N-CSR

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: 811-22099

Gateway Trust

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2016

Item 1. Reports to Stockholders.

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

ANNUAL REPORT

December 31, 2016

Gateway Fund

TABLE OF CONTENTS

Portfolio Review  page 1

Portfolio of Investments page 8

GATEWAY FUND

Managers	Symbols
Daniel M. Ashcraft, CFA®	Class A    GATEX
Michael T. Buckius, CFA®	Class C    GTECX
Paul R. Stewart, CFA®	Class Y    GTEYX
Kenneth H. Toft, CFA®
Gateway Investment Advisers, LLC

Investment Goal

The fund seeks to capture the majority of returns associated with equity market investments, while exposing investors to less risk than other equity investments.

Market Conditions

Surprises were a hallmark of 2016. Surprises in the first half of the year included the S&P 500^® Index‘s 10.27% loss through February 11, 2016, and a steady decline in the yield on the 10-year U.S. Treasury Note, despite the Federal Reserve preparing investors for multiple rate hikes in 2016. Though equities had recovered into positive territory by the end of the first quarter, falling interest rates contributed to the bond market’s surprising outperformance of the stock market over the first half of the year. Equity market conditions were calm in the second half of the year despite the United Kingdom (U.K.) voting to leave the European Union and Donald Trump winning the U.S. presidential election. Neither outcome was expected and both were forecast to have a negative impact on capital markets in the unlikely event they came to pass. The S&P 500^® Index declined 5.34% in the two days after the U.K. vote, but quickly recovered and advanced until mid-August. The S&P 500^® Index declined 4.38% from August 15, 2016, through November 4, 2016 as both the Trump and Clinton campaigns struggled with negative developments. However, the equity market advanced steadily after the election, propelled by anticipation of pro-growth economic policies from the incoming Trump administration and mostly positive quarterly earnings and economic reports. Interest rates rose in the second half of the year, accelerating after the election, and driving the Bloomberg Barclays U.S. Aggregate Bond Index to a loss of 2.53% over the last six months. Fundamentally, seven consecutive quarters of aggregate S&P 500^® Index earnings declines came to an end in the third quarter and third quarter GDP growth of 3.5% was the highest rate in two years.

Implied volatility, as measured by the Chicago Board Options Exchange Volatility Index (the VIX), averaged 15.83 for the year, based on the daily closing values. This is well below its long-term average of 19.71 and a somewhat counter-intuitive outcome for an election year that included a great deal of uncertainty and multiple unexpected events. However, below-average volatility is not uncommon in election years and the pattern of volatility in 2016 was similar to typical election years in that the highest volatility readings came early in the year, troughed in the third quarter and rose in October and November.

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Performance Results

For the 12 months ended December 31, 2016, Class A shares of the Gateway Fund returned 5.23% at net asset value. The Fund underperformed its benchmark, the S&P 500^® Index, which returned 11.96% for the same period.

Explanation of Fund Performance

The Fund invests in a broadly diversified portfolio of common stocks, while also selling index call options and purchasing index put options. The Fund seeks to generate returns by writing at-the-money index call options against the full value of its underlying equity portfolio, substituting a less variable option premium for potential market price appreciation. It also uses some of the cash flow to mitigate sudden and severe price declines in the equity portfolio by purchasing out-of-the-money index put options. An index option is described as being at-the-money when the price of the underlying index is the same as the option’s strike price. Additionally, an index put option is described as being out-of-the money when the price of the underlying index is above the put option’s strike price. It is the net premium-to-earn from selling index call options less the price of protective put options that is a significant factor affecting the Fund’s performance. In the long term, the combination of the diversified stock portfolio, the steady cash flow from the sale of index call options and the downside protection from index put options is intended to provide the Fund with the majority of the returns associated with equity market investments while exposing investors to less risk.

Throughout 2016, the Fund’s two-part option strategy delivered protection during equity market declines and participation during market advances. The Fund’s downside protection was consistent throughout the year, delivering shallower losses than the S&P 500^® Index in each of the three market drawdowns: from December 31, 2015 to February 11, 2016, the Fund’s -5.28% return held up better by 499 basis points (bps); from June 23, 2016 to June 27, 2016, the Fund’s -2.27% return held up better by 307 bps and from August 15, 2016 to November 4, 2016, the Fund’s -1.10% return held up better by 328 bps. Though collecting premiums from writing index call options generally allows the Fund to generate a positive return when the S&P 500^® Index advances, call option positions that expire or are closed out when the Index is well above the option’s strike price may generate realized losses. The consistently low volatility environment during the year produced cash flow from call writing that was insufficient for the Fund to keep pace with the market’s above-average rate of advance. Thus, call option positions detracted from the Fund’s return in three out of four quarters for the year. From February 11th to year-end, the Fund’s return of 11.10% underperformed the S&P 500^® Index by 13.67 percentage points. The return of the Fund over this period was in line with expectations in a rapidly rising, low-volatility market environment.

The Fund’s equity portfolio returned 13.31% for the year, a performance differential of positive 135 bps versus the S&P 500^® Index, which contributed to its return. Consistent with its investment objective, the measured risk of the Fund was low relative to the U.S. equity market, as its standard deviation for 2016 was 5.98% versus 13.30% for the S&P 500^® Index.

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GATEWAY FUND

Outlook

As we transition from the old year to the new one, we close the books on a year of unexpected events. But with key market elements including interest rates, monetary policy, market volatility and corporate earnings at possible inflection points, 2017 may deliver some significant turning points of its own. As the trends play out, they could contribute significantly either on the positive or negative side for stocks and bonds.

Gateway’s investment philosophy maintains that the U.S. equity market is the most reliable source of attractive long-term returns, despite its high volatility and tendency to periodically deliver significant losses over shorter periods of time. Gateway’s investment philosophy also holds that consistency is the key to long-term investment success and that generating cash flow, rather than seeking to forecast the rise and fall of the market, can be a lower-risk means to participate in equity markets. By staying true to its philosophy and managing the Gateway Fund consistently with the firm’s historical approach, Gateway will continue to help investors manage risk while pursuing long-term return in this challenging and uncertain environment.

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Hypothetical Growth of $10,000 Investment in Class A Shares^1,5

December 31, 2006 through December 31, 2016

Top ten holdings as of December 31, 2016

Security name		% of net assets
1	Apple, Inc.		3.17	%
2	Microsoft Corp.		2.51
3	Exxon Mobil Corp.		2.01
4	JPMorgan Chase & Co.		1.85
5	Berkshire Hathaway, Inc.		1.84
6	Johnson & Johnson		1.64
7	Amazon.com, Inc.		1.58
8	Facebook, Inc.		1.50
9	General Electric Co.		1.47
10	Bank of America Corp.		1.45

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

See notes to chart on page 5.

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GATEWAY FUND

Average Annual Total Returns — December 31, 2016⁵

										Expense Ratios6
	1 Year			5 Years			10 Years			Gross			Net
Class A (Inception 12/07/77)1
NAV		5.23	%		4.74	%		3.03	%		1.01	%		0.94	%
With 5.75% Maximum Sales Charge		-0.81			3.51			2.42
Class C (Inception 2/19/08)1
NAV		4.42			3.94			2.25			1.76			1.70
With CDSC2		3.42			3.94			2.25
Class Y (Inception 2/19/08)1
NAV		5.48			4.99			3.25			0.76			0.70
Comparative Performance
S&P 500® Index3		11.96			14.66			6.95
Bloomberg Barclays U.S. Aggregate Bond Index4		2.65			2.23			4.34

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 more recent month-end performance, visit ngam.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 As of the close of business on February 15, 2008, the Fund acquired the assets and liabilities of Gateway Fund (the “Predecessor Fund”), a series of The Gateway Trust, an Ohio business trust. The Fund is the successor to the Predecessor Fund. Prior to 2/15/08 performance of Class A shares is that of the Predecessor Fund, restated to reflect the sales load of Class A shares. Prior to the inception of Class C shares (2/19/08), performance is that of the Predecessor Fund, restated to reflect the higher net expenses and sales loads of Class C shares. Prior to the inception of Class Y shares (2/19/08), performance is that of the Predecessor Fund.

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

3 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.

4 Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

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

6 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This agreement is set to expire on 4/30/17. When an expense cap has not been exceeded, the fund may have similar expense ratios.

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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 Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM 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 ngam.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-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

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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 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 Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund 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 July 1, 2016 through December 31, 2016. 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 below 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 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.

GATEWAY FUND	BEGINNING ACCOUNT VALUE 7/1/2016		ENDING ACCOUNT VALUE 12/31/2016		EXPENSES PAID DURING PERIOD* 7/1/2016 – 12/31/2016
Class A
Actual		$1,000.00		$1,039.00		$4.82
Hypothetical (5% return before expenses)		$1,000.00		$1,020.41		$4.77
Class C
Actual		$1,000.00		$1,035.20		$8.70
Hypothetical (5% return before expenses)		$1,000.00		$1,016.59		$8.62
Class Y
Actual		$1,000.00		$1,040.30		$3.59
Hypothetical (5% return before expenses)		$1,000.00		$1,021.62		$3.56

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.94%, 1.70% and 0.70% 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 (184), divided by 366 (to reflect the half-year period).

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Portfolio of Investments – as of December 31, 2016

Gateway Fund

Shares		Description	Value (†)
	Common Stocks — 97.1% of Net Assets
		Aerospace & Defense — 1.8%
	333,048	Boeing Co. (The)(b)	$	51,848,913
	198,576	Raytheon Co.(b)		28,197,792
	47,565	TransDigm Group, Inc.(b)		11,841,782
	439,375	United Technologies Corp.(b)		48,164,288
				140,052,775
		Air Freight & Logistics — 0.7%
	439,597	United Parcel Service, Inc., Class B(b)		50,395,400
		Airlines — 0.6%
	112,758	Alaska Air Group, Inc.(b)		10,005,017
	339,779	American Airlines Group, Inc.(b)		15,864,282
	209,953	JetBlue Airways Corp.(b)(c)		4,707,146
	237,587	United Continental Holdings, Inc.(b)(c)		17,315,341
				47,891,786
		Auto Components — 0.2%
	50,247	Adient PLC(c)		2,944,474
	75,907	Autoliv, Inc.(b)		8,588,877
	160,289	Cooper Tire & Rubber Co.(b)		6,227,228
				17,760,579
		Automobiles — 0.5%
	2,669,073	Ford Motor Co.(b)		32,375,856
	28,971	Tesla Motors, Inc.(b)(c)		6,190,813
				38,566,669
		Banks — 6.7%
	299,428	Associated Banc - Corp(b)		7,395,872
	5,025,154	Bank of America Corp.(b)		111,055,903
	1,601,427	Citigroup, Inc.(b)		95,172,807
	1,037,084	Huntington Bancshares, Inc.(b)		13,710,250
	1,646,501	JPMorgan Chase & Co.(b)		142,076,571
	189,753	Old National Bancorp(b)		3,444,017
	782,655	U.S. Bancorp(b)		40,204,987
	1,884,161	Wells Fargo & Co.(b)		103,836,113
				516,896,520
		Beverages — 2.0%
	1,639,418	Coca-Cola Co. (The)(b)		67,970,270
	310,572	Monster Beverage Corp.(b)(c)		13,770,763
	702,457	PepsiCo, Inc.(b)		73,498,076
				155,239,109
		Biotechnology — 2.9%
	647,935	AbbVie, Inc.(b)		40,573,690
	144,748	Alexion Pharmaceuticals, Inc.(b)(c)		17,709,918
	299,292	Amgen, Inc.(b)		43,759,483
	107,014	Biogen, Inc.(b)(c)		30,347,030
	343,133	Celgene Corp.(b)(c)		39,717,645

See accompanying notes to financial statements.

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Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Biotechnology — continued
	536,749	Gilead Sciences, Inc.(b)	$	38,436,596
	17,121	Shire PLC, Sponsored ADR		2,917,076
	144,295	Vertex Pharmaceuticals, Inc.(b)(c)		10,630,212
				224,091,650
		Building Products — 0.5%
	271,553	Fortune Brands Home & Security, Inc.(b)		14,517,224
	502,475	Johnson Controls International PLC(b)		20,696,945
				35,214,169
		Capital Markets — 2.4%
	120,536	Affiliated Managers Group, Inc.(b)(c)		17,513,881
	775,101	Charles Schwab Corp. (The)(b)		30,593,237
	162,200	CME Group, Inc.(b)		18,709,770
	268,031	Eaton Vance Corp.(b)		11,225,138
	174,018	Goldman Sachs Group, Inc. (The)(b)		41,668,610
	323,643	Intercontinental Exchange, Inc.(b)		18,259,938
	220,119	Legg Mason, Inc.(b)		6,583,759
	746,900	Morgan Stanley(b)		31,556,525
	185,699	TD Ameritrade Holding Corp.(b)		8,096,476
	148,968	Waddell & Reed Financial, Inc., Class A		2,906,366
				187,113,700
		Chemicals — 1.9%
	21,205	AdvanSix, Inc.(c)		469,479
	68,520	Ashland Global Holdings, Inc.(b)		7,488,551
	76,246	Celanese Corp., Series A(b)		6,003,610
	599,063	Dow Chemical Co. (The)(b)		34,278,385
	383,052	E.I. du Pont de Nemours & Co.(b)		28,116,017
	194,173	Eastman Chemical Co.(b)		14,603,751
	51,809	Ingevity Corp.(c)		2,842,242
	213,617	LyondellBasell Industries NV, Class A(b)		18,324,066
	186,277	Monsanto Co.(b)		19,598,203
	123,235	Olin Corp.		3,156,048
	194,640	RPM International, Inc.(b)		10,477,471
				145,357,823
		Commercial Services & Supplies — 0.3%
	268,596	Waste Management, Inc.(b)		19,046,142
		Communications Equipment — 1.1%
	2,348,322	Cisco Systems, Inc.(b)		70,966,291
	136,704	Motorola Solutions, Inc.(b)		11,331,395
	39,211	Palo Alto Networks, Inc.(b)(c)		4,903,335
				87,201,021
		Consumer Finance — 0.7%
	135,739	Ally Financial, Inc.		2,581,756
	354,603	American Express Co.(b)		26,268,990
	304,571	Discover Financial Services(b)		21,956,523
				50,807,269

See accompanying notes to financial statements.

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Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Containers & Packaging — 0.4%
	156,723	Avery Dennison Corp.(b)	$	11,005,089
	137,926	Sonoco Products Co.(b)		7,268,700
	242,621	WestRock Co.(b)		12,317,868
				30,591,657
		Distributors — 0.3%
	209,295	Genuine Parts Co.(b)		19,996,044
		Diversified Financial Services — 1.8%
	864,424	Berkshire Hathaway, Inc., Class B(b)(c)		140,883,824
		Diversified Telecommunication Services — 2.5%
	2,408,937	AT&T, Inc.(b)		102,452,091
	72,573	SBA Communications Corp., Class A(c)		7,493,888
	1,588,870	Verizon Communications, Inc.(b)		84,813,880
				194,759,859
		Electric Utilities — 1.5%
	461,146	Alliant Energy Corp.(b)		17,472,822
	789,602	American Electric Power Co., Inc.(b)		49,713,342
	492,206	Duke Energy Corp.(b)		38,205,029
	110,798	Hawaiian Electric Industries, Inc.(b)		3,664,090
	271,104	OGE Energy Corp.(b)		9,068,429
				118,123,712
		Electrical Equipment — 0.6%
	280,368	Eaton Corp. PLC(b)		18,809,889
	412,177	Emerson Electric Co.(b)		22,978,868
	40,121	Hubbell, Inc.(b)		4,682,121
				46,470,878
		Electronic Equipment, Instruments & Components — 0.5%
	639,188	Corning, Inc.(b)		15,513,093
	311,816	TE Connectivity Ltd.(b)		21,602,612
				37,115,705
		Energy Equipment & Services — 1.5%
	219,129	Baker Hughes, Inc.(b)		14,236,811
	553,928	Halliburton Co.(b)		29,961,966
	320,999	Patterson-UTI Energy, Inc.(b)		8,641,293
	689,754	Schlumberger Ltd.(b)		57,904,848
				110,744,918
		Food & Staples Retailing — 1.7%
	591,332	CVS Health Corp.(b)		46,662,008
	709,379	Wal-Mart Stores, Inc.(b)		49,032,276
	458,180	Walgreens Boots Alliance, Inc.(b)		37,918,977
				133,613,261
		Food Products — 1.4%
	99,388	Bunge Ltd.(b)		7,179,789
	594,061	Conagra Brands, Inc.(b)		23,495,113

See accompanying notes to financial statements.

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Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Food Products — continued
	303,613	Kraft Heinz Co. (The)(b)	$	26,511,487
	171,244	Lamb Weston Holdings, Inc.(b)(c)		6,481,585
	1,029,474	Mondelez International, Inc., Class A(b)		45,636,583
				109,304,557
		Gas Utilities — 0.2%
	135,393	National Fuel Gas Co.(b)		7,668,660
	36,602	ONE Gas, Inc.		2,341,064
	74,361	WGL Holdings, Inc.(b)		5,672,257
				15,681,981
		Health Care Equipment & Supplies — 2.1%
	715,714	Abbott Laboratories(b)		27,490,575
	389,539	Baxter International, Inc.(b)		17,272,159
	1,258,452	Boston Scientific Corp.(b)(c)		27,220,317
	336,439	Hologic, Inc.(b)(c)		13,497,932
	31,735	Intuitive Surgical, Inc.(b)(c)		20,125,385
	718,764	Medtronic PLC(b)		51,197,560
	56,543	ResMed, Inc.(b)		3,508,493
				160,312,421
		Health Care Providers & Services — 2.7%
	265,863	Aetna, Inc.(b)		32,969,671
	182,129	Anthem, Inc.(b)		26,184,686
	399,886	Express Scripts Holding Co.(b)(c)		27,508,158
	236,805	HCA Holdings, Inc.(b)(c)		17,528,306
	155,514	Patterson Cos., Inc.(b)		6,380,739
	127,157	Quest Diagnostics, Inc.(b)		11,685,728
	456,919	UnitedHealth Group, Inc.(b)		73,125,317
	123,465	Universal Health Services, Inc., Class B(b)		13,134,207
				208,516,812
		Hotels, Restaurants & Leisure — 1.2%
	52,112	Domino’s Pizza, Inc.(b)		8,298,315
	261,654	Hilton Worldwide Holdings, Inc.(b)		7,116,989
	38,270	Las Vegas Sands Corp.		2,044,001
	421,929	McDonald’s Corp.(b)		51,357,198
	182,685	Melco Crown Entertainment Ltd., Sponsored ADR		2,904,692
	206,550	MGM Resorts International(b)(c)		5,954,836
	155,034	Norwegian Cruise Line Holdings Ltd.(b)(c)		6,593,596
	78,199	Restaurant Brands International, Inc.(b)		3,726,964
	434,122	Wendy’s Co. (The)(b)		5,869,329
				93,865,920
		Household Durables — 0.9%
	261,536	Leggett & Platt, Inc.(b)		12,783,880
	360,064	Newell Brands, Inc.(b)		16,076,857
	577,566	Toll Brothers, Inc.(b)(c)		17,904,546
	63,337	Tupperware Brands Corp.(b)		3,332,793
	83,547	Whirlpool Corp.(b)		15,186,338
				65,284,414

See accompanying notes to financial statements.

11  |

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Household Products — 1.8%
	164,245	Church & Dwight Co., Inc.(b)	$	7,257,987
	486,221	Colgate-Palmolive Co.(b)		31,818,302
	172,907	Kimberly-Clark Corp.(b)		19,732,147
	936,340	Procter & Gamble Co. (The)(b)		78,727,467
				137,535,903
		Industrial Conglomerates — 3.0%
	333,360	3M Co.(b)		59,528,095
	3,566,335	General Electric Co.(b)		112,696,186
	466,215	Honeywell International, Inc.(b)		54,011,008
				226,235,289
		Insurance — 2.8%
	265,611	Aflac, Inc.(b)		18,486,526
	293,814	Allstate Corp. (The)(b)		21,777,494
	514,290	American International Group, Inc.(b)		33,588,280
	179,714	Aon PLC(b)		20,043,502
	114,640	Arthur J. Gallagher & Co.(b)		5,956,694
	191,560	FNF Group(b)		6,505,378
	358,212	Lincoln National Corp.(b)		23,738,709
	394,972	Marsh & McLennan Cos., Inc.(b)		26,696,158
	302,212	Principal Financial Group, Inc.(b)		17,485,986
	259,413	Travelers Cos., Inc. (The)(b)		31,757,339
	302,347	XL Group Ltd.(b)		11,265,449
				217,301,515
		Internet & Direct Marketing Retail — 2.3%
	161,353	Amazon.com, Inc.(b)(c)		120,993,774
	184,751	Netflix, Inc.(b)(c)		22,872,174
	21,195	Priceline Group, Inc. (The)(b)(c)		31,073,142
				174,939,090
		Internet Software & Services — 4.6%
	129,476	Alphabet, Inc., Class A(b)(c)		102,603,256
	110,860	Alphabet, Inc., Class C(b)(c)		85,563,965
	21,117	Baidu, Inc., Sponsored ADR(b)(c)		3,471,846
	613,137	eBay, Inc.(b)(c)		18,204,038
	998,893	Facebook, Inc., Class A(b)(c)		114,922,640
	148,176	VeriSign, Inc.(b)(c)		11,271,748
	421,253	Yahoo!, Inc.(b)(c)		16,289,853
				352,327,346
		IT Services — 3.4%
	270,895	Automatic Data Processing, Inc.(b)		27,842,588
	136,305	Broadridge Financial Solutions, Inc.(b)		9,037,021
	402,460	Cognizant Technology Solutions Corp., Class A(b)(c)		22,549,834
	238,300	Fidelity National Information Services, Inc.(b)		18,025,012
	40,311	FleetCor Technologies, Inc.(b)(c)		5,704,813
	363,173	International Business Machines Corp.(b)		60,283,086
	259,173	Paychex, Inc.(b)		15,778,452

See accompanying notes to financial statements.

|  12

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		IT Services — continued
	564,099	PayPal Holdings, Inc.(b)(c)	$	22,264,988
	891,906	Visa, Inc., Class A(b)		69,586,506
	394,132	Western Union Co. (The)(b)		8,560,547
				259,632,847
		Leisure Products — 0.2%
	245,637	Mattel, Inc.(b)		6,767,300
	84,926	Polaris Industries, Inc.(b)		6,997,053
				13,764,353
		Life Sciences Tools & Services — 0.2%
	99,001	Illumina, Inc.(b)(c)		12,676,088
		Machinery — 1.9%
	381,410	Caterpillar, Inc.(b)		35,371,963
	125,386	Cummins, Inc.(b)		17,136,505
	161,197	Deere & Co.(b)		16,609,739
	189,620	Parker Hannifin Corp.(b)		26,546,800
	171,481	Pentair PLC(b)		9,614,940
	98,027	Snap-on, Inc.(b)		16,789,084
	182,421	Stanley Black & Decker, Inc.(b)		20,921,865
	114,596	Timken Co. (The)(b)		4,549,461
				147,540,357
		Media — 3.0%
	1,042,614	Comcast Corp., Class A(b)		71,992,497
	191,768	Liberty Global PLC, Series C(b)(c)		5,695,510
	95,626	Liberty Global PLC LiLAC, Series C(c)		2,024,402
	288,008	News Corp., Class B(b)		3,398,494
	196,923	Omnicom Group, Inc.(b)		16,760,117
	5,164,830	Sirius XM Holdings, Inc.(b)		22,983,493
	358,707	Time Warner, Inc.(b)		34,625,987
	74,823	Time, Inc.		1,335,591
	712,378	Walt Disney Co. (The)(b)		74,244,035
				233,060,126
		Metals & Mining — 0.2%
	194,251	Southern Copper Corp.(b)		6,204,377
	237,754	Steel Dynamics, Inc.(b)		8,459,287
	70,398	Worthington Industries, Inc.(b)		3,339,681
				18,003,345
		Multi-Utilities — 1.5%
	333,360	Ameren Corp.(b)		17,488,066
	665,565	CenterPoint Energy, Inc.(b)		16,399,522
	286,820	Consolidated Edison, Inc.(b)		21,132,897
	649,303	Public Service Enterprise Group, Inc.(b)		28,491,416
	477,447	WEC Energy Group, Inc.(b)		28,002,266
				111,514,167

See accompanying notes to financial statements.

13  |

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Multiline Retail — 0.5%
	182,140	Nordstrom, Inc.(b)	$	8,729,970
	376,175	Target Corp.(b)		27,171,120
				35,901,090
		Oil, Gas & Consumable Fuels — 5.9%
	159,424	Cheniere Energy, Inc.(b)(c)		6,604,936
	841,945	Chevron Corp.(b)		99,096,927
	226,749	Concho Resources, Inc.(b)(c)		30,066,917
	900,918	ConocoPhillips(b)		45,172,029
	196,755	Continental Resources, Inc.(b)(c)		10,140,753
	1,711,465	Exxon Mobil Corp.(b)		154,476,831
	328,183	Gulfport Energy Corp.(b)(c)		7,101,880
	349,548	HollyFrontier Corp.(b)		11,451,192
	532,184	Occidental Petroleum Corp.(b)		37,907,466
	227,919	ONEOK, Inc.(b)		13,084,830
	383,503	Phillips 66(b)		33,138,494
				448,242,255
		Personal Products — 0.0%
	59,847	Herbalife Ltd.(c)		2,881,035
		Pharmaceuticals — 5.0%
	190,492	Allergan PLC(b)(c)		40,005,225
	670,365	Bristol-Myers Squibb Co.(b)		39,176,131
	418,737	Eli Lilly & Co.(b)		30,798,106
	62,491	Jazz Pharmaceuticals PLC(b)(c)		6,813,394
	1,090,937	Johnson & Johnson(b)		125,686,852
	1,133,542	Merck & Co., Inc.(b)		66,731,617
	2,294,390	Pfizer, Inc.(b)		74,521,787
				383,733,112
		Professional Services — 0.3%
	74,396	Dun & Bradstreet Corp. (The)(b)		9,025,723
	138,148	Verisk Analytics, Inc.(b)(c)		11,213,473
				20,239,196
		REITs – Apartments — 0.3%
	570,075	UDR, Inc.(b)		20,796,336
		REITs – Diversified — 0.8%
	269,981	Digital Realty Trust, Inc.(b)		26,528,333
	943,920	Duke Realty Corp.(b)		25,070,515
	304,696	Liberty Property Trust(b)		12,035,492
				63,634,340
		REITs – Health Care — 0.6%
	170,806	Care Capital Properties, Inc.(b)		4,270,150
	289,444	Healthcare Realty Trust, Inc.(b)		8,775,942
	256,100	Senior Housing Properties Trust(b)		4,847,973
	439,995	Ventas, Inc.(b)		27,508,488
				45,402,553

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		REITs – Mortgage — 0.3%
	634,597	AGNC Investment Corp.(b)	$	11,505,244
	1,217,765	Annaly Capital Management, Inc.(b)		12,141,117
				23,646,361
		REITs – Office Property — 0.0%
	109,171	Mack-Cali Realty Corp.		3,168,142
		REITs – Shopping Centers — 0.2%
	162,802	Regency Centers Corp.(b)		11,225,198
		REITs – Storage — 0.2%
	233,190	Extra Space Storage, Inc.(b)		18,011,596
		Road & Rail — 0.7%
	146,168	Avis Budget Group, Inc.(b)(c)		5,361,442
	58,999	Canadian Pacific Railway Ltd.(b)		8,423,287
	1,024,576	CSX Corp.(b)		36,813,016
	158,107	Hertz Global Holdings, Inc.(b)(c)		3,408,787
				54,006,532
		Semiconductors & Semiconductor Equipment — 3.4%
	175,038	Advanced Micro Devices, Inc.(c)		1,984,931
	243,846	Analog Devices, Inc.(b)		17,708,097
	724,182	Applied Materials, Inc.(b)		23,369,353
	1,916,735	Intel Corp.(b)		69,519,978
	241,943	Linear Technology Corp.(b)		15,085,146
	200,182	Microchip Technology, Inc.(b)		12,841,675
	278,548	NVIDIA Corp.(b)		29,732,214
	631,881	QUALCOMM, Inc.(b)		41,198,641
	142,510	Skyworks Solutions, Inc.(b)		10,639,797
	512,406	Texas Instruments, Inc.(b)		37,390,266
				259,470,098
		Software — 4.3%
	431,874	Activision Blizzard, Inc.(b)		15,594,970
	321,028	Adobe Systems, Inc.(b)(c)		33,049,833
	100,269	ANSYS, Inc.(b)(c)		9,273,880
	88,935	Dell Technologies, Inc., Class V(b)(c)		4,888,757
	3,103,285	Microsoft Corp.(b)		192,838,130
	341,278	Nuance Communications, Inc.(b)(c)		5,085,042
	1,305,341	Oracle Corp.(b)		50,190,361
	76,669	ServiceNow, Inc.(b)(c)		5,699,573
	390,676	Symantec Corp.(b)		9,333,250
	77,184	Workday, Inc., Class A(b)(c)		5,101,091
				331,054,887
		Specialty Retail — 2.5%
	117,243	American Eagle Outfitters, Inc.		1,778,576
	174,396	Foot Locker, Inc.(b)		12,362,933
	254,552	Gap, Inc. (The)(b)		5,712,147
	656,242	Home Depot, Inc. (The)(b)		87,988,927
	150,116	L Brands, Inc.(b)		9,883,637

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Shares		Description	Value (†)
		Specialty Retail — continued
	567,023	Lowe’s Cos., Inc.(b)	$	40,326,676
	139,355	Tiffany & Co.(b)		10,790,258
	319,557	TJX Cos., Inc. (The)(b)		24,008,317
				192,851,471
		Technology Hardware, Storage & Peripherals — 3.2%
	2,103,114	Apple, Inc.(b)		243,582,664
		Textiles, Apparel & Luxury Goods — 0.4%
	93,453	Lululemon Athletica, Inc.(b)(c)		6,073,510
	212,485	Michael Kors Holdings Ltd.(b)(c)		9,132,605
	419,436	Under Armour, Inc., Class A(b)(c)		12,184,616
	92,527	Under Armour, Inc., Class C(c)		2,328,905
				29,719,636
		Tobacco — 1.9%
	899,052	Altria Group, Inc.(b)		60,793,896
	652,072	Philip Morris International, Inc.(b)		59,658,067
	399,880	Reynolds American, Inc.(b)		22,409,275
	158,645	Vector Group Ltd.		3,607,588
				146,468,826
		Trading Companies & Distributors — 0.1%
	101,499	GATX Corp.(b)		6,250,308
		Wireless Telecommunication Services — 0.0%
	182,970	Sprint Corp.(c)		1,540,607
		Total Common Stocks (Identified Cost $4,730,381,064)		7,447,257,244
Contracts
	Purchased Options — 0.3%
		Index Options — 0.3%
	4,003	On S&P 500® Index, Put expiring January 20, 2017 at 2000(c)		370,277
	4,718	On S&P 500® Index, Put expiring January 20, 2017 at 2050(c)		719,495
	3,125	On S&P 500® Index, Put expiring February 17, 2017 at 1975(c)		1,234,375
	7,683	On S&P 500® Index, Put expiring February 17, 2017 at 2025(c)		4,532,970
	5,535	On S&P 500® Index, Put expiring March 17, 2017 at 2000(c)		6,365,250
	7,805	On S&P 500® Index, Put expiring March 17, 2017 at 2075(c)		14,439,250
		Total Purchased Options (Identified Cost $48,113,972)		27,661,617

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

Principal Amount		Description	Value (†)
	Short-Term Investments — 4.3%
$	330,108,928	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $330,110,028 on 1/03/2017 collateralized by $44,770,000 Federal Home Loan Bank, 2.790% due 8/08/2036 valued at $40,406,626; $69,000,000 Federal Home Loan Bank, 2.670% due 5/17/2032 valued at $62,725,554; $34,680,000 Federal Home Loan Bank, 2.790% due 8/10/2038 valued at $30,605,551; $29,000,000 Federal Home Loan Bank, 2.570% due 10/06/2031 valued at $27,344,622; $43,000,000 Federal Home Loan Bank, 2.800% due 10/27/2036 valued at $38,782,474; $12,465,000 Federal Farm Credit Bank, 3.120% due 3/14/2031 valued at $12,579,030; $51,080,000 Federal Home Loan Bank, 5.500% due 7/15/2036 valued at $68,022,214; $50,000,000 U.S. Treasury Note, 3.125% due 11/15/2041 valued at $50,650,100; $820,000 U.S. Treasury Note, 3.125% due 2/15/2043 valued at $835,534; $4,500,000 U.S. Treasury Note, 3.375% due 5/15/2044 valued at $4,763,237 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $330,108,928)	$	330,108,928
		Total Investments — 101.7% (Identified Cost $5,108,603,964)(a)		7,805,027,789
		Other assets less liabilities — (1.7)%		(132,859,790	)
		Net Assets — 100.0%	$	7,672,167,999
Contracts
	Written Options — (1.9%)
		Index Options — (1.9%)
	3,661	On S&P 500® Index, Call expiring January 06, 2017 at 2200	$	(15,998,570	)
	3,384	On S&P 500® Index, Call expiring January 13, 2017 at 2260		(3,299,400	)
	3,806	On S&P 500® Index, Call expiring January 20, 2017 at 2175		(28,183,430	)
	3,458	On S&P 500® Index, Call expiring January 20, 2017 at 2200		(18,361,980	)
	3,760	On S&P 500® Index, Call expiring January 20, 2017 at 2250		(7,031,200	)
	3,621	On S&P 500® Index, Call expiring February 17, 2017 at 2200		(23,808,075	)
	3,620	On S&P 500® Index, Call expiring February 17, 2017 at 2225		(17,412,200	)
	3,910	On S&P 500® Index, Call expiring March 17, 2017 at 2250		(17,810,050	)
	3,649	On S&P 500® Index, Call expiring March 17, 2017 at 2275		(11,768,025	)
		Total Written Options (Premiums Received $131,449,497)	$	(143,672,930	)
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2016, the net unrealized appreciation on investments based on a cost of $5,100,508,143 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,875,408,339
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(170,888,693	)
		Net unrealized appreciation	$	2,704,519,646

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of December 31, 2016

Gateway Fund – (continued)

(b)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(c)	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.
REITs	Real Estate Investment Trusts

Industry Summary at December 31, 2016

Banks	6.7	%
Oil, Gas & Consumable Fuels	5.9
Pharmaceuticals	5.0
Internet Software & Services	4.6
Software	4.3
IT Services	3.4
Semiconductors & Semiconductor Equipment	3.4
Technology Hardware, Storage & Peripherals	3.2
Media	3.0
Industrial Conglomerates	3.0
Biotechnology	2.9
Insurance	2.8
Health Care Providers & Services	2.7
Diversified Telecommunication Services	2.5
Specialty Retail	2.5
Capital Markets	2.4
Internet & Direct Marketing Retail	2.3
Health Care Equipment & Supplies	2.1
Beverages	2.0
Other Investments, less than 2% each	32.7
Short-Term Investments	4.3
Total Investments	101.7
Other assets less liabilities (including open written options)	(1.7	)
Net Assets	100.0	%

See accompanying notes to financial statements.

|  18

Statement of Assets and Liabilities

December 31, 2016

ASSETS
Investments at cost	$	5,108,603,964
Net unrealized appreciation		2,696,423,825
Investments at value		7,805,027,789
Receivable for Fund shares sold		24,814,746
Dividends and interest receivable		9,811,946
Prepaid expenses (Note 7)		18,671
TOTAL ASSETS		7,839,673,152
LIABILITIES
Options written, at value (premiums received $131,449,497) (Note 2)		143,672,930
Payable for Fund shares redeemed		18,764,175
Management fees payable (Note 6)		3,809,728
Deferred Trustees’ fees (Note 6)		533,102
Administrative fees payable (Note 6)		298,202
Payable to distributor (Note 6d)		51,016
Other accounts payable and accrued expenses		376,000
TOTAL LIABILITIES		167,505,153
NET ASSETS	$	7,672,167,999
NET ASSETS CONSIST OF:
Paid-in capital	$	6,184,083,145
Undistributed net investment income		2,341,759
Accumulated net realized loss on investments, options written and foreign currency transactions		(1,198,457,479	)
Net unrealized appreciation on investments, options written and foreign currency translations		2,684,200,574
NET ASSETS	$	7,672,167,999
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	1,755,576,173
Shares of beneficial interest		56,924,484
Net asset value and redemption price per share	$	30.84
Offering price per share (100/94.25 of net asset value) (Note 1)	$	32.72
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	366,583,671
Shares of beneficial interest		11,932,219
Net asset value and offering price per share	$	30.72
Class Y shares:
Net assets	$	5,550,008,155
Shares of beneficial interest		180,028,795
Net asset value, offering and redemption price per share	$	30.83

See accompanying notes to financial statements.

19  |

Statement of Operations

For the Year Ended December 31, 2016

INVESTMENT INCOME
Dividends	$	190,909,819
Interest		66,518
Less net foreign taxes withheld		(23,492	)
		190,952,845
Expenses
Management fees (Note 6)		51,661,508
Service and distribution fees (Note 6)		8,251,574
Administrative fees (Note 6)		3,636,241
Trustees’ fees and expenses (Note 6)		219,339
Transfer agent fees and expenses (Note 6)		5,900,677
Audit and tax services fees		51,779
Custodian fees and expenses		386,449
Legal fees		140,288
Registration fees		194,878
Shareholder reporting expenses		244,741
Miscellaneous expenses (Note 7)		266,565
Total expenses		70,954,039
Less waiver and/or expense reimbursement (Note 6)		(5,508,601	)
Net expenses		65,445,438
Net investment income		125,507,407
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		525,855,841
Options written		(203,691,375	)
Foreign currency transactions		(1,117	)
Net change in unrealized appreciation (depreciation) on:
Investments		98,572,938
Options written		(110,181,590	)
Foreign currency translations		191
Net realized and unrealized gain on investments, options written and foreign currency transactions		310,554,888
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	436,062,295

See accompanying notes to financial statements.

|  20

Statement of Changes in Net Assets

	Year Ended December 31, 2016			Year Ended December 31, 2015
FROM OPERATIONS:
Net investment income	$	125,507,407		$	165,793,033
Net realized gain on investments, options written and foreign currency transactions		322,163,349			419,952,951
Net change in unrealized appreciation (depreciation) on investments, options written and foreign currency translations		(11,608,461	)		(387,367,217	)
Net increase in net assets resulting from operations		436,062,295			198,378,767
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(25,053,905	)		(34,030,868	)
Class C		(2,443,921	)		(3,900,980	)
Class Y		(97,909,866	)		(121,203,310	)
Total distributions		(125,407,692	)		(159,135,158	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(902,825,602	)		80,398,347
Net increase (decrease) in net assets		(592,170,999	)		119,641,956
NET ASSETS
Beginning of the year		8,264,338,998			8,144,697,042
End of the year	$	7,672,167,999		$	8,264,338,998
UNDISTRIBUTED NET INVESTMENT INCOME	$	2,341,759		$	7,806,629

See accompanying notes to financial statements.

21  |

Financial Highlights

For a share outstanding throughout each period.

	Class A
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	29.72		$	29.58		$	29.00		$	27.13		$	26.40
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.41			0.57	(b)		0.39			0.43			0.48
Net realized and unrealized gain (loss)		1.13			0.12			0.57			1.82			0.72
Total from Investment Operations		1.54			0.69			0.96			2.25			1.20
LESS DISTRIBUTIONS FROM:
Net investment income		(0.42	)		(0.55	)		(0.38	)		(0.38	)		(0.47	)
Net asset value, end of the period	$	30.84		$	29.72		$	29.58		$	29.00		$	27.13
Total return(c)(d)		5.23	%		2.34	%		3.33	%		8.39	%		4.51	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,755,576		$	1,864,118		$	1,976,457		$	2,351,788		$	2,066,522
Net expenses(e)		0.94	%		0.94	%		0.94	%		0.94	%		0.94	%
Gross expenses		1.02	%		1.01	%		1.02	%		1.03	%		1.03	%
Net investment income		1.39	%		1.91	%(b)		1.33	%		1.51	%		1.79	%
Portfolio turnover rate		14	%		10	%		13	%		10	%		8	%

(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 $0.37, and the ratio of net investment income to average net assets would have been 1.24%.

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

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

(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.

See accompanying notes to financial statements.

|  22

Financial Highlights (continued)

For a share outstanding throughout each period.

	Class C
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	29.61		$	29.48		$	28.90		$	27.04		$	26.32
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.19			0.34	(b)		0.17			0.21			0.28
Net realized and unrealized gain (loss)		1.11			0.12			0.57			1.82			0.71
Total from Investment Operations		1.30			0.46			0.74			2.03			0.99
LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.33	)		(0.16	)		(0.17	)		(0.27	)
Net asset value, end of the period	$	30.72		$	29.61		$	29.48		$	28.90		$	27.04
Total return(c)(d)		4.42	%		1.54	%		2.58	%		7.58	%		3.71	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	366,584		$	387,235		$	353,339		$	331,465		$	286,602
Net expenses(e)		1.70	%		1.70	%		1.70	%		1.70	%		1.70	%
Gross expenses		1.77	%		1.76	%		1.77	%		1.78	%		1.78	%
Net investment income		0.63	%		1.15	%(b)		0.57	%		0.75	%		1.04	%
Portfolio turnover rate		14	%		10	%		13	%		10	%		8	%

(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, and the ratio of net investment income to average net assets would have been 0.51%.

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

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

(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.

See accompanying notes to financial statements.

23  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Class Y
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	29.71		$	29.57		$	28.99		$	27.12		$	26.39
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.49			0.64	(b)		0.46			0.50			0.56
Net realized and unrealized gain (loss)		1.12			0.12			0.57			1.82			0.70
Total from Investment Operations		1.61			0.76			1.03			2.32			1.26
LESS DISTRIBUTIONS FROM:
Net investment income		(0.49	)		(0.62	)		(0.45	)		(0.45	)		(0.53	)
Net asset value, end of the period	$	30.83		$	29.71		$	29.57		$	28.99		$	27.12
Total return(c)		5.48	%		2.59	%		3.58	%		8.65	%		4.76	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	5,550,008		$	6,012,987		$	5,814,900		$	5,520,003		$	4,654,553
Net expenses(d)		0.70	%		0.70	%		0.70	%		0.70	%		0.70	%
Gross expenses		0.77	%		0.76	%		0.77	%		0.78	%		0.78	%
Net investment income		1.63	%		2.16	%(b)		1.57	%		1.76	%		2.08	%
Portfolio turnover rate		14	%		10	%		13	%		10	%		8	%

(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 $0.45, and the ratio of net investment income to average net assets would have been 1.51%.

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

(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.

See accompanying notes to financial statements.

|  24

Notes to Financial Statements

December 31, 2016

1.  Organization.   Gateway Trust (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. Information presented in these financial statements pertains to Gateway Fund (the “Fund”).

The Fund is a diversified investment company.

The Fund offers Class A, Class C and Class Y 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, do not convert to any other class of shares pay higher ongoing Rule 12b-1 fees than 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 Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the 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, Gateway Trust and Natixis ETF Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of the 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). 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 the Fund in the preparation of its financial statements. The Fund’s 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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

25  |

Notes to Financial Statements (continued)

December 31, 2016

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 and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund 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. Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”).

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. Option contracts for which the average of the closing bid and ask quotations are not considered to reflect option contract values as of the close of the New York Stock Exchange (“NYSE”) are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Fund will fair value S&P 500^® Index options using the closing rotation values published by the CBOE. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the NYSE. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant

|  26

Notes to Financial Statements (continued)

December 31, 2016

fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of December 31, 2016, purchased options were fair valued at $27,661,617, representing 0.3% of net assets, and written options were fair valued at $(143,672,930), representing (1.9)% of net assets, using the closing rotation values published by the CBOE.

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 is recorded on 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. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Fund’s investments in real estate investment trusts (“REITs”) are reported to the Fund after the end of the fiscal year; accordingly, the Fund estimates these amounts for accounting purposes until the characterization of REIT distributions is reported to the Fund 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 Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. 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 Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses

27  |

Notes to Financial Statements (continued)

December 31, 2016

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 Statement 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 Statement 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 Fund 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.  Option Contracts.  The Fund’s investment strategy makes use of exchange-traded options. Exchange-traded options are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. The Fund writes (sells) index call options and purchases index put options.

When the Fund writes an index call 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 until the option expires or the Fund enters into a closing purchase transaction. When an index call option expires or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, 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 an index call option, bears the risk of an unfavorable change in the market value of the index underlying the written option.

When the Fund purchases an index put option, it pays a premium and the index put option is subsequently marked-to-market to reflect current value until the option expires or the Fund enters into a closing sale transaction. Premiums paid for purchasing index put options which expire are treated as realized losses. When 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 index put options is limited to the premium paid.

e. Federal and Foreign Income Taxes. The 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 the Fund’s tax positions for the open tax years as of December 31, 2016 and has concluded that no provisions for income tax are required.

|  28

Notes to Financial Statements (continued)

December 31, 2016

The Fund’s 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. 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.

The 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 Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement 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 Statement of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement 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 the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement 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 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 foreign currency gains and losses, corporate actions and return of capital and capital gain distributions received. 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 option 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 Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

29  |

Notes to Financial Statements (continued)

December 31, 2016

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2016 and 2015 were as follows:

2016 Distributions Paid From:					2015 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
$125,407,692	$	—	$	125,407,692	$	159,135,158	$	—	$	159,135,158

As of December 31, 2016, the components of distributable earnings on a tax basis were as follows:

Undistributed ordinary income	$	2,874,860
Capital loss carryforward:
Short-term:
Expires:
December 31, 2017		(845,637,686	)
December 31, 2018		(393,591,402	)
Total capital loss carryforward		(1,239,229,088	)
Unrealized appreciation		2,724,972,183
Total accumulated earnings	$	1,488,617,955
Capital loss carryforward utilized in the current year	$	229,379,406

Capital losses may be utilized to offset future capital gains until expiration. The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital loss carryforwards to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date may expire unused.

g.  Repurchase Agreements.  The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2016, the

|  30

Notes to Financial Statements (continued)

December 31, 2016

Fund had an investment in a repurchase agreement 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 Statement of Assets and Liabilities for financial reporting purposes.

h.  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 Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

i.  New Accounting Pronouncement.  In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosures of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Fund’s financial statements.

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

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

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

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

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

31  |

Notes to Financial Statements (continued)

December 31, 2016

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2016, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	7,447,257,244	$	—	$	—	$	7,447,257,244
Purchased Options		—		27,661,617		—		27,661,617
Short-Term Investments		—		330,108,928		—		330,108,928
Total	$	7,447,257,244	$	357,770,545	$	—	$	7,805,027,789

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Written Options	$	—	$	(143,672,930	)	$	—	$	(143,672,930	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the year ended December 31, 2016, there were no transfers among Levels 1, 2 and 3.

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 Fund used during the period include written index call options and purchased index put options.

The Fund seeks to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. To meet this investment goal, the Fund invests in a broadly diversified portfolio of common stocks, while also writing index call options and purchasing index put options. Writing index call options can reduce the Fund’s volatility, provide a steady cash flow and be an important source of the Fund’s return, although it also may reduce the Fund’s ability to profit from increases in the value of its equity portfolio. The Fund also buys index put options, which can protect the Fund from a significant market decline that may occur over a short period of time. The value of an index put option generally increases as the prices of stocks constituting the index decrease and decreases as those stocks increase in price. The combination of the diversified stock portfolio, the steady cash flow from writing of index call options and the downside protection from purchased index put options is intended to provide the Fund with the majority of the returns associated with equity market investments while exposing investors to less risk than other equity investments. During the year ended December 31, 2016, written index call options and purchased index put options were used in accordance with this objective.

|  32

Notes to Financial Statements (continued)

December 31, 2016

The following is a summary of derivative instruments for the Fund as of December 31, 2016, as reflected within the Statement of Assets and Liabilities:

Assets	Investments at value1
Exchange-traded/cleared asset derivatives
Equity contracts	$	27,661,617
Liabilities	Options written at value
Exchange-traded/cleared liability derivatives
Equity contracts	$	(143,672,930	)

¹ Represents purchased options, at value.

Transactions in derivative instruments for the Fund during the year ended December 31, 2016, as reflected within the Statement of Operations were as follows:

Net Realized Gain (Loss) on:	Investments2			Options written
Equity contracts	$	(280,290,260	)	$	(203,691,375	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments2			Options written
Equity contracts	$	12,369,169		$	(110,181,590	)

²  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.

The volume of option contract activity as a percentage of investments in common stocks, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the year ended December 31, 2016:

	Call Options Written*			Put Options Purchased*
Average Notional Amount Outstanding		98.97	%		98.97	%
Highest Notional Amount Outstanding		99.05	%		99.05	%
Lowest Notional Amount Outstanding		98.81	%		98.81	%
Notional Amount Outstanding as of December 31, 2016		98.81	%		98.81	%

* Notional amounts outstanding are determined by multiplying option contracts by the contract multiplier by the price of the option’s underlying index, the S&P 500^® Index.

33  |

Notes to Financial Statements (continued)

December 31, 2016

Notional amounts outstanding at the end of the prior period are included in the averages above.

The following is a summary of the Fund’s written option activity:

	Number of Contracts			Premiums
Outstanding at December 31, 2015		39,150		$	198,677,853
Options written		419,052			1,512,243,063
Options terminated in closing purchase transactions		(418,946	)		(1,570,031,366	)
Options expired		(6,387	)		(9,440,053	)
Outstanding at December 31, 2016		32,869		$	131,449,497

5.  Purchases and Sales of Securities.  For the year ended December 31, 2016, purchases and sales of securities (excluding short-term investments and option contracts) were $1,132,998,110 and $2,649,781,752 respectively.

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Gateway Investment Advisers, LLC (“Gateway Advisers”) serves as investment adviser to the Fund. Gateway Advisers is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at an annual rate of 0.65% for the first $5 billion, 0.60% for the next $5 billion and 0.58% thereafter, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Gateway Advisers has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until April 30, 2017, may be terminated before then only with the consent of the Fund’s Board of Trustees, and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement 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 Statement of Assets and Liabilities as receivable from investment adviser.

For the year ended December 31, 2016, 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
Class A	Class C	Class Y
0.94%	1.70%	0.70%

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Notes to Financial Statements (continued)

December 31, 2016

Gateway Advisers shall be permitted to recover expenses it has borne under the expense limitation agreement (whether through waiver of its management fee 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 year ended December 31, 2016, the management fees and waiver of management fees for the Fund were as follows:

Gross Management Fees	Waiver of Management Fees1	Net Management Fees	Percentage of Average Daily Net Assets
			Gross	Net
$51,661,508	$5,329,411	$46,332,097	0.63%	0.56%

¹ Management fee waiver is subject to possible recovery until December 31, 2017, though actual recovery is unlikely.

For the year ended December 31, 2016, Class A expenses have been reimbursed in the amount of $179,190. This expense reimbursement is subject to possible recovery until December 31, 2017, though actual recovery is unlikely.

No expenses were recovered during the year ended December 31, 2016 under the terms of the expense limitation agreement.

b.  Service and Distribution Fees.  NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Fund.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).

Under the Class A Plan, the Fund pays NGAM 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 NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plan, the Fund pays NGAM 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 NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

35  |

Notes to Financial Statements (continued)

December 31, 2016

Also under the Class C Plan, the Fund pays NGAM 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 NGAM Distribution in connection with the marketing or sale of Class C shares.

For the year ended December 31, 2016, the service and distribution fees for the Fund were as follows:

Service Fees			Distribution Fees
Class A	Class C		Class C
$4,479,748	$	942,956	$	2,828,870

c.  Administrative Fees.  NGAM Advisors provides certain administrative services for the Fund and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts and NGAM Advisors, the Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2016, the administrative fees for the Fund were $3,636,241.

d.  Sub-Transfer Agent Fees.  NGAM 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 Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.

For the year ended December 31, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $4,901,146.

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Notes to Financial Statements (continued)

December 31, 2016

As of December 31, 2016, the Fund owes NGAM Distribution $51,016 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2016 amounted to $187,696.

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. 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 and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. 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 and Loomis Sayles Funds Trusts 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 Fund 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.

7.  Line of Credit.  Effective April 14, 2016, the Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day,

37  |

Notes to Financial Statements (continued)

December 31, 2016

$400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (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. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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 other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.

Prior to April 14, 2016 the Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of

the line of credit.

During the year ended December 31, 2016, the Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $22,345,615 at a weighted average interest rate of 1.43%.

8.  Broker Commission Recapture.  The Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Fund under such agreements and are included in realized gains in the Statement of Operations. For the year ended December 31, 2016, $2,371 was rebated under these agreements.

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Notes to Financial Statements (continued)

December 31, 2016

9.  Capital Shares.  The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

	Year Ended December 31, 2016					Year Ended December 31, 2015
	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	16,559,714		$	491,042,327		17,271,312		$	514,256,789
Issued in connection with the reinvestment of distributions	754,687			22,679,772		1,036,346			30,800,314
Redeemed	(23,117,116	)		(687,596,539	)	(22,393,060	)		(667,070,045	)
Net change	(5,802,715	)	$	(173,874,440	)	(4,085,402	)	$	(122,012,942	)
Class C
Issued from the sale of shares	1,841,324		$	54,446,816		3,110,967		$	92,271,622
Issued in connection with the reinvestment of distributions	61,318			1,830,016		99,793			2,968,203
Redeemed	(3,049,870	)		(90,760,674	)	(2,118,858	)		(62,895,497	)
Net change	(1,147,228	)	$	(34,483,842	)	1,091,902		$	32,344,328
Class Y
Issued from the sale of shares	69,770,111		$	2,073,132,056		66,871,753		$	1,991,168,273
Issued in connection with the reinvestment of distributions	2,272,929			68,355,689		2,623,863			77,852,732
Redeemed	(94,427,074	)		(2,835,955,065	)	(63,717,476	)		(1,898,954,044	)
Net change	(22,384,034	)	$	(694,467,320	)	5,778,140		$	170,066,961
Increase (decrease) from capital share transactions	(29,333,977	)	$	(902,825,602	)	2,784,640		$	80,398,347

10.  Potential Loss Contingency.  The Fund has been named as a defendant, along with other financial institutions and individuals, in an action brought by a trustee of a trust created under a bankruptcy plan seeking to recover as intentional and constructive fraudulent transfers amounts the Fund, and others, received in connection with a merger involving a company formerly held in the Fund’s portfolio of investments. The Fund received $9,525,600 in connection with the merger. On November 18, 2015, the Bankruptcy Court granted the Fund’s (and other defendants’) motion to dismiss the Plaintiff’s intentional fraudulent transfer claim, dismissing such claim with prejudice. The Bankruptcy Court denied the motion to dismiss Plaintiff’s constructive fraudulent transfer claim. On May 4, 2016, the defendants subsequently filed a motion to dismiss the Plaintiff’s constructive fraudulent transfer claim based on a recent opinion in another similar case rendered by the U.S. Court of Appeals for the Second Circuit. On July 20, 2016, the Bankruptcy Court granted the motion to dismiss, but styled its ruling as a Report and Recommendation to the District Court; accordingly, the dismissal of the Plaintiff’s remaining claim is subject to further review by the District Court. The Fund also is potentially an unnamed member of a putative defendant class in a separate action brought by a different trustee appointed under the same bankruptcy plan

39  |

Notes to Financial Statements (continued)

December 31, 2016

seeking to recover the same alleged fraudulent transfers as an intentional fraudulent transfer. On November 18, 2015, the Bankruptcy Court granted the Defendants’ motion to dismiss the Plaintiff’s intentional fraudulent transfer claim, dismissing this separate action with prejudice. The Plaintiff appealed the ruling to the District Court, and on July 27, 2016, the District Court reinstated the intentional fraudulent transfer claim and remanded the action to the Bankruptcy Court. The Defendants filed a motion for reconsideration or in the alternative certification of a further appeal to the Second Circuit. On October 6, 2016, the District Court denied the motion and remanded the action to the Bankruptcy Court for further proceedings. The Plaintiff in this separate action had previously moved to certify a defendant class, but the Bankruptcy Court denied that motion without prejudice. It is reasonably possible that an outcome unfavorable to the Fund could result from either or both of these cases. However, a reasonable estimate of the amount of potential loss to the Fund cannot be made at this time.

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Report of Independent Registered Public Accounting Firm

To the Trustees of Gateway Trust and Shareholders of Gateway Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Gateway Fund, a series of Gateway Trust (the “Fund”) as of December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of December 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2017

41  |

2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Qualified Dividend Income.  For the fiscal year ended December 31, 2016, 100% of the ordinary income dividends paid by the Gateway Fund are considered qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. Complete information will be reported in conjunction with Form 1099-DIV.

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2016, 100% of dividends distributed by the Gateway Fund qualify for the dividends received deduction for corporate shareholders.

|  42

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Gateway Trust (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Fund’s Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

43  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

|  44

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Trustee since 2007 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

45  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)
Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

|  46

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of  Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Cynthia L. Walker (1956)	Trustee since 2007 Chairperson of the Contract Review Committee and Governance Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	53 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

²  The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

³  Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴  Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

47  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUST
Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since May 2007	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹  Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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ANNUAL REPORT

December 31, 2016

Gateway Equity Call Premium Fund

Loomis Sayles Strategic Alpha Fund

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 13

Financial Statements page  49

Notes to Financial Statements page 59

GATEWAY EQUITY CALL PREMIUM FUND

Managers	Symbols
Daniel M. Ashcraft, CFA®	Class A    GCPAX
Michael T. Buckius, CFA®	Class C    GCPCX
Kenneth H. Toft, CFA®	Class Y    GCPYX
Gateway Investment Advisers, LLC

Investment Goal

The Fund seeks total return with less risk than U.S. equity markets.

Market Conditions

Surprises were a hallmark of 2016. Surprises in the first half of the year included the S&P 500^® Index’s 10.27% loss through February 11 and a steady decline in the yield on the 10-year U.S. Treasury Note, despite the Federal Reserve preparing investors for multiple rate hikes in 2016. Though equities had recovered to positive territory by the end of the first quarter, falling interest rates contributed to the bond market’s surprising outperformance of the stock market over the first half of the year. Equity market conditions were calm in the second half of the year despite the United Kingdom (U.K.) voting to leave the European Union and Donald Trump winning the U.S. presidential election. Neither outcome was expected and both were forecast to have a negative impact on capital markets in the unlikely event they came to pass. The S&P 500^® Index did decline 5.34% in the two days after the U.K. vote, but quickly recovered and advanced until mid-August. The S&P 500^® Index declined 4.38% from August 15, 2016 through November 4, 2016 as both the Trump and Clinton campaigns struggled with negative developments. However, the equity market advanced steadily after the election, propelled by anticipation of pro-growth economic policies from the incoming Trump administration and mostly positive quarterly earnings and economic reports. Interest rates rose in the second half of the year, accelerating after the election, and driving the Bloomberg Barclays U.S. Aggregate Bond Index to a loss of 2.53% over the last six months. Fundamentally, seven consecutive quarters of aggregate S&P 500^® Index earnings declines came to an end in the third quarter and third quarter GDP growth of 3.5% was the highest rate in two years.

Implied volatility, as measured by the Chicago Board Options Exchange (CBOE) Volatility Index (the VIX), averaged 15.83 for the year, based on the daily closing values. This is well below its long-term average of 19.71 and a somewhat counter-intuitive outcome for an election year that included a great deal of uncertainty and multiple unexpected events. However, below-average volatility is not uncommon in election years and the pattern of volatility in 2016 was similar to typical election years in that the highest volatility readings came early in the year, troughed in the third quarter and rose in October and November.

Performance Results

For the 12 months ended December 31, 2016, Class A shares of Gateway Equity Call Premium Fund returned 7.58% at net asset value. The Fund outperformed its benchmark, the CBOE S&P 500 BuyWrite^SM Index (the BXM^SM), which returned 7.07% for the same period.

1  |

Explanation of Fund Performance

The Fund invests in a diversified stock portfolio designed to support its index option-based risk management strategy as efficiently as possible while seeking to enhance the Fund’s total return. The Fund seeks to generate returns by writing at- and near-the-money index call options against the full value of its underlying equity portfolio. The steady cash flow from call option writing is intended to be an important source of the Fund’s return, although it reduces the Fund’s ability to profit from potential increases in the value of its equity portfolio. The index call options written by the Fund often have similar characteristics to the index call option present in the BXM^SM at any given time. However, unlike the BXM^SM, the Fund employs an active strategy that gives its management team discretion to diversify expiration dates and strike prices across a portfolio of index call options, and to opportunistically pursue attractive call premiums while maintaining a relatively consistent risk profile.

Though collecting premiums from writing index call options generally allows the Fund to generate a positive return when the S&P 500^® Index advances, call option positions that expire or are closed out when the Index is well above the option’s strike price may generate realized losses. Thus, call option positions detracted from the Fund’s return in three out of four quarters for the year. Specifically, in the first quarter, index call option positions generated gains as the market declined in January and February but those gains were erased by the strong market rally in March. The steady and modest monthly advances for the market in the second quarter resulted in a slight net gain from call options positions for the quarter. In the second half of the year, as the market trended sideways to down, gains from call options in August, September and October were not large enough to cover the losses from call options during the strong market advances in July, November and December.

Despite slight underperformance relative to the BXM^SM in three out of four quarters for the year, the Fund generated a higher total return in 2016 due to 1.10 percentage points of outperformance in the third quarter. The investment management team’s key moves leading to outperformance included increasing the index call option portfolio’s weighted average strike price as the market advanced in July and placing opportunistic trades that took advantage of relatively elevated implied volatility in early September.

The Fund’s equity portfolio returned 13.14% for the year, a performance differential of positive 118 basis points versus the S&P 500^® Index, which contributed to the Fund’s return. Index call options detracted approximately 3.90% from overall return for the year. Consistent with its investment objective, the measured risk of the Fund was lower than that of the U.S. equity market and its benchmark, as its standard deviation for 2016 was 8.03% versus 13.30% and 8.65% for the S&P 500^® Index and the BXM^SM, respectively.

Outlook

As we transition from the old year to the new one, we close the books on a year of unexpected events. But with key market elements including interest rates, monetary policy, market volatility and corporate earnings at possible inflection points, 2017 may deliver some significant turning points of its own. As the trends play out, they could contribute significantly either on the positive or negative side for stocks and bonds.

|  2

GATEWAY EQUITY CALL PREMIUM FUND

Gateway’s investment philosophy maintains that the U.S. equity market is the most reliable source of attractive long-term returns, despite its high volatility and tendency to periodically deliver significant losses over shorter periods of time. Gateway’s investment philosophy also holds that consistency is the key to long-term investment success and that generating cash flow, rather than seeking to forecast the rise and fall of the market, can be a lower-risk means to participate in equity markets. By staying true to its philosophy and managing the Gateway Equity Call Premium Fund consistently with the firm’s historical approach, Gateway will continue to help investors manage risk while pursuing long-term return in this challenging and uncertain environment.

Hypothetical Growth of $10,000 Investment in Class A Shares⁴

September 30, 2014 (inception) through December 31, 2016

See notes to chart on page 5.

3  |

Top Ten Holdings as of December 31, 2016

	Security name	% of net assets
1	Apple, Inc.		3.32	%
2	Microsoft Corp.		2.53
3	Exxon Mobil Corp.		2.08
4	JPMorgan Chase & Co.		1.75
5	Johnson & Johnson		1.67
6	General Electric Co.		1.59
7	Berkshire Hathaway, Inc., Class B		1.53
8	Amazon.com, Inc.		1.52
9	Alphabet, Inc., Class A		1.52
10	Facebook, Inc., Class A		1.43

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

|  4

GATEWAY EQUITY CALL PREMIUM FUND

Average Annual Total Returns — December 31, 2016⁴

							Expense Ratios5
	1 Year			Life of Fund			Gross			Net
Class A (Inception 9/30/14)
NAV		7.58	%		5.07	%		1.70	%		1.20	%
With 5.75% Maximum Sales Charge		1.43			2.34
Class C (Inception 9/30/14)
NAV		6.85			4.32			2.40			1.95
With CDSC1		5.85			4.32
Class Y (Inception 9/30/14)
NAV		7.83			5.30			1.45			0.95
Comparative Performance
CBOE S&P 500 BuyWrite Index (BXMSM)2		7.07			5.05
S&P 500® Index3		11.96			8.07

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 ngam.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 CBOE S&P 500 BuyWrite Index (BXM^SM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500^® Index. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) “writing” (or selling) the near-term S&P 500^® Index (SPX^SM) “covered” call option, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level (i.e., slightly out of the money). The SPX call is held until expiration and cash settled, at which time a new one-month, near-the-money call is written.

3 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.

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

5 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 4/30/2017. When an expense cap has not been exceeded, the fund may have similar expense ratios.

5  |

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 Y    LASYX
Loomis, Sayles & Company, L.P.

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.

Market Conditions

Investor preferences for riskier assets held up well during the period. U.S. high-yield bonds experienced a sustained rally, and equity markets hit all-time highs following Donald Trump’s presidential win and the surprise Republican sweep of Congress. The Federal Reserve (the Fed) raised interest rates for the second time in a decade, and Brent crude oil surged more than 23% in the face of a strong U.S. dollar rally during the fourth quarter. After experiencing short-term spikes during the bond market sell-off in February and again following the late-June Brexit vote, market volatility decreased to close out the year.

U.S. high-yield bonds represented a bright spot among global fixed-income sectors throughout the year and finished the period with solid returns. The sector benefited from the jump in oil prices, which helped strengthen credit profiles in energy and related industries. Energy-related names tended to lead the broad market in results. Meanwhile, the U.S. dollar hit a 14-year high during the fourth quarter, strengthening relative to most foreign currencies due to a combination of diverging monetary policies and concern about global trade policy following the U.S. election.

Performance Results

For the 12 months ended December 31, 2016, Class A Shares of the Loomis Sayles Strategic Alpha Fund returned 6.57% at net asset value. The Fund outperformed its benchmark, the 3-month London Interbank Offered Rate (LIBOR), which returned 0.66%. The Fund follows an absolute return strategy and is not managed to an index.

Explanation of Fund Performance

Exposure to high-yield and investment-grade corporate bonds primarily generated the Fund’s positive performance. Beyond that, securitized, emerging market and convertible securities contributed to absolute return. Gains from these positions more than offset losses from our currency, global rates and global credit exposures.

High-yield corporate bond spreads (the difference in yield between Treasury and high-yield bonds of similar maturity) consistently tightened following February’s bond market sell-off and finished the period near their tightest levels for the year. Aided by a relatively dovish

|  6

LOOMIS SAYLES STRATEGIC ALPHA FUND

Fed, positive flows into the asset class, stable oil and metals prices and a general dearth of yield, investors continued to allocate into riskier assets, pushing valuations higher. Individual energy, telecommunication and technology names aided performance the most.

The Fed’s decision to hike rates during the fourth quarter weighed on longer-duration (greater price sensitivity to interest rate changes) issues, including investment-grade corporate bonds. Nevertheless, investment-grade corporates aided overall return as spreads tightened similar to high-yield bonds. Fund flows into corporates from outside the U.S. continued as the search for yield intensified on depressed government rates. Major central banks across the world maintained and even increased their accommodative stance, including the Bank of England, which began buying corporate bonds after the Brexit vote. Most of the positive contribution from investment-grade corporates came from energy, technology and banking names.

Securitized assets, particularly our residential mortgage-backed securities (RMBS), boosted performance during the period, as fundamentals remained stable across all sectors. The weaker spread tightening among asset-backed securities (ABS), commercial mortgage-backed securities (CMBS) and RMBS relative to corporates continued to play out, translating into higher valuations.

Emerging market exposure also lifted the Fund’s return, as credits benefited from spread compression amid the low interest rate environment. Market technical factors also stayed supportive for hard currency assets, as inflows into the asset class remained solid and limited new supply spurred demand. The Fund’s holdings in the energy, capital goods and consumer non-cyclical sectors were leading contributors.

Currency positioning weighed on Fund performance. In particular, currencies of beaten-down commodity exporters rebounded during the period due to the rally in the commodities market. Many of our positions were offset against long pairs, which mitigated the impact. Short positions in the Brazilian real and New Zealand dollar and long positions in the Norwegian krone also weighed on performance. Additionally, the U.S. presidential election had a negative impact on the Mexican peso in December, weakening the Fund’s long position in the currency.

The Fund’s global rates tools, primarily the use of swaps, swaptions (options on interest rate swaps) and interest rate futures, weighed on performance. A short position in a eurodollar future was the primary laggard, as the post-Brexit flight-to-quality rally pushed down Treasury yields. Additionally, short exposure to a euro-bund future diminished performance, as the continuation of accommodative European Central Bank policy caused long maturity German yields to decline during the first half of the period.

Outlook

Growth in the U.S. continues at a moderate rate, while Europe’s pace remains a bit slower. As the Fed works to normalize U.S. interest rates, we expect two rate hikes in 2017 and four additional hikes in 2018. We believe a fiscal stimulus package from the Trump administration could boost GDP growth and inflation, but not until 2018. We expect higher inflation will be primarily responsible for the accelerated pace of tightening in 2018.

7  |

We believe expectations for tax reform and pro-business policies could prolong the expansion phase of the U.S. credit cycle. Key assumptions include a measured path of rate hikes that do not create significant volatility in risk markets and continued strong foreign demand for corporate bonds. Deteriorating fundamentals remain a concern at this stage of the cycle, as companies reward equity holders at the expense of balance sheets.

Although deteriorating debt fundamentals in the emerging markets have been bottoming out, growth remains weak, and the fiscal picture has not yet improved. External balances remain mixed across countries, as winners and losers are determined by each country’s status as a commodity importer or exporter. Meanwhile, European corporate fundamentals remain solid and notably better than in the U.S., with stable balance sheets and prudent outlooks. Mergers and acquisitions, capital spending and share repurchases remain subdued, with capital spending forecasted to be down again in 2017.

Hypothetical Growth of $10,000 Investment in Class A Shares⁴

December 15, 2010 (inception) through December 31, 2016

See notes to chart on page 9.

|  8

LOOMIS SAYLES STRATEGIC ALPHA FUND

Average Annual Total Returns — December 31, 2016⁴

										Expense Ratios5
	1 Year			5 Years			Life of Fund			Gross			Net
Class A (Inception 12/15/10)
NAV		6.57	%		3.95	%		2.65	%		1.10	%		1.10	%
With 4.25% Maximum Sales Charge		2.03			3.06			1.92
Class C (Inception 12/15/10)
NAV		5.70			3.17			1.85			1.85			1.85
With CDSC1		4.70			3.17			1.85
Class Y (Inception 12/15/10)
NAV		6.86			4.23			2.90			0.85			0.85
Comparative Performance
3-Month LIBOR2		0.66			0.38			0.36
3-Month LIBOR + 300 basis points3		3.73			3.44			3.42

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 ngam.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 As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 4/30/2017. When an expense cap has not been exceeded, the fund may have similar expense ratios.

9  |

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

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 Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.

The index information contained herein is derived form 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 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 ngam.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 on 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-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

|  10

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 Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2016 through December 31, 2016. 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 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.

GATEWAY EQUITY CALL PREMIUM FUND	BEGINNING ACCOUNT VALUE 7/1/2016		ENDING ACCOUNT VALUE 12/31/2016		EXPENSES PAID DURING PERIOD* 7/1/2016 – 12/31/2016
Class A
Actual		$1,000.00		$1,055.90		$6.20
Hypothetical (5% return before expenses)		$1,000.00		$1,019.10		$6.09
Class C
Actual		$1,000.00		$1,051.50		$10.06
Hypothetical (5% return before expenses)		$1,000.00		$1,015.33		$9.88
Class Y
Actual		$1,000.00		$1,056.20		$4.91
Hypothetical (5% return before expenses)		$1,000.00		$1,020.36		$4.82

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% 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 (184), divided by 366 (to reflect the half-year period).

11  |

LOOMIS SAYLES STRATEGIC ALPHA FUND	BEGINNING ACCOUNT VALUE 7/1/2016		ENDING ACCOUNT VALUE 12/31/2016		EXPENSES PAID DURING PERIOD* 7/1/2016 – 12/31/2016
Class A
Actual		$1,000.00		$1,040.20		$5.64
Hypothetical (5% return before expenses)		$1,000.00		$1,019.61		$5.58
Class C
Actual		$1,000.00		$1,035.50		$9.47
Hypothetical (5% return before expenses)		$1,000.00		$1,015.84		$9.37
Class Y
Actual		$1,000.00		$1,041.60		$4.36
Hypothetical (5% return before expenses)		$1,000.00		$1,020.86		$4.32

* Expenses are equal to the Fund’s annualized expense ratio: 1.10%, 1.85% and 0.85% 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 (184), divided by 366 (to reflect the half-year period).

|  12

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund

Shares		Description	Value (†)
	Common Stocks — 98.0% of Net Assets
		Aerospace & Defense — 2.2%
	1,325	B/E Aerospace, Inc.(b)	$	79,752
	2,576	Boeing Co. (The)(b)		401,032
	1,431	General Dynamics Corp.(b)		247,076
	468	Huntington Ingalls Industries, Inc.(b)		86,201
	991	KLX, Inc.(b)(c)		44,704
	1,207	Lockheed Martin Corp.(b)		301,678
	3,296	United Technologies Corp.(b)		361,307
				1,521,750
		Air Freight & Logistics — 0.8%
	1,248	FedEx Corp.(b)		232,378
	3,068	United Parcel Service, Inc., Class B(b)		351,715
				584,093
		Airlines — 0.6%
	821	Alaska Air Group, Inc.(b)		72,847
	3,807	Delta Air Lines, Inc.(b)		187,267
	1,762	JetBlue Airways Corp.(b)(c)		39,504
	1,958	United Continental Holdings, Inc.(b)(c)		142,699
				442,317
		Auto Components — 0.2%
	437	Adient PLC(b)(c)		25,608
	847	Lear Corp.(b)		112,118
				137,726
		Automobiles — 0.5%
	8,226	General Motors Co.(b)		286,594
	208	Tesla Motors, Inc.(c)		44,447
				331,041
		Banks — 6.7%
	38,572	Bank of America Corp.(b)		852,441
	12,292	Citigroup, Inc.(b)		730,514
	2,148	Comerica, Inc.(b)		146,300
	757	East West Bancorp, Inc.(b)		38,478
	7,783	Fifth Third Bancorp(b)		209,908
	888	First Republic Bank(b)		81,820
	16,839	Huntington Bancshares, Inc.(b)		222,612
	14,279	JPMorgan Chase & Co.(b)		1,232,135
	173	Signature Bank(c)		25,985
	3,872	SunTrust Banks, Inc.(b)		212,379
	17,219	Wells Fargo & Co.(b)		948,939
				4,701,511
		Beverages — 2.0%
	16,998	Coca-Cola Co. (The)(b)		704,737
	6,946	PepsiCo, Inc.(b)		726,760
				1,431,497

See accompanying notes to financial statements.

13  |

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Biotechnology — 2.9%
	6,050	AbbVie, Inc.(b)	$	378,851
	762	Alexion Pharmaceuticals, Inc.(b)(c)		93,231
	984	Alkermes PLC(b)(c)		54,691
	1,001	Alnylam Pharmaceuticals, Inc.(b)(c)		37,477
	2,803	Amgen, Inc.(b)		409,827
	911	Biogen, Inc.(b)(c)		258,341
	611	BioMarin Pharmaceutical, Inc.(b)(c)		50,615
	3,079	Celgene Corp.(b)(c)		356,394
	4,921	Gilead Sciences, Inc.(b)		352,393
	343	Incyte Corp.(b)(c)		34,393
				2,026,213
		Building Products — 0.6%
	1,664	A.O. Smith Corp.(b)		78,791
	2,274	Fortune Brands Home & Security, Inc.(b)		121,568
	4,370	Johnson Controls International PLC(b)		180,000
	258	Lennox International, Inc.		39,518
				419,877
		Capital Markets — 2.2%
	5,475	Bank of New York Mellon Corp. (The)(b)		259,405
	588	BlackRock, Inc.(b)		223,758
	1,883	Goldman Sachs Group, Inc. (The)(b)		450,884
	8,565	Morgan Stanley(b)		361,871
	661	MSCI, Inc.(b)		52,074
	1,178	Raymond James Financial, Inc.(b)		81,600
	930	SEI Investments Co.(b)		45,905
	2,107	TD Ameritrade Holding Corp.(b)		91,865
				1,567,362
		Chemicals — 2.1%
	521	AdvanSix, Inc.(b)(c)		11,535
	651	Agrium, Inc.(b)		65,458
	1,336	Air Products & Chemicals, Inc.(b)		192,144
	1,303	Albemarle Corp.(b)		112,162
	898	Ashland Global Holdings, Inc.(b)		98,142
	1,035	Celanese Corp., Series A(b)		81,496
	4,632	Huntsman Corp.(b)		88,379
	759	International Flavors & Fragrances, Inc.(b)		89,433
	2,095	Monsanto Co.(b)		220,415
	1,665	PPG Industries, Inc.(b)		157,775
	2,271	Praxair, Inc.(b)		266,138
	1,175	Valspar Corp. (The)(b)		121,742
				1,504,819
		Commercial Services & Supplies — 0.3%
	446	Waste Connections, Inc.		35,051
	2,825	Waste Management, Inc.(b)		200,321
				235,372

See accompanying notes to financial statements.

|  14

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Communications Equipment — 1.0%
	1,668	ARRIS International PLC(b)(c)	$	50,257
	21,120	Cisco Systems, Inc.(b)		638,246
	334	Palo Alto Networks, Inc.(b)(c)		41,767
				730,270
		Construction & Engineering — 0.1%
	1,327	Chicago Bridge & Iron Co.(b)		42,132
		Consumer Finance — 1.6%
	3,522	Ally Financial, Inc.(b)		66,989
	4,415	American Express Co.(b)		327,063
	3,429	Capital One Financial Corp.(b)		299,146
	3,486	Discover Financial Services(b)		251,306
	4,319	Synchrony Financial(b)		156,650
				1,101,154
		Containers & Packaging — 0.4%
	1,167	Crown Holdings, Inc.(b)(c)		61,349
	3,932	International Paper Co.(b)		208,632
	532	Packaging Corp. of America(b)		45,124
				315,105
		Diversified Financial Services — 1.5%
	6,612	Berkshire Hathaway, Inc., Class B(b)(c)		1,077,624
		Diversified Telecommunication Services — 2.6%
	23,005	AT&T, Inc.(b)		978,403
	552	SBA Communications Corp., Class A(b)(c)		56,999
	15,034	Verizon Communications, Inc.(b)		802,515
				1,837,917
		Electric Utilities — 2.1%
	4,570	Alliant Energy Corp.(b)		173,158
	6,396	American Electric Power Co., Inc.(b)		402,692
	3,656	PG&E Corp.(b)		222,175
	6,885	PPL Corp.(b)		234,434
	5,391	Southern Co. (The)(b)		265,183
	3,073	Westar Energy, Inc.(b)		173,164
				1,470,806
		Electrical Equipment — 0.5%
	299	Acuity Brands, Inc.(b)		69,027
	4,467	Emerson Electric Co.(b)		249,035
				318,062
		Electronic Equipment, Instruments & Components — 0.4%
	1,407	Arrow Electronics, Inc.(b)(c)		100,319
	1,980	Avnet, Inc.(b)		94,268
	6,496	Flex Ltd.(b)(c)		93,347
				287,934

See accompanying notes to financial statements.

15  |

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Energy Equipment & Services — 1.3%
	4,362	National Oilwell Varco, Inc.(b)	$	163,313
	3,461	Oceaneering International, Inc.(b)		97,635
	7,976	Schlumberger Ltd.(b)		669,585
				930,533
		Food & Staples Retailing — 2.0%
	1,846	Costco Wholesale Corp.(b)		295,563
	3,443	CVS Health Corp.(b)		271,687
	2,488	Sysco Corp.(b)		137,761
	5,468	Wal-Mart Stores, Inc.(b)		377,948
	3,584	Walgreens Boots Alliance, Inc.(b)		296,612
				1,379,571
		Food Products — 1.6%
	3,547	General Mills, Inc.(b)		219,098
	1,632	Hain Celestial Group, Inc. (The)(b)(c)		63,697
	557	Ingredion, Inc.(b)		69,603
	2,622	Kellogg Co.(b)		193,268
	2,225	Kraft Heinz Co. (The)(b)		194,287
	7,367	Mondelez International, Inc., Class A(b)		326,579
	188	Post Holdings, Inc.(b)(c)		15,113
	317	TreeHouse Foods, Inc.(b)(c)		22,884
				1,104,529
		Gas Utilities — 0.3%
	1,722	Atmos Energy Corp.(b)		127,686
	1,999	UGI Corp.(b)		92,114
				219,800
		Health Care Equipment & Supplies — 2.1%
	7,508	Abbott Laboratories(b)		288,382
	624	Align Technology, Inc.(b)(c)		59,985
	389	Cooper Cos., Inc. (The)(b)		68,048
	2,266	DENTSPLY SIRONA, Inc.(b)		130,816
	4,178	Hologic, Inc.(b)(c)		167,621
	825	IDEXX Laboratories, Inc.(b)(c)		96,748
	6,217	Medtronic PLC(b)		442,837
	826	ResMed, Inc.(b)		51,253
	909	STERIS PLC(b)		61,258
	770	Teleflex, Inc.(b)		124,086
				1,491,034
		Health Care Providers & Services — 2.6%
	2,358	Anthem, Inc.(b)		339,010
	2,192	Centene Corp.(b)(c)		123,870
	3,711	Express Scripts Holding Co.(b)(c)		255,280
	1,689	McKesson Corp.(b)		237,220
	1,275	MEDNAX, Inc.(b)(c)		84,991
	4,565	UnitedHealth Group, Inc.(b)		730,582
	508	WellCare Health Plans, Inc.(b)(c)		69,637
				1,840,590

See accompanying notes to financial statements.

|  16

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Hotels, Restaurants & Leisure — 1.6%
	364	Domino’s Pizza, Inc.(b)	$	57,963
	3,043	Hilton Worldwide Holdings, Inc.(b)		82,769
	1,127	Las Vegas Sands Corp.(b)		60,193
	3,107	McDonald’s Corp.(b)		378,184
	2,601	MGM Resorts International(b)(c)		74,987
	4,988	Starbucks Corp.(b)		276,934
	2,190	Yum China Holdings, Inc.(b)(c)		57,203
	2,190	Yum! Brands, Inc.(b)		138,693
				1,126,926
		Household Durables — 0.5%
	1,633	Leggett & Platt, Inc.(b)		79,821
	3,257	Newell Brands, Inc.(b)		145,425
	3,216	Toll Brothers, Inc.(b)(c)		99,696
				324,942
		Household Products — 1.9%
	1,966	Church & Dwight Co., Inc.(b)		86,878
	1,573	Clorox Co. (The)(b)		188,791
	1,870	Kimberly-Clark Corp.(b)		213,404
	9,945	Procter & Gamble Co. (The)(b)		836,176
				1,325,249
		Industrial Conglomerates — 2.9%
	3,051	3M Co.(b)		544,817
	35,497	General Electric Co.(b)		1,121,705
	3,488	Honeywell International, Inc.(b)		404,085
				2,070,607
		Insurance — 2.2%
	1,318	Arch Capital Group Ltd.(b)(c)		113,730
	2,827	Chubb Ltd.(b)		373,503
	2,022	Cincinnati Financial Corp.(b)		153,167
	3,703	Lincoln National Corp.(b)		245,398
	4,897	Prudential Financial, Inc.(b)		509,582
	998	Willis Towers Watson PLC(b)		122,035
				1,517,415
		Internet & Direct Marketing Retail — 2.4%
	1,434	Amazon.com, Inc.(b)(c)		1,075,314
	236	Liberty Expedia Holdings, Inc., Series A(b)(c)		9,362
	4,574	Liberty Interactive Corp./QVC Group, Class A(b)(c)		91,388
	486	Liberty Ventures, Series A(b)(c)		17,919
	1,729	Netflix, Inc.(b)(c)		214,050
	201	Priceline Group, Inc. (The)(b)(c)		294,678
				1,702,711
		Internet Software & Services — 4.1%
	307	Alibaba Group Holding Ltd., Sponsored ADR(b)(c)		26,958
	1,352	Alphabet, Inc., Class A(b)(c)		1,071,392
	816	Alphabet, Inc., Class C(b)(c)		629,805

See accompanying notes to financial statements.

17  |

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Internet Software & Services — continued
	81	CommerceHub, Inc., Series A(b)(c)	$	1,216
	162	CommerceHub, Inc., Series C(b)(c)		2,435
	8,766	Facebook, Inc., Class A(b)(c)		1,008,528
	4,543	Yahoo!, Inc.(b)(c)		175,678
				2,916,012
		IT Services — 3.4%
	2,925	Accenture PLC, Class A(b)		342,605
	655	Amdocs Ltd.(b)		38,154
	1,720	Computer Sciences Corp.(b)		102,203
	360	FleetCor Technologies, Inc.(b)(c)		50,947
	1,181	Global Payments, Inc.(b)		81,973
	3,501	International Business Machines Corp.(b)		581,131
	4,205	MasterCard, Inc., Class A(b)		434,166
	2,951	Paychex, Inc.(b)		179,657
	7,829	Visa, Inc., Class A(b)		610,819
				2,421,655
		Leisure Products — 0.2%
	1,129	Brunswick Corp.(b)		61,576
	586	Polaris Industries, Inc.(b)		48,280
				109,856
		Life Sciences Tools & Services — 0.4%
	708	Illumina, Inc.(b)(c)		90,652
	1,534	Thermo Fisher Scientific, Inc.(b)		216,448
				307,100
		Machinery — 1.3%
	652	AGCO Corp.(b)		37,725
	3,887	Caterpillar, Inc.(b)		360,480
	1,359	Cummins, Inc.(b)		185,735
	2,426	IDEX Corp.(b)		218,486
	581	WABCO Holdings, Inc.(b)(c)		61,673
	964	Wabtec Corp.(b)		80,031
				944,130
		Media — 2.9%
	939	AMC Networks, Inc., Class A(b)(c)		49,147
	9,388	Comcast Corp., Class A(b)		648,242
	36,426	Sirius XM Holdings, Inc.(b)		162,096
	3,313	Time Warner, Inc.(b)		319,804
	9,359	Twenty-First Century Fox, Inc., Class A(b)		262,426
	956	Twenty-First Century Fox, Inc., Class B(b)		26,051
	5,679	Walt Disney Co. (The)(b)		591,865
				2,059,631
		Metals & Mining — 0.2%
	4,474	Steel Dynamics, Inc.(b)		159,185

See accompanying notes to financial statements.

|  18

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Multi – Utilities — 0.3%
	4,966	Public Service Enterprise Group, Inc.(b)	$	217,908
		Multiline Retail — 0.5%
	2,844	Nordstrom, Inc.(b)		136,313
	3,466	Target Corp.(b)		250,349
				386,662
		Oil, Gas & Consumable Fuels — 6.2%
	1,770	Cheniere Energy, Inc.(b)(c)		73,331
	7,795	Chevron Corp.(b)		917,471
	2,413	Concho Resources, Inc.(b)(c)		319,964
	16,270	Exxon Mobil Corp.(b)		1,468,530
	3,480	HollyFrontier Corp.(b)		114,005
	6,753	Noble Energy, Inc.(b)		257,019
	5,635	Occidental Petroleum Corp.(b)		401,381
	3,064	Phillips 66(b)		264,760
	1,780	Pioneer Natural Resources Co.(b)		320,525
	4,839	Spectra Energy Corp.(b)		198,835
	6,271	Whiting Petroleum Corp.(b)(c)		75,377
				4,411,198
		Pharmaceuticals — 5.1%
	1,191	Allergan PLC(b)(c)		250,122
	7,282	Bristol-Myers Squibb Co.(b)		425,560
	4,170	Eli Lilly & Co.(b)		306,704
	844	Jazz Pharmaceuticals PLC(b)(c)		92,021
	10,242	Johnson & Johnson(b)		1,179,981
	10,712	Merck & Co., Inc.(b)		630,615
	23,104	Pfizer, Inc.(b)		750,418
				3,635,421
		Professional Services — 0.2%
	578	Manpowergroup, Inc.(b)		51,367
	1,312	Verisk Analytics, Inc.(b)(c)		106,495
				157,862
		Real Estate Management & Development — 0.1%
	559	Jones Lang LaSalle, Inc.(b)		56,481
		REITs – Apartments — 0.6%
	823	American Campus Communities, Inc.(b)		40,961
	561	Essex Property Trust, Inc.(b)		130,432
	745	Mid-America Apartment Communities, Inc.(b)		72,950
	4,045	UDR, Inc.(b)		147,562
				391,905
		REITs – Diversified — 0.7%
	1,972	Crown Castle International Corp.(b)		171,111
	1,316	Digital Realty Trust, Inc.(b)		129,310
	7,240	Duke Realty Corp.(b)		192,294
				492,715

See accompanying notes to financial statements.

19  |

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		REITs – Mortgage — 0.2%
	4,847	AGNC Investment Corp.(b)	$	87,876
	8,270	Annaly Capital Management, Inc.(b)		82,452
				170,328
		REITs – Office Property — 0.4%
	1,607	Kilroy Realty Corp.(b)		117,665
	1,517	SL Green Realty Corp.(b)		163,153
				280,818
		REITs – Shopping Centers — 0.4%
	13,092	DDR Corp.(b)		199,915
	1,155	Regency Centers Corp.(b)		79,637
				279,552
		REITs – Single Tenant — 0.3%
	1,430	National Retail Properties, Inc.(b)		63,206
	2,059	Realty Income Corp.(b)		118,351
				181,557
		REITs – Storage — 0.2%
	1,525	Extra Space Storage, Inc.(b)		117,791
		Road & Rail — 0.9%
	1,717	Norfolk Southern Corp.(b)		185,556
	915	Old Dominion Freight Line, Inc.(b)(c)		78,498
	3,737	Union Pacific Corp.(b)		387,452
				651,506
		Semiconductors & Semiconductor Equipment — 3.0%
	9,410	Applied Materials, Inc.(b)		303,661
	21,405	Intel Corp.(b)		776,359
	2,220	Maxim Integrated Products, Inc.(b)		85,625
	830	NXP Semiconductors NV(b)(c)		81,348
	6,293	QUALCOMM, Inc.(b)		410,304
	6,106	Texas Instruments, Inc.(b)		445,555
	993	Versum Materials, Inc.(b)(c)		27,874
				2,130,726
		Software — 4.6%
	3,182	Activision Blizzard, Inc.(b)		114,902
	2,439	Adobe Systems, Inc.(b)(c)		251,095
	412	ANSYS, Inc.(b)(c)		38,106
	2,200	Cadence Design Systems, Inc.(b)(c)		55,484
	379	CDK Global, Inc.(b)		22,622
	429	Check Point Software Technologies Ltd.(c)		36,233
	971	Dell Technologies, Inc., Class V(b)(c)		53,376
	1,834	Fortinet, Inc.(b)(c)		55,240
	28,775	Microsoft Corp.(b)		1,788,078
	12,935	Oracle Corp.(b)		497,351
	2,954	Salesforce.com, Inc.(b)(c)		202,231
	652	ServiceNow, Inc.(b)(c)		48,470

See accompanying notes to financial statements.

|  20

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Shares		Description	Value (†)
		Software — continued
	406	Synopsys, Inc.(b)(c)	$	23,897
	142	Ultimate Software Group, Inc. (The)(b)(c)		25,894
				3,212,979
		Specialty Retail — 2.5%
	497	Advance Auto Parts, Inc.(b)		84,053
	1,237	Dick’s Sporting Goods, Inc.(b)		65,685
	1,582	Foot Locker, Inc.(b)		112,148
	5,393	Home Depot, Inc. (The)(b)		723,093
	4,459	Lowe’s Cos., Inc.(b)		317,124
	575	Signet Jewelers Ltd.(b)		54,199
	3,067	TJX Cos., Inc. (The)(b)		230,424
	392	Ulta Salon, Cosmetics & Fragrance, Inc.(b)(c)		99,936
	1,007	Williams-Sonoma, Inc.(b)		48,729
				1,735,391
		Technology Hardware, Storage & Peripherals — 3.8%
	20,248	Apple, Inc.(b)		2,345,124
	7,272	Hewlett Packard Enterprise Co.(b)		168,274
	12,056	HP, Inc.(b)		178,911
				2,692,309
		Textiles, Apparel & Luxury Goods — 0.7%
	412	Carter’s, Inc.(b)		35,593
	2,897	Hanesbrands, Inc.(b)		62,488
	743	Lululemon Athletica, Inc.(b)(c)		48,287
	5,923	NIKE, Inc., Class B(b)		301,066
	1,029	Skechers U.S.A., Inc., Class A(b)(c)		25,293
				472,727
		Thrifts & Mortgage Finance — 0.0%
	2,133	New York Community Bancorp, Inc.(b)		33,936
		Tobacco — 1.7%
	8,904	Altria Group, Inc.(b)		602,089
	6,535	Philip Morris International, Inc.(b)		597,887
				1,199,976
		Water Utilities — 0.3%
	2,843	American Water Works Co., Inc.(b)		205,720
		Wireless Telecommunication Services — 0.1%
	7,863	Sprint Corp.(b)(c)		66,206
		Total Common Stocks (Identified Cost $58,723,760)		69,217,732

See accompanying notes to financial statements.

21  |

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Principal Amount			Value (†)
	Short-Term Investments — 4.0%
$	2,790,351	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $2,790,360 on 1/03/2017 collateralized by $2,930,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $2,849,246 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,790,351)	$	2,790,351
		Total Investments — 102.0% (Identified Cost $61,514,111)(a)		72,008,083
		Other assets less liabilities — (2.0)%		(1,398,395	)
		Net Assets — 100.0%	$	70,609,688
Contracts
	Written Options — (1.9%)
		Index Options — (1.9%)
	35	On S&P 500® Index, Call expiring January 06, 2017 at 2200	$	(152,950	)
	32	On S&P 500® Index, Call expiring January 13, 2017 at 2260		(31,200	)
	38	On S&P 500® Index, Call expiring January 20, 2017 at 2175		(281,390	)
	31	On S&P 500® Index, Call expiring January 20, 2017 at 2200		(164,610	)
	31	On S&P 500® Index, Call expiring January 20, 2017 at 2250		(57,970	)
	36	On S&P 500® Index, Call expiring February 17, 2017 at 2200		(236,700	)
	37	On S&P 500® Index, Call expiring February 17, 2017 at 2225		(177,970	)
	32	On S&P 500® Index, Call expiring March 17, 2017 at 2250		(145,760	)
	34	On S&P 500® Index, Call expiring March 17, 2017 at 2275		(109,650	)
		Total Written Options (Premiums Received $1,217,286)	$	(1,358,200	)
	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At December 31, 2016, the net unrealized appreciation on investments based on a cost of $61,538,841 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	11,043,742
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(574,500	)
		Net unrealized appreciation	$	10,469,242
	(b)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(c)	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.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

|  22

Portfolio of Investments – as of December 31, 2016

Gateway Equity Call Premium Fund – (continued)

Industry Summary at December 31, 2016

Banks	6.7	%
Oil, Gas & Consumable Fuels	6.2
Pharmaceuticals	5.1
Software	4.6
Internet Software & Services	4.1
Technology Hardware, Storage & Peripherals	3.8
IT Services	3.4
Semiconductors & Semiconductor Equipment	3.0
Industrial Conglomerates	2.9
Media	2.9
Biotechnology	2.9
Health Care Providers & Services	2.6
Diversified Telecommunication Services	2.6
Specialty Retail	2.5
Internet & Direct Marketing Retail	2.4
Capital Markets	2.2
Aerospace & Defense	2.2
Insurance	2.2
Chemicals	2.1
Health Care Equipment & Supplies	2.1
Electric Utilities	2.1
Beverages	2.0
Food & Staples Retailing	2.0
Other Investments, less than 2% each	25.4
Short-Term Investments	4.0
Total Investments	102.0
Other assets less liabilities (including open written options)	(2.0	)
Net Assets	100.0	%

See accompanying notes to financial statements.

23  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 73.9% of Net Assets
	Non-Convertible Bonds — 72.7%
		ABS Car Loan — 6.0%
$	2,135,000	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(b)	$	2,134,852
	1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(b)		1,486,663
	295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(b)		300,645
	600,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(b)		603,403
	3,065,000	CPS Auto Receivables Trust, Series 2016-B, Class E, 8.140%, 5/15/2023, 144A		3,183,156
	2,175,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(b)		2,176,336
	655,000	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(b)		667,950
	4,075,000	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(b)		4,135,716
	3,045,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(b)		3,144,138
	270,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(b)		270,678
	440,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(b)		442,801
	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(b)		345,496
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(b)		1,734,493
	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(b)		215,460
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(b)		603,155
	2,450,000	Flagship Credit Auto Trust, Series 2015-2, Class D, 5.980%, 8/15/2022, 144A		2,437,395
	2,610,000	Flagship Credit Auto Trust, Series 2015-3, Class D, 7.120%, 11/15/2022, 144A		2,658,689
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(b)		637,270
	1,135,000	Flagship Credit Auto Trust, Series 2016-3, Class E, 6.250%, 10/15/2023, 144A		1,117,877
	1,403,699	Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019(b)		1,402,873
	2,446,114	Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(b)		2,447,083
	1,981,279	Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/2019(b)		1,979,470
	3,350,000	Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(b)		3,351,148

See accompanying notes to financial statements.

|  24

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Car Loan — continued
$	891,746	Ford Credit Auto Owner Trust, Series 2016-B, Class A2B, 1.014%, 3/15/2019(b)(c)	$	892,233
	10,395,000	Ford Credit Auto Owner Trust, Series 2016-C, Class A2B, 0.844%, 9/15/2019(b)(c)		10,395,272
	1,270,504	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018(b)		1,269,522
	3,385,000	Honda Auto Receivables Owner Trust, Series 2015-3, Class A3, 1.270%, 4/18/2019(b)		3,383,906
	2,135,000	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(b)		2,131,690
	5,570,000	Honda Auto Receivables Owner Trust, Series 2016-4, Class A3, 1.210%, 12/18/2020(b)		5,525,560
	970,000	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(b)		960,903
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(b)		3,120,837
	3,215,000	Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019(b)		3,215,165
	795,000	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(b)		789,778
	1,975,000	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A2B, 0.834%, 5/15/2019(b)(c)		1,975,147
	1,345,000	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(b)		1,339,577
				72,476,337
		ABS Credit Card — 7.3%
	3,145,000	American Express Credit Account Master Trust, Series 2013-1, Class A, 1.124%, 2/16/2021(b)(c)		3,154,786
	2,695,000	American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020(b)		2,699,465
	2,295,000	American Express Credit Account Master Trust, Series 2014-5, Class A, 0.994%, 5/15/2020(b)(c)		2,297,286
	4,050,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.944%, 5/15/2020(b)(c)		4,050,025
	2,765,000	American Express Issuance Trust II, Series 2013-2, Class A, 1.134%, 8/15/2019(b)(c)		2,775,545
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 1.084%, 6/15/2021(b)(c)		2,055,155
	5,865,000	Bank of America Credit Card Trust, Series 2015-A1, Class A, 1.034%, 6/15/2020(b)(c)		5,872,877
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1.094%, 10/15/2021(b)(c)		997,904
	3,600,000	Capital One Multi-Asset Execution Trust, Series 2004-A7, Class A7, 1.450%, 8/16/2021(b)		3,592,476
	5,865,000	Capital One Multi-Asset Execution Trust, Series 2007-A2, Class A2, 0.784%, 12/16/2019(b)(c)		5,865,000
	3,370,000	Chase Issuance Trust, Series 2007-A12, Class A12, 0.754%, 8/15/2019(b)(c)		3,368,049
	6,640,000	Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019(b)		6,645,769
	3,560,000	Chase Issuance Trust, Series 2015-A1, Class A, 1.024%, 2/18/2020(b)(c)		3,564,414

See accompanying notes to financial statements.

25  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Credit Card — continued
$	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A, 1.840%, 4/15/2022(b)	$	3,482,971
	6,090,000	Chase Issuance Trust, Series 2016-A1, Class A, 1.114%, 5/17/2021(b)(c)		6,109,029
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(b)		3,089,912
	2,900,000	Chase Issuance Trust, Series 2016-A5, Class A5, 1.270%, 7/15/2021(b)		2,861,328
	5,825,000	Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 1.094%, 9/10/2020(b)(c)		5,845,926
	3,000,000	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(b)		3,001,200
	3,045,000	Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(b)		3,056,668
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(b)		5,774,451
	2,405,000	Discover Card Execution Note Trust, Series 2013-A1, Class A1, 1.004%, 8/17/2020(b)(c)		2,406,969
	990,000	Discover Card Execution Note Trust, Series 2015-A1, Class A1, 1.054%, 8/17/2020(b)(c)		991,491
	3,600,000	World Financial Network Credit Card Master Trust, Series 2015-C, Class A, 1.260%, 3/15/2021(b)		3,602,181
				87,160,877
		ABS Home Equity — 12.6%
	764,379	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.278%, 3/25/2035(b)(c)		735,494
	1,963,530	Ajax Mortgage Loan Trust, Series 2016-B, Class A, 4.000%, 9/25/2065, 144A(b)(c)		1,959,574
	1,519,472	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(b)(c)		1,522,695
	4,170,870	Alliance Bancorp Trust, Series 2007-OA1, Class A1, 0.996%, 7/25/2037(c)		3,011,615
	708,655	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		729,627
	610,207	Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033		604,142
	450,120	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		453,092
	1,354,215	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		1,379,699
	1,070,764	American Home Mortgage Investment Trust, Series 2005-2, Class 1A1, 0.884%, 9/25/2045(c)		882,632
	1,500,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.236%, 6/17/2031, 144A(c)		1,491,339
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(b)		314,332
	1,980,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A		2,067,808
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A		1,267,639
	863,560	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		880,293
	3,009,423	Banc of America Alternative Loan Trust, Series 2004-6, Class 2A1, 6.000%, 7/25/2034		3,152,115
	1,098,966	Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035		1,001,702

See accompanying notes to financial statements.

|  26

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	810,127	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034	$	803,019
	1,593,970	Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.231%, 11/20/2034(c)		1,486,210
	467,191	Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b)		483,125
	1,132,807	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		1,160,661
	648,953	Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1, 3.475%, 7/28/2031, 144A(b)(c)		645,154
	1,958,151	Bayview Opportunity Master Fund Trust, Series 2016-LT1, Class A1, 3.475%, 10/28/2031, 144A(b)(c)		1,950,416
	1,002,713	Bayview Opportunity Master Fund Trust, Series 2016-RN3, Class A1, 3.598%, 9/29/2031, 144A(b)(c)		998,969
	1,126,592	BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022		1,113,797
	2,302,178	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 3.322%, 9/25/2034(c)		2,110,923
	1,183,677	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 3.177%, 2/25/2036(c)		999,373
	612,855	CAM Mortgage Trust, Series 2016-1, Class A, 4.000%, 1/15/2056, 144A(b)(c)		609,931
	2,055,000	CAM Mortgage Trust, Series 2016-1, Class M, 5.000%, 1/15/2056, 144A(c)		1,970,435
	632,204	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.967%, 5/25/2035(c)		587,849
	2,545,327	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 3.005%, 8/25/2035(c)		2,190,801
	2,967,154	Citigroup Mortgage Loan Trust, Inc., Series 2014-11, Class 2A1, 0.990%, 8/25/2036, 144A(b)(c)		2,679,422
	2,665,192	Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1, 0.784%, 6/25/2047, 144A(b)(c)		2,311,849
	2,007,498	CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036		1,788,886
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A(b)		2,158,561
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(b)(c)		1,065,765
	400,000	Colony American Homes, Series 2014-2A, Class E, 3.960%, 7/17/2031, 144A(c)		401,892
	812,498	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(b)		831,425
	763,569	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		795,161
	1,353,174	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,392,993
	767,580	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(b)		779,513
	6,304	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.188%, 8/25/2034(b)(c)(d)		6,142

See accompanying notes to financial statements.

27  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	866,469	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.966%, 5/25/2035(c)	$	717,884
	827,406	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 3.223%, 8/25/2034(c)		710,829
	122,258	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.055%, 9/20/2034(b)(c)(d)		115,254
	309,580	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 1.026%, 4/25/2035(c)		241,971
	946,427	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035		844,467
	1,849,178	Credit Suisse First Boston Mortgage Pass Through Certificates, Series 2004-AR3, Class 3A1, 3.085%, 5/25/2034(b)(c)		1,734,339
	276,109	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 4A4, 5.750%, 11/25/2033(b)		288,430
	698,278	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 3.145%, 11/25/2033(b)(c)		672,831
	521,220	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 3.253%, 12/25/2033(b)(c)(d)		505,766
	871,568	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035		803,561
	745,409	Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(c)		708,138
	1,164,090	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1.106%, 6/25/2034(c)		1,057,975
	789,256	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.066%, 9/19/2045(c)		586,446
	2,100,989	Dukinfield 2 PLC, Series 2, Class A, 1.615%, 12/20/2052, (GBP)(b)(c)		2,593,386
	783,543	Eurosail PLC, Series 2007-2X, Class A3C, 0.527%, 3/13/2045, (GBP)(b)(c)		933,195
	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.006%, 11/25/2023(c)		528,083
	2,015,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.956%, 2/25/2024(b)(c)		2,061,397
	1,580,264	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 2.406%, 4/25/2024(b)(c)		1,593,227
	2,585,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.606%, 10/25/2027(b)(c)		2,622,014
	511,570	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.578%, 7/19/2035(c)		460,803
	1,027,503	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 3.202%, 12/25/2034(b)(c)		1,018,327
	469,830	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.118%, 7/25/2035(c)		415,960
	1,385,646	HarborView Mortgage Loan Trust, Series 2006-10, Class 2A1A, 0.916%, 11/19/2036(c)		1,139,882
	1,864,227	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1.536%, 12/25/2034(c)		1,529,436
	1,930,958	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.396%, 7/25/2045(c)		1,615,274

See accompanying notes to financial statements.

|  28

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	4,074,600	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 0.966%, 2/25/2046(c)	$	3,208,004
	860,000	Invitation Homes Trust, Series 2015-SFR1, Class E, 4.936%, 3/17/2032, 144A(c)		862,581
	2,333,456	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.901%, 3/25/2036(c)		1,910,904
	663,417	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 2.770%, 11/25/2033(b)(c)		629,053
	2,153,011	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		2,176,387
	1,647,076	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.930%, 4/25/2035(b)(c)		1,635,638
	577,947	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 3.077%, 6/25/2035(b)(c)		580,081
	2,174,435	JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036		1,817,490
	1,264,471	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 3.184%, 2/25/2036(c)		1,116,695
	2,424,068	JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 3.186%, 1/25/2037(c)		2,163,641
	719,402	Lehman XS Trust, Series 2005-7N, Class 3A1, 1.036%, 12/25/2035(c)		540,127
	24	Lehman XS Trust, Series 2006-12N, Class A2A1, 0.906%, 8/25/2046(c)(d)		23
	808,470	Lehman XS Trust, Series 2006-2N, Class 1A1, 1.016%, 2/25/2046(c)		596,605
	577,369	Ludgate Funding PLC, Series 2007-1, Class A2B, Zero Coupon, 1/01/2061, (EUR)(b)(c)		568,604
	2,273,326	Ludgate Funding PLC, Series 2008-W1X, Class A1, 0.983%, 1/01/2061, (GBP)(b)(c)		2,663,010
	360,755	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.148%, 5/25/2034(b)(c)(d)		345,080
	1,680,359	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.854%, 7/25/2034(c)		1,622,330
	419,598	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 3.188%, 4/25/2036(c)		384,948
	609,292	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b)		629,090
	658,888	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b)		675,226
	756,051	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b)		771,179
	1,964,986	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		2,082,826
	243,388	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.706%, 5/25/2036(b)(c)		234,698
	715,401	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d)		681,901
	1,475,655	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		1,517,260
	1,837,897	National City Mortgage Capital Trust, Series 2008-1, Class 2A1, 6.000%, 3/25/2038		1,907,056

See accompanying notes to financial statements.

29  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
	850,123	Newgate Funding, Series 2007-3X, Class A2B, 0.284%, 12/15/2050, (EUR)(b)(c)	$	857,136
	784,810	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(b)(c)		778,941
	1,683,290	RCO Depositor II LLC, Series 2015-2A, Class A, 4.500%, 11/25/2045, 144A(b)(c)		1,681,397
	2,700,000	RCO Depositor II LLC, Series 2015-2A, Class M, 5.000%, 11/25/2045, 144A(c)		2,575,456
	1,135,803	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 0.946%, 4/25/2046(c)		913,497
	538,950	Residential Accredit Loans, Inc. Trust, Series 2006-QO7, Class 3A2, 0.961%, 9/25/2046(c)		398,121
	869,934	Residential Accredit Loans, Inc. Trust, Series 2007-QO4, Class A1A, 0.946%, 5/25/2047(c)		724,190
	1,747,514	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,532,636
	594,793	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(d)		577,100
	267,524	RMAC PLC, Series 2005-NS3X, Class A2C, 0.042%, 6/12/2043, (EUR)(b)(c)		265,305
	475,503	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, Zero Coupon, 6/12/2044, (EUR)(b)(c)		469,050
	365,968	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, 0.526%, 6/12/2044, (GBP)(b)(c)		419,320
	671,403	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 3.039%, 9/25/2034(b)(c)		660,848
	891,227	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 3.096%, 6/25/2034(b)(c)		880,419
	4,007,361	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1.066%, 7/25/2035(c)		2,930,656
	814,429	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b)		823,425
	451,577	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		457,934
	1,200,000	Towd Point Mortgage Funding PLC, Series 16-GR1X, Class B, 1.802%, 7/20/2046, (GBP)(b)(c)		1,478,926
	902,617	U.S. Residential Opportunity Fund III Trust, Series 2016-1III, Class A, 3.475%, 7/27/2036, 144A(b)(c)		898,877
	2,927,312	Vericrest Opportunity Loan Transferee, Series 16-NPL8, Class A1, 3.500%, 7/25/2046, 144A(b)(c)		2,917,314
	407,415	Vericrest Opportunity Loan Transferee, Series 2015-NPL7, Class A1, 3.250%, 2/25/2055, 144A(b)(c)		406,345
	1,565,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(c)		1,491,433
	2,472,098	VOLT XXVI LLC, Series 2014-NPL6, Class A1, 3.125%, 9/25/2043, 144A(b)(c)		2,468,605
	452,705	VOLT XXX LLC, Series 2015-NPL1, Class A1, 3.625%, 10/25/2057, 144A(b)(c)		452,746

See accompanying notes to financial statements.

|  30

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Home Equity — continued
$	1,401,293	VOLT XXXI LLC, Series 2015-NPL2, Class A1, 3.375%, 2/25/2055, 144A(b)(c)	$	1,404,672
	1,149,527	VOLT XXXIII LLC, Series 2015-NPL5, Class A1, 3.500%, 3/25/2055, 144A(b)(c)		1,152,832
	1,569,097	VOLT XXXIX LLC, Series 2015-NP13, Class A1, 4.125%, 10/25/2045, 144A(b)(c)		1,578,544
	1,320,794	VOLT XXXV, Series 2016-NPL9, Class A1, 3.500%, 9/25/2046, 144A(b)(c)		1,317,714
	440,741	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034(b)		463,044
	1,160,668	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.098%, 9/25/2046(c)		1,107,025
	2,925,965	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.848%, 1/25/2047(c)		2,723,850
	1,925,629	WaMu Mortgage Pass Through Certificates, Series 2007-HY5, Class 2A3, 2.400%, 5/25/2037(c)		1,597,625
	855,000	Wedgewood Real Estate Trust, Series 2016-1, Class A2, 5.000%, 7/15/2046, 144A(c)		852,438
	385,317	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 2.995%, 8/25/2034(b)(c)		390,570
	243,764	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035(d)		247,995
	1,070,508	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036		1,059,043
	575,067	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.010%, 5/01/2035(b)(c)		591,406
				151,141,817
		ABS Other — 3.8%
	4,236,607	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)(c)		4,077,734
	738,095	AIM Aviation Finance Ltd., Series 2015-1A, Class C1, 4.750%, 2/15/2040, 144A		675,357
	1,240,000	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(b)(c)		1,230,700
	2,805,093	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b)		2,713,374
	549,159	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(b)		549,491
	1,949,544	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)		1,239,910
	761,855	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)		219,566
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)		49,445
	1,317,885	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(e)(g)		1,266,509
	3,120,000	OneMain Financial Issuance Trust, 4.160%, 11/20/2028, 144A(b)		3,000,087
	601,471	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(b)		601,501

See accompanying notes to financial statements.

31  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		ABS Other — continued
$	443,349	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b)	$	443,531
	745,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(b)		744,699
	6,475,000	OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A		6,502,683
	1,265,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(b)		1,273,978
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A		3,180,594
	2,685,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(b)		2,827,189
	4,196,452	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)		4,216,181
	147,284	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A(b)		147,354
	599,051	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(b)		596,105
	1,189,602	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(b)		1,189,216
	598,483	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(b)		598,703
	2,566,083	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b)		2,490,611
	5,700,000	Working Capital Solutions Funding LLC, 7.711%, 8/27/2017, 144A(c)(d)(e)		5,700,000
				45,534,518
		ABS Student Loan — 0.4%
	310,338	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 2.006%, 8/25/2032, 144A(b)(c)		312,267
	1,573,087	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1.792%, 3/25/2033, 144A(b)(c)		1,580,919
	3,110,000	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(b)		3,113,592
				5,006,778
		Aerospace & Defense — 0.7%
	1,135,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025(b)		1,128,190
	1,195,000	Embraer Overseas Ltd., 5.696%, 9/16/2023, 144A(b)		1,248,775
	6,003,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		6,078,038
				8,455,003
		Airlines — 1.1%
	8,093,778	Air Canada Pass Through Trust, Series 2015-2, Class B, 5.000%, 6/15/2025, 144A(b)		8,116,116
	5,641,485	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		5,444,033
				13,560,149

See accompanying notes to financial statements.

|  32

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Automotive — 2.5%
$	5,875,000	American Honda Finance Corp., MTN, 1.191%, 11/19/2018(b)(c)	$	5,876,586
	3,700,000	American Honda Finance Corp., Series MTN, 1.447%, 9/20/2017(b)(c)		3,708,799
	5,785,000	BMW U.S. Capital LLC, 1.373%, 9/13/2019, 144A(b)(c)		5,783,583
	6,100,000	Hyundai Capital Services, Inc., 1.793%, 3/18/2017, 144A(b)(c)		6,101,720
	5,960,000	Nissan Motor Acceptance Corp., 1.492%, 3/03/2017, 144A(b)(c)		5,965,280
	2,955,000	Toyota Motor Credit Corp., MTN, 1.322%, 10/18/2019(b)(c)		2,969,539
				30,405,507
		Banking — 3.4%
	2,625,000	Ally Financial, Inc., 4.250%, 4/15/2021		2,649,609
	3,200,000	Ally Financial, Inc., 5.750%, 11/20/2025		3,192,000
	44,895,000	Banco Hipotecario S.A., 24.729%, 1/12/2020, 144A, (ARS)(c)		2,704,314
	1,334,000	Bank of America NA, Series BKNT, 1.263%, 6/15/2017(b)(c)		1,333,272
	4,603,000	Citigroup, Inc., 1.630%, 11/24/2017(b)(c)		4,612,629
	5,840,000	Goldman Sachs Group, Inc. (The), MTN, 1.567%, 6/04/2017(b)(c)		5,849,309
	5,800,000	JPMorgan Chase Bank NA, 1.588%, 9/23/2019(b)(c)		5,804,362
	12,840,000	Santander Holdings USA, Inc., 4.500%, 7/17/2025(b)		12,759,699
	1,330,000	Wells Fargo & Co., MTN, 1.234%, 6/02/2017(b)(c)		1,330,521
				40,235,715
		Building Materials — 0.5%
	5,500,000	Cemex SAB de CV, 6.125%, 5/05/2025, 144A		5,623,750
		Cable Satellite — 1.1%
	1,325,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		1,346,531
	2,865,000	Cox Communications, Inc., 4.500%, 6/30/2043, 144A(b)		2,426,048
	1,575,000	Cox Communications, Inc., 4.700%, 12/15/2042, 144A(b)		1,369,535
	1,740,000	DISH DBS Corp., 5.875%, 11/15/2024		1,790,460
	1,475,000	DISH DBS Corp., 7.750%, 7/01/2026		1,663,062
	2,065,000	Time Warner Cable LLC, 4.500%, 9/15/2042(b)		1,870,180
	2,900,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		2,826,920
				13,292,736
		Collateralized Mortgage Obligations — 0.6%
	56,697,988	Government National Mortgage Association, Series 2012-135, Class IO, 0.611%, 1/16/2053(b)(c)(h)		2,336,025
	1,316,231	GSR Mortgage Loan Trust, Series 2005-AR5, Class 4A1, 3.233%, 10/25/2035(c)		1,235,095
	541,897	HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.936%, 9/19/2046(c)		389,241
	3,062,568	Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 3.014%, 2/25/2036(c)		2,819,069
				6,779,430
		Construction Machinery — 0.5%
	5,810,000	Caterpillar Financial Services Corp., GMTN, 1.620%, 2/23/2018(b)(c)		5,839,004
		Diversified Manufacturing — 0.5%
	5,915,000	United Technologies Corp., 1.236%, 11/01/2019(b)(c)		5,928,427
		Electric — 1.6%
	12,170,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b)		13,843,375
	4,800,000	Pacific Gas & Electric Co., 1.131%, 11/30/2017(b)(c)		4,801,522
				18,644,897

See accompanying notes to financial statements.

33  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Finance Companies — 0.7%
$	3,225,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A	$	3,063,750
	5,813,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		5,653,143
				8,716,893
		Financial Other — 0.6%
	6,780,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		6,864,750
		Food & Beverage — 1.5%
	5,940,000	BRF GmbH, 4.350%, 9/29/2026, 144A(b)		5,507,568
	10,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b)		3,102,590
	3,225,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		3,233,063
	2,300,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		670,454
	460,000	JBS Investments GmbH, 7.250%, 4/03/2024, 144A		480,700
	2,090,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		2,116,125
	145,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		150,076
	2,900,000	PepsiCo, Inc., 1.268%, 10/04/2019(b)(c)		2,903,190
				18,163,766
		Government Owned – No Guarantee — 1.9%
	18,670,000,000	Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b)		5,761,169
	9,960,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		9,740,880
	905,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		668,976
	940,000	Petrobras Global Finance BV, 8.750%, 5/23/2026		1,014,025
	700,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b)		3,100,093
	1,930,000	YPF S.A., 26.333%, 7/07/2020, 144A(c)		2,180,900
				22,466,043
		Health Insurance — 0.5%
	5,665,000	Aetna, Inc., 1.601%, 12/08/2017(b)(c)		5,684,533
		Home Construction — 0.2%
	2,920,000	PulteGroup, Inc., 5.000%, 1/15/2027		2,774,000
		Independent Energy — 4.9%
	150,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		135,375
	665,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		586,863
	905,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(f)		660,650
	240,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(f)		178,800
	74,000	California Resources Corp., 5.500%, 9/15/2021		58,090
	448,000	California Resources Corp., 6.000%, 11/15/2024		328,720
	1,095,000	California Resources Corp., 8.000%, 12/15/2022, 144A		974,550
	3,180,000	Callon Petroleum Co., 6.125%, 10/01/2024, 144A		3,275,400
	245,000	Canadian Natural Resources Ltd., 3.900%, 2/01/2025(b)		245,724
	326,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		297,475
	13,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		12,675
	16,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		16,160
	1,190,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		1,213,800
	800,000	Concho Resources, Inc., 5.500%, 10/01/2022		829,000
	3,105,000	Concho Resources, Inc., 5.500%, 4/01/2023		3,217,711

See accompanying notes to financial statements.

|  34

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	3,635,000	Continental Resources, Inc., 3.800%, 6/01/2024	$	3,353,287
	560,000	Continental Resources, Inc., 4.500%, 4/15/2023		548,800
	11,465,000	Continental Resources, Inc., 5.000%, 9/15/2022(b)		11,572,656
	1,342,000	Devon Energy Corp., 5.000%, 6/15/2045(b)		1,318,294
	1,195,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		1,242,800
	4,519,000	Matador Resources Co., 6.875%, 4/15/2023		4,744,950
	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		1,125,850
	180,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		166,500
	2,055,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,859,775
	2,390,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		2,449,750
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(i)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(i)		—
	2,015,000	Parsley Energy LLC/Parsley Finance Corp., 6.250%, 6/01/2024, 144A		2,120,385
	725,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		741,313
	7,565,000	RSP Permian, Inc., 6.625%, 10/01/2022		7,999,987
	1,055,000	SM Energy Co., 5.000%, 1/15/2024		994,338
	1,750,000	SM Energy Co., 6.125%, 11/15/2022		1,771,875
	165,000	SM Energy Co., 6.500%, 1/01/2023		167,681
	535,000	SM Energy Co., 6.750%, 9/15/2026		551,050
	400,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		401,564
	3,255,000	Whiting Petroleum Corp., 6.500%, 10/01/2018		3,238,725
				58,400,573
		Industrial Other — 0.2%
	2,200,000	Alfa SAB de CV, 6.875%, 3/25/2044, 144A(b)		2,139,500
		Integrated Energy — 1.1%
	1,225,000	BP Capital Markets PLC, 1.327%, 2/13/2018(b)(c)		1,226,210
	6,595,000	Chevron Corp., 1.076%, 11/15/2017(b)(c)		6,595,923
	5,795,000	Shell International Finance BV, 1.303%, 9/12/2019(b)(c)		5,796,704
				13,618,837
		Life Insurance — 0.5%
	5,785,000	Metropolitan Life Global Funding I, 1.299%, 9/14/2018, 144A(b)(c)		5,790,438
		Local Authorities — 0.2%
	2,900,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		3,023,830
		Lodging — 0.1%
	715,000	Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.125%, 12/01/2024, 144A		742,706
		Media Entertainment — 0.4%
	4,150,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		4,147,385
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b)		977,545
				5,124,930
		Midstream — 4.5%
	2,695,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		2,721,950
	2,340,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.125%, 3/01/2022		2,398,500

See accompanying notes to financial statements.

35  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Midstream — continued
$	410,000	Energy Transfer Partners LP, 5.150%, 3/15/2045(b)	$	393,223
	5,595,000	Energy Transfer Partners LP, 6.125%, 12/15/2045(b)		5,952,739
	1,290,000	EnLink Midstream Partners LP, 5.050%, 4/01/2045(b)		1,169,452
	765,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044(b)		736,778
	1,195,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042(b)		1,113,372
	2,155,000	Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042(b)		2,059,574
	255,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043(b)		245,888
	1,750,000	Kinder Morgan Energy Partners LP, 5.625%, 9/01/2041(b)		1,757,667
	450,000	MPLX LP, 4.000%, 2/15/2025(b)		437,402
	765,000	MPLX LP, 4.500%, 7/15/2023(b)		776,946
	5,395,000	MPLX LP, 4.875%, 12/01/2024(b)		5,555,199
	475,000	MPLX LP, 4.875%, 6/01/2025(b)		488,370
	2,690,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		2,666,462
	415,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		424,338
	3,050,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023, 144A		3,149,125
	5,055,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025(b)		5,408,850
	180,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		172,125
	690,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		696,900
	1,120,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		1,159,200
	6,015,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024		6,451,087
	1,310,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		1,414,800
	3,995,000	Williams Partners LP, 4.000%, 9/15/2025(b)		3,950,172
	965,000	Williams Partners LP, 5.100%, 9/15/2045(b)		917,183
	1,825,000	Williams Partners LP, 6.300%, 4/15/2040(b)		1,947,989
				54,165,291
		Non-Agency Commercial Mortgage-Backed Securities — 4.8%
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 3.204%, 8/15/2029, 144A(b)(c)		1,580,900
	1,600,000	BLCP Hotel Trust, Series 2014-CLRN, Class E, 4.374%, 8/15/2029, 144A(c)		1,587,946
	3,442,048	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.849%, 5/15/2020, 144A(c)(e)(g)		3,349,021
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.180%, 4/15/2044, 144A(b)(c)		4,658,535
	1,900,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 3.704%, 10/15/2034, 144A(b)(c)		1,904,485
	3,700,000	Credit Suisse Mortgage Capital Certificates, Series 2015-TOWN, Class A, 1.954%, 3/15/2017, 144A(b)(c)		3,702,255
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.685%, 11/10/2046, 144A(b)(c)		2,669,814
	6,505,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.793%, 8/10/2045(c)		6,425,764
	4,429	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		4,411

See accompanying notes to financial statements.

|  36

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	1,580,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 4.453%, 11/05/2030, 144A(b)(c)	$	1,582,358
	1,520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)(c)		1,506,868
	3,090,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 5.204%, 7/15/2036, 144A(b)(c)		3,109,298
	1,225,881	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.775%, 4/12/2049(b)(c)		1,225,664
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.473%, 6/15/2044, 144A(b)(c)		1,617,485
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.473%, 6/15/2044, 144A(b)(c)		2,173,355
	9,814,029	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(e)(g)		9,906,035
	2,280,000	SCG Trust, Series 2013-SRP1, Class B, 3.204%, 11/15/2026, 144A(b)(c)		2,178,052
	2,200,000	SCG Trust, Series 2013-SRP1, Class C, 3.954%, 11/15/2026, 144A(b)(c)		2,140,529
	3,165,000	SCG Trust, Series 2013-SRP1, Class D, 4.048%, 11/15/2026, 144A(b)(c)		3,034,671
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.602%, 2/15/2044, 144A(b)(c)		2,648,840
				57,006,286
		Oil Field Services — 0.6%
	3,490,000	Noble Holding International Ltd., 5.250%, 3/15/2042		2,303,400
	3,015,000	Noble Holding International Ltd., 7.750%, 1/15/2024		2,835,909
	2,040,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		2,059,135
				7,198,444
		Pharmaceuticals — 1.0%
	5,570,000	Merck & Co., Inc., 1.007%, 2/10/2017(b)(c)		5,571,242
	3,175,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		2,381,250
	5,356,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		4,043,780
				11,996,272
		Refining — 0.2%
	2,090,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		2,047,991
		REITs – Mortgage — 0.1%
	775,000	Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A		785,385
		Retailers — 0.1%
	1,080,000	PVH Corp., 7.750%, 11/15/2023(b)		1,255,500
		Technology — 3.0%
	4,770,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		4,972,725
	1,542,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,592,115
	6,955,000	Cisco Systems, Inc., 1.337%, 9/20/2019(b)(c)		6,972,165
	11,255,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A(b)		12,192,496
	3,310,000	Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024, 144A		3,367,925
	6,695,000	Open Text Corp., 5.875%, 6/01/2026, 144A		7,063,225
				36,160,651

See accompanying notes to financial statements.

37  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Treasuries — 2.3%
	42,200(†††)	Brazil Letras do Tesouro Nacional, Zero Coupon, 7/01/2017, (BRL)	$	12,240,904
	1,115,000(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b)		4,772,517
	43,850,000	Poland Government International Bond, 4.750%, 4/25/2017, (PLN)(b)		10,579,370
				27,592,791
		Wirelines — 0.7%
	1,880,000	Communications Sales & Leasing, Inc./CSL Capital LLC, 7.125%, 12/15/2024, 144A		1,898,800
	10,085,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(i)		654,578
	5,685,000	Verizon Communications, Inc., 2.709%, 9/14/2018(b)(c)		5,811,901
				8,365,279
		Total Non-Convertible Bonds (Identified Cost $888,183,803)		870,169,634
	Convertible Bonds — 1.2%
		Building Materials — 0.0%
	335,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		311,969
		Diversified Operations — 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		780,812
		Healthcare — 0.2%
	1,180,000	Brookdale Senior Living, Inc., 2.750%, 6/15/2018		1,148,287
	615,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		590,016
				1,738,303
		Media Entertainment — 0.1%
	885,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		932,569
		Pharmaceuticals — 0.6%
	1,250,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		1,189,063
	4,110,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		3,244,331
	2,770,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		2,792,506
				7,225,900
		Technology — 0.2%
	420,000	CalAmp Corp., 1.625%, 5/15/2020		404,775
	740,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A		832,038
	1,578,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		1,631,257
				2,868,070
		Total Convertible Bonds (Identified Cost $13,411,536)		13,857,623
		Total Bonds and Notes (Identified Cost $901,595,339)		884,027,257
	Senior Loans — 7.5%
		Aerospace & Defense — 0.3%
	1,184,548	Engility Corp., Term Loan B2, 5.807%, 8/12/2023(j)		1,201,428
	335,444	TransDigm, Inc., 2015 Term Loan E, 3.845%, 5/14/2022(j)		338,111

See accompanying notes to financial statements.

|  38

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Aerospace & Defense — continued
$	2,398,221	TransDigm, Inc., 2016 Extended Term Loan F, 3.770%, 6/09/2023(c)	$	2,421,004
				3,960,543
		Automotive — 0.1%
	1,587,537	Gates Global, Inc., Term Loan B, 4.250%, 7/06/2021(c)		1,587,537
		Building Materials — 0.6%
	1,596,000	HD Supply, Inc., Incremental Term Loan B2, 3.748%, 10/17/2023(c)		1,606,645
	2,112,508	Headwaters, Inc., 2016 Term Loan B, 4.000%, 3/24/2022(c)		2,122,416
	865,996	Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(c)		872,855
	335,000	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 11/15/2023(k)		338,072
	2,035,000	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.000%, 11/15/2023(c)		2,053,661
				6,993,649
		Cable Satellite — 0.4%
	282,710	Altice U.S. Finance I Corp., 2016 Term Loan B, 3.882%, 1/15/2025(c)		285,537
	205,000	CSC Holdings LLC, 2016 Term Loan, 3.876%, 10/11/2024(c)		207,007
	2,575,000	Virgin Media Investment Holdings Ltd., USD Term Loan I, 3.486%, 1/31/2025(c)		2,584,991
	1,684,803	Ziggo Financing Partnership, USD Term Loan B1, 3.500%, 1/15/2022(c)		1,691,829
	309,719	Ziggo Financing Partnership, USD Term Loan B2A, 3.500%, 1/15/2022(c)		311,011
	96,238	Ziggo Financing Partnership, USD Term Loan B3, 3.701%, 1/15/2022(c)		96,639
				5,177,014
		Consumer Cyclical Services — 0.4%
	1,175,000	Conduent, Inc., USD Term Loan B, 12/07/2023(k)		1,188,219
	3,885,000	Conduent, Inc., USD Term Loan B, 6.250%, 12/07/2023(c)		3,928,706
				5,116,925
		Consumer Products — 0.3%
	3,119,292	Serta Simmons Bedding LLC, 1st Lien Term Loan, 4.500%, 11/08/2023(c)		3,151,452
		Environmental — 0.1%
	753,113	GFL Environmental, Inc., USD Term Loan B, 3.750%, 9/29/2023(c)		754,679
		Gaming — 0.1%
	741,258	Boyd Gaming Corp., Term Loan B2, 3.756%, 9/15/2023(c)		749,331
		Healthcare — 0.1%
	905,000	Envision Healthcare Corp., 2016 Term Loan B, 4.000%, 12/01/2023(c)		913,489
		Independent Energy — 0.5%
	3,385,000	California Resources Corp., Second Out Term Loan, 11.375%, 12/31/2021(c)		3,751,697
	2,649,896	Chesapeake Energy Corp., Term Loan, 8.500%, 8/23/2021(c)		2,880,649
				6,632,346
		Industrial Other — 0.4%
	1,891,188	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(c)		1,555,502
	2,940,300	USAGM HoldCo LLC, 2015 Term Loan, 4.750%, 7/28/2022(c)		2,950,415
				4,505,917
		Leisure — 0.0%
	310,000	AMC Entertainment, Inc., New Term Loan B, 3.511%, 12/15/2023(c)		312,867

See accompanying notes to financial statements.

39  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Media Entertainment — 0.3%
$	1,511,213	Camelot UK Holdco Ltd., Term Loan B, 4.750%, 10/03/2023(c)	$	1,527,896
	1,050,566	CBS Radio, Inc., Term Loan B, 4.500%, 10/17/2023(c)		1,059,758
	1,092,857	Donnelley Financial Solutions, Inc., Term Loan B, 5.000%, 9/30/2023(c)		1,102,879
				3,690,533
		Midstream — 0.2%
	1,002,817	Energy Transfer Equity LP, 2015 Term Loan, 4.137%, 12/02/2019(c)		1,007,209
	1,598,385	Energy Transfer Equity LP, New Term Loan, 3.387%, 12/02/2019(c)		1,598,385
				2,605,594
		Natural Gas — 0.1%
	955,402	Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(c)		749,991
		Other Utility — 0.3%
	3,129,569	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c)		3,125,657
		Packaging — 0.3%
	3,075,000	Flex Acquisition Company, Inc., Unsecured Bridge Loan, 8.000%, 12/06/2017(c)		3,067,312
	282,625	Signode Industrial Group U.S., Inc., USD Term Loan B, 4.000%, 5/01/2021(c)		284,745
				3,352,057
		Pharmaceuticals — 0.5%
	5,430,000	inVentiv Health, Inc., 2016 Term Loan B, 4.750%, 11/09/2023(c)		5,474,580
		Property & Casualty Insurance — 0.1%
	1,467,650	Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(c)		1,469,485
		Retailers — 0.8%
	2,400,000	Bass Pro Group LLC, Term Loan B, 5.970%, 12/16/2023(c)		2,376,000
	1,353,634	Harbor Freight Tools USA, Inc., 2016 Term Loan B, 3.887%, 8/19/2023(c)		1,371,678
	1,173,660	Men’s Wearhouse, Inc. (The), Term Loan B, 4.500%, 6/18/2021(c)		1,172,193
	2,827,822	PetSmart, Inc., Term Loan B2, 4.000%, 3/11/2022(c)		2,834,892
	1,867,273	Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(c)		1,812,189
				9,566,952
		Supermarkets — 0.3%
	3,560,000	Albertsons LLC, USD 2016 Term Loan B4, 8/22/2021(k)		3,599,302
		Technology — 0.4%
	857,850	Cavium, Inc., Term Loan B, 3.750%, 8/16/2022(c)		865,356
	284,288	NXP BV, Term Loan F, 3.270%, 12/07/2020(c)		285,567
	990,000	Rackspace Hosting, Inc., 1st Lien Term Loan, 11/03/2023(k)		1,001,959
	2,130,531	Western Digital Corp., USD 2016 Term Loan B1, 4.520%, 4/29/2023(c)		2,163,149
				4,316,031
		Transportation Services — 0.2%
	2,992,500	Uber Technologies, Term Loan B, 5.000%, 7/13/2023(c)		2,996,241
		Wireless — 0.3%
	632,000	GTT Communications, Inc., USD 2016 Term Loan B, 9/12/2023(k)		640,690
	2,965,000	Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.000%, 8/31/2021(c)		3,046,537
				3,687,227

See accompanying notes to financial statements.

|  40

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Principal Amount (‡)		Description	Value (†)
		Wirelines — 0.4%
$	1,160,000	Consolidated Communications, Inc., Term Loan B2, 10/05/2023(k)	$	1,165,800
	3,478,050	Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(c)		3,484,137
				4,649,937
		Total Senior Loans (Identified Cost $88,183,118)		89,139,336
	Loan Participations — 0.2%
		ABS Other — 0.2%
	2,302,766	Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(c)(e)(g) (Identified Cost $2,320,036)		2,256,710
Shares
	Preferred Stocks — 0.9%
	Convertible Preferred Stocks — 0.6%
		Food & Beverage — 0.2%
	25,620	Bunge Ltd., 4.875%		2,616,058
		Pharmaceuticals — 0.2%
	521	Allergan PLC, Series A, 5.500%		397,242
	2,057	Teva Pharmaceutical Industries Ltd., 7.000%		1,331,496
				1,728,738
		Technology — 0.2%
	24,910	Belden, Inc., 6.750%		2,632,240
		Total Convertible Preferred Stocks (Identified Cost $7,080,603)		6,977,036
	Non-Convertible Preferred Stock — 0.3%
		Cable Satellite — 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(b) (Identified Cost $4,040,000)		4,242,000
		Total Preferred Stocks (Identified Cost $11,120,603)		11,219,036
	Common Stocks — 1.7%
		Energy Equipment & Services — 0.1%
	35,206	Halliburton Co.		1,904,292
		Oil, Gas & Consumable Fuels — 1.4%
	188,463	OGX Petroleo e Gas S.A., Sponsored ADR		116,847
	50,446	Pacific Exploration and Production Corp.(f)		2,206,602
	1,172,928	Whiting Petroleum Corp.(f)		14,098,589
				16,422,038
		Pharmaceuticals — 0.2%
	38,880	Bristol-Myers Squibb Co.		2,272,147
		Total Common Stocks (Identified Cost $22,973,310)		20,598,477

See accompanying notes to financial statements.

41  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

Shares		Description	Value (†)
	Other Investments — 0.7%
		Aircraft ABS — 0.7%
	900	ECAF I Blocker Ltd.(d)(e) (Identified Cost $9,000,000)	$	8,840,043
Units of Currency(††††)
	Purchased Options — 0.1%
		Over-the-Counter Options on Currency — 0.1%
	41,652,000	TRY Call, expiring January 20, 2017 at 3.4000(f)(l)		2,499
	39,990,000	TWD Put, expiring January 17, 2017 at 31.7800(f)(m)		870,942
				873,441
		Total Purchased Options (Identified Cost $1,622,400)		873,441
Principal Amount (‡)
	Short-Term Investments — 13.3%
$	22,195,000(††)	Mexican Federal Treasury Certificates, 4.480%, 1/05/2017, (MXN)(b)(n)		10,702,603
	189,022	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2016 at 0.000% to be repurchased at $189,022 on 1/03/2017 collateralized by $190,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $192,848 including accrued interest (Note 2 of Notes to Financial Statements)		189,022
	53,915,596	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $53,915,776 on 1/03/2017 collateralized by $2,810,000 U.S. Treasury Note, 3.625% due 2/15/2020 valued at $ 3,027,025; $53,445,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $51,972,002 including accrued interest (Note 2 of Notes to Financial Statements)		53,915,596
	35,700,000	U.S. Treasury Bills, 0.318%, 1/05/2017(b)(n)		35,699,286
	5,400,000	U.S. Treasury Bills, 0.381%, 1/12/2017(b)(n)(o)		5,399,460
	35,700,000	U.S. Treasury Bills, 0.466%, 4/06/2017(b)(n)		35,651,412
	17,610,000	U.S. Treasury Bills, 0.583%, 5/25/2017(b)(n)		17,567,807
		Total Short-Term Investments (Identified Cost $160,047,307)		159,125,186
		Total Investments — 98.3% (Identified Cost $1,196,862,113)(a)		1,176,079,486
		Other assets less liabilities — 1.7%		20,867,537
		Net Assets — 100.0%	$	1,196,947,023
	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(†††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(††††)	Options on currency are expressed as units of currency.

See accompanying notes to financial statements.

|  42

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

(a)	Federal Tax Information:
	At December 31, 2016, the net unrealized depreciation on investments based on a cost of $1,197,195,311 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	26,072,731
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(47,188,556	)
	Net unrealized depreciation	$	(21,115,825)
(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(c)	Variable rate security. Rate as of December 31, 2016 is disclosed.
(d)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of these securities amounted to $18,528,225 or 1.5% of net assets. See Note 2 of Notes to Financial Statements.
(e)	Illiquid security. (Unaudited)
(f)	Non-income producing security.
(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2016, the value of these securities amounted to $16,778,275 or 1.4% of net assets. See Note 2 of Notes to Financial Statements.
(h)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(j)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2016.
(k)	Position is unsettled. Contract rate was not determined at December 31, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(l)	Counterparty is Deutsche Bank AG.
(m)	Counterparty is Bank of America, N.A.
(n)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(o)	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 December 31, 2016, the value of Rule 144A holdings amounted to $346,837,576 or 29.0% of net assets.
ABS	Asset-Backed Securities
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

43  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

PRIBOR	Prague Interbank Offered Rate
SAFEX	South African Futures Exchange
TIIE	Equilibrium Interbank Interest Rate (Tasa de Interes de Equilibrio)
ARS	Argentine Peso
BRL	Brazilian Real
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	British Pound
MXN	Mexican Peso
PLN	Polish Zloty
TRY	Turkish Lira
TWD	New Taiwan Dollar
USD	U.S. Dollar
ZAR	South African Rand

At December 31, 2016, the Fund had the following open bilateral credit default swap agreements:

Buy Protection
Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/ (Received)		Market Value			Unrealized Appreciation (Depreciation)
Bank of America, N.A.	Republic of Turkey	(1.00%)		12/20/2021		12,000,000	$	921,372	$	939,786		$	18,414
Barclays Bank PLC	Enel SpA	(1.00%)		12/20/2021		5,500,000	EUR	30,951		(20,481	)		(51,432	)
Barclays Bank PLC	Markit iTraxx Asia ex-Japan Index Series 25, 5-Year	(1.00%)		6/20/2021		4,370,000		76,230		6,968			(69,262	)
Deutsche Bank AG	Republic of China	(1.00%)		6/20/2021		5,900,000		27,412		20,049			(7,363	)
JPMorgan Chase Bank, N.A.	Enel SpA	(1.00%)		12/20/2021		5,500,000	EUR	33,733		(20,481	)		(54,214	)
JPMorgan Chase Bank, N.A.	Intesa Sanpaolo SpA	(1.00%)		12/20/2021		5,500,000	EUR	189,491		110,362			(79,129	)
JPMorgan Chase Bank, N.A.	Intesa Sanpaolo SpA	(1.00%)		12/20/2021		5,500,000	EUR	205,345		110,362			(94,983	)
Morgan Stanley Capital Services, Inc.	Markit iTraxx Asia ex-Japan Index Series 25, 5-Year	(1.00%)		6/20/2021		8,910,000		160,874		14,207			(146,667	)
Total									$	1,160,772		$	(484,636	)

See accompanying notes to financial statements.

|  44

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2016, the Fund had the following open centrally cleared credit default swap agreements:

Buy Protection
Reference Obligation	(Pay)/ Receive Fixed Rate	Expiration Date	Notional Value(‡)		Market Value			Unrealized Appreciation (Depreciation)
CDX.HY Series 27, 5-Year	(5.00%)	12/20/2021		35,600,000	$	(2,203,925	)	$	(850,080	)
CDX.HY Series 27, 5-Year	(5.00%)	12/20/2021		12,000,000		(742,896	)		(286,544	)
CDX.HY Series 27, 5-Year	(5.00%)	12/20/2021		11,750,000		(727,419	)		(280,574	)
Total					$	(3,674,240	)	$	(1,417,198	)

At December 31, 2016, the Fund had the following open centrally cleared interest rate swap agreements:

	Notional Value	Currency		Expiration Date		Fund Pays		Fund Receives		Market Value1
	76,950,000		GBP		7/21/2018		6-month LIBOR		0.526%	$	(82,251	)
	76,950,000		GBP		7/22/2018		6-month LIBOR		0.499%		(121,655	)
	19,195,200		USD		7/18/2026		1.410%		3-month LIBOR		1,548,618
	25,650,000		GBP		7/21/2021		0.621%		6-month LIBOR		293,889
	25,650,000		GBP		7/22/2021		0.594%		6-month LIBOR		332,029
Total										$	1,970,630
At December 31, 2016, the Fund had the following open bilateral interest rate swap agreements:
Counterparty	Notional Value	Currency		Expiration Date		Fund Pays		Fund Receives		Market Value1
Bank of America, N.A.	36,000,000		ZAR		5/8/2025		7.950%		3-month SAFEX-JIBAR	$	40,717
Bank of America, N.A.	330,558,000		MXN		7/3/2026		28-day TIIE		6.130%		(1,925,781	)
Bank of America, N.A.	2,874,300,000		CZK		8/3/2018		6-month PRIBOR		0.300%		102,541
Bank of America, N.A.	862,000,000		CZK		8/3/2021		0.350%		6-month PRIBOR		178,643
Bank of America, N.A.	344,900,000		CZK		8/4/2018		6-month PRIBOR		0.305%		13,327
Bank of America, N.A.	143,600,000		CZK		8/4/2021		0.355%		6-month PRIBOR		28,597
Bank of America, N.A.	1,741,000,000		CZK		7/29/2018		6-month PRIBOR		0.320%		83,705
Bank of America, N.A.	698,000,000		CZK		7/29/2021		0.370%		6-month PRIBOR		117,013
Barclays Bank PLC	291,000,000		ZAR		5/5/2025		7.950%		3-month SAFEX-JIBAR		327,908
Deutsche Bank AG	670,000,000		CZK		7/29/2021		0.375%		6-month PRIBOR		106,298
Deutsche Bank AG	104,000,000		MXN		7/3/2026		28-day TIIE		6.135%		(604,184	)
Deutsche Bank AG	1,710,000,000		CZK		7/29/2018		6-month PRIBOR		0.325%		87,537
JPMorgan Chase Bank, N.A.	57,120,000		ZAR		4/17/2025		7.720%		3-month SAFEX-JIBAR		120,759
Total										$	(1,322,920	)

(‡) Notional value stated in U.S. dollars unless otherwise noted.

¹  There are no up front payments on interest rate swap agreements; therefore unrealized appreciation (depreciation) is equal to market value.

See accompanying notes to financial statements.

45  |

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2016, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy1		1/05/2017	Brazilian Real		37,900,000	$	11,641,224	$	180,686
Sell1		1/05/2017	Brazilian Real		37,900,000		11,641,224		(378,222	)
Sell2		1/17/2017	Brazilian Real		23,300,000		7,131,992		(263,901	)
Sell1		7/06/2017	Brazilian Real		37,900,000		11,101,026		(164,653	)
Sell3		1/12/2017	British Pound		5,095,000		6,280,905		138,795
Sell1		2/09/2017	British Pound		1,225,000		1,511,108		9,191
Sell1		1/27/2017	Canadian Dollar		39,200,000		29,204,830		(274,001	)
Sell1		1/30/2017	Canadian Dollar		31,300,000		23,320,009		(122,624	)
Sell4		1/27/2017	Colombian Peso		18,400,000,000		6,102,411		(351,063	)
Sell2		1/10/2017	Euro		15,950,000		16,797,293		306,530
Sell3		1/17/2017	Euro		2,000,000		2,106,950		28,670
Sell2		1/30/2017	Euro		32,550,000		34,309,971		(190,735	)
Buy2		1/10/2017	Hungarian Forint		4,962,600,000		16,896,504		(16,741	)
Sell4		2/23/2017	Indonesian Rupiah		196,800,000,000		14,499,431		(243,727	)
Buy1		1/30/2017	Mexican Peso		445,000,000		21,388,261		74,163
Sell1		1/09/2017	Mexican Peso		219,200,000		10,566,252		776,665
Sell2		1/17/2017	Mexican Peso		92,400,000		4,449,006		80,406
Sell1		1/27/2017	Mexican Peso		11,230,986		540,023		(552	)
Sell5		1/17/2017	New Zealand Dollar		28,200,000		19,582,266		591,027
Buy1		1/27/2017	Norwegian Krone		147,430,000		17,076,862		195,804
Buy1		1/30/2017	Norwegian Krone		253,000,000		29,305,596		233,156
Sell3		4/28/2017	Polish Zloty		45,000,000		10,733,819		947,666
Sell2		1/17/2017	South Korean Won		25,000,000,000		20,698,791		645,015
Buy1		1/17/2017	Swedish Krona		161,100,000		17,699,818		139,115
Buy2		9/19/2017	Yuan Renminbi		235,000,000		33,575,400		245,848
Sell2		9/19/2017	Yuan Renminbi		235,000,000		33,575,400		653,717
Total								$	3,240,235

¹ Counterparty is Morgan Stanley Capital Services, Inc.

² Counterparty is Bank of America, N.A.

³ Counterparty is Deutsche Bank AG

⁴ Counterparty is Credit Suisse International

⁵ Counterparty is Commonwealth Bank of Australia Sydney

At December 31, 2016, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volatility Index		2/15/2017		166	$	2,751,450	$	(168,848	)

See accompanying notes to financial statements.

|  46

Portfolio of Investments – as of December 31, 2016

Loomis Sayles Strategic Alpha Fund – (continued)

At December 31, 2016, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/22/2017		76	$	12,179,000	$	168,932
Ultra 10 Year U.S. Treasury Note		3/22/2017		236		31,638,750		226,727
5 Year U.S. Treasury Note		3/31/2017		578		68,009,828		(561,024	)
10 Year U.S. Treasury Note		3/22/2017		720		89,482,500		494,171
Total							$	328,806

Industry Summary at December 31, 2016

ABS Home Equity	12.6	%
ABS Credit Card	7.3
ABS Car Loan	6.0
Independent Energy	5.4
Non-Agency Commercial Mortgage-Backed Securities	4.8
Midstream	4.7
ABS Other	4.0
Technology	3.8
Banking	3.4
Automotive	2.6
Pharmaceuticals	2.5
Treasuries	2.3
Other Investments, less than 2% each	25.6
Short-Term Investments	13.3
Total Investments	98.3
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)	1.7
Net Assets	100.0	%

See accompanying notes to financial statements.

47  |

This Page Intentionally Left Blank

|  48

Statements of Assets and Liabilities

December 31, 2016

	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
ASSETS
Investments at cost	$	61,514,111		$	1,196,862,113
Net unrealized appreciation (depreciation)		10,493,972			(20,782,627	)
Investments at value		72,008,083			1,176,079,486
Cash		—			1,078,123
Due from brokers (Note 2)		—			11,725,674
Foreign currency at value (identified cost $0 and $4,059,048, respectively)		—			3,728,098
Receivable for Fund shares sold		230,017			5,072,114
Receivable for securities sold		—			83,502
Collateral received for open forward foreign currency contracts, options or swap agreements (Notes 2 and 4)		—			4,099,630
Dividends and interest receivable		92,056			6,262,980
Unrealized appreciation on bilateral swap agreements (Note 2)		—			1,225,459
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			5,246,454
Tax reclaims receivable		—			9,277
Unamortized upfront premiums paid on bilateral swap agreements (Note 2)		—			1,645,408
Fees receivable on swap agreements (Note 2)		—			822,207
Prepaid expenses (Note 7)		138			2,778
TOTAL ASSETS		72,330,294			1,217,081,190
LIABILITIES
Options written, at value (premiums received $1,217,286 and $0, respectively) (Note 2)		1,358,200			—
Payable for securities purchased		—			7,842,203
Unrealized depreciation on bilateral swap agreements (Note 2)		—			3,033,015
Payable for Fund shares redeemed		234,201			606,086
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			2,006,219
Payable for variation margin on centrally cleared swap agreements (Note 2)		—			131,251
Due to brokers (Note 2)		—			4,099,630
Payable for variation margin on futures contracts (Note 2)		—			520,090
Fees payable on swap agreements (Note 2)		—			919,264
Management fees payable (Note 6)		48,504			701,369
Deferred Trustees’ fees (Note 6)		22,450			92,209
Administrative fees payable (Note 6)		2,676			45,163
Payable to distributor (Note 6d)		393			9,984
Other accounts payable and accrued expenses		54,182			127,684
TOTAL LIABILITIES		1,720,606			20,134,167
NET ASSETS	$	70,609,688		$	1,196,947,023
NET ASSETS CONSIST OF:
Paid-in capital	$	65,426,731		$	1,273,001,223
Distributions in excess of net investment income		(21,052	)		(1,669,570	)
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(5,149,049	)		(55,020,455	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		10,353,058			(19,364,175	)
NET ASSETS	$	70,609,688		$	1,196,947,023

See accompanying notes to financial statements.

49  |

Statements of Assets and Liabilities (continued)

December 31, 2016

	Gateway Equity Call Premium Fund		Loomis Sayles Strategic Alpha Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	6,507,245	$	67,746,118
Shares of beneficial interest		597,648		6,871,861
Net asset value and redemption price per share	$	10.89	$	9.86
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	11.55	$	10.30
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	524,292	$	45,674,260
Shares of beneficial interest		48,250		4,649,398
Net asset value and offering price per share	$	10.87	$	9.82
Class Y shares:
Net assets	$	63,578,151	$	1,083,526,645
Shares of beneficial interest		5,836,633		110,039,832
Net asset value, offering and redemption price per share	$	10.89	$	9.85

See accompanying notes to financial statements.

|  50

Statements of Operations

For the Year Ended December 31, 2016

	Gateway Equity Call Premium Fund			Loomis Sayles Strategic Alpha Fund
INVESTMENT INCOME
Interest	$	640		$	49,631,562
Dividends		1,434,866			1,869,517
Less net foreign taxes withheld		(388	)		(15,281	)
		1,435,118			51,485,798
Expenses
Management fees (Note 6)		420,410			8,505,759
Service and distribution fees (Note 6)		15,770			713,430
Administrative fees (Note 6)		28,710			539,257
Trustees’ fees and expenses (Note 6)		20,524			48,169
Transfer agent fees and expenses (Note 6)		35,691			839,782
Audit and tax services fees		50,094			82,509
Custodian fees and expenses		54,542			145,457
Legal fees		1,081			17,358
Registration fees		59,523			70,668
Shareholder reporting expenses		3,048			33,650
Miscellaneous expenses (Note 7)		10,792			57,242
Total expenses		700,185			11,053,281
Less waiver and/or expense reimbursement (Note 6)		(69,968	)		—
Net expenses		630,217			11,053,281
Net investment income		804,901			40,432,517
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(1,708,951	)		188,180
Futures contracts		—			(4,680,774	)
Options/swaptions written		(1,679,523	)		(78,106	)
Swap agreements		—			(1,940,585	)
Foreign currency transactions		—			(14,117,611	)
Net change in unrealized appreciation (depreciation) on:
Investments		8,823,220			55,962,458
Futures contracts		—			1,359,156
Options/swaptions written		(775,949	)		(1,204,936	)
Swap agreements		—			(3,624,488	)
Foreign currency translations		—			4,331,047
Net realized and unrealized gain on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		4,658,797			36,194,341
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,463,698		$	76,626,858

See accompanying notes to financial statements.

51  |

Statements of Changes in Net Assets

	Gateway Equity Call Premium Fund						Loomis Sayles Strategic Alpha Fund
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2016			Year Ended December 31, 2015
FROM OPERATIONS:
Net investment income	$	804,901		$	565,577		$	40,432,517		$	40,768,224
Net realized gain (loss) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions		(3,388,474	)		(1,305,010	)		(20,628,896	)		9,367,111
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations		8,047,271			1,812,287			56,823,237			(73,340,507	)
Net increase (decrease) in net assets resulting from operations		5,463,698			1,072,854			76,626,858			(23,205,172	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(57,801	)		(39,013	)		(1,492,404	)		(4,059,682	)
Class C		(1,192	)		(187	)		(703,920	)		(1,842,482	)
Class Y		(719,110	)		(520,001	)		(25,810,102	)		(47,419,979	)
Total distributions		(778,103	)		(559,201	)		(28,006,426	)		(53,322,143	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		11,698,686			32,799,930			(213,904,671	)		74,883,671
Net increase (decrease) in net assets		16,384,281			33,313,583			(165,284,239	)		(1,643,644	)
NET ASSETS
Beginning of the year		54,225,407			20,911,824			1,362,231,262			1,363,874,906
End of the year	$	70,609,688		$	54,225,407		$	1,196,947,023		$	1,362,231,262
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(21,052	)	$	(7,362	)	$	(1,669,570	)	$	517,945

See accompanying notes to financial statements.

|  52

Financial Highlights

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class A
	Year Ended December 31, 2016			Year Ended December 31, 2015			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.22		$	9.96		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.15	(b)		0.02
Net realized and unrealized gain (loss)		0.66			0.24			(0.02	)
Total from Investment Operations		0.77			0.39			0.00	(c)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.13	)		(0.04	)
Net asset value, end of the period	$	10.89		$	10.22		$	9.96
Total return(d)(e)		7.58	%		3.90	%		0.00	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	6,507		$	3,855		$	96
Net expenses(g)		1.20	%		1.20	%		1.20	%(h)
Gross expenses		1.31	%		1.70	%		3.69	%(h)
Net investment income		1.02	%		1.47	%(b)		0.84	%(h)
Portfolio turnover rate		24	%		38	%		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

(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 $0.10 and the ratio of net investment income to average net assets would have been 0.98%.

(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) 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.

See accompanying notes to financial statements.

53  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class C
	Year Ended December 31, 2016			Year Ended December 31, 2015			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.22		$	9.97		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.09	(b)		0.00	(c)
Net realized and unrealized gain (loss)		0.68			0.22			(0.01	)
Total from Investment Operations		0.70			0.31			(0.01	)
LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.06	)		(0.02	)
Net asset value, end of the period	$	10.87		$	10.22		$	9.97
Total return(d)(e)		6.85	%		3.07	%		(0.12	)%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	524		$	37		$	1
Net expenses(g)		1.95	%		1.95	%		1.95	%(h)
Gross expenses		1.98	%		2.40	%		4.37	%(h)
Net investment income		0.23	%		0.85	%(b)		0.01	%(h)
Portfolio turnover rate		24	%		38	%		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

(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 $0.07 and the ratio of net investment income to average net assets would have been 0.72%.

(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) 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.

See accompanying notes to financial statements.

|  54

Financial Highlights (continued)

For a share outstanding throughout each period.

	Gateway Equity Call Premium Fund—Class Y
	Year Ended December 31, 2016			Year Ended December 31, 2015			Period Ended December 31, 2014*
Net asset value, beginning of the period	$	10.22		$	9.97		$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.16	(b)		0.02
Net realized and unrealized gain (loss)		0.67			0.24			(0.01	)
Total from Investment Operations		0.80			0.40			0.01
LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.15	)		(0.04	)
Net asset value, end of the period	$	10.89		$	10.22		$	9.97
Total return(c)		7.83	%		4.03	%		0.13	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	63,578		$	50,334		$	20,815
Net expenses(e)		0.95	%		0.95	%		0.95	%(f)
Gross expenses		1.06	%		1.45	%		3.54	%(f)
Net investment income		1.27	%		1.59	%(b)		0.99	%(f)
Portfolio turnover rate		24	%		38	%		7	%

* From commencement of operations on September 30, 2014 through December 31, 2014.

(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 $0.12 and the ratio of net investment income to average net assets would have been 1.20%.

(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.

See accompanying notes to financial statements.

55  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class A
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.45		$	9.96		$	10.06		$	10.20		$	9.34
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.26			0.29	(b)		0.37			0.37
Net realized and unrealized gain (loss)		0.31			(0.42	)		(0.07	)		(0.28	)		0.77
Total from Investment Operations		0.61			(0.16	)		0.22			0.09			1.14
LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.35	)		(0.32	)		(0.23	)		(0.28	)
Net asset value, end of the period	$	9.86		$	9.45		$	9.96		$	10.06		$	10.20
Total return(c)		6.57	%		(1.68	)%		2.24	%(b)		0.96	%		12.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	67,746		$	116,055		$	104,056		$	177,339		$	80,704
Net expenses		1.10	%		1.10	%		1.10	%		1.11	%		1.12	%
Gross expenses		1.10	%		1.10	%		1.10	%		1.11	%		1.12	%
Net investment income		3.14	%		2.66	%		2.90	%(b)		3.68	%		3.77	%
Portfolio turnover rate		72	%		72	%		87	%		115	%		116	%

(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 $0.28, total return would have been 2.14% and the ratio of net investment income to average net assets would have been 2.81%.

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

See accompanying notes to financial statements.

|  56

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class C
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.42		$	9.93		$	10.03		$	10.16		$	9.31
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.23			0.19			0.21	(b)		0.30			0.30
Net realized and unrealized gain (loss)		0.30			(0.43	)		(0.06	)		(0.28	)		0.76
Total from Investment Operations		0.53			(0.24	)		0.15			0.02			1.06
LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.27	)		(0.25	)		(0.15	)		(0.21	)
Net asset value, end of the period	$	9.82		$	9.42		$	9.93		$	10.03		$	10.16
Total return(c)		5.70	%		(2.44	)%		1.47	%(b)		0.22	%		11.44	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	45,674		$	62,453		$	71,215		$	91,694		$	67,748
Net expenses		1.85	%		1.85	%		1.85	%		1.86	%		1.87	%
Gross expenses		1.85	%		1.85	%		1.85	%		1.86	%		1.87	%
Net investment income		2.40	%		1.91	%		2.13	%(b)		2.96	%		3.05	%
Portfolio turnover rate		72	%		72	%		87	%		115	%		116	%

(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 $0.21, total return would have been 1.37% and the ratio of net investment income to average net assets would have been 2.05%.

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

See accompanying notes to financial statements.

57  |

Financial Highlights (continued)

For a share outstanding throughout each period.

	Loomis Sayles Strategic Alpha Fund—Class Y
	Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012
Net asset value, beginning of the period	$	9.44		$	9.95		$	10.05		$	10.19		$	9.33
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.32			0.29			0.31	(b)		0.40			0.41
Net realized and unrealized gain (loss)		0.32			(0.43	)		(0.06	)		(0.29	)		0.76
Total from Investment Operations		0.64			(0.14	)		0.25			0.11			1.17
LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.37	)		(0.35	)		(0.25	)		(0.31	)
Net asset value, end of the period	$	9.85		$	9.44		$	9.95		$	10.05		$	10.19
Total return		6.86	%		(1.43	)%		2.52	%(b)		1.19	%		12.57	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,083,527		$	1,183,723		$	1,188,605		$	970,539		$	497,648
Net expenses		0.85	%		0.85	%		0.85	%		0.86	%		0.87	%
Gross expenses		0.85	%		0.85	%		0.85	%		0.86	%		0.87	%
Net investment income		3.39	%		2.91	%		3.10	%(b)		3.92	%		4.09	%
Portfolio turnover rate		72	%		72	%		87	%		115	%		116	%

(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 $0.31, total return would have been 2.42% and the ratio of net investment income to average net assets would have been 3.03%.

See accompanying notes to financial statements.

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Notes to Financial Statements

December 31, 2016

1.  Organization.  Gateway Trust 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:

Gateway Trust:

Gateway Equity Call Premium Fund

Natixis Funds Trust II:

Loomis Sayles Strategic Alpha Fund (the “Strategic Alpha Fund”)

The Gateway Equity Call Premium Fund is a diversified investment company. The Strategic Alpha Fund is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 5.75% for Gateway Equity Call Premium Fund and 4.25% for Strategic Alpha Fund. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than 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 Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the 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, Gateway Trust and Natixis ETF Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). 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 (including the Rule 12b-1 fees applicable to class A and Class C). 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

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Notes to Financial Statements (continued)

December 31, 2016

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 year-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 and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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 Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. 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 clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price)

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Notes to Financial Statements (continued)

December 31, 2016

supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source. Domestic exchange-traded single name equity option contracts are valued at the mean of the National Best Bid and Offer quotations. 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 domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”). 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. Option contracts for which the average of the closing bid and ask quotations are not considered to reflect option contract values as of the close of the New York Stock Exchange (“NYSE”) are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Fund will fair value S&P 500^® Index options using the closing rotation values published by the CBOE. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the NYSE. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

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Notes to Financial Statements (continued)

December 31, 2016

As of December 31, 2016, written options held by Gateway Equity Call Premium Fund were fair valued at $(1,358,200), representing (1.9)% of net assets, using the closing rotation values published by the CBOE.

As of December 31, 2016, securities held by Strategic Alpha Fund were fair valued as follows:

Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$16,778,275	1.4%	$18,528,225	1.5%

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 is recorded on 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. Periodic principal adjustments for inflation-protected securities are recorded to interest income. 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 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 Fund’s 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.

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Notes to Financial Statements (continued)

December 31, 2016

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 Strategic Alpha Fund’s 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 Fund has net losses, reduce the amount of income available to be distributed by the Fund.

For the year ended December 31, 2016, the amount of income available to be distributed by Strategic Alpha Fund has been reduced by $11,833,779 as a result of losses arising from changes in exchange rates.

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 gain or loss 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.  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.

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Notes to Financial Statements (continued)

December 31, 2016

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. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) 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 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

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Notes to Financial Statements (continued)

December 31, 2016

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.

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

65  |

Notes to Financial Statements (continued)

December 31, 2016

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 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 in the Statements of Assets and Liabilities as fees receivable or payable. 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 recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are

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Notes to Financial Statements (continued)

December 31, 2016

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, swaptions, 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 and 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 and securities received as collateral for forward foreign currency contracts, options and bilateral swap agreements. In certain circumstances the Funds’ 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 December 31, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, 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 twelve 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

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Notes to Financial Statements (continued)

December 31, 2016

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 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, return of capital and capital gain distributions received, swap adjustments, treasury inflation-protected bonds, foreign currency gains and losses, convertible bonds, deferred Trustees’ fees, defaulted and/or non-income producing securities, contingent payment debt instruments 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, defaulted and/or non-income producing securities, swap adjustments, wash sales, return of capital distributions received, convertible bonds, forward foreign currency, options and futures contracts mark-to-market and straddle deferrals. 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 short-term capital gains are considered to be distributed from ordinary income for tax purposes.

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Notes to Financial Statements (continued)

December 31, 2016

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2016 and 2015 were as follows:

	2016 Distributions Paid From:						2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Gateway Equity Call Premium Fund	$	778,103	$	—	$	778,103	$	559,201	$	—	$	559,201
Strategic Alpha Fund		28,006,426		—		28,006,426		53,322,143		—		53,322,143

As of December 31, 2016, the components of distributable earnings on a tax basis were as follows:

	Gateway Equity Call Premium Fund			Strategic Alpha Fund
Undistributed ordinary income	$	1,399		$	2,538,801
Total undistributed earnings		1,399			2,538,801
Capital loss carryforward:
Short-term:
No expiration date		(3,203,687	)		(37,730,155	)
Long-term:
No expiration date		(2,061,547	)		(17,520,479	)
Total capital loss carryforward		(5,265,234	)		(55,250,634	)
Unrealized appreciation (depreciation)		10,469,243			(22,660,525	)
Total accumulated earnings (losses)	$	5,205,408		$	(75,372,358	)

As of December 31, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:

	Gateway Equity Call Premium Fund		Strategic Alpha Fund
Unrealized appreciation (depreciation)
Investments	$	10,469,243	$	(8,431,064	)
Foreign currency translations		—		(14,229,461	)
Total unrealized appreciation (depreciation)	$	10,469,243	$	(22,660,525	)

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Notes to Financial Statements (continued)

December 31, 2016

l.  Loan Participations.  Strategic Alpha Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule 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 December 31, 2016, 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.  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.

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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 December 31, 2016.

o.  Securities Lending.  The Strategic Alpha Fund has entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Fund, 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 Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.

For the year ended December 31, 2016, the Fund did not loan securities under this agreement.

p.  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

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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 October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Fund’s financial statements.

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 Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid

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prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2016, at value:

Gateway Equity Call Premium Fund

Asset Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Common Stocks(a)	$	69,217,732	$	—		$	—	$	69,217,732
Short-Term Investments		—		2,790,351			—		2,790,351
Total	$	69,217,732	$	2,790,351		$	—	$	72,008,083
Liability Valuation Inputs
Description	Level 1		Level 2			Level 3		Total
Written Options	$	—	$	(1,358,200	)	$	—	$	(1,358,200	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the year ended December 31, 2016, there were no transfers among Levels 1, 2 and 3.

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Strategic Alpha Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	147,954,418	$	3,187,399	(b)	$	151,141,817
ABS Other		—		33,698,372		11,836,146	(c)		45,534,518
Banking		—		37,531,401		2,704,314	(d)		40,235,715
Government Owned - No Guarantee		—		20,285,143		2,180,900	(d)		22,466,043
Independent Energy		—		58,400,573		—	(e)		58,400,573
Non-Agency Commercial Mortgage-Backed Securities		—		53,657,265		3,349,021	(d)		57,006,286
All Other Non-Convertible Bonds(a)		—		495,384,682		—			495,384,682
Total Non-Convertible Bonds		—		846,911,854		23,257,780			870,169,634
Convertible Bonds(a)		—		13,857,623		—			13,857,623
Total Bonds and Notes		—		860,769,477		23,257,780			884,027,257
Senior Loans
Wirelines		—		3,484,137		1,165,800	(d)		4,649,937
All Other Senior Loans(a)		—		84,489,399		—			84,489,399
Total Senior Loans		—		87,973,536		1,165,800			89,139,336
Loan Participations(a)		—		—		2,256,710	(d)		2,256,710
Preferred Stocks
Convertible Preferred Stocks
Pharmaceuticals		397,242		1,331,496		—			1,728,738
All Other Convertible Preferred Stocks(a)		5,248,298		—		—			5,248,298
Total Convertible Preferred Stocks		5,645,540		1,331,496		—			6,977,036
Non-Convertible Preferred Stock(a)		—		4,242,000		—			4,242,000
Total Preferred Stocks		5,645,540		5,573,496		—			11,219,036

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December 31, 2016

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)

Description	Level 1			Level 2			Level 3			Total
Common Stocks(a)	$	20,598,477		$	—		$	—		$	20,598,477
Other Investments(a)		—			—			8,840,043	(f)		8,840,043
Purchased Options(a)		—			873,441			—			873,441
Short-Term Investments		—			159,125,186			—			159,125,186
Total Investments		26,244,017			1,114,315,136			35,520,333			1,176,079,486
Bilateral Credit Default Swap Agreements (unrealized appreciation)		—			18,414			—			18,414
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—			2,174,536			—			2,174,536
Bilateral Interest Rate Swap Agreements (unrealized appreciation)		—			1,207,045			—			1,207,045
Forward Foreign Currency Contracts (unrealized appreciation)		—			5,246,454			—			5,246,454
Futures Contracts (unrealized appreciation)		889,830			—			—			889,830
Total	$	27,133,847		$	1,122,961,585		$	35,520,333		$	1,185,615,765
Liability Valuation Inputs
Description	Level 1			Level 2			Level 3			Total
Bilateral Credit Default Swap Agreements (unrealized depreciation)	$	—		$	(503,050	)	$	—		$	(503,050	)
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)		—			(1,417,198	)		—			(1,417,198	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(203,906	)		—			(203,906	)
Bilateral Interest Rate Swap Agreements (unrealized depreciation)		—			(2,529,965	)		—			(2,529,965	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(2,006,219	)		—			(2,006,219	)
Futures Contracts (unrealized depreciation)		(729,872	)		—			—			(729,872	)
Total	$	(729,872	)	$	(6,660,338	)	$	—		$	(7,390,210	)

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December 31, 2016

(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 ($708,138) or fair valued by the Fund’s adviser ($2,479,261).

(c) Valued using broker-dealer bid prices ($4,627,225) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($7,208,921).

(d) Valued using broker-dealer bid prices.

(e) Fair valued at zero using level 3 inputs.

(f) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2015 and/or December 31, 2016:

Strategic Alpha Fund

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2015			Accrued Discounts (Premiums)			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	1,961,377		$	—		$	33,522		$	(31,816	)	$	—
ABS Other		13,438,737			—			1,779			(3,032,386	)		5,792,930
Banking		—			(153,258	)		—			(96,863	)		2,954,435
Government Owned - No Guarantee		—			—			—			250,900			1,930,000
Independent Energy		—	(a)		310,422						(310,422	)		—
Non-Agency Commercial Mortgage-Backed Securities		16,593,700			—			(9,066	)		(77,676	)		—
Senior Loans
Wirelines		—			5			—			11,595			1,154,200
Loan Participations		2,445,609			—			(1,257	)		(20,095	)		—
Common Stocks
Oil, Gas & Consumable Fuels		—	(a)		—			—			—			—
Other Investments
Aircraft ABS		8,820,000			—			—			20,043			—
Total	$	43,259,423		$	157,169		$	24,978		$	(3,286,720	)	$	11,831,565

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Notes to Financial Statements (continued)

December 31, 2016

Strategic Alpha Fund (continued)

Asset Valuation Inputs (continued)

Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(951,246	)	$	2,175,562	$	—		$	3,187,399		$	(31,692	)
ABS Other		(6,519,178	)		5,267,400		(3,113,136	)		11,836,146			(3,091,389	)
Banking		—			—		—			2,704,314			(96,863	)
Government Owned - No Guarantee		—			—		—			2,180,900			250,900
Independent Energy		—			—		—			—	(a)		(310,422	)
Non-Agency Commercial Mortgage-Backed Securities		(3,435,000	)		—		(9,722,937	)		3,349,021			(93,027	)
Senior Loans
Wirelines		—			—		—			1,165,800			11,595
Loan Participations		(167,547	)		—		—			2,256,710			(23,028	)
Common Stocks
Oil, Gas & Consumable Fuels		—			—		—			—			—
Other Investments
Aircraft ABS		—			—		—			8,840,043			20,043
Total	$	(11,072,971	)	$	7,442,962	$	(12,836,073	)	$	35,520,333		$	(3,363,883	)

(a) Fair valued at zero.

Debt securities valued at $1,308,689 were transferred from Level 2 to Level 3 during the period ended December 31, 2016. At December 31, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $6,134,273 were transferred from Level 2 to Level 3 during the period ended December 31, 2016. At December 31, 2015, these securities were valued

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December 31, 2016

on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2016, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $12,836,073 were transferred from Level 3 to Level 2 during the period ended December 31, 2016. At December 31, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At December 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

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, option contracts, swaptions and swap agreements.

Gateway Equity Call Premium Fund seeks to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. To meet this investment goal, the Fund invests in a broadly diversified portfolio of common stocks, while also writing index call options. Writing index call options can reduce the Fund’s volatility, provide a steady cash flow and be an important source of the Fund’s return, although it also may reduce the Fund’s ability to profit from increases in the value of its equity portfolio. The combination of the diversified stock portfolio and the steady cash flow from writing of index call options is intended to moderate the volatility of returns relative to an all-equity portfolio. During the year ended December 31, 2016, written index call options were used in accordance with this objective.

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 year ended December 31, 2016, the Fund used futures, forward foreign currency and option contracts, swaptions, 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

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December 31, 2016

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 year ended December 31, 2016, the Fund engaged in forward foreign currency and option 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 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 year ended December 31, 2016, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.

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 year ended December 31, 2016, the Fund engaged in futures and option contracts for hedging purposes.

The following is a summary of derivative instruments for Gateway Equity Call Premium Fund as of December 31, 2016, as reflected within the Statements of Assets and Liabilities:

Liabilities	Options written at value
Exchange-traded/cleared liability derivatives
Equity contracts	$(1,358,200)

Transactions in derivative instruments for Gateway Equity Call Premium Fund during the year ended December 31, 2016, as reflected within the Statements of Operations, were as follows:

Net Realized Gain (Loss) on:	Options written
Equity contracts	$(1,679,523)

Net Change in Unrealized Appreciation (Depreciation) on:	Options written
Equity contracts	$(775,949)

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The following is a summary of derivative instruments for Strategic Alpha Fund as of December 31, 2016, as reflected within the Statements of Assets and Liabilities:

Assets	Investments at value1		Unrealized appreciation on forward foreign currency contracts		Swap agreements at value2		Unrealized appreciation on futures contracts3		Total
Over-the-counter asset derivatives
Interest rate contracts	$	—	$	—	$	1,207,045	$	—	$	1,207,045
Foreign exchange contracts		873,441		5,246,454		—		—		6,119,895
Credit contracts		—		—		1,201,734		—		1,201,734
Total over-the-counter asset derivatives	$	873,441	$	5,246,454	$	2,408,779	$	—	$	8,528,674
Exchange-traded/ cleared asset derivatives
Interest rate contracts	$	—	$	—	$	2,174,536	$	889,830	$	3,064,366
Total exchange-traded/cleared asset derivatives	$	—	$	—	$	2,174,536	$	889,830	$	3,064,366
Total asset derivatives	$	873,441	$	5,246,454	$	4,583,315	$	889,830	$	11,593,040

Liabilities	Unrealized depreciation on forward foreign currency contracts			Swap agreements at value2			Unrealized depreciation on futures contracts3			Total
Over-the-counter liability derivatives
Interest rate contracts	$	—		$	(2,529,965	)	$	—		$	(2,529,965	)
Foreign exchange contracts		(2,006,219	)		—			—			(2,006,219	)
Credit contracts		—			(40,962	)		—			(40,962	)
Total over-the-counter liability derivatives	$	(2,006,219	)	$	(2,570,927	)	$	—		$	(4,577,146	)
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	(203,906	)	$	(561,024	)	$	(764,930	)
Credit contracts		—			(3,674,240	)		—			(3,674,240	)
Equity contracts		—			—			(168,848	)		(168,848	)
Total exchange-traded/cleared liability derivatives	$	—		$	(3,878,146	)	$	(729,872	)	$	(4,608,018	)
Total liability derivatives	$	(2,006,219	)	$	(6,449,073	)	$	(729,872	)	$	(9,185,164	)

¹ Represents purchased options, at value.

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December 31, 2016

² 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) are reported within the Statements of Assets and Liabilities.

³ 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.

Transactions in derivative instruments for Strategic Alpha Fund during the year ended December 31, 2016, as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency transactions5
Interest rate contracts	$	(4,113,923	)	$	(5,136,751	)	$	1,783,740		$	2,199,856		$	—
Foreign exchange contracts		293,631			—			—			—			(14,451,328	)
Credit contracts		—			—			—			(4,140,441	)		—
Equity contracts		(86,169	)		455,977			(1,861,846	)		—			—
Total	$	(3,906,461	)	$	(4,680,774	)	$	(78,106	)	$	(1,940,585	)	$	(14,451,328	)
Net Change in Unrealized Appreciation (Depreciation) on:	Investments4			Futures contracts			Options/ swaptions written			Swap agreements			Foreign currency translations5
Interest rate contracts	$	2,067,739		$	1,052,822		$	(1,204,936	)	$	(2,310,678	)	$	—
Foreign exchange contracts		(585,760	)		—			—			—			4,378,363
Credit contracts		—			—			—			(1,313,810	)		—
Equity contracts		26,553			306,334			—			—			—
Total	$	1,508,532		$	1,359,156		$	(1,204,936	)	$	(3,624,488	)	$	4,378,363

⁴  Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period.

⁵  Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations.

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ 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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December 31, 2016

The volume of option contract activity, as a percentage of investments in common stocks, for Gateway Equity Call Premium Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the year ended December 31, 2016:

Gateway Equity Call Premium Fund	Call Options Written*
Average Notional Amount Outstanding		98.95	%
Highest Notional Amount Outstanding		99.15	%
Lowest Notional Amount Outstanding		98.70	%
Notional Amount Outstanding as of December 31, 2016		98.97	%

* Notional amounts outstanding are determined by multiplying option contracts by the contract multiplier by the price of the option’s underlying index, the S&P 500^® Index.

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 year ended December 31, 2016:

Strategic Alpha Fund	Forwards			Futures			Credit Default Swaps			Interest Rate Swaps
Average Notional Amount Outstanding		37.88	%		61.42	%		6.59	%		41.37	%
Highest Notional Amount Outstanding		59.34	%		99.15	%		11.73	%		101.50	%
Lowest Notional Amount Outstanding		27.73	%		11.63	%		1.66	%		1.85	%
Notional Amount Outstanding as of December 31, 2016		34.40	%		17.05	%		9.50	%		56.25	%

Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.

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.

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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 year ended December 31, 2016:

Strategic Alpha Fund	Call Options Purchased*			Put Options Purchased*			Call Options Written*			Put Options Written*
Average Market Value of Underlying Instruments		4.78	%		3.27	%		2.08	%		0.38	%
Highest Market Value of Underlying Instruments		12.05	%		7.24	%		11.06	%		4.84	%
Lowest Market Value of Underlying Instruments		0.00	%		2.11	%		0.00	%		0.00	%
Market Value of Underlying Instruments as of December 31, 2016		3.35	%		3.29	%		0.00	%		0.00	%

* 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 and 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.

The volume of interest rate swaption activity, as a percentage of net assets for Strategic Alpha Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2016:

Strategic Alpha Fund	Interest Rate Put Swaptions Purchased			Interest Rate Call Swap tions Purchased			Interest Rate Call Swap tions Written
Average Premium Paid/Received		0.07	%		0.23	%		0.10	%
Highest Premium Paid/Received		0.14	%		0.34	%		0.15	%
Lowest Premium Paid/Received		0.00	%		0.00	%		0.00	%
Premium Paid/Received as of December 31, 2016		0.00	%		0.00	%		0.00	%

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The following is a summary of Gateway Equity Call Premium Fund’s written option activity:

Gateway Equity Call Premium Fund	Number of Contracts			Premiums
Outstanding at December 31, 2015		252		$	1,260,695
Options written		3,252			11,725,016
Options terminated in closing purchase transactions		(3,151	)		(11,702,746	)
Options expired		(47	)		(65,679	)
Outstanding at December 31, 2016		306		$	1,217,286

The following is a summary of Strategic Alpha Fund’s written option activity:

Strategic Alpha Fund	Number of Contracts			Premiums
Outstanding at December 31, 2015		—		$	—
Options written		18,167			3,041,285
Options terminated in closing purchase transactions		(8,928	)		(2,713,469	)
Options expired		(9,239	)		(327,816	)
Options assigned		—			—
Outstanding at December 31, 2016		—		$	—

The following is a summary of Strategic Alpha Fund’s written interest rate swaption activity:

Strategic Alpha Fund	Notional Amount			Premiums
Outstanding at December 31, 2015	$	130,200,000		$	1,783,740
Swaptions expired		(130,200,000	)		(1,783,740	)
Swaptions terminated in closing purchase transactions		—			—
Outstanding at December 31, 2016	$	—		$	—

OTC derivatives, including forward foreign currency contracts, options, interest rate swaptions 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

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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 December 31, 2016, gross amounts of OTC 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.	$	4,306,787		$	(2,397,158	)	$	1,909,629		$	(1,909,629	)	$	—
Barclays Bank PLC		334,876			(20,481	)		314,395			(289,630	)		24,765
Commonwealth Bank of Australia Sydney		591,027			—			591,027			—			591,027
Deutsche Bank AG		1,331,514			(604,184	)		727,330			(727,330	)		—
JPMorgan Chase Bank, N.A.		341,483			(20,481	)		321,002			(321,002	)		—
Morgan Stanley Capital Services, Inc.		1,622,987			(940,052	)		682,935			—			682,935
	$	8,528,674		$	(3,982,356	)	$	4,546,318		$	(3,247,591	)	$	1,298,727
Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	(2,397,158	)	$	2,397,158		$	—		$	—		$	—
Barclays Bank PLC		(20,481	)		20,481			—			—			—
Credit Suisse International		(594,790	)		—			(594,790	)		594,790			—
Deutsche Bank AG		(604,184	)		604,184			—			—			—
JPMorgan Chase Bank, N.A.		(20,481	)		20,481			—			—			—
Morgan Stanley Capital Services, Inc.		(940,052	)		940,052			—			—			—
	$	(4,577,146	)	$	3,982,356		$	(594,790	)	$	594,790		$	—

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December 31, 2016

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. 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 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 agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. 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 December 31, 2016:

Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Strategic Alpha Fund	$	24,052,794	$	16,228,057

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Notes to Financial Statements (continued)

December 31, 2016

These amounts include cash and U.S. government and agency securities received as collateral of $4,099,630. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Statements of Assets and Liabilities.

5.  Purchases and Sales of Securities.  For the year ended December 31, 2016, 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
Gateway Equity Call Premium Fund	$	—	$	—	$	25,694,211	$	15,577,838
Strategic Alpha Fund		—		82,315,731		769,661,876		1,100,921,610

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Gateway Investment Advisers, LLC (“Gateway Advisers”) serves as investment adviser to Gateway Equity Call Premium Fund. Gateway Advisers is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, 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 0.65%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to Strategic Alpha Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.

Gateway Advisers 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, 2017, 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.

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For the year ended December 31, 2016, 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 Y
Gateway Equity Call Premium Fund		1.20	%		1.95	%		0.95	%
Strategic Alpha Fund		1.30	%		2.05	%		1.05	%

Gateway Advisers and Loomis Sayles shall be permitted to recover expenses they have borne under the expense limitation agreements (whether through waiver of its 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 year ended December 31, 2016, the management fees and waivers of management fees for each Fund were as follows:

	Gross Management Fees		Waivers of Management Fees1		Net Management Fees		Percentage of Average Daily Net Assets
Fund							Gross			Net
Gateway Equity Call Premium Fund	$	420,410	$	69,968	$	350,442		0.65	%		0.54	%
Strategic Alpha Fund		8,505,759		—		8,505,759		0.70	%		0.70	%

¹ Management fee waivers are subject to possible recovery until December 31, 2017.

No expenses were recovered for either Fund during the year ended December 31, 2016 under the terms of the expense limitation agreements.

b.  Service and Distribution Fees.  NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM 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 NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the

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Notes to Financial Statements (continued)

December 31, 2016

Fund’s Class A shares, as reimbursement for expenses incurred by NGAM 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 NGAM 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 NGAM 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 NGAM 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 NGAM Distribution in connection with the marketing or sale of Class C shares.

For the year ended December 31, 2016, the service and distribution fees for each Fund were as follows:

	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
Gateway Equity Call Premium Fund	$	14,469	$	325	$	976
Strategic Alpha Fund		189,156		131,069		393,205

c.  Administrative Fees.  NGAM 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 and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the year ended December 31, 2016, the administrative fees for each Fund were as follows:

Fund	Administrative Fees
Gateway Equity Call Premium Fund	$	28,710
Strategic Alpha Fund		539,257

d.  Sub-Transfer Agent Fees.  NGAM 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

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December 31, 2016

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 NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM 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.

For the year ended December 31, 2016, 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
Gateway Equity Call Premium Fund	$	28,321
Strategic Alpha Fund		810,293

As of December 31, 2016, the Funds owe NGAM 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
Gateway Equity Call Premium Fund	$	393
Strategic Alpha Fund		9,984

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended December 31, 2016 were as follows:

Fund	Commissions
Strategic Alpha Fund	$	5,542

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees

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Notes to Financial Statements (continued)

December 31, 2016

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 and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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.

g.  Affiliated Ownership.  As of December 31, 2016, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Strategic Alpha Fund representing 0.10% of the Fund’s net assets.

7.  Line of Credit.  Effective April 14, 2016, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (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. Interest is charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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 other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

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Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest was charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended December 31, 2016, none of the Funds had borrowings under these agreements.

8.  Concentration of Risk.  The Funds’ investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

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.

9.  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 December 31, 2016, 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% Non-Affiliated Account Holders		Percentage of Ownership
Gateway Equity Call Premium Fund		3		79.61	%
Strategic Alpha Fund		3		41.49	%

Omnibus shareholder accounts for which NGAM 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

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10.  Capital Shares.  The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

	Year Ended December 31, 2016					Year Ended December 31, 2015
Gateway Equity Call Premium Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	592,010		$	6,121,622		449,589		$	4,570,382
Issued in connection with the reinvestment of distributions	5,121			53,868		3,514			35,722
Redeemed	(376,732	)		(3,971,403	)	(85,447	)		(858,858	)
Net change	220,399		$	2,204,087		367,656		$	3,747,246
Class C
Issued from the sale of shares	45,956		$	492,236		3,581		$	36,310
Issued in connection with the reinvestment of distributions	111			1,192		18			187
Redeemed	(1,416	)		(14,955	)	(100	)		(1,028	)
Net change	44,651		$	478,473		3,499		$	35,469
Class Y
Issued from the sale of shares	1,581,610		$	15,844,856		4,210,869		$	43,166,037
Issued in connection with the reinvestment of distributions	39,283			412,824		27,812			281,744
Redeemed	(708,332	)		(7,241,554	)	(1,402,243	)		(14,430,566	)
Net change	912,561		$	9,016,126		2,836,438		$	29,017,215
Increase (decrease) from capital share transactions	1,177,611		$	11,698,686		3,207,593		$	32,799,930

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10.  Capital Shares (continued).

	Year Ended December 31, 2016					Year Ended December 31, 2015
Loomis Sayles Strategic Alpha Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,073,679		$	19,966,508		6,366,120		$	62,543,457
Issued in connection with the reinvestment of distributions	102,020			979,713		318,954			3,111,420
Redeemed	(7,583,445	)		(71,672,383	)	(4,852,855	)		(47,380,866	)
Net change	(5,407,746	)	$	(50,726,162	)	1,832,219		$	18,274,011
Class C
Issued from the sale of shares	285,547		$	2,782,194		1,290,714		$	12,573,109
Issued in connection with the reinvestment of distributions	45,145			430,682		122,269			1,191,265
Redeemed	(2,312,367	)		(22,078,378	)	(1,956,904	)		(19,229,282	)
Net change	(1,981,675	)	$	(18,865,502	)	(543,921	)	$	(5,464,908	)
Class Y
Issued from the sale of shares	28,064,358		$	270,266,593		44,468,853		$	439,028,093
Issued in connection with the reinvestment of distributions	1,876,898			18,017,506		3,252,297			31,686,738
Redeemed	(45,303,829	)		(432,597,106	)	(41,791,361	)		(408,640,263	)
Net change	(15,362,573	)	$	(144,313,007	)	5,929,789		$	62,074,568
Increase (decrease) from capital share transactions	(22,751,994	)	$	(213,904,671	)	7,218,087		$	74,883,671

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Report of Independent Registered Public Accounting Firm

To the Trustees of Gateway Trust and Natixis Funds Trust II and Shareholders of Gateway Equity Call Premium Fund and Loomis Sayles Strategic Alpha Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Gateway Equity Call Premium Fund, a series of Gateway Trust, and Loomis Sayles Strategic Alpha Fund, a series of Natixis Funds Trust II (collectively, the “Funds”) as of December 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

February 22, 2017

95  |

2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended December 31, 2016, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Gateway Equity Call Premium		100.00	%
Strategic Alpha		0.61	%

Qualified Dividend Income.  A percentage of dividends distributed by the Funds during the fiscal year ended December 31, 2016 are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. These percentages are noted below:

Fund	Qualifying Percentage
Gateway Equity Call Premium		100.00	%
Strategic Alpha		0.78	%

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Natixis Funds Trust II and Gateway Trust (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES
Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)
Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

97  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)
Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience
Sandra O. Moose (1942)	Trustee since 1993 for Natixis Funds Trust II and since 2007 for Gateway Trust Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

99  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)
Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist
Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

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Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office1	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen2 and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
INDEPENDENT TRUSTEES continued
Cynthia L. Walker (1956)	Trustee since 2005 for Natixis Funds Trust II and since 2007 for Gateway Trust Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)
INTERESTED TRUSTEES
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111	Trustee since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)	Trustee since 2011 President and Chief Executive Officer since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	53 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

¹  Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

²  The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”) and Natixis ETF Trust (collectively, the “Fund Complex”).

³  Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴  Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

101  |

Trustee and Officer Information

Name and Year of Birth	Position(s) Held with the Trust	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years2
OFFICERS OF THE TRUST
Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004 for Natixis Funds Trust II and since May 2007 for Gateway Trust	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.
Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹  Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

²  Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Mr. Kenneth A. Drucker, Mr. Edmond J. English, Mr. Richard A. Goglia, Ms. Sandra O. Moose, Mr. Erik R. Sirri and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services provided as reported as a part of (a) through (c) of this Item.

	Audit fees				Audit-related fees1				Tax fees2				All other fees
	1/1/15- 12/31/15		1/1/16- 12/31/16		1/1/15- 12/31/15		1/1/16- 12/31/16		1/1/15- 12/31/15		1/1/16- 12/31/16		1/1/15- 12/31/15		1/1/16- 12/31/16
Gateway Trust	$	80,438	$	81,644	$	1,050	$	1,380	$	17,232	$	17,490	$	—	$	—

1. Audit-related fees consist of:

2015 & 2016– performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2. Tax fees consist of:

2015 & 2016 – review of the Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2015 and 2016 were $18,282 and $18,870 respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth fees billed by the Registrant’s principal accountant for non-audit services rendered to Gateway Investment Advisers, LLC and entities controlling, controlled by or under common control with Gateway Investment Advisers, LLC (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

1/1/15- 12/31/15

1/1/16- 12/31/16

1/1/15- 12/31/15

1/1/16- 12/31/16

1/1/15- 12/31/15

1/1/16- 12/31/16

Control Affiliates

$

—

$

—

$

—

$

—

$

—

$

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Gateway Investment Advisers, LLC and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.

	Aggregate Non-Audit Fees
	1/1/15- 12/31/15		1/1/16- 12/31/16
Control Affiliates	$	41,200	$	82,978

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

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 Registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant 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.

Gateway Trust
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	February 22, 2017

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:	February 22, 2017
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	February 22, 2017

EX-99.CODE

Exhibit (a)(1)

NATIXIS FUNDS TRUST I

NATIXIS FUNDS TRUST II

NATIXIS FUNDS TRUST IV

LOOMIS SAYLES FUNDS I

LOOMIS SAYLES FUNDS II

GATEWAY TRUST

NATIXIS ETF TRUST

CODE OF ETHICS PURSUANT TO SECTION 406 OF THE SARBANES-OXLEY

ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS

I.     Covered Persons/Purpose of the Code

This Code of Ethics (this “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 has been adopted by the registered investment companies (each a “Fund” and, collectively, the “Funds”) listed on Exhibit A and applies to each Fund’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the “Covered Persons,” all covered persons are set forth in Exhibit B) for the purpose of promoting:

• Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (the “SEC”) and in other public communications made by the registrant

• Compliance with applicable governmental laws, rules and regulations;

• The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code of violations of the Code; and

• Accountability for adherence to the Code.

Each Covered Person should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to conflicts of interest.

II.     Covered Persons Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Person’s private interest interferes with the interests of, or his service to, the Fund. For example, a conflict of interest would arise if a Covered Person’s, or a member of the Covered Person’s family or household, receives improper personal benefits as a result of the Covered Person’s position with the Fund.

Certain conflicts of interest arise out of the relationships between Covered Persons and the Fund and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (including the regulations thereunder, the “1940 Act”) and the Investment Advisers Act of 1940 (including the regulations thereunder, the “Investment Advisers Act”). For example, Covered Persons may not engage in certain transactions with the Fund because of their status as “affiliated persons” of the Fund. The Funds and their investment advisers; subadvisers; distributors and administrators (each a “Service Provider” and, collectively, the “Service Providers”) compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code. See also Section V of this code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and their Service Providers of which the Covered Persons are also officers or employees. As a result, this Code recognizes that the Covered Persons will, in the normal course of their duties (whether for the Funds or for a Service Provider, or for each), be involved in establishing policies and implementing decisions that will have different effects on the Service Providers and the Funds. The participation of the Covered Persons in such activities is inherent in the contractual relationships between the Funds and their Service Providers and is consistent with the performance by the Covered Persons of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the 1940 Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Persons may also be officers or employees of one or more other investment companies covered by this or other codes and that such service, by itself, does not give rise to a conflict of interest.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not the subject of provisions of the 1940 Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Persons should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Person should not be placed improperly before the interest of a Fund.

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Each Covered Person must not:

• use his/her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund whereby the Covered Person would benefit personally to the detriment of the Fund;

• cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Person rather than the benefit the Fund; or

• retaliate against any other Covered Person or any employee of the Funds or their Service Providers for reports of potential violations that are made in good faith.

There are some conflict of interest situations that should always be approved by the Chief Legal Officer (“CLO”) of the Fund (or, with respect to activities of the CLO if he/she is a Covered Person, by the President ). These conflict of interest situations are listed below:

• service on the board of directors or governing board of a publicly traded entity;

• acceptance of any investment opportunity, gift, gratuity or other thing of more than nominal value from any person or entity that does business, or desires to do business, with the Fund. This restriction shall not apply to (i) gifts from a single giver so long as their aggregate annual value does not exceed the equivalent of $100 or (ii) attending business meals, business related conferences, sporting events and other entertainment events at the expense of a giver, so long as the expense is reasonable;

• any ownership interest in, or any consulting relationship with, any entities doing business with a Fund, other than a Service Provider or an affiliate of a Service Provider. This restriction shall not apply to or otherwise limit the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the outstanding securities of the relevant class; and

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Person’s employment with a Service Provider or its affiliate. This restriction shall not apply to or otherwise limit (i) the ownership of publicly traded securities so long as the Covered Person’s ownership does not exceed more than 2% of the particular class of security outstanding or (ii) the receipt by the Service Provider of research or other benefits in exchange for “soft dollars”.

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III.     Disclosure and Compliance

• Each Covered Person should familiarize himself with the disclosure requirements generally applicable to a Fund;

• Each Covered Person should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to the Fund’s Board and auditors, and to governmental regulators and self-regulatory organizations;

• Each Covered Person should, to the extent appropriate within his/her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

• It is the responsibility of each Covered Person to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

IV.     Reporting and Accountability

Each Covered Person must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Person), affirm in writing to the Funds that he/she has received, read, and understands the Code;

• annually thereafter affirm to the Funds that he/she has complied with the requirements of the Code; and

• notify the CLO of the Funds promptly if he/she knows of any violation of this Code (with respect to violations by the CLO if he/she is a Covered Person, the Covered Person shall report to the President). Failure to do so is itself a violation of this Code.

The CLO of a Fund is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers other than those this Code states can be granted by the CLO, sought by the CLO or Covered Person will be considered by the relevant Fund’s Audit Committee (the “Committee”).

The Funds will follow these procedures in investigating and enforcing this Code:

• the CLO will take all appropriate action to investigate any potential violations reported, which may include the use of internal or external counsel, accountants or other personnel;

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• if, after such investigation, the CLO believes that no violation has occurred, the CLO is not required to take any further action;

• any matter that the CLO believes is a violation will be reported to the Committee;

• if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Person;

• the Committee will be authorized to grant waivers, as it deems appropriate; and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V.     Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds or the Funds’ Service Providers govern or purport to govern the behavior or activities of the Covered Persons who are subject to this Code, they are superseded by this Code to the extent that they conflict with the provisions of this Code. The Funds and their Service Providers’ codes of ethics under Rule 17j-1 under the 1940 Act and the Service Providers’ more detailed compliance policies and procedures are separate requirements applying to the Covered Persons and others, and are not part of this Code.

VI.     Amendments

Any amendments to this Code with respect to a Fund, other than administrative amendments to Exhibits A and B, must be approved or ratified by a majority vote of the Fund’s Board, including a majority of independent trustees.

VII.     Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone except as permitted by the Board.

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VIII.     Internal Use

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion.

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Exhibit A

Registered Investment Companies

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

Natixis ETF Trust

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Exhibit B

Persons Covered by this Code of Ethics

Trust	Principal Executive Officer	Principal Financial Officer	Principal Accounting Officer
Natixis Funds Trust I	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust II	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis Funds Trust IV	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds I	Kevin Charleston, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Loomis Sayles Funds II	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Gateway Trust	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer
Natixis ETF Trust	David L. Giunta, Trustee, President and Chief Executive Officer	Michael C. Kardok, Treasurer	Michael C. Kardok, Treasurer

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EX-99.CERT

Exhibit (a)(2)(1)

Gateway Trust

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

1. I have reviewed this report on Form N-CSR of Gateway Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 22, 2017

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)(2)

Gateway Trust

Exhibit to SEC Form N-CSR

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-CSR of Gateway Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all materials respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: February 22, 2017

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer

EX-99.906CERT

Exhibit (b)

Gateway Trust

Section 906 Certification

In connection with the report on Form N-CSR for the period ended December 31, 2016 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

By:	By:
President and Chief Executive Officer Gateway Trust	Treasurer Gateway Trust
/s/ David L. Giunta	/s/ Michael C. Kardok
David L. Giunta	Michael C. Kardok
Date: February 22, 2017	Date: February 22, 2017

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Gateway Trust, and will be retained by the Gateway Trust and furnished to the Securities and Exchange Commission or its staff upon request.