 1.10%.

 

  See accompanying notes to financial statements.   |  64

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 4.27     $ 4.00     $ 4.27     $ 4.38     $ 4.24     $ 4.00     $ 4.50  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.09       0.17       0.05       0.17       0.18       0.18       0.16  

Net realized and unrealized gain (loss)

     (0.30 )      0.28       (0.26 )      (0.13 )      0.12       0.20       (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.21 )      0.45       (0.21 )      0.04       0.30       0.38       (0.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.09 )      (0.18 )      (0.05 )      (0.15 )      (0.16 )      (0.13 )      (0.16 ) 

Net realized capital gains

     —       —       (0.01 )      —       —       (0.01 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.09 )      (0.18 )      (0.06 )      (0.15 )      (0.16 )      (0.14 )      (0.27 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.97     $ 4.27     $ 4.00     $ 4.27     $ 4.38     $ 4.24     $ 4.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     (4.85 )%(d)      11.32 %      (4.95 )%(d)      0.86 %      7.33 %      9.81 %      (5.48 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 2,512     $ 3,836     $ 5,351     $ 6,248     $ 11,227     $ 12,288     $ 12,609  

Net expenses(e)

     1.75 %(f)      1.78 %(g)      1.80 %(f)      1.80 %      1.84 %(h)      1.85 %      1.86 %(i) 

Gross expenses

     1.95 %(f)      1.93 %      2.02 %(f)      1.91 %      1.90 %      1.89 %      1.88 % 

Net investment income

     4.72 %(f)      4.11 %      4.38 %(f)      3.99 %      4.29 %      4.43 %      3.68 % 

Portfolio turnover rate

     53 %      48 %      17 %      55 %      46 %      38 %      69 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%.

(h)

Effective July 1, 2017, the expense limit decreased to 1.80%.

(i)

Effective July 1, 2015, the expense limit decreased to 1.85%.

 

65  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Period Ended
September 30,
2017**
  

Net asset value, beginning of the period

   $ 4.25     $ 3.99     $ 4.25     $ 4.36     $ 4.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

          

Net investment income(a)

     0.12       0.22       0.06       0.20       0.19  

Net realized and unrealized gain (loss)

     (0.30 )      0.26       (0.25 )      (0.12 )      0.18  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.18 )      0.48       (0.19 )      0.08       0.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

          

Net investment income

     (0.11 )      (0.22 )      (0.06 )      (0.19 )      (0.17 ) 

Net realized capital gains

     —       —       (0.01 )      —       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.22 )      (0.07 )      (0.19 )      (0.17 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.96     $ 4.25     $ 3.99     $ 4.25     $ 4.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (4.13 )%(c)      12.28 %      (4.47 )%(c)      1.96 %      8.99 %(c) 

RATIOS TO AVERAGE NET ASSETS:

          

Net assets, end of the period (000’s)

   $ 12,805     $ 11,977     $ 10,417     $ 10,338     $ 1  

Net expenses(d)

     0.70 %(e)      0.72 %(f)      0.75 %(e)      0.75 %      0.75 %(e)(g) 

Gross expenses

     0.86 %(e)      0.82 %      0.89 %(e)      0.79 %      31.73 %(e) 

Net investment income

     5.85 %(e)      5.13 %      5.45 %(e)      4.65 %      5.19 %(e) 

Portfolio turnover rate

     53 %      48 %      17 %      55 %      46 %(h) 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

**

From commencement of Class operations on November 30, 2016 through September 30, 2017.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%.

(g)

Effective July 1, 2017, the expense limit decreased to 0.75%.

(h)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

 

  See accompanying notes to financial statements.   |  66

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    High Income Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 4.25     $ 3.98     $ 4.24     $ 4.36     $ 4.22     $ 3.98     $ 4.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.11       0.21       0.06       0.21       0.23       0.21       0.20  

Net realized and unrealized gain (loss)

     (0.30 )      0.28       (0.25 )      (0.14 )      0.12       0.21       (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     (0.19 )      0.49       (0.19 )      0.07       0.35       0.42       (0.19 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.11 )      (0.22 )      (0.06 )      (0.19 )      (0.21 )      (0.17 )      (0.20 ) 

Net realized capital gains

     —       —       (0.01 )      —       —       (0.01 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.11 )      (0.22 )      (0.07 )      (0.19 )      (0.21 )      (0.18 )      (0.31 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 3.95     $ 4.25     $ 3.98     $ 4.24     $ 4.36     $ 4.22     $ 3.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     (4.39 )%(c)      12.52 %      (4.49 )%(c)      1.68 %      8.47 %      10.98 %      (4.54 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 76,438     $ 108,315     $ 97,585     $ 127,699     $ 133,940     $ 129,169     $ 116,837  

Net expenses(d)

     0.75 %(e)      0.77 %(f)      0.80 %(e)      0.80 %      0.84 %(g)      0.85 %      0.86 %(h) 

Gross expenses

     0.95 %(e)      0.93 %      1.02 %(e)      0.91 %      0.90 %      0.89 %      0.88 % 

Net investment income

     5.74 %(e)      5.07 %      5.39 %(e)      4.98 %      5.28 %      5.43 %      4.67 % 

Portfolio turnover rate

     53 %      48 %      17 %      55 %      46 %      38 %      69 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%.

(g)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(h)

Effective July 1, 2015, the expense limit decreased to 0.85%.

 

67  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Municipal Bond Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 10.38     $ 9.97     $ 10.17     $ 9.89     $ 10.09     $ 10.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.24       0.22       0.19       0.12       0.13  

Net realized and unrealized gain (loss)

     0.02       0.41       (0.19 )      0.28       (0.20 )      0.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.13       0.65       0.03       0.47       (0.08 )      0.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.11 )      (0.24 )      (0.23 )      (0.19 )      (0.12 )      (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.40     $ 10.38     $ 9.97     $ 10.17     $ 9.89     $ 10.09  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     1.24 %(d)      6.54 %      0.33 %      4.77 %      (0.79 )%      2.28 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 8,377     $ 7,567     $ 6,019     $ 6,004     $ 5,474     $ 6,427  

Net expenses(e)

     0.70 %(f)      0.70 %      0.70 %      0.70 %      0.70 %      0.74 %(g) 

Gross expenses

     1.52 %(f)      1.84 %      1.30 %      1.10 %      0.88 %      1.12 % 

Net investment income

     2.10 %(f)      2.31 %      2.24 %      1.87 %      1.19 %      1.27 % 

Portfolio turnover rate

     41 %      11 %      65 %      34 %      48 %      20 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2015, the expense limit decreased from 0.80% to 0.70%.

 

  See accompanying notes to financial statements.   |  68

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Municipal Bond Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 10.38     $ 9.98     $ 10.18     $ 9.90     $ 10.09     $ 9.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.07       0.16       0.15       0.11       0.04       0.05  

Net realized and unrealized gain (loss)

     0.02       0.40       (0.19 )      0.28       (0.18 )      0.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.09       0.56       (0.04 )      0.39       (0.14 )      0.16  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.07 )      (0.16 )      (0.16 )      (0.11 )      (0.05 )      (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.40     $ 10.38     $ 9.98     $ 10.18     $ 9.90     $ 10.09  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)(c)

     0.88 %(d)      5.64 %      (0.42 )%      3.98 %      (1.44 )%      1.63 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 1,556     $ 1,420     $ 1,675     $ 2,395     $ 4,015     $ 6,355  

Net expenses(e)

     1.45 %(f)      1.45 %      1.45 %      1.45 %      1.45 %      1.49 %(g) 

Gross expenses

     2.27 %(f)      2.60 %      2.05 %      1.83 %      1.63 %      1.88 % 

Net investment income

     1.34 %(f)      1.57 %      1.49 %      1.10 %      0.44 %      0.52 % 

Portfolio turnover rate

     41 %      11 %      65 %      34 %      48 %      20 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2015, the expense limit decreased from 1.55% to 1.45%.

 

69  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Intermediate Municipal Bond Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Year Ended
December 31,
2017
     Year Ended
December 31,
2016
     Year Ended
December 31,
2015
  

Net asset value, beginning of the period

   $ 10.40     $ 9.99     $ 10.19     $ 9.90     $ 10.10     $ 10.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

            

Net investment income(a)

     0.11       0.26       0.25       0.21       0.15       0.15  

Net realized and unrealized gain (loss)

     0.02       0.41       (0.20 )      0.29       (0.20 )      0.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.13       0.67       0.05       0.50       (0.05 )      0.26  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

            

Net investment income

     (0.12 )      (0.26 )      (0.25 )      (0.21 )      (0.15 )      (0.16 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 10.41     $ 10.40     $ 9.99     $ 10.19     $ 9.90     $ 10.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     1.27 %(c)      6.80 %      0.58 %      5.13 %      (0.55 )%      2.63 % 

RATIOS TO AVERAGE NET ASSETS:

            

Net assets, end of the period (000’s)

   $ 15,611     $ 10,039     $ 14,510     $ 28,960     $ 49,179     $ 66,713  

Net expenses(d)

     0.45 %(e)      0.45 %      0.45 %      0.45 %      0.45 %      0.49 %(f) 

Gross expenses

     1.26 %(e)      1.60 %      1.04 %      0.83 %      0.63 %      0.85 % 

Net investment income

     2.19 %(e)      2.57 %      2.47 %      2.09 %      1.44 %      1.48 % 

Portfolio turnover rate

     41 %      11 %      65 %      34 %      48 %      20 % 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2015, the expense limit decreased from 0.55% to 0.45%.

 

  See accompanying notes to financial statements.   |  70

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class A  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 11.33     $ 10.77     $ 10.98     $ 11.30     $ 11.59     $ 11.10     $ 12.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.17       0.35       0.08       0.30       0.36       0.39       0.40  

Net realized and unrealized gain (loss)

     0.43       0.58       (0.16 )      (0.28 )      0.05       0.48       (0.95 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.60       0.93       (0.08 )      0.02       0.41       0.87       (0.55 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.16 )      (0.36 )      (0.08 )      (0.21 )      (0.26 )      (0.23 )      (0.34 ) 

Net realized capital gains

     (0.07 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.23 )      (0.37 )      (0.13 )      (0.34 )      (0.70 )      (0.38 )      (0.46 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.70     $ 11.33     $ 10.77     $ 10.98     $ 11.30     $ 11.59     $ 11.10  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     5.47 %(c)(d)      8.78 %(c)      (0.66 )%(c)(d)      0.19 %(c)      3.88 %      8.06 %      (4.72 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 809,448     $ 772,485     $ 721,110     $ 777,391     $ 902,955     $ 1,130,260     $ 1,628,216  

Net expenses

     0.76 %(e)(f)      0.77 %(e)(g)      0.78 %(e)(f)      0.80 %(e)(h)      0.82 %(i)      0.85 %      0.83 % 

Gross expenses

     0.80 %(f)      0.81 %      0.82 %(f)      0.82 %      0.82 %      0.85 %      0.83 % 

Net investment income

     2.93 %(f)      3.10 %      3.09 %(f)      2.73 %      3.23 %      3.49 %      3.38 % 

Portfolio turnover rate

     45 %      44 %(j)      39 %(j)      3 %      10 %      11 %      23 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%.

(h)

Effective July 1, 2018, the expense limit decreased to 0.78%.

(i)

Effective July 1, 2017, the expense limit decreased to 0.80%.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

71  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class C  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 11.20     $ 10.65     $ 10.86     $ 11.19     $ 11.48     $ 11.00     $ 12.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.12       0.26       0.06       0.22       0.27       0.30       0.31  

Net realized and unrealized gain (loss)

     0.43       0.58       (0.16 )      (0.28 )      0.06       0.47       (0.94 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.55       0.84       (0.10 )      (0.06 )      0.33       0.77       (0.63 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.12 )      (0.28 )      (0.06 )      (0.14 )      (0.18 )      (0.14 )      (0.25 ) 

Net realized capital gains

     (0.07 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.19 )      (0.29 )      (0.11 )      (0.27 )      (0.62 )      (0.29 )      (0.37 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.56     $ 11.20     $ 10.65     $ 10.86     $ 11.19     $ 11.48     $ 11.00  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return(b)

     5.06 %(c)(d)      7.94 %(c)      (0.86 )%(c)(d)      (0.53 )%(c)      3.12 %      7.18 %      (5.40 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 176,068     $ 204,395     $ 366,068     $ 412,788     $ 689,798     $ 1,001,522     $ 1,219,687  

Net expenses

     1.51 %(e)(f)      1.52 %(e)(g)      1.53 %(e)(f)      1.55 %(e)(h)      1.57 %(i)      1.60 %      1.58 % 

Gross expenses

     1.55 %(f)      1.56 %      1.57 %(f)      1.57 %      1.57 %      1.60 %      1.58 % 

Net investment income

     2.17 %(f)      2.35 %      2.34 %(f)      1.96 %      2.49 %      2.74 %      2.63 % 

Portfolio turnover rate

     45 %      44 %(j)      39 %(j)      3 %      10 %      11 %      23 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%.

(h)

Effective July 1, 2018, the expense limit decreased to 1.53%.

(i)

Effective July 1, 2017, the expense limit decreased to 1.55%.

(j)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

  See accompanying notes to financial statements.   |  72

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class N  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		  

Net asset value, beginning of the period

   $ 11.33     $ 10.78     $ 10.98     $ 11.30     $ 11.58     $ 11.11     $ 12.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.18       0.38       0.09       0.34       0.39       0.43       0.44  

Net realized and unrealized gain (loss)

     0.44       0.58       (0.15 )      (0.28 )      0.07       0.47       (0.93 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.62       0.96       (0.06 )      0.06       0.46       0.90       (0.49 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.18 )      (0.40 )      (0.09 )      (0.25 )      (0.30 )      (0.28 )      (0.39 ) 

Net realized capital gains

     (0.07 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.25 )      (0.41 )      (0.14 )      (0.38 )      (0.74 )      (0.43 )      (0.51 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.70     $ 11.33     $ 10.78     $ 10.98     $ 11.30     $ 11.58     $ 11.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     5.62 %(b)(c)      9.11 %      (0.58 )%(c)      0.50 %      4.34 %      8.31 %      (4.28 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 1,197,188     $ 1,367,172     $ 1,216,690     $ 1,251,189     $ 1,203,169     $ 47,343     $ 21,851  

Net expenses

     0.46 %(d)(e)      0.47 %(f)      0.48 %(e)      0.47 %(g)      0.48 %(h)      0.47 %      0.47 % 

Gross expenses

     0.47 %(e)      0.47 %      0.48 %(e)      0.47 %      0.48 %      0.47 %      0.47 % 

Net investment income

     3.22 %(e)      3.40 %      3.40 %(e)      3.05 %      3.51 %      3.88 %      3.78 % 

Portfolio turnover rate

     45 %      44 %(i)      39 %(i)      3 %      10 %      11 %      23 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%.

(g)

Effective July 1, 2018, the expense limit decreased to 0.48%.

(h)

Effective July 1, 2017, the expense limit decreased to 0.50%.

(i)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

73  |   See accompanying notes to financial statements.  

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Class Y  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019		     Period Ended
December 31,
2018*		     Year Ended
September 30,
2018		     Year Ended
September 30,
2017		     Year Ended
September 30,
2016		     Year Ended
September 30,
2015		  

Net asset value, beginning of the period

   $ 11.34     $ 10.78     $ 10.99     $ 11.31     $ 11.59     $ 11.11     $ 12.12  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.18       0.37       0.09       0.33       0.39       0.42       0.43  

Net realized and unrealized gain (loss)

     0.44       0.59       (0.16 )      (0.28 )      0.06       0.47       (0.95 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.62       0.96       (0.07 )      0.05       0.45       0.89       (0.52 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.18 )      (0.39 )      (0.09 )      (0.24 )      (0.29 )      (0.26 )      (0.37 ) 

Net realized capital gains

     (0.07 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.25 )      (0.40 )      (0.14 )      (0.37 )      (0.73 )      (0.41 )      (0.49 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.71     $ 11.34     $ 10.78     $ 10.99     $ 11.31     $ 11.59     $ 11.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     5.59 %(b)(c)      9.04 %(b)      (0.59 )%(b)(c)      0.43 %(b)      4.24 %      8.25 %      (4.47 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 3,321,440     $ 3,118,505     $ 2,912,537     $ 3,001,906     $ 3,453,137     $ 4,571,167     $ 6,081,536  

Net expenses

     0.51 %(d)(e)      0.52 %(d)(f)      0.53 %(d)(e)      0.55 %(d)(g)      0.57 %(h)      0.60 %      0.58 % 

Gross expenses

     0.55 %(e)      0.56 %      0.57 %(e)      0.57 %      0.57 %      0.60 %      0.58 % 

Net investment income

     3.18 %(e)      3.35 %      3.35 %(e)      2.98 %      3.48 %      3.74 %      3.63 % 

Portfolio
turnover rate

     45 %      44 %(i)      39 %(i)      3 %      10 %      11 %      23 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Computed on an annualized basis for periods less than one year.

(f)

Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%.

(g)

Effective July 1, 2018, the expense limit decreased to 0.53%.

(h)

Effective July 1, 2017, the expense limit decreased to 0.55%.

(i)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

  See accompanying notes to financial statements.   |  74

Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Investment Grade Bond Fund—Admin Class  
    Six Months
Ended
June 30,
2020
(Unaudited)		     Year Ended
December 31,
2019
     Period Ended
December 31,
2018*
     Year Ended
September 30,
2018
     Year Ended
September 30,
2017
     Year Ended
September 30,
2016
     Year Ended
September 30,
2015
  

Net asset value, beginning of the period

   $ 11.30     $ 10.75     $ 10.95     $ 11.28     $ 11.56     $ 11.08     $ 12.09  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

              

Net investment income(a)

     0.15       0.32       0.08       0.28       0.34       0.37       0.37  

Net realized and unrealized gain (loss)

     0.44       0.58       (0.15 )      (0.28 )      0.06       0.47       (0.95 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Investment Operations

     0.59       0.90       (0.07 )      0.00 (b)      0.40       0.84       (0.58 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

LESS DISTRIBUTIONS FROM:

              

Net investment income

     (0.15 )      (0.34 )      (0.08 )      (0.20 )      (0.24 )      (0.21 )      (0.31 ) 

Net realized capital gains

     (0.07 )      (0.01 )      (0.05 )      (0.13 )      (0.44 )      (0.15 )      (0.12 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Distributions

     (0.22 )      (0.35 )      (0.13 )      (0.33 )      (0.68 )      (0.36 )      (0.43 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of the period

   $ 11.67     $ 11.30     $ 10.75     $ 10.95     $ 11.28     $ 11.56     $ 11.08  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return

     5.36 %(c)(d)      8.43 %(c)      (0.63 )%(c)(d)      (0.07 )%(c)      3.76 %(c)      7.73 %      (4.95 )% 

RATIOS TO AVERAGE NET ASSETS:

              

Net assets, end of the period (000’s)

   $ 111,961     $ 111,439     $ 111,864     $ 115,301     $ 25,521     $ 35,294     $ 37,355  

Net expenses

     1.01 %(e)(f)      1.02 %(e)(g)      1.03 %(e)(f)      1.02 %(e)(h)(i)      1.02 %(e)(j)(k)      1.07 %(l)      1.08 % 

Gross expenses

     1.05 %(f)      1.06 %      1.07 %(f)      1.05 %(h)      1.03 %(j)      1.07 %(l)      1.08 % 

Net investment income

     2.68 %(f)      2.85 %      2.85 %(f)      2.56 %      3.03 %      3.27 %      3.14 % 

Portfolio turnover rate

     45 %      44 %(m)      39 %(m)      3 %      10 %      11 %      23 % 

 

*

For the three month period ended December 31, 2018 due to change in fiscal year end.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%.

(h)

Includes refund of prior year service fee of 0.02%.

(i)

Effective July 1, 2018, the expense limit decreased to 1.03%.

(j)

Includes refund of prior year service fee of 0.05%.

(k)

Effective July 1, 2017, the expense limit decreased to 1.05%.

(l)

Includes refund of prior year service fee of 0.03%.

(m)

The variation in the Fund’s turnover rate from the year ended September 30, 2018 to the period ended December 31, 2018 was primarily due to changes in the investment strategy and portfolio management team of the Fund. During 2019, turnover has remained elevated due to a continued repositioning of the Fund.

 

75  |   See accompanying notes to financial statements.  

Table of Contents

Notes to Financial Statements

 

June 30, 2020 (Unaudited)

 

1.  Organization.  Natixis Funds Trust II and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust II:

Loomis Sayles Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles Investment Grade Bond Fund (the “Investment Grade Bond Fund”)

Each Fund is a diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. High Income Fund and Investment Grade Bond Fund also offer Class N shares. In addition, Investment Grade Bond Fund also offers Admin Class shares.

Class A shares are sold with a maximum front-end sales charge of 4.25% for High Income Fund and Investment Grade Bond Fund and 3.00% for Intermediate Municipal Bond Fund. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus. Admin Class shares do not pay a front-end sales charge or a CDSC, but do pay a Rule 12b-1 fee. Admin Class shares are offered exclusively through intermediaries.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A, Class C and Admin Class), and transfer agent fees are borne collectively for Class A,

 

    |  76

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Class C, Class Y, and Admin Class and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  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 or sub-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 or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be

 

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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 unlisted equity securities and senior loans and collateralized loan obligations 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 most recent 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 clearing house on which the contracts were traded or 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 Funds 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. 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 Funds 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 a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds’ pricing policies and procedures.

As of June 30, 2020, securities held by the Funds were fair valued as follows:

 

Fund

   

Securities
classified as
fair valued

     

Percentage of

Net Assets

    

Securities fair
valued by the
Fund’s adviser

     

Percentage of

Net Assets

  

High Income Fund

    $ 811,064        0.7 %    $ 449,612        0.4 % 

Investment Grade Bond Fund

      80,770,270        1.4 %      —        Less than 0.1 % 

 

 

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b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and

 

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unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds’ 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 appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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 Funds’ or counterparty’s net obligations under the contracts.

No forward foreign currency contracts were held by the Fund during the six months ended June 30, 2020.

e.  Futures Contracts.  The Funds 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 a 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 a 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). 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 a

 

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

No futures contracts were held by the Funds during the six months ended June 30, 2020.

f.  Swap Agreements.  The Funds may enter into credit default and interest rate 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 Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have 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 Funds 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 a 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.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads 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

 

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credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds 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 Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

g.  When-Issued and Delayed Delivery Transactions.  The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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

 

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recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ 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.

There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2020.

h.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where

 

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reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

i.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as contingent payment debt instruments, convertible bonds, defaulted and/or non-income producing securities, capital gains taxes, distributions in excess of income and/or capital gain, return of capital distributions received, perpetual bond adjustments, distribution re-designations, foreign currency gains and losses, passive foreign investment company adjustments, paydown gains and losses and premium amortization. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to convertible bonds, defaulted and/or non-income producing securities, deferred Trustees’ fees, premium amortization, perpetual bond adjustments and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2019 was as follows:

 

     2019 Distributions Paid From:  

Fund

   

Ordinary
Income

     

Tax Exempt
Income

     

Long-Term
Capital
Gains

     

Total

  

High Income Fund

    $ 7,578,533      $ —      $   —      $ 7,578,533  

Intermediate Municipal Bond Fund

      3,751        484,458        —        488,209  

Investment Grade Bond Fund

      194,915,001        —        —        194,915,001  

 

 

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Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2019, capital loss carryforwards were as follows:

 

    

High
Income
Fund

    

Intermediate
Municipal
Bond Fund

    

Investment
Grade
Bond Fund

  

Capital loss carryforward:

 

Short-term:

 

No expiration date

    $ (525,013 )    $ (527,783 )    $   —  

Long-term:

 

No expiration date

      (4,818,541 )      —       —  
  

 

 

    

 

 

    

 

 

  

Total capital loss carryforward

    $ (5,343,554 )    $ (527,783 )    $ —  
  

 

 

    

 

 

    

 

 

  

As of June 30, 2020, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

High
Income
Fund

    

Intermediate
Municipal
Bond Fund

    

Investment
Grade Bond
Fund

  

Federal tax cost

    $ 120,408,870     $ 25,386,812     $ 5,254,777,750  
  

 

 

    

 

 

    

 

 

  

Gross tax appreciation

    $ 5,228,426     $ 1,223,599     $ 424,581,520  

Gross tax depreciation

      (14,577,203 )      (21,104 )      (89,793,819 ) 
  

 

 

    

 

 

    

 

 

  

Net tax appreciation (depreciation)

    $ (9,348,777 )    $ 1,202,495     $ 334,787,701  
  

 

 

    

 

 

    

 

 

  

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales.

j.  Senior Loans.  Each Fund may invest in senior loans to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior 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 senior loan, as specified in the loan agreement.

 

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Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

k.  Loan Participations.  A Fund’s investments in senior loans may be in the form of participations in loans. When investing in a loan participation, 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. 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 from both the party from whom it purchased the loan participation and the borrower. Additionally, a Fund may have minimal control over the terms of any loan modification. Loan participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

l.  Collateralized Loan Obligations.  Each Fund may invest in collateralized loan obligations (“CLOs”). A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateral securities and the class of the instrument in which a Fund invests. The intent of the Funds when investing in CLOs is to purchase only higher level, investment grade level select tranches. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

m.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of June 30, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

n.  Due from Brokers.  Transactions and positions in certain swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer

 

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agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Investment Grade Bond Fund represents cash pledged as initial margin for centrally cleared swap agreements. In certain circumstances the Funds’ use of cash held at brokers is restricted by regulation or broker mandated limits.

o.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the six months ended June 30, 2020, none of the Funds had loaned securities under this agreement.

p.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

q.  New Accounting Pronouncement.  In March 2020, the FASB issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have

 

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contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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 Funds’ 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 Funds 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. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

 

 

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Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2020, at value:

High Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Bonds and Notes

        

Non-Convertible Bonds

        

Home Construction

   $ —     $ 923,755     $ — (b)    $ 923,755  

Non-Agency Commercial Mortgage-Backed Securities

     —       1,269,791       190,690 (c)      1,460,481  

All Other Non-Convertible Bonds(a)

     —       96,097,950       —       96,097,950  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     —       98,291,496       190,690       98,482,186  
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —       3,454,947       —       3,454,947  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     —       101,746,443       190,690       101,937,133  
 

 

 

    

 

 

    

 

 

    

 

 

  

Collateralized Loan Obligations

     —       220,724       —       220,724  

Loan Participations(a)

     —       —       133,422 (c)      133,422  

Preferred Stocks

        

Banking

     111,402       —       —       111,402  

Food & Beverage

     —       1,433,355       —       1,433,355  

Midstream

     —       —       — (b)      —  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     111,402       1,433,355       —       1,544,757  
 

 

 

    

 

 

    

 

 

    

 

 

  

Common Stocks

        

Chemicals

     —       86,006       —       86,006  

All Other Common Stocks(a)

     221,977       —       —       221,977  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

     221,977       86,006       —       307,983  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

89  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

High Income Fund (continued)

Asset Valuation Inputs (continued)

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Other Investments(a)

   $ —     $ —     $ 125,500 (c)    $ 125,500  

Warrants

     —       4,078       —       4,078  

Short-Term Investments

     —       6,786,496       —       6,786,496  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 333,379     $ 110,277,102     $ 449,612     $ 111,060,093  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

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

(b)

Includes securities fair valued at zero by the Fund’s adviser using level 3 inputs.

(c)

Fair valued by the Fund’s adviser.

Intermediate Municipal Bond Fund

Asset Valuation Inputs

 

Description

   

Level 1

     

Level 2

     

Level 3

     

Total

  

Bonds and Notes(a)

    $ —      $ 24,916,263      $ —      $ 24,916,263  

Short-Term Investments

      —        1,673,044        —        1,673,044  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —      $ 26,589,307      $ —      $ 26,589,307  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

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

Investment Grade Bond Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Bonds and Notes

        

Non-Convertible Bonds
ABS Other

   $ —     $ 154,945,107     $ 26,306,108 (b)    $ 181,251,215  

All Other Non-Convertible Bonds(a)

     —       4,987,595,458       —       4,987,595,458  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Non-Convertible Bonds

     —       5,142,540,565       26,306,108       5,168,846,673  
 

 

 

    

 

 

    

 

 

    

 

 

  

Convertible Bonds(a)

     —       42,901,817       —       42,901,817  

Municipals(a)

     —       8,713,112       —       8,713,112  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Bonds and Notes

     —       5,194,155,494       26,306,108       5,220,461,602  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

    |  90

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Investment Grade Bond Fund (continued)

Asset Valuation Inputs (continued)

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

  

Collateralized Loan Obligations

     —       135,296,103       —       135,296,103  

Preferred Stocks

        

Food & Beverage

     —       12,388,899       —       12,388,899  

Independent Energy

     —       —       — (c)      —  

All Other Preferred Stocks(a)

     13,572,839       —       —       13,572,839  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Preferred Stocks

     13,572,839       12,388,899       —       25,961,738  
 

 

 

    

 

 

    

 

 

    

 

 

  

Short-Term Investments

     —       197,572,546       —       197,572,546  

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)

     —       10,273,462       —       10,273,462  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 13,572,839     $ 5,549,686,504     $ 26,306,108     $ 5,589,565,451  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

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

(b)

Valued using broker-dealer bid prices.

(c)

Includes a security fair valued at zero by the Fund’s adviser using level 3 inputs.

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2019 and/or June 30, 2020:

High Income Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2019

    

Accrued
Discounts
(Premiums)

    

Realized
Gain (Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds

          

Home Construction

   $ — (a)    $ 67,865     $ 1,050,446     $ (1,118,311 )    $ —  

Non-Agency Commercial Mortgage-Backed Securities

     325,435       —       —       (134,745 )      —  

Loan Participations

          

ABS Other

     —       13       226       (162,332 )      —  

Preferred Stocks

          

Convertible Preferred Stocks

          

Midstream

     196,350       —       —       (196,350 )      —  

Common Stocks

          

Oil, Gas & Consumable Fuels

     52,304       —       —       —       —  

Other Investments

          

Aircraft ABS

     864,000       —       —       (738,500 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,438,089     $ 67,878     $ 1,050,672     $ (2,350,238 )    $   —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

    |  92

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

High Income Fund (continued)

Asset Valuation Inputs (continued)

 

Investments in Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance
as of
June 30,

2020

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,

2020

  

Bonds and Notes

          

Non-Convertible Bonds

          

Home Construction

   $ —     $ —     $ —     $ — (a)    $ (1,118,311 ) 

Non-Agency Commercial Mortgage-Backed Securities

     —       —       —       190,690       (134,745 ) 

Loan Participations

          

ABS Other

     (102,858 )      398,373       —       133,422       (162,332 ) 

Preferred Stocks

          

Convertible Preferred Stocks

          

Midstream

     —       —       —       — (a)      (196,350 ) 

Common Stocks

          

Oil, Gas & Consumable Fuels

     —       —       (52,304 )      —       —  

Other Investments

          

Aircraft ABS

     —       —       —       125,500       (738,500 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ (102,858 )    $ 398,373     $ (52,304 )    $ 449,612     $ (2,350,238 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $398,373 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

A common stock valued at $52,304 was transferred from Level 3 to Level 1 during the period ended June 30, 2020. At December 31, 2019, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At June 30, 2020, this security was valued at the market price in the in accordance with the Fund’s valuation policies.

 

93  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Investment Grade Bond Fund

Asset Valuation Inputs

 

Investments in Securities

  

Balance as of
December 31,
2019

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

    

Change in
Unrealized
Appreciation
(Depreciation)

    

Purchases

  

Bonds and Notes

          

Non-Convertible Bonds ABS Other

   $ —     $ —     $ —     $ (12,955,633 )    $ —  

Preferred Stocks

          

Independent Energy

     721,179       —       —       (721,179 )      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 721,179     $ —     $ —     $ (13,676,812 )    $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Investments in Securities

  

Sales

    

Transfers
into Level 3

    

Transfers
out of
Level 3

    

Balance

as of

June 30,

2020

    

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,

2020

  

Bonds and Notes

          

Non-Convertible Bonds ABS Other

   $ —     $ 39,261,741     $ —     $ 26,306,108     $ (12,955,633 ) 

Preferred Stocks

          

Independent Energy

     —       —       —       — (a)      (721,179 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ —     $
 		  
39,261,741		  
 		   $ —     $ 26,306,108     $ (13,676,812)  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

A debt security valued at $39,261,741 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2020, 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.

 

    |  94

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Investment Grade Bond Fund used during the period include swap agreements.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the six months ended June 30, 2020, the Fund engaged in credit default swap transactions (as a protection seller) to gain investment exposure.

The following is a summary of derivative instruments for Investment Grade Bond Fund as of June 30, 2020, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

   

Swap
agreements
at value1

  

Exchange-traded/cleared liability derivatives Credit contracts

    $ (1,167,146 ) 

 

1 

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract.

Transactions in derivative instruments for Investment Grade Bond Fund during the six month ended June 30, 2020, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

   

Swap

agreements

  

Credit contracts

    $ 3,403,409  

Net Change in Unrealized

Appreciation (Depreciation) on:

   

Swap

agreements

  

Credit contracts

    $ 10,273,462  

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does 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 these disclosures.

 

95  |    

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

The volume of swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2020:

 

Investment Grade Bond Fund

   

Credit

Default

Swaps

  

Average Notional Amount Outstanding

      2.18 % 

Highest Notional Amount Outstanding

      4.77 % 

Lowest Notional Amount Outstanding

      0.00 % 

Notional Amount Outstanding as of June 30, 2020

      4.11 % 

Unrealized gain and/or loss on open swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

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 clearing house, 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. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, 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 applicable Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) 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:

 

Fund

   

Maximum Amount

of Loss - Gross

     

Maximum Amount

of Loss - Net

  

Investment Grade Bond Fund

    $ 34,035,481      $ 34,035,481  

 

    |  96

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

5.  Purchases and Sales of Securities.  For the six months ended June 30, 2020, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

 

     U.S. Government/Agency
Securities		      Other Securities  

Fund

   

Purchases

     

Sales

     

Purchases

     

Sales

  

High Income Fund

    $ —      $ 719,832      $ 63,309,214      $ 89,893,916  

Intermediate Municipal Bond Fund

      —        —        13,609,141        7,325,408  

Investment Grade Bond Fund

      684,785,144        1,176,103,559        1,648,891,653        1,364,172,077  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to High Income Fund and Investment Grade Bond Fund. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

     Percentage of Average
Daily Net Assets		  

Fund

   

First

$15 billion

    

Over

$15 billion

  

High Income Fund

      0.60 %      0.60 % 

Investment Grade Bond Fund

      0.40 %      0.38 % 

Natixis Advisors, L.P. (“Natixis Advisors”) serves as investment adviser to Intermediate Municipal Bond Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis.

Under the terms of the management agreement, Intermediate Municipal Bond Fund pays a management fee at the annual rate of 0.40% of the Fund’s average daily net assets, calculated daily and payable monthly.

Natixis Advisors has entered into a subadvisory agreement for the Fund with Loomis Sayles. Under the terms of the subadvisory agreement, the Fund has agreed to pay Loomis Sayles a subadvisory fee at the annual rate of 0.20% of the Fund’s average daily net assets, calculated daily and payable monthly.

 

97  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Payments to Natixis Advisors are reduced by the amounts of payments to Loomis Sayles, as calculated based on the above.

Natixis Advisors and Loomis Sayles have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until April 30, 2021, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended June 30, 2020 the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

 

      Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

    

Admin

Class

  

High Income Fund

      1.00 %      1.75 %      0.70 %      0.75 %      —  

Intermediate Municipal Bond Fund

      0.70 %      1.45 %      —       0.45 %      —  

Investment Grade Bond Fund

      0.76 %      1.51 %      0.46 %      0.51 %      1.01 % 

Effective July 1, 2020, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Investment Grade Bond Fund are as follows:

 

      Expense Limit as a Percentage of
Average Daily Net Assets		  

Fund

   

Class A

    

Class C

    

Class N

    

Class Y

    

Admin

Class

  

Investment Grade Bond Fund

      0.75 %      1.50 %      0.45 %      0.50 %      1.00 % 

This new undertaking is in effect until April 30, 2022, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Natixis Advisors and Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more

 

    |  98

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended June 30, 2020, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

  

Gross
Management
Fees

    

Contractual
Waivers of
Management
Fees1

    

Net
Management
Fees

     

Percentage of
Average Daily
Net Assets
Gross Net

  

High Income Fund

   $ 372,021     $ 120,477     $ 251,544        0.60 %       0.41 % 

Intermediate Municipal Bond Fund

     35,851       35,851       —        0.40 %       — % 

Investment Grade Bond Fund

     10,827,404       880,120       9,947,284        0.40 %       0.37 % 

 

1 

Management fee waivers are subject to possible recovery until December 31, 2021.

For the six months ended June 30, 2020, expenses have been reimbursed as follows:

 

Fund

   

Reimbursement

  

Intermediate Municipal Bond Fund

    $  37,066  

No expenses were recovered for any of the Funds during the six months ended June 30, 2020 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  Natixis Distribution, L.P. (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”), a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”), and Investment Grade Bond Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Class A Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

 

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June 30, 2020 (Unaudited)

 

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

Under the Admin Class Plan, Investment Grade Bond Fund pays Natixis Distribution a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Investment Grade Bond Fund may pay Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the six months ended June 30, 2020, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

   

Class A

     

Class C

     

Admin Class

     

Class C

     

Admin Class

  

High Income Fund

    $ 24,917      $ 3,729      $ —      $ 11,187      $ —  

Intermediate Municipal Bond Fund

      10,092        1,809        —        5,426        —  

Investment Grade Bond Fund

      959,646        232,578        137,922        697,734        137,922  

c.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

 

    |  100

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

For the six months ended June 30, 2020, the administrative fees for each Fund were as follows:

 

Fund

   

Administrative
Fees

  

High Income Fund

    $ 27,561  

Intermediate Municipal Bond Fund

      3,992  

Investment Grade Bond Fund

      1,198,887  

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended June 30, 2020, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

   

Sub-Transfer
Agent Fees

  

High Income Fund

    $ 48,194  

Intermediate Municipal Bond Fund

      1,606  

Investment Grade Bond Fund

      1,621,292  

As of June 30, 2020, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

   

Reimbursements
of Sub-Transfer
Agent Fees

  

High Income Fund

    $ 846  

Intermediate Municipal Bond Fund

      39  

Investment Grade Bond Fund

      37,329  

 

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Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Sub-transfer agent fees attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended June 30, 2020, were as follows:

 

Fund

   

Commissions

  

High Income Fund

    $ 1,662  

Intermediate Municipal Bond Fund

      405  

Investment Grade Bond Fund

      29,864  

f.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

 

    |  102

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trusts.

g.  Affiliated Ownership.  As of June 30, 2020, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Investment Grade Bond Fund representing 0.13% of the Fund’s net assets.

Investment activities of affiliated shareholders could have material impacts on the Fund.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to High Income Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through April 30, 2021 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended June 30, 2020, Natixis Advisors reimbursed the Fund $741 for transfer agency expenses related to Class N shares.

7.  Class-Specific Transfer Agent Fees and Expenses.  Transfer agent fees and expenses for High Income Fund and Investment Grade Bond Fund attributable to Class A, Class C, Class Y and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

Intermediate Municipal Bond Fund allocates transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

For the six months ended June 30, 2020, High Income Fund and Investment Grade Bond Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

   

Class A

     

Class C

     

Class N

     

Class Y

     

Admin Class

  

High Income Fund

    $ 10,590      $ 1,603      $ 741      $ 48,055      $ —  

Investment Grade Bond Fund

      313,599        76,041        3,057        1,280,938        45,073  

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of

 

103  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

For the six months ended June 30, 2020, none of the Funds had borrowings under this agreement.

9.  Payable to Custodian Bank.  The Funds’ custodian bank, State Street Bank, provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts may bear interest at a rate per annum equal to the Federal Funds rate plus a variable spread. At June 30, 2020, Investment Grade Bond Fund had a payable to the custodian bank of $25,949,394 for an overdraft. No interest was incurred as a result of this overdraft.

10.  Risk.  Each Fund’s investments in foreign securities may be subject to greater political, economic, environmental, credit/counterparty and information risks. The Fund’s investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity.

Global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the Funds’ future financial and investment results may be adversely affected.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2020, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on

 

    |  104

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

   

Number of 5%

Non- Affiliated
Account Holders

     

Percentage of
Non- Affiliated
Ownership

  

High Income Fund

      7        58.39 % 

Intermediate Municipal Bond Fund

      4        62.61 % 

Investment Grade Bond Fund

      1        10.77 % 

Omnibus shareholder accounts for which Natixis Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

12.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

High Income Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      265,394     $ 1,063,888       1,181,562     $ 4,961,757  

Issued in connection with the reinvestment of distributions

      114,947       449,219       224,427       943,693  

Redeemed

      (986,738 )      (3,936,894 )      (1,744,701 )      (7,332,092 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (606,397 )    $ (2,423,787 )      (338,712 )    $ (1,426,642 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      29,894     $ 121,962       104,622     $ 442,064  

Issued in connection with the reinvestment of distributions

      14,491       56,967       40,123       169,298  

Redeemed

      (310,456 )      (1,228,639 )      (582,159 )      (2,454,372 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (266,071 )    $ (1,049,710 )      (437,414 )    $ (1,843,010 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      405,394     $ 1,502,080       347,075     $ 1,464,639  

Issued in connection with the reinvestment of distributions

      86,539       337,742       144,891       609,528  

Redeemed

      (71,474 )      (281,374 )      (290,834 )      (1,225,972 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      420,459     $ 1,558,448       201,132     $ 848,195  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      6,226,617     $ 23,949,671       5,715,875     $ 23,998,846  

Issued in connection with the reinvestment of distributions

      557,763       2,175,019       1,050,566       4,412,148  

Redeemed

      (12,933,715 )      (47,853,335 )      (5,779,231 )      (24,250,953 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (6,149,335 )    $ (21,728,645 )      987,210     $ 4,160,041  
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      (6,601,344 )    $ (23,643,694 )      412,216     $ 1,738,584  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

105  |    

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

12.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Intermediate Municipal Bond Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      166,782     $ 1,753,500       172,592     $ 1,769,797  

Issued in connection with the reinvestment of distributions

      6,659       68,950       12,521       128,813  

Redeemed

      (96,715 )      (989,249 )      (59,824 )      (609,217 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      76,726     $ 833,201       125,289     $ 1,289,393  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      25,917     $ 265,126       43,687     $ 451,336  

Issued in connection with the reinvestment of distributions

      475       4,912       967       9,940  

Redeemed

      (13,506 )      (140,116 )      (75,820 )      (777,366 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      12,886     $ 129,922       (31,166 )    $ (316,090 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      1,059,453     $ 10,852,288       118,355     $ 1,214,783  

Issued in connection with the reinvestment of distributions

      6,794       70,542       14,927       153,521  

Redeemed

      (532,769 )      (5,556,002 )      (620,551 )      (6,360,407 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      533,478     $ 5,366,828       (487,269 )    $ (4,992,103 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Increase (decrease) from capital share transactions

      623,090     $ 6,329,951       (393,146 )    $ (4,018,800 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

    |  106

Table of Contents

Notes to Financial Statements (continued)

 

June 30, 2020 (Unaudited)

 

12.  Capital Shares (continued).

 

    
 Six Months Ended
June 30, 2020
 		    
 Year Ended
December 31, 2019
 

Investment Grade Bond Fund

      Shares       Amount       Shares       Amount  
Class A

 

Issued from the sale of shares

      10,675,215     $ 121,645,654       21,746,077     $ 242,390,732  

Issued in connection with the reinvestment of distributions

      1,108,368       12,306,623       1,759,350       19,703,186  

Redeemed

      (10,788,878 )      (121,715,254 )      (22,252,474 )      (248,006,281 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      994,705     $ 12,237,023       1,252,953     $ 14,087,637  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class C

 

Issued from the sale of shares

      962,822     $ 10,772,844       1,602,835     $ 17,702,080  

Issued in connection with the reinvestment of distributions

      220,821       2,411,261       469,346       5,182,790  

Redeemed

      (4,207,216 )      (47,250,564 )      (18,184,031 )      (200,209,503 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (3,023,573 )    $ (34,066,459 )      (16,111,850 )    $ (177,324,633 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
Class N

 

Issued from the sale of shares

      17,018,835     $ 192,360,564       30,937,052     $ 345,100,891  

Issued in connection with the reinvestment of distributions

      2,279,873       25,386,534       4,168,997       46,698,958  

Redeemed

      (37,658,012 )      (425,890,612 )      (27,365,168 )      (305,705,875 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (18,359,304 )    $ (208,143,514 )      7,740,881     $ 86,093,974  
  

 

 

    

 

 

    

 

 

    

 

 

  
Class Y

 

Issued from the sale of shares

      66,426,670     $ 746,923,151       75,690,305     $ 842,848,095  

Issued in connection with the reinvestment of distributions

      5,373,782       59,788,962       8,703,543       97,536,256  

Redeemed

      (63,218,188 )      (709,318,539 )      (79,477,156 )      (888,490,131 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      8,582,264     $ 97,393,574       4,916,692     $ 51,894,220  
  

 

 

    

 

 

    

 

 

    

 

 

  
Admin Class

 

Issued from the sale of shares

      874,180     $ 9,971,236       1,693,129     $ 18,816,328  

Issued in connection with the reinvestment of distributions

      186,370       2,060,207       297,880       3,326,874  

Redeemed

      (1,327,979 )      (14,961,664 )      (2,538,140 )      (28,454,222 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change

      (267,429 )    $ (2,930,221 )      (547,131 )    $ (6,311,020 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Decrease from capital share transactions

      (12,073,337 )    $ (135,509,597 )      (2,748,455 )    $ (31,559,822 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

107  |    

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.

Item 11. 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-CSR 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 period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

(a)

(1)

Not applicable.

(a)

(2)

Certifications of Principal Executive Officer and Principal Financial Officerpursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)),filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
   
   

(a)

(3)

Not applicable.

(b)Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

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.

Natixis Funds Trust II

By: /s/ David L. Giunta

Name: David L. Giunta

Title: President and Chief Executive Officer

Date: August 24, 2020

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/ David L. Giunta

Name: David L. Giunta

Title: President and Chief Executive Officer

Date: August 24, 2020

By: /s/ Michael C. Kardok

Name: Michael C. Kardok

Title: Treasurer and Principal Financial and

Accounting Officer

Date: August 24, 2020