-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, C0DF9boPcc0vPUlcc/agjmFy3RT5e54AYR/ZUDTOx7tQ1TZzrxpL+zBc2avSN7hj 4Vgb/Tq4nlN5uDCMLbsgCg== 0001193125-07-128558.txt : 20070604 0001193125-07-128558.hdr.sgml : 20070604 20070604105040 ACCESSION NUMBER: 0001193125-07-128558 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20070331 FILED AS OF DATE: 20070604 DATE AS OF CHANGE: 20070604 EFFECTIVENESS DATE: 20070604 FILER: COMPANY DATA: COMPANY CONFORMED NAME: IXIS Advisor Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 07896073 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-399-7788 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202 FORMER COMPANY: FORMER CONFORMED NAME: NEW ENGLAND FUNDS TRUST II DATE OF NAME CHANGE: 19940615 0000052136 S000008034 Loomis Sayles Massachusetts Tax Free Income Fund C000021806 Class A NEFMX C000021807 Class B NEMBX N-CSRS 1 dncsrs.txt IXIS ADVISOR FUNDS TRUST II UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-00242 IXIS Advisor Funds Trust II - -------------------------------------------------------------------------------- (Exact name of Registrant as specified in charter) 399 Boylston Street, Boston, Massachusetts 02116 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Coleen Downs Dinneen, Esq. IXIS Asset Management Distributors, L.P. 399 Boylston Street Boston, Massachusetts 02116 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (617) 449-2810 Date of fiscal year end: September 30 Date of reporting period: March 31, 2007 Item 1. Reports to Stockholders. The Registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: [LOGO] IXIS | ADVISOR FUNDS Income Funds Semiannual Report March 31, 2007 [LOGO] Loomis Sayles Core Plus Bond Fund Loomis Sayles High Income Fund Loomis Sayles Limited Term Government and Agency Fund Loomis Sayles Massachusetts Tax Free Income Fund Loomis Sayles Municipal Income Fund Loomis Sayles Strategic Income Fund TABLE OF CONTENTS Management Discussion and Performance..........Page 1 Portfolio of InvestmentsPage 17 Financial Statements....Page 41 LOOMIS SAYLES CORE PLUS BOND FUND PORTFOLIO PROFILE Objective: Seeks a high level of current income consistent with what the fund considers reasonable risk - -------------------------------------------------------------------------------- Strategy: Invests primarily in U.S. corporate and U.S. government bonds - -------------------------------------------------------------------------------- Fund Inception: November 7, 1973 - -------------------------------------------------------------------------------- Managers: Peter W. Palfrey Richard G. Raczkowski Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFRX Class B NERBX Class C NECRX Class Y NERYX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. This fund may invest in lower-rated bonds with higher yields and increased risks; securities subject to prepayment risk; and foreign market securities with special risks. Management Discussion - -------------------------------------------------------------------------------- At their meeting last fall, the Federal Reserve Board paused in its series of rate hikes, leaving short-term interests rates unchanged during the six months ended March 31, 2007. Although the U.S. economic expansion moved forward at a slower pace than in previous months, corporate profits remained healthy. This, coupled with investor demand for high income, has had a positive impact on prices of high-yielding domestic bonds. Security selection within this sector was principally responsible for Loomis Sayles Core Plus Bond Fund's out-performance during the fiscal period. Based on the net asset value of its Class A shares and $0.27 in reinvested dividends, the fund's total return was 3.51%. This compared favorably with the 2.76% return on the fund's benchmark, the Lehman Aggregate Bond Index, and the average return on the funds in its Morningstar Intermediate-Term Bond category, which was also 2.76%. The fund's 30-day SEC yield on March 31, 2007 was 3.95%. BEST RESULTS CAME FROM DOMESTIC HIGH-YIELD AND NON-DOLLAR ISSUES Most sectors of the U.S. fixed-income market performed well during the period. The fund had approximately 10% of its assets in high-yielding, domestic issues, with substantial holdings in U.S. investment-grade bonds. The fund's portfolio also includes securities backed by mortgages and other assets and U.S. government agencies, as well as international and emerging-market securities. (The benchmark has no foreign holdings.) We built up the fund's non-dollar allocation modestly during the period, reflecting economic optimism in the Asian region. A correction in the richly valued Chinese stock market led to a spike in volatility, and the fund's holdings in mortgage-backed securities were a slight drag on performance near the end of the period, reflecting concerns over subprime lending. However, this volatility proved to be short-lived. Issues backed by commercial mortgages performed relatively well, as profit risk on commercial space was low, but our underweight position in these securities compared to the benchmark trimmed the fund's performance lead in other markets. SECURITY SELECTION, EMPHASIS ON NON-CYCLICALS HELPED, JAPANESE CURRENCY HURT Security selection played a key role during the period, as did the fund's relatively long duration relative to the benchmark. Some holdings rose in value on speculation that they might be upgraded. Domestic bonds backed by consumer non-cyclical companies - those whose businesses tend to be less sensitive to the economic cycle - also benefited results. But bonds denominated in the Japanese yen lagged as the currency came under pressure early in the period. Investors had borrowed in the low-yielding yen and invested the proceeds in higher-yielding currencies. However, interest rates rose in Japan, undercutting the yield advantage sought in this "carry trade" strategy. The yen subsequently recovered and we increased portfolio weightings in Japan and other Asian economies that appear favorably positioned. OUTLOOK IS FOR CONTINUED FAVORABLE CONDITIONS We believe the current economic sluggishness in the United States may represent a pause before activity picks up later in 2007, although we expect the pace to be more moderate. We are maintaining the portfolio's overall high quality profile because we believe prospects for gains have diminished among lower quality tiers, where many issues appear to be overvalued, in our opinion. Accordingly, we pared back our emphasis on high-yielding corporate bonds because we think there is now limited potential for further appreciation. Moreover, the fund's duration is currently longer than the benchmark, making it more susceptible to interest-rate shifts. Our current strategy is intended to position the fund advantageously if the economy slows down for a time, causing interest rates to fall and bond prices to rise. If this occurs, it would reduce inflationary pressures and make the Fed less inclined to raise short-term interest rates again. 1 LOOMIS SAYLES CORE PLUS BOND FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/4/ March 31, 1997 through March 31, 2007 [CHART] Net Asset Maximum Sales Lehman Aggregate Lehman U.S. Value/1/ Charge/2/ Bond Index Credit Index ---------- ------------- ---------------- ---------------- 3/31/1997 $10,000 $ 9,550 $10,000 $10,000 4/30/1997 10,110 9,655 10,150 10,152 5/31/1997 10,246 9,785 10,246 10,267 6/30/1997 10,427 9,958 10,367 10,412 7/31/1997 10,846 10,358 10,647 10,793 8/31/1997 10,662 10,182 10,556 10,634 9/30/1997 10,874 10,384 10,712 10,820 10/31/1997 10,977 10,483 10,867 10,957 11/30/1997 11,028 10,531 10,917 11,019 12/31/1997 11,141 10,640 11,027 11,135 1/31/1998 11,289 10,781 11,169 11,267 2/28/1998 11,325 10,816 11,160 11,264 3/31/1998 11,396 10,883 11,199 11,305 4/30/1998 11,448 10,933 11,257 11,377 5/31/1998 11,565 11,044 11,364 11,512 6/30/1998 11,608 11,085 11,460 11,597 7/31/1998 11,577 11,056 11,485 11,586 8/31/1998 11,463 10,947 11,671 11,640 9/30/1998 11,905 11,370 11,945 12,017 10/31/1998 11,780 11,250 11,882 11,832 11/30/1998 12,015 11,474 11,949 12,055 12/31/1998 12,034 11,492 11,985 12,090 1/31/1999 12,164 11,617 12,070 12,209 2/28/1999 11,918 11,382 11,860 11,920 3/31/1999 12,083 11,539 11,926 12,004 4/30/1999 12,178 11,630 11,963 12,039 5/31/1999 11,914 11,378 11,858 11,878 6/30/1999 11,838 11,305 11,821 11,816 7/31/1999 11,791 11,261 11,770 11,751 8/31/1999 11,744 11,216 11,764 11,722 9/30/1999 11,943 11,405 11,901 11,850 10/31/1999 11,970 11,432 11,945 11,904 11/30/1999 11,988 11,449 11,944 11,917 12/31/1999 11,994 11,454 11,886 11,854 1/31/2000 11,944 11,406 11,848 11,812 2/29/2000 12,079 11,535 11,991 11,921 3/31/2000 12,244 11,693 12,149 12,023 4/30/2000 12,019 11,478 12,114 11,917 5/31/2000 11,930 11,393 12,108 11,873 6/30/2000 12,292 11,738 12,360 12,171 7/31/2000 12,364 11,808 12,473 12,319 8/31/2000 12,524 11,960 12,653 12,479 9/30/2000 12,542 11,978 12,733 12,545 10/31/2000 12,471 11,910 12,817 12,557 11/30/2000 12,589 12,023 13,027 12,720 12/31/2000 12,881 12,302 13,268 12,966 1/31/2001 13,201 12,607 13,485 13,321 2/28/2001 13,332 12,732 13,603 13,437 3/31/2001 13,348 12,747 13,671 13,521 4/30/2001 13,271 12,674 13,614 13,472 5/31/2001 13,356 12,755 13,696 13,595 6/30/2001 13,360 12,759 13,748 13,664 7/31/2001 13,698 13,082 14,056 14,021 8/31/2001 13,850 13,227 14,217 14,209 9/30/2001 13,792 13,172 14,382 14,188 10/31/2001 14,064 13,431 14,683 14,540 11/30/2001 13,971 13,342 14,481 14,414 12/31/2001 13,815 13,193 14,389 14,315 1/31/2002 13,783 13,163 14,505 14,436 2/28/2002 13,729 13,111 14,646 14,545 3/31/2002 13,579 12,968 14,402 14,277 4/30/2002 13,707 13,090 14,681 14,475 5/31/2002 13,822 13,200 14,806 14,667 6/30/2002 13,489 12,882 14,934 14,691 7/31/2002 13,333 12,733 15,114 14,683 8/31/2002 13,637 13,023 15,370 15,064 9/30/2002 13,682 13,066 15,619 15,350 10/31/2002 13,605 12,993 15,547 15,172 11/30/2002 13,864 13,240 15,543 15,369 12/31/2002 14,207 13,568 15,864 15,822 1/31/2003 14,287 13,644 15,878 15,873 2/28/2003 14,493 13,840 16,098 16,191 3/31/2003 14,535 13,881 16,085 16,202 4/30/2003 14,753 14,089 16,218 16,502 5/31/2003 15,046 14,369 16,520 17,022 6/30/2003 15,070 14,392 16,487 16,981 7/31/2003 14,553 13,899 15,933 16,257 8/31/2003 14,693 14,032 16,039 16,384 9/30/2003 15,116 14,436 16,464 16,956 10/31/2003 15,079 14,400 16,310 16,776 11/30/2003 15,171 14,488 16,349 16,853 12/31/2003 15,416 14,723 16,515 17,040 1/31/2004 15,549 14,849 16,648 17,213 2/29/2004 15,669 14,964 16,828 17,429 3/31/2004 15,786 15,076 16,955 17,597 4/30/2004 15,384 14,691 16,513 17,043 5/31/2004 15,248 14,562 16,447 16,923 6/30/2004 15,341 14,651 16,540 16,995 7/31/2004 15,515 14,816 16,704 17,204 8/31/2004 15,825 15,113 17,023 17,610 9/30/2004 15,915 15,199 17,069 17,709 10/31/2004 16,089 15,365 17,212 17,881 11/30/2004 16,056 15,334 17,075 17,701 12/31/2004 16,202 15,473 17,232 17,933 1/31/2005 16,241 15,510 17,340 18,075 2/28/2005 16,225 15,495 17,238 17,968 3/31/2005 16,014 15,294 17,149 17,745 4/30/2005 16,081 15,358 17,381 17,983 5/31/2005 16,231 15,501 17,569 18,234 6/30/2005 16,338 15,603 17,665 18,379 7/31/2005 16,292 15,559 17,504 18,195 8/31/2005 16,459 15,718 17,729 18,471 9/30/2005 16,301 15,567 17,546 18,195 10/31/2005 16,186 15,458 17,407 17,996 11/30/2005 16,246 15,515 17,484 18,105 12/31/2005 16,380 15,642 17,651 18,284 1/31/2006 16,434 15,694 17,652 18,247 2/28/2006 16,493 15,751 17,710 18,328 3/31/2006 16,371 15,634 17,536 18,070 4/30/2006 16,382 15,645 17,505 18,004 5/31/2006 16,335 15,600 17,486 17,972 6/30/2006 16,348 15,612 17,523 18,000 7/31/2006 16,570 15,824 17,760 18,265 8/31/2006 16,795 16,040 18,032 18,603 9/30/2006 16,958 16,195 18,190 18,811 10/31/2006 17,106 16,336 18,310 18,961 11/30/2006 17,357 16,576 18,523 19,228 12/31/2006 17,253 16,477 18,415 19,063 1/31/2007 17,265 16,488 18,408 19,058 2/28/2007 17,586 16,795 18,692 19,443 3/31/2007 17,551 16,761 18,692 19,350 Average Annual Total Returns -- March 31, 2007/4/
6 MONTHS 1 YEAR 5 YEARS 10 YEARS CLASS A (Inception 11/7/73) Net Asset Value/1/ 3.51% 7.22% 5.26% 5.78% With Maximum Sales Charge/2/ -1.15 2.41 4.30 5.29 CLASS B (inception 9/13/93) Net Asset Value/1/ 3.19 6.43 4.49 5.00 With CDSC/3/ -1.81 1.43 4.16 5.00 CLASS C (Inception 12/30/94) Net Asset Value/1/ 3.09 6.43 4.48 4.99 With CDSC/3/ 2.09 5.43 4.48 4.99 CLASS Y (Inception 12/30/94) Net Asset Value/1/ 3.72 7.56 5.66 6.14 - --------------------------------------------------------------------- COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS Lehman Aggregate Bond Index 2.76% 6.59% 5.35% 6.46% Lehman U.S. Credit Index 2.87 7.08 6.27 6.82 Morningstar Int.-Term Bond Fund Avg. 2.76 6.17 4.99 5.75
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of any dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. Class Y shares are available to certain investors, as described in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of CREDIT QUALITY 3/31/2007 9/30/2006 - ------------------------------------------ Aaa 67.9 56.4 - ------------------------------------------ Aa 2.3 1.5 - ------------------------------------------ A 2.7 1.2 - ------------------------------------------ Baa 10.3 16.6 - ------------------------------------------ Ba 5.4 13.1 - ------------------------------------------ B 3.0 5.0 - ------------------------------------------ Caa 0.8 -- - ------------------------------------------ Not Rated* 4.1 4.7 - ------------------------------------------ Short-term and other 3.5 1.5 - ------------------------------------------
Credit quality is based on ratings from Moody's Investors Service. * Securities that are not rated by Moody's may be rated by another rating agency or by Loomis Sayles.
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 9.9 6.8 - -------------------------------------------------- 1-5 years 35.3 39.4 - -------------------------------------------------- 5-10 years 36.9 38.5 - -------------------------------------------------- 10+ years 17.9 15.3 - -------------------------------------------------- Average Effective Maturity 8.2 years 7.6 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class Gross Expense Ratio/5/ Net Expense Ratio/6/ - ------------------------------------------------------- A 1.08 1.05 - ------------------------------------------------------- B 1.83 1.80 - ------------------------------------------------------- C 1.82 1.80 - ------------------------------------------------------- Y 0.80 0.80 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 4.50%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. /4/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /5/Before waivers and reimbursements. /6/After waivers and reimbursements. 2 LOOMIS SAYLES HIGH INCOME FUND PORTFOLIO PROFILE Objective: Seeks high current income plus the opportunity for capital appreciation to produce a high total return - -------------------------------------------------------------------------------- Strategy: Invests primarily in lower-quality fixed-income securities - -------------------------------------------------------------------------------- Fund Inception: February 22, 1984 - -------------------------------------------------------------------------------- Managers: Matthew J. Eagan, CFA Kathleen C. Gaffney, CFA Elaine M. Stokes Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFHX Class B NEHBX Class C NEHCX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest-rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. This fund emphasizes lower-rated, high-yield bonds that may involve extra risks. It also invests in foreign securities which have special risks, including political, economic, regulatory and currency risks. Management Discussion - -------------------------------------------------------------------------------- Higher-risk, higher-yielding bonds started Loomis Sayles High Income Fund's fiscal year on a strong note, amid steady economic growth. By early February, investor demand for higher income and their comfort level with risk had driven up prices on high-yielding corporate bonds, narrowing the "spread" - the yield advantage these bonds have over U.S. Treasuries - to their tightest levels in years. However, a sharp drop in China's stock market in February drew nervous equity investors to the safer haven of high-quality U.S. Treasury securities. Spreads widened out again, ending March at about the same levels that prevailed at the beginning of January, 2007. Meanwhile, concern over the weak U.S. housing market and softening business spending added to investors' caution, which increased selling pressure on long-term bonds. The yield curve, a graphic representation of the difference in yield between short- and long-term bonds, widened. For the six months ended March 31, 2007, the fund's total return was 7.55%, based on the net asset value of Class A shares and $0.20 in reinvested dividends. The fund's return surpassed both its benchmark, the Lehman High Yield Composite Index, which returned 6.95% for the period, and the 6.77% average return on Morningstar's High Yield Bond category. As of March 31, 2007, the fund's SEC yield was 5.45%. STRATEGY REFLECTED INVESTORS' RISK TOLERANCE For the period as a whole, higher-yielding securities outperformed the market. As corporate earnings improved, investors became less worried about potential defaults. The supply of new bonds coming to market also dried up. Among the fund's domestic high-yield bonds, careful research led to strong contributions from select industrial and utility holdings. Lower-quality bonds within the CCC and BBB rating categories also aided fund returns, but prices of longer-maturity CCC issues, which are below investment grade, suffered when interest rates on higher-quality bonds rose late in the period. The fund's relatively small position in high-quality, A-rated bonds also trimmed the fund's lead late in the period. The portfolio's duration, or price sensitivity to interest rate changes, was longer than that of the benchmark, and changed relatively little during the six-month period. Although this relatively aggressive stance hurt results when interest rates rose, we are comfortable with the fund's positioning and are researching additional opportunities in longer-maturity bonds. NON-U.S.-DOLLAR COMMITMENTS PLAYED A KEY ROLE Successful security selection brought favorable returns on bonds denominated in several foreign currencies. Emerging market economies continued to thrive on strong global demand for commodities and reductions in their overall indebtedness. Holdings in the Brazilian real, Thai baht, Mexican peso and Malaysian ringgit benefited returns. However, bonds denominated in weaker currencies, including those of Indonesia, South Korea and Russia, held back results for the fiscal period. Holdings in the Japanese yen also weakened when interest rates in Japan rose, obliging investors to repay money they had borrowed earlier when rates were low. Disappointing sectors included telecommunications companies and some government-linked issues. OUTLOOK IS FOR MODERATE GROWTH We believe the recent slowing in the U.S. economy constitutes a pause, which should be followed by continued growth in the economy and corporate profits, although at a slower pace than before. This scenario might ease inflationary pressures, a development that would reduce pressure on the Fed to resume raising rates. Worsening conditions in the housing market could disturb other areas of the economy and could even prompt the Fed to cut short-term interest rates, although we think this is unlikely. Caution among lending institutions following recent mortgage defaults might also squeeze credit availability and cast doubt on the economic re-acceleration that we anticipate. With valuations of some high-yield securities still very high, in our opinion, return expectations seem modest. However, we believe our research-intensive approach, global reach and flexibility to make tactical adjustments may add to returns in the months ahead. 3 LOOMIS SAYLES HIGH INCOME FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/4/ March 31, 1997 through March 32, 2007 [CHART] Net Asset Maximum Sales Lehman High Yield Value/1/ Charge/2/ Composite Index --------- ------------- ------------------ 3/31/1997 $10,000 $ 9,550 $10,000 4/30/1997 10,056 9,603 10,098 5/31/1997 10,390 9,922 10,322 6/30/1997 10,457 9,987 10,465 7/31/1997 10,743 10,259 10,752 8/31/1997 10,812 10,325 10,728 9/30/1997 11,134 10,633 10,940 10/31/1997 11,037 10,540 10,950 11/30/1997 11,185 10,682 11,055 12/31/1997 11,289 10,781 11,152 1/31/1998 11,458 10,943 11,352 2/28/1998 11,442 10,927 11,419 3/31/1998 11,560 11,040 11,526 4/30/1998 11,622 11,099 11,572 5/31/1998 11,604 11,082 11,612 6/30/1998 11,643 11,119 11,654 7/31/1998 11,626 11,103 11,720 8/31/1998 10,819 10,332 11,073 9/30/1998 10,716 10,234 11,123 10/31/1998 10,491 10,019 10,895 11/30/1998 11,244 10,738 11,347 12/31/1998 11,095 10,596 11,360 1/31/1999 11,345 10,834 11,529 2/28/1999 11,416 10,902 11,461 3/31/1999 11,601 11,079 11,570 4/30/1999 11,850 11,317 11,794 5/31/1999 11,560 11,040 11,635 6/30/1999 11,528 11,009 11,610 7/31/1999 11,482 10,965 11,656 8/31/1999 11,302 10,794 11,528 9/30/1999 11,229 10,724 11,445 10/31/1999 11,330 10,820 11,369 11/30/1999 11,405 10,892 11,501 12/31/1999 11,538 11,019 11,632 1/31/2000 11,410 10,897 11,581 2/29/2000 11,462 10,946 11,604 3/31/2000 11,115 10,615 11,360 4/30/2000 11,109 10,609 11,378 5/31/2000 10,799 10,313 11,261 6/30/2000 11,126 10,625 11,491 7/31/2000 11,192 10,688 11,578 8/31/2000 11,147 10,645 11,658 9/30/2000 10,916 10,425 11,556 10/31/2000 10,371 9,905 11,186 11/30/2000 9,510 9,082 10,743 12/31/2000 9,680 9,244 10,950 1/31/2001 10,804 10,317 11,770 2/28/2001 10,750 10,266 11,927 3/31/2001 10,200 9,741 11,646 4/30/2001 9,887 9,442 11,501 5/31/2001 9,914 9,468 11,708 6/30/2001 9,345 8,924 11,380 7/31/2001 9,529 9,100 11,547 8/31/2001 9,455 9,030 11,684 9/30/2001 8,595 8,208 10,898 10/31/2001 8,500 8,118 11,168 11/30/2001 8,776 8,381 11,575 12/31/2001 8,649 8,259 11,528 1/31/2002 8,702 8,311 11,608 2/28/2002 8,438 8,058 11,446 3/31/2002 8,665 8,275 11,722 4/30/2002 8,594 8,207 11,909 5/31/2002 8,468 8,087 11,843 6/30/2002 7,863 7,509 10,970 7/31/2002 7,333 7,003 10,491 8/31/2002 7,590 7,249 10,790 9/30/2002 7,309 6,980 10,648 10/31/2002 7,305 6,976 10,555 11/30/2002 7,791 7,440 11,209 12/31/2002 7,883 7,529 11,366 1/31/2003 8,050 7,688 11,744 2/28/2003 8,163 7,796 11,889 3/31/2003 8,374 7,997 12,231 4/30/2003 8,858 8,459 12,957 5/31/2003 9,013 8,607 13,091 6/30/2003 9,208 8,793 13,467 7/31/2003 9,024 8,618 13,319 8/31/2003 9,120 8,710 13,472 9/30/2003 9,419 8,995 13,841 10/31/2003 9,620 9,187 14,120 11/30/2003 9,821 9,379 14,334 12/31/2003 10,083 9,629 14,659 1/31/2004 10,239 9,778 14,938 2/29/2004 10,194 9,735 14,901 3/31/2004 10,252 9,791 15,002 4/30/2004 10,018 9,567 14,900 5/31/2004 9,758 9,319 14,648 6/30/2004 9,969 9,520 14,858 7/31/2004 10,050 9,597 15,060 8/31/2004 10,324 9,859 15,355 9/30/2004 10,467 9,996 15,578 10/31/2004 10,699 10,217 15,860 11/30/2004 10,868 10,379 16,051 12/31/2004 11,126 10,626 16,290 1/31/2005 11,163 10,661 16,269 2/28/2005 11,422 10,908 16,508 3/31/2005 11,018 10,522 16,028 4/30/2005 10,793 10,307 15,872 5/31/2005 11,074 10,575 16,154 6/30/2005 11,337 10,827 16,471 7/31/2005 11,515 10,997 16,759 8/31/2005 11,576 11,055 16,791 9/30/2005 11,550 11,030 16,623 10/31/2005 11,406 10,893 16,507 11/30/2005 11,518 11,000 16,593 12/31/2005 11,686 11,160 16,736 1/31/2006 12,035 11,493 17,003 2/28/2006 12,219 11,669 17,116 3/31/2006 12,265 11,713 17,219 4/30/2006 12,336 11,781 17,325 5/31/2006 12,113 11,568 17,323 6/30/2006 12,135 11,589 17,262 7/31/2006 12,251 11,700 17,431 8/31/2006 12,514 11,950 17,714 9/30/2006 12,635 12,066 17,965 10/31/2006 12,903 12,322 18,209 11/30/2006 13,143 12,551 18,515 12/31/2006 13,307 12,708 18,718 1/31/2007 13,425 12,821 18,927 2/28/2007 13,595 12,983 19,192 3/31/2007 13,589 12,978 19,212 Average Annual Total Returns -- March 31, 2007/4/
SINCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS INCEPTION CLASS A (Inception 2/22/84) Net Asset Value/1/ 7.55% 10.78% 9.42% 3.12% -- With Maximum Sales Charge/2/ 2.71 5.81 8.40 2.65 -- CLASS B (Inception 9/20/93) Net Asset Value/1/ 7.07 10.09 8.59 2.36 -- With CDSC/3/ 2.07 5.09 8.30 2.36 -- CLASS C (Inception 3/2/98) Net Asset Value/1/ 7.28 10.10 8.63 -- 1.14 With CDSC/3/ 6.28 9.10 8.63 -- 1.14 - ----------------------------------------------------------------------------------- SINCE CLASS C COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS INCEPTION/5/ Lehman High Yield Composite Index 6.95% 11.58% 10.39% 6.75% 5.84% Morningstar High Yield Bond Fund Avg. 6.77 10.15 9.27 5.56 4.25
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. Performance history includes periods from a predecessor fund. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of CREDIT QUALITY 3/31/2007 9/30/2006 - ------------------------------------------ Aaa 4.3 8.0 - ------------------------------------------ Aa 3.4 2.5 - ------------------------------------------ A 0.8 0.5 - ------------------------------------------ Baa 6.8 6.8 - ------------------------------------------ Ba 14.7 17.4 - ------------------------------------------ B 31.3 39.4 - ------------------------------------------ Caa 12.8 6.8 - ------------------------------------------ Not Rated* 13.3 13.7 - ------------------------------------------ Short-term and other 12.6 4.9 - ------------------------------------------
Credit quality is based on ratings from Moody's Investors Service. * Securities that are not rated by Moody's may be rated by another rating agency or by Loomis Sayles.
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 13.2 4.0 - -------------------------------------------------- 1-5 years 22.1 25.9 - -------------------------------------------------- 5-10 years 18.8 23.1 - -------------------------------------------------- 10+ years 45.9 47.0 - -------------------------------------------------- Average Effective Maturity 11.1 years 12.0 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class Gross Expense Ratio/6/ Net Expense Ratio/7/ - ------------------------------------------------------- A 1.48 1.15 - ------------------------------------------------------- B 2.25 1.90 - ------------------------------------------------------- C 2.23 1.90 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 4.50%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. /4/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /5/The since-inception comparative performance figures shown for Class C shares are calculated from 4/1/98. /6/Before waivers and reimbursements. /7/After waivers and reimbursements. 4 LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND PORTFOLIO PROFILE Objective: Seeks a high current return consistent with preservation of capital - -------------------------------------------------------------------------------- Strategy: Invests primarily in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities - -------------------------------------------------------------------------------- Fund Inception: January 3, 1989 - -------------------------------------------------------------------------------- Managers: John Hyll Clifton V. Rowe, CFA Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFLX Class B NELBX Class C NECLX Class Y NELYX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. Securities issued by the U.S. government are guaranteed by the U.S. government if held to maturity; mutual funds that invest in these securities are not guaranteed. Securities issued by U.S. government agencies may not be government guaranteed. Management Discussion - -------------------------------------------------------------------------------- After raising the federal funds rate (the interest rate banks charge one another for overnight loans) repeatedly last year, the Federal Reserve Board has left rates unchanged since its meetings last fall, resulting in a period of relative calm for bond prices. Loomis Sayles Limited Term Government and Agency Fund's total return for the six months ended March 31, 2007 was 2.36% based on the net asset value of Class A shares and $0.24 in reinvested dividends. The fund's benchmark, the Lehman 1-5 Year Government Bond Index returned 2.45%, while the average return on Morningstar's Short Government category was 2.25%. The fund's 30-day SEC yield was 3.90% as of March 31, 2007. HIGHER-YIELDING SECURITIES PROVIDE A PERFORMANCE EDGE Its emphasis on mortgage-backed and asset-backed securities helped keep the fund in the upper half of its Morningstar category, which is composed of comparable funds tracked by this mutual fund research company. The fund's results also put it within a few percentage points of its Lehman benchmark, an unmanaged list of government bonds maturing in 1-5 years. As they were last year, U.S. Treasury securities were among the weaker performers during the fiscal period ended March 31, 2007, largely because these top-quality securities have lower yields than mortgage-backed securities, reflecting their lower risk levels. Although there were periods during the past 18 months when investors chose safety and liquidity over yield, higher income has continued to provide a performance edge. Mortgage-backed securities (MBS) provided a significant yield advantage compared to other alternatives in the intermediate government bond sector. The relatively calm interest-rate environment reduced investors' desire to refinance mortgages, which sometimes makes this market volatile. The fund also benefited from its emphasis on asset-backed securities (ABS), which are backed by loans or accounts receivable originated by banks or credit card companies. As was true during the previous fiscal period, the fund's holdings in U.S. Treasury securities were among its weakest holdings. Although they generated positive returns, investor demand for Treasury securities was weak relative to other, higher-yielding issues, which made them unable to keep pace. CURRENT STRATEGY REFLECTS OUTLOOK FOR RELATIVE CALM AHEAD We modestly reduced the fund's holdings in what are called "agency MBS" - mortgage-backed securities issued by government-sponsored entities - although this remains the fund's most heavily weighted sector. At the same time, we added to the fund's holdings in AAA-rated non-government-sponsored agency MBS and ABS securities. Even though the non-agency securities represented in the fund's portfolio are AAA-rated, they are slightly lower in quality, and slightly higher in yield, than comparable instruments backed by the U.S. government. We also gradually increased the portfolio's duration, beginning in the fourth quarter of the previous fiscal year. A somewhat longer overall maturity allowed the fund to benefit from declining interest rates. However, since then the fund's duration has been similar to that of its benchmark, which is considered a neutral strategy - neither bullish nor bearish. Currently, we are not anticipating any major changes in interest rates, and we do not regard any specific sector of the market as undervalued. Consequently, our focus is on finding opportunities to add income to the portfolio. In the relatively stable interest-rate environment we see ahead, we expect the fund's MBS holdings, with their income advantage over Treasury securities, to be the greatest contributors to the fund's total return. 5 LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/4/ March 31, 1997 through March 31, 2007 [CHART] Lehman 1-5 Year Net Asset Maximum Sales Government Bond Value/1/ Charge/2/ Index --------- ------------- ---------------- 3/31/1997 $10,000 $ 9,700 $10,000 4/30/1997 10,088 9,785 10,096 5/31/1997 10,150 9,845 10,169 6/30/1997 10,247 9,940 10,248 7/31/1997 10,416 10,104 10,395 8/31/1997 10,398 10,086 10,383 9/30/1997 10,506 10,191 10,477 10/31/1997 10,624 10,305 10,576 11/30/1997 10,642 10,323 10,596 12/31/1997 10,723 10,401 10,675 1/31/1998 10,879 10,552 10,797 2/28/1998 10,854 10,528 10,796 3/31/1998 10,835 10,510 10,832 4/30/1998 10,877 10,551 10,884 5/31/1998 10,948 10,620 10,950 6/30/1998 11,028 10,697 11,012 7/31/1998 11,042 10,711 11,059 8/31/1998 11,219 10,882 11,229 9/30/1998 11,540 11,194 11,433 10/31/1998 11,428 11,085 11,478 11/30/1998 11,393 11,051 11,452 12/31/1998 11,416 11,074 11,492 1/31/1999 11,478 11,134 11,541 2/28/1999 11,346 11,006 11,444 3/31/1999 11,399 11,057 11,524 4/30/1999 11,432 11,089 11,557 5/31/1999 11,347 11,006 11,519 6/30/1999 11,273 10,935 11,551 7/31/1999 11,219 10,882 11,570 8/31/1999 11,214 10,878 11,598 9/30/1999 11,342 11,002 11,686 10/31/1999 11,364 11,023 11,712 11/30/1999 11,375 11,034 11,728 12/31/1999 11,339 10,999 11,717 1/31/2000 11,290 10,951 11,694 2/29/2000 11,390 11,049 11,782 3/31/2000 11,532 11,186 11,876 4/30/2000 11,495 11,150 11,891 5/31/2000 11,501 11,156 11,930 6/30/2000 11,665 11,315 12,087 7/31/2000 11,723 11,372 12,165 8/31/2000 11,846 11,491 12,276 9/30/2000 11,938 11,580 12,382 10/31/2000 11,981 11,621 12,456 11/30/2000 12,144 11,779 12,599 12/31/2000 12,286 11,917 12,783 1/31/2001 12,442 12,068 12,957 2/28/2001 12,535 12,159 13,055 3/31/2001 12,614 12,236 13,158 4/30/2001 12,589 12,211 13,167 5/31/2001 12,652 12,272 13,232 6/30/2001 12,661 12,281 13,277 7/31/2001 12,896 12,509 13,471 8/31/2001 12,981 12,592 13,572 9/30/2001 13,185 12,789 13,836 10/31/2001 13,383 12,981 14,002 11/30/2001 13,209 12,812 13,910 12/31/2001 13,128 12,734 13,887 1/31/2002 13,198 12,802 13,932 2/28/2002 13,328 12,929 14,022 3/31/2002 13,136 12,742 13,876 4/30/2002 13,377 12,976 14,085 5/31/2002 13,468 13,064 14,163 6/30/2002 13,602 13,194 14,312 7/31/2002 13,797 13,383 14,534 8/31/2002 13,932 13,514 14,637 9/30/2002 14,058 13,636 14,814 10/31/2002 14,089 13,666 14,838 11/30/2002 14,024 13,603 14,757 12/31/2002 14,199 13,773 14,956 1/31/2003 14,192 13,766 14,942 2/28/2003 14,315 13,886 15,050 3/31/2003 14,305 13,876 15,073 4/30/2003 14,330 13,900 15,107 5/31/2003 14,417 13,985 15,241 6/30/2003 14,391 13,959 15,247 7/31/2003 14,092 13,669 15,045 8/31/2003 14,138 13,714 15,052 9/30/2003 14,373 13,942 15,280 10/31/2003 14,272 13,844 15,179 11/30/2003 14,311 13,882 15,172 12/31/2003 14,411 13,979 15,279 1/31/2004 14,473 14,039 15,333 2/29/2004 14,585 14,147 15,447 3/31/2004 14,640 14,201 15,526 4/30/2004 14,376 13,945 15,279 5/31/2004 14,329 13,899 15,246 6/30/2004 14,383 13,952 15,263 7/31/2004 14,464 14,030 15,344 8/31/2004 14,646 14,207 15,510 9/30/2004 14,642 14,203 15,503 10/31/2004 14,718 14,276 15,575 11/30/2004 14,652 14,212 15,463 12/31/2004 14,700 14,259 15,515 1/31/2005 14,721 14,279 15,510 2/28/2005 14,663 14,223 15,448 3/31/2005 14,619 14,181 15,427 4/30/2005 14,748 14,305 15,555 5/31/2005 14,823 14,378 15,642 6/30/2005 14,845 14,400 15,678 7/31/2005 14,779 14,335 15,591 8/31/2005 14,882 14,436 15,724 9/30/2005 14,797 14,353 15,647 10/31/2005 14,732 14,290 15,616 11/30/2005 14,776 14,333 15,674 12/31/2005 14,874 14,428 15,745 1/31/2006 14,880 14,433 15,763 2/28/2006 14,929 14,481 15,769 3/31/2006 14,857 14,411 15,766 4/30/2006 14,865 14,419 15,808 5/31/2006 14,860 14,414 15,821 6/30/2006 14,882 14,436 15,847 7/31/2006 15,030 14,579 15,988 8/31/2006 15,165 14,710 16,128 9/30/2006 15,271 14,813 16,225 10/31/2006 15,338 14,878 16,295 11/30/2006 15,447 14,984 16,397 12/31/2006 15,440 14,976 16,377 1/31/2007 15,452 14,988 16,400 2/28/2007 15,591 15,123 16,560 3/31/2007 15,633 15,164 16,621 Average Annual Total Returns -- March 31, 2007/4/
6 MONTHS 1 YEAR 5 YEARS 10 YEARS CLASS A (Inception 1/3/89) Net Asset Value/1/ 2.36% 5.22% 3.54% 4.57% With Maximum Sales Charge/2/ -0.70 2.04 2.91/6/ 4.25/6/ CLASS B (Inception 9/27/93) Net Asset Value/1/ 2.02 4.47 2.79 3.87 With CDSC/3/ -2.98 -0.53 2.44 3.87 CLASS C (Inception 12/30/94) Net Asset Value/1/ 2.02 4.47 2.83 3.87 With CDSC/3/ 1.02 3.47 2.83 3.87 CLASS Y (Inception 3/31/94) Net Asset Value/1/ 2.64 5.54 3.83 4.94 - -------------------------------------------------------------------- COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS Lehman 1-5 Yr Gov't Bond Index 2.45% 5.43% 3.68% 5.21% Morningstar Short Gov't Fund Avg. 2.25 4.88 3.15 4.58 ----- ----- ---- ----
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. Performance history includes periods from a predecessor fund. Class Y shares are available to certain investors, as described in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of FUND COMPOSITION 3/31/2007 9/30/2006 - -------------------------------------------------------- Mortgage Related 57.2 65.4 - -------------------------------------------------------- Treasuries 23.1 19.4 - -------------------------------------------------------- Asset Backed Securities 4.2 4.5 - -------------------------------------------------------- Agency 3.3 3.1 - -------------------------------------------------------- Hybrid ARMS 3.0 2.0 - -------------------------------------------------------- Mortgage Backed Securities 1.1 1.1 - -------------------------------------------------------- Collateralized Mortgage Obligation 0.2 -- - -------------------------------------------------------- Government Sponsored -- 2.7 - -------------------------------------------------------- Short Term Investments & Other 7.9 1.8 - --------------------------------------------------------
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 20.3 21.3 - -------------------------------------------------- 1-5 years 66.4 59.6 - -------------------------------------------------- 5-10 years 13.3 19.1 - -------------------------------------------------- 10+ years n/a n/a - -------------------------------------------------- Average Effective Maturity 3.1 years 3.5 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT /PROSPECTUS/
Share Class Gross Expense Ratio/5/ Net Expense Ratio/6/ - ------------------------------------------------------- A 1.09 1.00 - ------------------------------------------------------- B 1.84 1.75 - ------------------------------------------------------- C 1.84 1.75 - ------------------------------------------------------- Y 0.74 0.74 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 3.00%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. /4/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /5/Before waivers and reimbursements. /6/After waivers and reimbursements. 6 LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND PORTFOLIO PROFILE Objective: Seeks to maintain a high level of current income exempt from federal and Massachusetts personal income taxes - -------------------------------------------------------------------------------- Strategy: Invests primarily in Massachusetts municipal bonds, including general obligation bonds and issues secured by specific revenue streams - -------------------------------------------------------------------------------- Inception Date: March 23, 1984 - -------------------------------------------------------------------------------- Manager: Robert Payne Martha A. Strom Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFMX Class B NEMBX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. This fund concentrates in a single geographic region, which can affect your fund's performance. Some income may be subject to federal and state taxes. Realized capital gains are fully taxable. Some investors may be subject to the Alternative Minimum Tax (AMT). Lower-rated bonds entail higher risks. Management Discussion - -------------------------------------------------------------------------------- Municipal bond prices declined somewhat during the closing quarter of 2006. This, combined with an above-average supply of new issues over the past four months, caused the municipal market to under-perform investor expectations for the six months ended March 31, 2007. Long-term municipal bonds were hardest hit, and since this is a long-term fund, its performance was disappointing, especially in light of the positive results it achieved previously. For the six months ended March 31, 2007, the total return on Loomis Sayles Massachusetts Tax Free Income Fund was 1.58% based on the net asset value of Class A shares and $0.32 per share in reinvested dividends. The fund's results were slightly above the 1.42% average return on Morningstar's Muni Massachusetts category, but slightly behind the 1.93% return on the fund's nationally diversified benchmark, the Lehman Municipal Bond Index. The fund's 30-day SEC yield at the end of March was 3.59%, equivalent to a taxable yield of 5.82%, adjusted for the combined maximum federal and Massachusetts income tax rates of 38.45%. HIGHER-YIELDS CONTINUE TO HOLD INVESTORS' ATTENTION Revenue bonds issued for higher education and healthcare institutions contributed the most to performance. The higher yields available from these two sectors gave the fund a slight performance edge over its competitors. However, revenue bonds issued for leasing and transportation companies were the weakest contributors to performance during the period, largely because the fund was underweight in these sectors versus the benchmark. Relative to other states, Massachusetts bonds performed well, primarily because demand for the bonds has been steady, while the state has issued fewer of them. To partially offset the dearth of supply in Massachusetts and broaden the fund's diversification, we invested a small portion of assets in other states. We have held a small position in New Jersey bonds for the past two years. Unfortunately, these provided lackluster performance during the period, since the New Jersey bonds in the portfolio were mostly intermediate-term - an area of the market that has been less in demand lately. However, the fund continues to benefit from its investments in municipal bonds issued in Puerto Rico. This position not only provided additional portfolio diversification, the interest these bonds pays is not taxable to U.S. investors at either the federal or state level. Because of their above-average coupon income, higher-yielding, lower-quality bonds were in demand during the period. However, municipal bonds with longer maturities - which had been strong - experienced less demand due to the above-average supply of new issues. PORTFOLIO STRATEGY REMAINED STEADY Our strategy remained essentially unchanged during the period. The fund's duration (its price sensitivity to changing interest rates) remained stable at just under seven years, while maturity edged out only slightly. Our strategy is neither defensive nor aggressive, reflecting our market outlook, which is for interest rates to continue to fluctuate within a fairly narrow range for the next few months. Overall, we look for municipal credit quality trends to remain stable or improve slightly as the economy continues to grow at a slow, sustainable rate with low inflation prospects. Long-term, we expect municipal bonds to hold their own or slightly under-perform the taxable markets, as investors continue to seek the relative safety and tax-exempt features of this market. Nervousness over economic headlines may lead to bouts of volatility for interest rates generally, but we do not anticipate any sustained move as long as economic and financial conditions remain favorable. 7 LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/4/ March 31, 1997 through March 31, 2007 [CHART] Net Asset Maximum Sales Lehman Municipal Value/1/ Charge/2/ Bond Index --------- ------------- ---------------- 3/31/1997 $10,000 $ 9,575 $10,000 4/30/1997 10,081 9,653 10,084 5/31/1997 10,224 9,790 10,236 6/30/1997 10,330 9,891 10,345 7/31/1997 10,625 10,173 10,631 8/31/1997 10,526 10,079 10,531 9/30/1997 10,666 10,213 10,656 10/31/1997 10,718 10,263 10,725 11/30/1997 10,783 10,324 10,788 12/31/1997 10,931 10,467 10,945 1/31/1998 11,020 10,552 11,058 2/28/1998 11,005 10,537 11,062 3/31/1998 10,974 10,507 11,072 4/30/1998 10,935 10,471 11,022 5/31/1998 11,104 10,632 11,196 6/30/1998 11,143 10,669 11,240 7/31/1998 11,149 10,675 11,268 8/31/1998 11,327 10,845 11,442 9/30/1998 11,452 10,966 11,585 10/31/1998 11,405 10,921 11,585 11/30/1998 11,425 10,939 11,625 12/31/1998 11,468 10,981 11,655 1/31/1999 11,600 11,107 11,793 2/28/1999 11,547 11,056 11,742 3/31/1999 11,533 11,043 11,758 4/30/1999 11,567 11,076 11,787 5/31/1999 11,492 11,004 11,719 6/30/1999 11,305 10,824 11,550 7/31/1999 11,344 10,862 11,592 8/31/1999 11,183 10,708 11,500 9/30/1999 11,150 10,676 11,504 10/31/1999 10,994 10,527 11,380 11/30/1999 11,090 10,619 11,501 12/31/1999 10,994 10,527 11,415 1/31/2000 10,904 10,440 11,365 2/29/2000 11,039 10,570 11,497 3/31/2000 11,245 10,768 11,749 4/30/2000 11,195 10,719 11,679 5/31/2000 11,151 10,677 11,618 6/30/2000 11,375 10,892 11,926 7/31/2000 11,520 11,030 12,092 8/31/2000 11,664 11,168 12,279 9/30/2000 11,617 11,123 12,215 10/31/2000 11,711 11,214 12,348 11/30/2000 11,760 11,261 12,441 12/31/2000 12,011 11,500 12,749 1/31/2001 12,053 11,541 12,875 2/28/2001 12,095 11,581 12,916 3/31/2001 12,092 11,578 13,032 4/30/2001 11,967 11,458 12,890 5/31/2001 12,083 11,570 13,029 6/30/2001 12,169 11,652 13,116 7/31/2001 12,354 11,829 13,311 8/31/2001 12,586 12,051 13,530 9/30/2001 12,516 11,984 13,485 10/31/2001 12,632 12,095 13,645 11/30/2001 12,539 12,006 13,530 12/31/2001 12,397 11,870 13,402 1/31/2002 12,466 11,936 13,635 2/28/2002 12,607 12,071 13,799 3/31/2002 12,375 11,849 13,529 4/30/2002 12,602 12,066 13,793 5/31/2002 12,700 12,160 13,877 6/30/2002 12,847 12,301 14,024 7/31/2002 13,010 12,457 14,204 8/31/2002 13,169 12,609 14,375 9/30/2002 13,465 12,893 14,689 10/31/2002 13,220 12,658 14,446 11/30/2002 13,137 12,579 14,386 12/31/2002 13,400 12,830 14,689 1/31/2003 13,372 12,803 14,652 2/28/2003 13,582 13,004 14,857 3/31/2003 13,594 13,016 14,866 4/30/2003 13,681 13,099 14,964 5/31/2003 14,031 13,435 15,315 6/30/2003 13,968 13,374 15,250 7/31/2003 13,362 12,794 14,716 8/31/2003 13,449 12,877 14,826 9/30/2003 13,813 13,226 15,262 10/31/2003 13,791 13,205 15,185 11/30/2003 13,944 13,351 15,343 12/31/2003 14,074 13,476 15,470 1/31/2004 14,169 13,567 15,559 2/29/2004 14,378 13,767 15,793 3/31/2004 14,345 13,735 15,738 4/30/2004 13,959 13,365 15,365 5/31/2004 13,897 13,307 15,309 6/30/2004 13,914 13,323 15,365 7/31/2004 14,113 13,513 15,567 8/31/2004 14,390 13,778 15,879 9/30/2004 14,486 13,870 15,964 10/31/2004 14,616 13,995 16,101 11/30/2004 14,467 13,852 15,968 12/31/2004 14,660 14,037 16,163 1/31/2005 14,836 14,205 16,314 2/28/2005 14,775 14,147 16,260 3/31/2005 14,676 14,052 16,157 4/30/2005 14,941 14,306 16,412 5/31/2005 15,065 14,425 16,528 6/30/2005 15,129 14,486 16,631 7/31/2005 15,030 14,392 16,555 8/31/2005 15,193 14,547 16,723 9/30/2005 15,050 14,410 16,610 10/31/2005 14,933 14,298 16,509 11/30/2005 15,015 14,377 16,588 12/31/2005 15,151 14,507 16,731 1/31/2006 15,169 14,525 16,776 2/28/2006 15,294 14,644 16,889 3/31/2006 15,178 14,533 16,772 4/30/2006 15,191 14,546 16,767 5/31/2006 15,251 14,602 16,841 6/30/2006 15,180 14,535 16,778 7/31/2006 15,352 14,699 16,977 8/31/2006 15,590 14,927 17,229 9/30/2006 15,688 15,021 17,349 10/31/2006 15,795 15,123 17,458 11/30/2006 15,931 15,254 17,604 12/31/2006 15,849 15,176 17,541 1/31/2007 15,786 15,115 17,496 2/28/2007 16,001 15,321 17,727 3/31/2007 15,937 15,259 17,683 Average Annual Returns -- March 31, 2007/4/
6 MONTHS 1 YEAR 5 YEARS 10 YEARS CLASS A (Inception 3/23/84) Net Asset Value/1/ 1.58% 4.99% 5.20% 4.78% With Maximum Sales Charge/2/ -2.74 0.53 4.29 4.33 CLASS B (Inception 9/13/93) Net Asset Value/1/ 1.14 4.21 4.45 4.07 With CDSC/3/ -3.84 -0.79 4.11 4.07 - ------------------------------------------------------------------------- COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS Lehman Municipal Bond Index 1.93% 5.43% 5.50% 5.87% Morningstar Muni Massachusetts Fund Avg. 1.42 4.51 4.67 4.88
Yields as of March 31, 2007
CLASS A CLASS B SEC 30-Day Yield/5/ 3.59% 3.00% Taxable Equivalent Yield/6/ 5.82 4.87
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of CREDIT QUALITY 3/31/2007 9/30/2006 - ------------------------------------------ Aaa 34.2 36.8 - ------------------------------------------ Aa 20.4 20.5 - ------------------------------------------ A 18.8 20.3 - ------------------------------------------ Baa 12.1 9.5 - ------------------------------------------ Ba 4.5 4.3 - ------------------------------------------ Not Rated* 8.0 6.0 - ------------------------------------------ Short-term and other 2.0 2.6 - ------------------------------------------
Credit quality is based on ratings from Moody's Investors Service. * Securities that are not rated by Moody's may be rated by another rating agency or by Loomis Sayles.
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 1.2 1.9 - -------------------------------------------------- 1-5 years 34.6 30.7 - -------------------------------------------------- 5-10 years 39.9 49.3 - -------------------------------------------------- 10+ years 24.3 18.1 - -------------------------------------------------- Average Effective Maturity 7.5 years 6.9 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class Gross Expense Ratio/7/ Net Expense Ratio/8/ - ------------------------------------------------------- A 1.14 0.95 - ------------------------------------------------------- B 1.89 1.70 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 4.25%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. /4/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /5/SEC Yield is based on the fund's net investment income over a 30-day period and is calculated in accordance with SEC guidelines. /6/Taxable equivalent yield is based on the maximum combined federal and MA income tax bracket of 38.45%. A portion of income may be subject to federal, state and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax. /7/Before waivers and reimbursements. /8/After waivers and reimbursements. 8 LOOMIS SAYLES MUNICIPAL INCOME FUND PORTFOLIO PROFILE Objective: Seeks as high a level of current income exempt from federal income taxes as is consistent with reasonable risk and protection of shareholders' capital - -------------------------------------------------------------------------------- Strategy: Invests primarily in municipal securities that pay interest exempt from federal income tax other than the alternative minimum tax - -------------------------------------------------------------------------------- Fund Inception: May 9, 1977 - -------------------------------------------------------------------------------- Managers: Robert Payne Martha A. Strom Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFTX Class B NETBX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. Some income may be subject to federal and state taxes. Realized capital gains are fully taxable. Some investors may be subject to the Alternative Minimum Tax (AMT). Lower-rated bonds entail higher risks. Management Discussion - -------------------------------------------------------------------------------- Last fall the Federal Reserve Board paused in its efforts to rein in the economy by raising short-term interest rates, but the municipal bond markets remained volatile. Municipals outperformed Treasuries in the closing three months of 2006, and a record pace of new issuance in the opening months of 2007 was generally well absorbed by investors. However, municipal securities generally, and the long-term municipals that are the focus of this fund in particular, under-performed expectations for the fiscal period. For the six months ended March 31, 2007, the total return on Loomis Sayles Municipal Income Fund was 1.63%, based on the net asset value of Class A shares, $0.14 in reinvested dividends, and $0.03 in reinvested capital gains. The fund's results were slightly below the 1.93% return on the fund's benchmark, the Lehman Municipal Bond Index, and equal to the 1.63% average return on Morningstar's Muni National Long category. The fund's 30-day SEC yield at the end of March was 3.56%, equivalent to a taxable yield of 5.47% based on the maximum Federal income tax rate of 35.00%. MARKET STILL FAVORS HIGHER-YIELDING BONDS Investors seeking high income helped drive up prices of municipal bonds issued for healthcare facilities and utilities outperform other types of municipal bonds. Healthcare and utility bonds tend to offer higher yields than bonds with higher credit ratings. In general, the fund's best performers were those in the BBB range - the lowest rung in the investment-grade ladder. They remain in high demand and we continue to hold them. Transportation and water and sewer bonds also performed well, but the fund was underweight in these sectors relative to the benchmark. Although demand for higher-quality, lower-yielding bonds has been relatively weak, we also continue to hold a portion of assets in these securities because we believe prices of many high-yield bonds may currently be overvalued. From a geographical perspective, New York and Michigan were the best contributors. New York state municipal bonds were in demand because of their higher yields, and many of our high-yielding Michigan holdings were issued on behalf of healthcare companies. Total returns on municipal bonds issued in Pennsylvania and Texas underperformed expectations because supply exceeded demand. FUND'S INVESTMENT STRATEGY IS SLIGHTLY LESS DEFENSIVE Longer-term bonds have under-performed shorter bonds recently, as investors focused on relative safety and lower price volatility. This may make some long-term municipal bonds more attractive from a valuation standpoint. We have extended duration modestly. Duration is a measure of a bond's price sensitivity to changing interest rates; a long duration is bullish, a short one is defensive. Going forward, we will look for opportunities to buy on weakness and gradually lengthen the portfolio to enhance current income. OUTLOOK IS FOR RELATIVELY MINOR CHANGES IN BOND RETURNS Currently we expect bond yields to fluctuate close to their current range, and we are not looking for major changes in the yield curve. We will continue to add to the fund's higher-yielding securities as opportunities present themselves. Long-term, we believe the municipal yield curve should remain stable, with relatively minor differences between long- and short-term rates, although the curve in the municipal market is significantly steeper than in the Treasury market. Overall, we look for municipal credit quality trends to remain stable or improve slightly as the economy continues to grow at a slow, sustainable rate with low inflation prospects. Long-term, we expect municipal bonds to hold their own or slightly under-perform the taxable markets as investors continue to be drawn to the relative safety and tax-exempt features of this market. Nervousness over economic headlines may lead to bouts of volatility for interest rates generally, but we do not anticipate any sustained move as long as economic and financial conditions remain favorable. 9 LOOMIS SAYLES MUNICIPAL INCOME FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/6/ March 31, 1997 through March 31, 2007 [CHART] Net Asset Maximum Sales Lehman Municipal Value/1/ Charge/2/ Bond Index --------- ---------- ---------------- 3/31/1997 $10,000 $ 9,550 $10,000 4/30/1997 10,073 9,620 10,084 5/31/1997 10,187 9,728 10,236 6/30/1997 10,328 9,864 10,345 7/31/1997 10,607 10,130 10,631 8/31/1997 10,544 10,069 10,531 9/30/1997 10,632 10,154 10,656 10/31/1997 10,707 10,225 10,725 11/30/1997 10,740 10,257 10,788 12/31/1997 10,888 10,398 10,945 1/31/1998 11,023 10,527 11,058 2/28/1998 11,099 10,600 11,062 3/31/1998 11,116 10,616 11,072 4/30/1998 11,064 10,566 11,022 5/31/1998 11,183 10,680 11,196 6/30/1998 11,230 10,725 11,240 7/31/1998 11,249 10,743 11,268 8/31/1998 11,399 10,886 11,442 9/30/1998 11,491 10,974 11,585 10/31/1998 11,452 10,937 11,585 11/30/1998 11,500 10,983 11,625 12/31/1998 11,514 10,996 11,655 1/31/1999 11,627 11,103 11,793 2/28/1999 11,602 11,080 11,742 3/31/1999 11,607 11,085 11,758 4/30/1999 11,642 11,118 11,787 5/31/1999 11,601 11,079 11,719 6/30/1999 11,469 10,953 11,550 7/31/1999 11,503 10,985 11,592 8/31/1999 11,386 10,873 11,500 9/30/1999 11,390 10,878 11,504 10/31/1999 11,225 10,720 11,380 11/30/1999 11,331 10,821 11,501 12/31/1999 11,239 10,733 11,415 1/31/2000 11,179 10,676 11,365 2/29/2000 11,303 10,795 11,497 3/31/2000 11,478 10,961 11,749 4/30/2000 11,414 10,901 11,679 5/31/2000 11,382 10,870 11,618 6/30/2000 11,591 11,069 11,926 7/31/2000 11,719 11,192 12,092 8/31/2000 11,881 11,346 12,279 9/30/2000 11,849 11,316 12,215 10/31/2000 11,946 11,409 12,348 11/30/2000 12,027 11,486 12,441 12/31/2000 12,226 11,676 12,749 1/31/2001 12,311 11,757 12,875 2/28/2001 12,331 11,776 12,916 3/31/2001 12,432 11,873 13,032 4/30/2001 12,299 11,746 12,890 5/31/2001 12,416 11,857 13,029 6/30/2001 12,515 11,952 13,116 7/31/2001 12,734 12,161 13,311 8/31/2001 12,937 12,355 13,530 9/30/2001 12,714 12,142 13,485 10/31/2001 12,886 12,306 13,645 11/30/2001 12,747 12,173 13,530 12/31/2001 12,591 12,025 13,402 1/31/2002 12,798 12,222 13,635 2/28/2002 12,971 12,387 13,799 3/31/2002 12,758 12,184 13,529 4/30/2002 12,967 12,384 13,793 5/31/2002 13,033 12,447 13,877 6/30/2002 13,154 12,563 14,024 7/31/2002 13,239 12,643 14,204 8/31/2002 13,342 12,742 14,375 9/30/2002 13,555 12,945 14,689 10/31/2002 13,211 12,617 14,446 11/30/2002 13,190 12,596 14,386 12/31/2002 13,512 12,904 14,689 1/31/2003 13,343 12,742 14,652 2/28/2003 13,539 12,930 14,857 3/31/2003 13,532 12,923 14,866 4/30/2003 13,653 13,038 14,964 5/31/2003 13,993 13,363 15,315 6/30/2003 13,963 13,335 15,250 7/31/2003 13,357 12,756 14,716 8/31/2003 13,498 12,890 14,826 9/30/2003 13,901 13,276 15,262 10/31/2003 13,836 13,213 15,185 11/30/2003 14,014 13,384 15,343 12/31/2003 14,138 13,501 15,470 1/31/2004 14,224 13,584 15,559 2/29/2004 14,444 13,794 15,793 3/31/2004 14,434 13,785 15,738 4/30/2004 14,079 13,446 15,365 5/31/2004 14,048 13,416 15,309 6/30/2004 14,057 13,424 15,365 7/31/2004 14,238 13,597 15,567 8/31/2004 14,496 13,843 15,879 9/30/2004 14,580 13,924 15,964 10/31/2004 14,702 14,041 16,101 11/30/2004 14,571 13,916 15,968 12/31/2004 14,753 14,090 16,163 1/31/2005 14,914 14,243 16,314 2/28/2005 14,841 14,173 16,260 3/31/2005 14,746 14,083 16,157 4/30/2005 15,012 14,336 16,412 5/31/2005 15,123 14,442 16,528 6/30/2005 15,210 14,526 16,631 7/31/2005 15,116 14,436 16,555 8/31/2005 15,304 14,615 16,723 9/30/2005 15,147 14,466 16,610 10/31/2005 15,031 14,354 16,509 11/30/2005 15,118 14,438 16,588 12/31/2005 15,246 14,560 16,731 1/31/2006 15,272 14,585 16,776 2/28/2006 15,404 14,711 16,889 3/31/2006 15,287 14,599 16,772 4/30/2006 15,294 14,606 16,767 5/31/2006 15,343 14,653 16,841 6/30/2006 15,288 14,600 16,778 7/31/2006 15,462 14,767 16,977 8/31/2006 15,742 15,034 17,229 9/30/2006 15,876 15,162 17,349 10/31/2006 15,989 15,269 17,458 11/30/2006 16,144 15,417 17,604 12/31/2006 16,053 15,331 17,541 1/31/2007 15,973 15,254 17,496 2/28/2007 16,216 15,486 17,727 3/31/2007 16,135 15,409 17,683 Average Annual Total Returns -- March 31, 2007/6/
6 MONTHS 1 YEAR 5 YEARS 10 YEARS CLASS A (Inception 5/9/77) Net Asset Value/1/ 1.63% 5.55% 4.81% 4.90% With Maximum Sales Charge/2/ -3.00 0.79 3.86 4.42 CLASS B (Inception 9/13/93) Net Asset Value/1/ 1.25 4.76 4.06 4.05 With CDSC/3/ -3.72 -0.24 3.72 4.05 - ------------------------------------------------------------------------- COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS Lehman Municipal Bond Index 1.93% 5.43% 5.50% 5.87% Morningstar Muni National Long Fund Avg. 1.63 4.86 4.95 5.07
Yields as of March 31, 2007
CLASS A CLASS B SEC 30-Day Yield/4/ 3.56% 2.97% Taxable Equivalent Yield/5/ 5.47 4.56
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. Performance history includes performance from a predecessor fund. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of CREDIT QUALITY 3/31/2007 9/30/2006 - ------------------------------------------ Aaa 30.6 28.2 - ------------------------------------------ Aa 14.3 13.8 - ------------------------------------------ A 24.1 27.1 - ------------------------------------------ Baa 14.5 14.1 - ------------------------------------------ Ba 3.4 3.3 - ------------------------------------------ Not Rated* 10.9 12.0 - ------------------------------------------ Short-term and other 2.2 1.5 - ------------------------------------------
Credit quality is based on ratings from Moody's Investors Service. * Securities that are not rated by Moody's may be rated by another rating agency or by Loomis Sayles.
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 1.0 4.4 - -------------------------------------------------- 1-5 years 7.5 3.7 - -------------------------------------------------- 5-10 years 72.7 76.0 - -------------------------------------------------- 10+ years 18.8 15.9 - -------------------------------------------------- Average Effective Maturity 9.3 years 8.4 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class Gross Expense Ratio/7/ Net Expense Ratio/8/ - ------------------------------------------------------- A 0.99 0.95 - ------------------------------------------------------- B 1.75 1.70 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 4.50%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. /4/SEC Yield is based on the fund's net investment income over a 30-day period and is calculated in accordance with SEC guidelines. /5/Taxable equivalent yield is based on the maximum federal income tax bracket of 35%. A portion of income may be subject to federal, state and/or alternative minimum tax. Capital gains, if any, are subject to capital gains tax. /6/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /7/Before waivers and reimbursements. /8/After waivers and reimbursements. 10 LOOMIS SAYLES STRATEGIC INCOME FUND PORTFOLIO PROFILE Objective: Seeks high current income, with a secondary objective of capital growth - -------------------------------------------------------------------------------- Strategy: Invests primarily in income-producing securities in the U.S. and around the world - -------------------------------------------------------------------------------- Fund Inception: May 1, 1995 - -------------------------------------------------------------------------------- Managers: Daniel J. Fuss, CFA, CIC Kathleen C. Gaffney, CFA Associate Managers: Matthew J. Eagan, CFA Elaine M. Stokes Loomis, Sayles & Company, L.P. - -------------------------------------------------------------------------------- Symbols: Class A NEFZX Class B NEZBX Class C NECZX Class Y NEZYX
- -------------------------------------------------------------------------------- What You Should Know: Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. Foreign and emerging market securities have special risks, such as currency fluctuations, differing political and economic conditions, and different accounting standards. The fund may also invest in lower-rated bonds that may offer higher yields in return for more risk. Management Discussion - -------------------------------------------------------------------------------- Higher-risk, higher-yielding bonds began Loomis Sayles Strategic Income Fund's fiscal year on a strong note, amid steady economic expansion fueled by growing corporate profits. By February, investor demand for higher income, and their comfort level with risk early in the period, had driven up prices on high-yielding corporate bonds, narrowing the spread - the yield advantage lower-quality bonds have over U.S. Treasuries - to its narrowest level in years. However, early in February a sharp drop in China's stock market caused nervous equity investors to seek the safer haven of high-quality U.S. Treasury securities. Spreads widened out again and ended March 2007 little changed from their levels at the beginning of January. Meanwhile, heightened concern over the weak U.S. housing market and softening business spending prompted many investors to sell their riskier, long-term bonds. The yield curve, a graphic representation of the difference in yield between short- and long-term bonds, widened. For the six months ended March 31, 2007, the fund provided a total return of 4.87%, based on the net asset value of Class A shares and $0.41 in reinvested dividends. These results outdistanced the fund's benchmark, the Lehman Aggregate Bond Index, which returned 2.76% for the period. (Bear in mind that the fund has a broader reach and greater flexibility than the index.) The fund also outperformed the 4.49% average return on the funds in Morningstar's Multisector Bond Category. Its 30-day SEC yield was 5.11% on March 31, 2007. STRATEGY TRACKED INVESTORS' RISK ACCEPTANCE Successful security selection and its exposure to stronger markets were the primary drivers of the fund's results. Early in the period investors favored riskier sectors, including emerging markets, where favorable economic conditions brightened expectations. Later in the period we raised the portfolio's credit quality, so that, by the end of March, investment-grade issues accounted for nearly 70% of the fund's assets. Non-U.S. dollar issues were standouts. Our slightly longer duration relative to the fund's benchmark was a modest negative when interest rates rose and bond prices retreated. Duration is a measure of a portfolio's sensitivity to changes in interest rates. A longer duration is more aggressive; a shorter duration is defensive. STRONG CURRENCIES AND SECTORS BOOSTED RESULTS About a third of the fund is invested in bonds denominated in currencies outside the United States, and these were our best performers, with the exception of Canadian-dollar issues. Investments in strong currencies, as well as both high-yield and investment-grade issues, drove the fund's superior results. Strength in Brazil's real, the Mexican peso and the New Zealand dollar enhanced returns. Results were also positive among high-yield utility bonds and convertible issues. Careful research led to favorable returns among sovereigns (debt securities backed by foreign governments), as well as bonds issued by some consumer companies and firms engaged in telecommunications, media and technology. OUTLOOK IS FOR RENEWED MOMENTUM We believe the current economic slowdown signals a pause in the economic expansion, but not an end. We expect growth to resume later in the year, favoring corporate issues. The current period of slackening activity could cool inflationary fires, however, and lessen pressure on the Federal Reserve Board to resume raising short-term rates. We also believe the housing slump may ease in coming months, although a protracted or steepening slowdown could have wider effects and lead to rate cuts. Lenders are also being more cautious in the wake of controversies surrounding subprime lending, and any squeeze on credit could jeopardize the economic re-acceleration that we anticipate. Valuations on high-yield issues appear to be stretched, in our opinion, and volatility could return to this market. But economic conditions still favor the sector, and we believe careful research should enhance returns. We are also finding attractive valuations among mortgage-backed issues, although we are mindful of the risks to this sector if subprime turbulence intensifies. 11 LOOMIS SAYLES STRATEGIC INCOME FUND Investment Results through March 31, 2007 - -------------------------------------------------------------------------------- PERFORMANCE IN PERSPECTIVE The charts comparing the fund's performance to an index provide you with a general sense of how it performed. The fund's total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index. Growth of a $10,000 Investment in Class A Shares/4/ March 31, 1997 through March 31, 2007 [CHART] Lehman Net Asset Maximum Sales Lehman Aggregate Universal Bond Value/1/ Charge/2/ Bond Index Index --------- ------------- ---------------- --------------- 3/31/1997 $10,000 $ 9,550 $10,000 $10,000 4/30/1997 10,064 9,611 10,150 10,151 5/31/1997 10,280 9,818 10,246 10,259 6/30/1997 10,514 10,041 10,367 10,384 7/31/1997 10,987 10,492 10,647 10,667 8/31/1997 10,703 10,222 10,556 10,579 9/30/1997 11,081 10,583 10,712 10,743 10/31/1997 10,849 10,360 10,867 10,845 11/30/1997 10,907 10,416 10,917 10,904 12/31/1997 10,851 10,363 11,027 11,020 1/31/1998 11,028 10,532 11,169 11,159 2/28/1998 11,230 10,725 11,160 11,168 3/31/1998 11,471 10,954 11,199 11,219 4/30/1998 11,474 10,958 11,257 11,276 5/31/1998 11,287 10,779 11,364 11,357 6/30/1998 11,107 10,608 11,460 11,432 7/31/1998 10,969 10,475 11,485 11,460 8/31/1998 9,622 9,189 11,671 11,459 9/30/1998 9,933 9,486 11,945 11,731 10/31/1998 10,041 9,589 11,882 11,682 11/30/1998 10,714 10,232 11,949 11,799 12/31/1998 10,665 10,185 11,985 11,825 1/31/1999 10,850 10,361 12,070 11,904 2/28/1999 10,694 10,213 11,860 11,716 3/31/1999 11,259 10,752 11,926 11,805 4/30/1999 11,981 11,442 11,963 11,875 5/31/1999 11,609 11,087 11,858 11,755 6/30/1999 11,643 11,119 11,821 11,734 7/31/1999 11,414 10,900 11,770 11,686 8/31/1999 11,271 10,764 11,764 11,673 9/30/1999 11,343 10,833 11,901 11,799 10/31/1999 11,439 10,924 11,945 11,849 11/30/1999 11,646 11,121 11,944 11,868 12/31/1999 11,962 11,424 11,886 11,846 1/31/2000 11,851 11,318 11,848 11,805 2/29/2000 12,318 11,764 11,991 11,955 3/31/2000 12,442 11,882 12,149 12,095 4/30/2000 12,087 11,543 12,114 12,057 5/31/2000 11,696 11,170 12,108 12,035 6/30/2000 12,142 11,595 12,360 12,294 7/31/2000 12,249 11,697 12,473 12,413 8/31/2000 12,518 11,955 12,653 12,594 9/30/2000 12,188 11,639 12,733 12,658 10/31/2000 11,692 11,165 12,817 12,709 11/30/2000 11,631 11,107 13,027 12,880 12/31/2000 12,044 11,502 13,268 13,127 1/31/2001 12,427 11,867 13,485 13,384 2/28/2001 12,408 11,850 13,603 13,496 3/31/2001 11,939 11,402 13,671 13,542 4/30/2001 11,744 11,216 13,614 13,481 5/31/2001 12,006 11,466 13,696 13,578 6/30/2001 11,974 11,435 13,748 13,617 7/31/2001 11,982 11,443 14,056 13,885 8/31/2001 12,247 11,696 14,217 14,058 9/30/2001 11,640 11,116 14,382 14,159 10/31/2001 11,914 11,378 14,683 14,444 11/30/2001 12,083 11,540 14,481 14,275 12/31/2001 12,028 11,487 14,389 14,190 1/31/2002 12,165 11,618 14,505 14,309 2/28/2002 12,311 11,757 14,646 14,443 3/31/2002 12,453 11,892 14,402 14,234 4/30/2002 12,754 12,180 14,681 14,505 5/31/2002 13,024 12,438 14,806 14,614 6/30/2002 12,817 12,240 14,934 14,667 7/31/2002 12,513 11,950 15,114 14,792 8/31/2002 12,864 12,285 15,370 15,064 9/30/2002 12,690 12,119 15,619 15,280 10/31/2002 12,943 12,360 15,547 15,228 11/30/2002 13,427 12,823 15,543 15,269 12/31/2002 13,891 13,266 15,864 15,585 1/31/2003 14,282 13,639 15,878 15,628 2/28/2003 14,667 14,007 16,098 15,849 3/31/2003 14,810 14,143 16,085 15,865 4/30/2003 15,660 14,955 16,218 16,052 5/31/2003 16,443 15,703 16,520 16,359 6/30/2003 16,650 15,901 16,487 16,355 7/31/2003 16,197 15,468 15,933 15,829 8/31/2003 16,383 15,646 16,039 15,943 9/30/2003 17,184 16,411 16,464 16,368 10/31/2003 17,573 16,782 16,310 16,251 11/30/2003 18,061 17,248 16,349 16,307 12/31/2003 18,731 17,888 16,515 16,492 1/31/2004 19,065 18,207 16,648 16,635 2/29/2004 19,051 18,194 16,828 16,798 3/31/2004 19,301 18,432 16,955 16,933 4/30/2004 18,500 17,667 16,513 16,500 5/31/2004 18,191 17,372 16,447 16,416 6/30/2004 18,537 17,702 16,540 16,520 7/31/2004 18,716 17,874 16,704 16,695 8/31/2004 19,293 18,425 17,023 17,026 9/30/2004 19,798 18,907 17,069 17,093 10/31/2004 20,268 19,356 17,212 17,249 11/30/2004 20,754 19,820 17,075 17,142 12/31/2004 21,155 20,203 17,232 17,312 1/31/2005 21,000 20,055 17,340 17,412 2/28/2005 21,275 20,318 17,238 17,340 3/31/2005 20,926 19,985 17,149 17,214 4/30/2005 20,761 19,827 17,381 17,423 5/31/2005 20,969 20,025 17,569 17,626 6/30/2005 21,363 20,401 17,665 17,747 7/31/2005 21,549 20,579 17,504 17,619 8/31/2005 21,799 20,818 17,729 17,835 9/30/2005 21,818 20,836 17,546 17,669 10/31/2005 21,602 20,630 17,407 17,527 11/30/2005 21,710 20,733 17,484 17,612 12/31/2005 21,945 20,957 17,651 17,782 1/31/2006 22,502 21,490 17,652 17,808 2/28/2006 22,747 21,724 17,710 17,878 3/31/2006 22,620 21,602 17,536 17,720 4/30/2006 22,962 21,928 17,505 17,698 5/31/2006 22,720 21,698 17,486 17,673 6/30/2006 22,657 21,637 17,523 17,701 7/31/2006 22,992 21,958 17,760 17,944 8/31/2006 23,549 22,489 18,032 18,224 9/30/2006 23,789 22,718 18,190 18,390 10/31/2006 24,227 23,136 18,310 18,525 11/30/2006 24,544 23,439 18,523 18,747 12/31/2006 24,546 23,442 18,415 18,666 1/31/2007 24,593 23,486 18,408 18,671 2/28/2007 25,014 23,888 18,692 18,958 3/31/2007 24,943 23,821 18,692 18,964 Average Annual Returns -- March 31, 2007/4/
SINCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS INCEPTION CLASS A (Inception 5/1/95) Net Asset Value/1/ 4.87% 10.30% 14.90% 9.57% -- With Maximum Sales Charge/2/ 0.13 5.34 13.86 9.06 -- CLASS B (Inception 5/1/95) Net Asset Value/1/ 4.49 9.47 14.06 8.74 -- With CDSC/3/ -0.51 4.47 13.82 8.74 -- CLASS C (Inception 5/1/95) Net Asset Value/1/ 4.55 9.55 14.08 8.75 -- With CDSC/3/ 3.55 8.55 14.08 8.75 -- CLASS Y (Inception 12/1/99)/5/ Net Asset Value/1/ 5.10 10.62 15.25 -- 11.29% - ------------------------------------------------------------------------------------ SINCE CLASS Y COMPARATIVE PERFORMANCE 6 MONTHS 1 YEAR 5 YEARS 10 YEARS INCEPTION/5/ Lehman Aggregate Bond Index 2.76% 6.59% 5.35% 6.46% 6.30% Lehman U.S. Universal Bond Index 3.12 7.02 5.91 6.61 6.60 Morningstar Multisector Bond Fund Avg. 4.49 7.93 8.75 6.27 6.92
See page 13 for a description of the indexes. All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. Performance history includes periods from a predecessor fund. For performance current to the most recent month-end, visit www.ixisadvisorfunds.com. Class Y shares are available to certain investors, as described in the prospectus. The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. PORTFOLIO FACTS
% of Net Assets as of CREDIT QUALITY 3/31/2007 9/30/2006 - ------------------------------------------ Aaa 36.0 32.1 - ------------------------------------------ Aa 4.9 6.1 - ------------------------------------------ A 3.3 3.5 - ------------------------------------------ Baa 17.1 15.3 - ------------------------------------------ Ba 8.2 9.5 - ------------------------------------------ B 10.9 13.6 - ------------------------------------------ Caa 6.2 3.5 - ------------------------------------------ Not Rated* 6.2 5.6 - ------------------------------------------ Short-term and other 7.2 10.8 - ------------------------------------------
Credit quality is based on ratings from Moody's Investor Service. * Securities that are not rated by Moody's may be rated by another rating agency or by Loomis Sayles.
% of Net Assets as of EFFECTIVE MATURITY 3/31/07 9/30/06 - -------------------------------------------------- 1 year or less 8.1 14.5 - -------------------------------------------------- 1-5 years 24.2 25.7 - -------------------------------------------------- 5-10 years 18.0 18.0 - -------------------------------------------------- 10+ years 49.7 41.8 - -------------------------------------------------- Average Effective Maturity 14.5 years 12.7 years - --------------------------------------------------
Portfolio characteristics will vary. EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS
Share Class Gross Expense Ratio/6/ Net Expense Ratio/7/ - ------------------------------------------------------- A 1.05 1.05 - ------------------------------------------------------- B 1.80 1.80 - ------------------------------------------------------- C 1.80 1.80 - ------------------------------------------------------- Y 0.78 0.78 - -------------------------------------------------------
NOTES TO CHARTS /1/Does not include a sales charge. /2/Includes maximum sales charge of 4.50%. /3/Performance for Class B shares assumes a maximum of 5% contingent deferred sales charge ("CDSC") applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. /4/Fund performance has been increased by expense waivers and reimbursements, if any, without which performance would have been lower. /5/The since-inception comparative performance figures shown for Class Y are calculated from 12/1/99. /6/Before waivers and reimbursements. /7/After waivers and reimbursements. 12 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. For more complete information on any IXIS Advisor Fund, contact your financial professional or call IXIS Advisor Funds and ask for a free prospectus, which contains more complete information including charges and other ongoing expenses. Investors should consider a fund's objective, risks and expenses carefully before investing. This and other fund information can be found in the prospectus. Please read the prospectus carefully before investing. INDEX/AVERAGE DESCRIPTIONS Lehman Aggregate Bond Index is an unmanaged index of investment-grade bonds with one- to ten-year maturities issued by the U.S. government, its agencies and U.S. corporations. Lehman High Yield Composite Index is a market-weighted, unmanaged index of fixed-rate, non-investment grade debt. Lehman Municipal Bond Index is an unmanaged index of bonds issued by municipalities and other government entities having maturities of more than one year. Lehman 1-5 Year Government Bond Index is an unmanaged, market-weighted index of bonds issued by the U.S. government and its agencies, with maturities between one and five years. Lehman U.S. Credit Index is an unmanaged index that includes all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC-registered, U.S. investment-grade corporate debt, and foreign debt that meets specific maturity, liquidity and quality requirements. Lehman U.S. Universal Bond Index is an unmanaged index representing a blend of the Lehman Aggregate Bond Index, the High Yield Index, and the Emerging Market Index, among other indexes. Morningstar High Yield Bond Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. Morningstar Intermediate-Term Bond Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. Morningstar Multisector Bond Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. Morningstar Muni Massachusetts Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. Morningstar Muni National Long Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. Morningstar Short Government Fund Average is the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc. PROXY VOTING INFORMATION A description of the funds' proxy voting policies and procedures is available without charge, upon request, by calling IXIS Advisor Funds at 800-225-5478; on the funds' website at www.ixisadvisorfunds.com; and on the Securities and Exchange Commission's (SEC's) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2006 is available from the funds' website and the SEC's website. QUARTERLY PORTFOLIO SCHEDULES The 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 1-800-SEC-0330. NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE 13 UNDERSTANDING FUND EXPENSES As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. In addition, each fund assesses a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. Certain exemptions may apply. These costs are described in more detail in the funds' prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table of each Class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from October 1, 2006 through March 31, 2007. 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 of each Class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund's actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund 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, redemption fees, or exchange fees. 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.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* LOOMIS SAYLES CORE PLUS BOND FUND 10/1/06 3/31/07 10/1/06 - 3/31/07 - ------------------------------------------------------------------------------------------------------------------ CLASS A - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,035.10 $5.33 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,019.70 $5.29 - ------------------------------------------------------------------------------------------------------------------ CLASS B - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,031.90 $9.12 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,015.96 $9.05 - ------------------------------------------------------------------------------------------------------------------ CLASS C - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,030.90 $9.11 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,015.96 $9.05 - ------------------------------------------------------------------------------------------------------------------ CLASS Y - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,037.20 $3.30 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,021.69 $3.28
*Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 1.80% and 0.65% for Class A, B, 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, divided by 365 (to reflect the half-year period). 14 UNDERSTANDING FUND EXPENSES
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* LOOMIS SAYLES HIGH INCOME FUND 10/1/06 3/31/07 10/1/06 - 3/31/07 - ------------------------------------------------------------------------------------------------------------------ CLASS A - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,075.50 $6.31 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,018.85 $6.14 - ------------------------------------------------------------------------------------------------------------------ CLASS B - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,070.70 $10.17 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,015.11 $9.90 - ------------------------------------------------------------------------------------------------------------------ CLASS C - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,072.80 $10.13 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,015.16 $9.85 - ------------------------------------------------------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.22%, 1.97% and 1.96% for Class A, B and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* AGENCY FUND 10/1/06 3/31/07 10/1/06 - 3/31/07 - ------------------------------------------------------------------------------------------------------------------- CLASS A - ------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,023.60 $5.05 - ------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,019.95 $5.04 - ------------------------------------------------------------------------------------------------------------------- CLASS B - ------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,020.20 $8.81 - ------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,016.21 $8.80 - ------------------------------------------------------------------------------------------------------------------- CLASS C - ------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,020.20 $8.81 - ------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,016.21 $8.80 - ------------------------------------------------------------------------------------------------------------------- CLASS Y - ------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,026.40 $3.54 - ------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,021.44 $3.53 - -------------------------------------------------------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement), if any: 1.00%, 1.75%, 1.75% and 0.70% for Class A, B, 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, divided by 365 (to reflect the half-year period). 15 UNDERSTANDING FUND EXPENSES
LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* FUND 10/1/06 3/31/07 10/1/06 - 3/31/07 - --------------------------------------------------------------------------------------------------------------------- CLASS A - --------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,015.80 $4.77 - --------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,020.19 $4.78 - --------------------------------------------------------------------------------------------------------------------- CLASS B - --------------------------------------------------------------------------------------------------------------------- Actual $1,000.00 $1,011.40 $8.53 - --------------------------------------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) $1,000.00 $1,016.45 $8.55
*Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.95% and 1.70% for Class A and B, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* LOOMIS SAYLES MUNICIPAL INCOME FUND 10/01/06 3/31/07 10/1/06 - 3/31/07 - ------------------------------------------------------------------------------------------------------------------ CLASS A - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,016.30 $4.78 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,020.19 $4.78 - ------------------------------------------------------------------------------------------------------------------ CLASS B - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,012.50 $8.53 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,016.45 $8.55
*Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.95% and 1.70% for Class A and B, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD* LOOMIS SAYLES STRATEGIC INCOME FUND 10/1/06 3/31/07 10/1/06 - 3/31/07 - ------------------------------------------------------------------------------------------------------------------ CLASS A - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,048.70 $4.95 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,020.09 $4.89 - ------------------------------------------------------------------------------------------------------------------ CLASS B - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,044.90 $8.77 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,016.36 $8.65 - ------------------------------------------------------------------------------------------------------------------ CLASS C - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,045.50 $8.77 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,016.36 $8.65 - ------------------------------------------------------------------------------------------------------------------ CLASS Y - ------------------------------------------------------------------------------------------------------------------ Actual $1,000.00 $1,051.00 $3.63 - ------------------------------------------------------------------------------------------------------------------ Hypothetical (5% return before expenses) $1,000.00 $1,021.39 $3.58
*Expenses are equal to the Fund's annualized expense ratio: 0.97%, 1.72%, 1.72% and 0.71% for Class A, B, 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, divided by 365 (to reflect the half-year period). 16 LOOMIS SAYLES CORE PLUS BOND FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------------------------- Bonds and Notes -- 96.5% of Net Assets Asset-Backed Securities -- 4.5% $ 339,407 AmeriCredit Automobile Receivables Trust, Series 2003-D-M, Class A-4, 2.840%, 8/06/2010 $ 337,000 1,886,744 AmeriCredit Automobile Receivables Trust, Series 2005-CF, Class A-3, 4.470%, 5/06/2010 1,880,166 512,741 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A2, 3.872%, 3/25/2020 505,695 1,095,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035 1,063,896 2,190,000 Countrywide Asset-Backed Certificates, Series 2006-S4, Class A3, 5.804%, 7/25/2034 2,181,691 1,730,000 Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 3.540%, 11/15/2008 1,716,939 1,475,348 Residential Asset Securities Corp., Series 2003-KS10, Class AI4, 4.470%, 3/25/2032 1,456,748 324,025 WFS Financial Owner Trust, Series 2004-4, Class A3, 2.980%, 9/17/2009 321,948 515,000 WFS Financial Owner Trust, Series 2004-4, Class A4, 3.440%, 5/17/2012 505,550 --------------- 9,969,633 --------------- Automotive -- 1.5% 1,645,000 Ford Motor Co., 7.450%, 7/16/2031(b) 1,272,819 1,120,000 Ford Motor Credit Co., 8.000%, 12/15/2016 1,077,712 105,000,000 Toyota Motor Credit Corp., 0.750%, 6/09/2008 (JPY) 891,224 --------------- 3,241,755 --------------- Banking -- 1.0% 70,000,000 Rabobank Nederland, Series EMTN, 144A, 13.500%, 1/28/2008 (ISK) 1,060,980 1,200,000 State Street Institutional Capital A, Series A, Guaranteed Note, 144A, 7.940%, 12/30/2026 1,252,383 --------------- 2,313,363 --------------- Brokerage -- 0.4% 925,000 Goldman Sachs Group, Inc., 5.300%, 2/14/2012 925,268 --------------- Building Materials -- 0.6% 495,000 Owens Corning, Inc., 144A, 7.000%, 12/01/2036 493,676 900,000 USG Corp., 144A, 6.300%, 11/15/2016 906,371 --------------- 1,400,047 --------------- Consumer Cyclical Services -- 0.5% 1,160,000 Western Union Co., 6.200%, 11/17/2036 1,101,304 --------------- Diversified Manufacturing -- 0.7% 1,650,000 Crane Co., 6.550%, 11/15/2036 1,645,575 --------------- Electric -- 2.3% 1,455,000 Duke Energy Corp., Senior Note, 4.200%, 10/01/2008 1,432,979 1,325,000 Enersis SA, Chile, 7.375%, 1/15/2014(b) 1,438,142
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------------------- Electric -- continued $ 1,325,000 Ipalco Enterprises, Inc., Senior Secured Note, 8.375%, 11/14/2008 $ 1,368,062 790,000 Southern California Edison Co., 7.625%, 1/15/2010 840,299 --------------- 5,079,482 --------------- Financial Services -- 1.0% 1,050,000 HSBC Finance Corp., 7.000%, 5/15/2012 1,126,815 1,185,000 Morgan Stanley, 4.000%, 1/15/2010 1,151,753 --------------- 2,278,568 --------------- Gaming -- 0.4% 770,000 Harrah's Operating Co., Inc., Senior Note, 7.125%, 6/01/2007 772,888 --------------- Government Guaranteed -- 1.6% 275,000,000 Kreditanstalt fuer Wiederaufbau, Series EMTN, 2.050%, 9/21/2009 (JPY) 2,398,329 1,325,000 Kreditanstalt fuer Wiederaufbau, 4.000%, 2/15/2012 (CHF) 1,162,051 --------------- 3,560,380 --------------- Healthcare -- 1.1% 575,000 HCA, Inc., 7.500%, 12/15/2023 487,900 485,000 Hospira, Inc., 6.050%, 3/30/2017 484,619 1,250,000 Medco Health Solutions, 7.250%, 8/15/2013 1,351,894 --------------- 2,324,413 --------------- Home Construction -- 0.5% 1,050,000 Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 1,083,600 --------------- Hybrid ARMs -- 0.5% 1,205,738 JPMorgan Mortgage Trust, Series 2006-A7, Class 1A3, 5.936%, 1/25/2037(c) 1,208,434 --------------- Independent Energy -- 0.0% 65,000 Anadarko Petroleum Corp., 6.450%, 9/15/2036 64,321 --------------- Media Cable -- 1.0% 1,060,000 Cox Communications, Inc., 6.750%, 3/15/2011 1,114,858 1,085,000 CSC Holdings, Inc., Senior Note, Series B, 7.625%, 4/01/2011 1,112,125 --------------- 2,226,983 --------------- Mortgage Backed Securities -- 7.1% 795,000 Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A2, 5.165%, 9/10/2047(c) 796,431 850,000 Banc of America Commercial Mortgage, Inc., Series 2006-1, Class A2, 5.334%, 9/10/2045(c) 855,571 1,245,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PW10, Class A2, 5.270%, 12/11/2040 1,251,315 2,150,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-PW12, Class A4, 5.711%, 9/11/2038(c) 2,216,025
See accompanying notes to financial statements. 17 LOOMIS SAYLES CORE PLUS BOND FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ----------------------------------------------------------------------------------------------- Mortgage Backed Securities -- continued $ 710,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046 $ 715,599 2,160,000 Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.962%, 6/10/2046(c) 2,232,928 1,500,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039 1,447,061 1,710,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030 1,677,491 2,400,000 Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047 2,332,498 2,195,000 Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A2, 4.519%, 7/15/2042 2,153,307 --------------- 15,678,226 --------------- Mortgage Related -- 27.5% 2,189,198 FHLMC, 4.000%, 7/01/2019 2,068,846 6,310,898 FHLMC, 4.500%, with various maturities to 2034(d) 6,055,736 12,097,847 FHLMC, 5.000%, with various maturities to 2036(d) 11,755,150 1,528,449 FHLMC, 5.500%, with various maturities to 2018(d) 1,535,032 225,691 FHLMC, 6.000%, 6/01/2035 228,536 140,000,000 FNMA, 1.750%, 3/26/2008 (JPY) 1,200,770 140,000,000 FNMA, 2.125%, 10/09/2007 (JPY) 1,197,417 868,671 FNMA, 4.000%, 6/01/2019 821,105 6,050,165 FNMA, 4.500%, with various maturities to 2035(d) 5,798,763 5,825,188 FNMA, 5.000%, 7/01/2035 5,633,696 7,852,580 FNMA, 5.500%, with various maturities to 2036(d) 7,799,461 5,628,893 FNMA, 6.000%, with various maturities to 2034(d) 5,712,564 4,921,043 FNMA, 6.500%, with various maturities to 2036(d) 5,024,528 267,766 FNMA, 7.000%, with various maturities to 2030(d) 279,721 298,230 FNMA, 7.500%, with various maturities to 2032(d) 312,161 1,157,444 GNMA, 5.500%, 2/20/2034 1,150,486 433,741 GNMA, 6.000%, 1/15/2029 441,066 869,602 GNMA, 6.500%, with various maturities to 2032(d) 894,547 514,551 GNMA, 7.000%, with various maturities to 2029(d) 538,417 153,431 GNMA, 7.500%, with various maturities to 2030(d) 160,316
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------------------------- Mortgage Related -- continued $ 90,172 GNMA, 8.000%, 11/15/2029 $ 95,772 138,469 GNMA, 8.500%, with various maturities to 2023(d) 148,940 23,557 GNMA, 9.000%, with various maturities to 2016(d) 25,235 61,201 GNMA, 11.500%, with various maturities to 2015(d) 68,279 1,800,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037 1,800,568 --------------- 60,747,112 --------------- Non-Captive Diversified -- 0.6% 1,180,000 GMAC LLC, 8.000%, 11/01/2031 1,265,130 --------------- Non-Captive Finance -- 2.3% 431,000,000 General Electric Capital Corp., Series EMTN, 0.550%, 10/14/2008 (JPY) 3,641,299 1,665,000 General Electric Capital Corp., 1.750%, 2/12/2010 (CHF) 1,335,758 --------------- 4,977,057 --------------- Paper -- 0.5% 330,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 318,450 755,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 747,450 --------------- 1,065,900 --------------- Pharmaceuticals -- 1.2% 2,750,000 Valeant Pharmaceuticals International, Senior Note, 7.000%, 12/15/2011 2,660,625 --------------- Property & Casualty Insurance -- 0.2% 475,000 Willis North America, Inc., 6.200%, 3/28/2017 476,043 --------------- Real Estate Investment Trusts -- 1.9% 195,000 Colonial Realty, LP, Senior Note, 4.750%, 2/01/2010 192,236 1,350,000 Colonial Realty, LP, Senior Note, 5.500%, 10/01/2015 1,325,734 1,250,000 iStar Financial, Inc., Senior Note, 6.000%, 12/15/2010 1,276,635 1,340,000 Simon Property Group, LP, 6.375%, 11/15/2007 1,347,372 --------------- 4,141,977 --------------- Refining -- 0.5% 1,105,000 Premcor Refining Group, Inc. (The), 6.125%, 5/01/2011 1,140,147 --------------- Sovereigns -- 2.6% 18,980,000 Kingdom of Norway, 5.500%, 5/15/2009 (NOK) 3,168,989 2,165,000 Kingdom of Norway, 6.000%, 5/16/2011 (NOK) 374,132 2,145,000 Pemex Project Funding Master Trust, 7.875%, 2/01/2009 2,236,163 --------------- 5,779,284 ---------------
See accompanying notes to financial statements. 18 LOOMIS SAYLES CORE PLUS BOND FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------- Supranational -- 0.7% $ 120,000,000 Inter-American Development Bank, 1.900%, 7/08/2009 (JPY) $ 1,042,024 68,400,000 International Bank for Reconstruction & Development, 2.000%, 2/18/2008 (JPY) 586,791 --------------- 1,628,815 --------------- Technology -- 2.6% 665,000 Corning, Inc., 6.200%, 3/15/2016 683,337 355,000 Corning, Inc., 7.250%, 8/15/2036 374,216 565,000 Freescale Semiconductor, Inc., 144A, 10.125%, 12/15/2016(b) 566,413 295,000 Nortel Networks Corp., 6.875%, 9/01/2023 274,350 920,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 885,500 2,075,000 Pitney Bowes, Inc., 5.250%, 1/15/2037 2,025,814 978,000 Xerox Corp., 6.400%, 3/15/2016 1,005,898 --------------- 5,815,528 --------------- Treasuries -- 23.9% 296,000,000 Canadian Government, 1.900%, 3/23/2009 (JPY) 2,563,273 8,917,412 U.S. Treasury Bond, 2.375%, 1/15/2025(b)(e) 8,975,232 1,450,000 U.S. Treasury Bond, 4.000%, 2/15/2014(b) 1,398,798 14,291,000 U.S. Treasury Bond, 4.500%, 2/15/2036(b) 13,473,726 715,000 U.S. Treasury Bond, 5.375%, 2/15/2031(b) 762,257 445,000 U.S. Treasury Note, 3.000%, 11/15/2007(b) 439,542 2,075,000 U.S. Treasury Note, 3.375%, 10/15/2009(b) 2,016,479 2,555,000 U.S. Treasury Note, 4.000%, 11/15/2012(b) 2,487,931 1,070,000 U.S. Treasury Note, 4.250%, 8/15/2013(b) 1,051,735 3,350,000 U.S. Treasury Note, 4.375%, 8/15/2012(b) 3,328,932 6,125,000 U.S. Treasury Note, 4.500%, 2/15/2016(b) 6,062,794 8,670,000 U.S. Treasury Note, 4.625%, with various maturities to 2017(b)(f) 8,645,622 1,540,000 U.S. Treasury Note, 5.125%, with various maturities to 2016(b)(f) 1,582,097 --------------- 52,788,418 --------------- Wireless -- 1.5% 730,000 Sprint Capital Corp., 6.125%, 11/15/2008 739,283 1,110,000 Sprint Capital Corp., 6.875%, 11/15/2028 1,105,434 1,420,000 True Move Co., Ltd., 144A, 10.750%, 12/16/2013 1,444,850 --------------- 3,289,567 ---------------
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------------------ Wirelines -- 5.8% $ 1,380,000 Citizens Communications Co., 144A, 7.875%, 1/15/2027 $ 1,411,050 2,760,000 Embarq Corp., 7.995%, 6/01/2036 2,850,006 3,200,000 LCI International, Inc., Senior Note, 7.250%, 6/15/2007 3,208,000 210,000 Qwest Capital Funding, Inc., 6.500%, 11/15/2018 197,663 1,240,000 Qwest Corp., 7.200%, 11/10/2026 1,255,500 850,000 Qwest Corp., 7.250%, 9/15/2025 876,562 255,000 Qwest Corp., 7.250%, 10/15/2035 254,362 1,675,000 Qwest Corp., 7.500%, 6/15/2023(b) 1,702,219 1,055,000 Telefonica Emisones SAU, 6.421%, 6/20/2016 1,101,130 --------------- 12,856,492 --------------- Total Bonds and Notes (Identified Cost $213,243,000) 213,506,335 --------------- Shares/ Principal Amount (++) - ------------------------------------------------------------------------------------------------ Short-Term Investments -- 27.7% 55,198,804 State Street Securities Lending Quality Trust(g) 55,198,804 $ 5,936,038 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $5,938,141 on 4/2/2007, collateralized by $4,395,000 U.S. Treasury Bond, 8.875% due 2/15/2019 valued at $6,060,617, including accrued interest (Note 2f ) 5,936,038 --------------- Total Short-Term Investments (Identified Cost $61,134,842) 61,134,842 --------------- Total Investments -- 124.2% (Identified Cost $274,377,842)(a) 274,641,177 Other assets less liabilities -- (24.2)% (53,453,843) --------------- Net Assets -- 100% $ 221,187,334 =============== (++) Principal amount is in U.S. dollars unless otherwise noted. (+) See Note 2a of Notes to Financial Statements. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At March 31, 2007, the net unrealized depreciation on investments based on cost of $274,895,847 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 $ 2,340,102 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (2,594,772) --------------- Net unrealized depreciation $ (254,670) ===============
See accompanying notes to financial statements. 19 LOOMIS SAYLES CORE PLUS BOND FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited) (b) All or a portion of this security was on loan at March 31, 2007. (c) Variable rate security whose interest rate varies with changes in a designated base rate (such as prime interest rate) on a specified date (such as coupon date or payment date). (d) The Fund's investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the schedule of investments. (e) Treasury Inflation Protected Security (TIPS). (f) All separate investments in United States Treasury Notes which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. (g) Represents investment of securities lending collateral. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $7,135,723 or 3.2% of net assets. ARM Adjustable Rate Mortgage FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GNMA Government National Mortgage Association EMTN Euro Medium Term Note CHF Swiss Franc ISK Iceland Krona JPY Japanese Yen NOK Norwegian Krone
Holdings at March 31, 2007 as a Percentage of Net Assets (unaudited) Mortgage Related 27.5% Treasuries 23.9 Mortgage Backed Securities 7.1 Wirelines 5.8 Asset-Backed Securities 4.5 Technology 2.6 Sovereigns 2.6 Electric 2.3 Non-Captive Finance 2.3 Other, less than 2% each 17.9
See accompanying notes to financial statements. 20 LOOMIS SAYLES HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ----------------------------------------------------------------------------------------- Bonds and Notes -- 82.8% of Net Assets Airlines -- 0.3% $ 71,412 Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 1/02/2017 $ 70,877 37,583 Continental Airlines, Inc., Series 1999-1, Class C, 6.954%, 8/02/2009 37,395 --------------- 108,272 --------------- Automotive -- 4.3% 420,000 Ford Motor Co., 6.375%, 2/01/2029(b) 299,250 65,000 Ford Motor Co., 6.625%, 2/15/2028(b) 46,963 1,220,000 Ford Motor Co., 6.625%, 10/01/2028 881,450 210,000 Ford Motor Co., 7.450%, 7/16/2031(b) 162,487 40,000 Ford Motor Co., 7.500%, 8/01/2026 31,200 430,000 Ford Motor Credit Co., 5.700%, 1/15/2010(b) 411,627 10,000 General Motors Corp., 8.375%, 7/15/2033(b) 8,975 --------------- 1,841,952 --------------- Banking -- 4.2% 250,000,000 Barclays Financial LLC, 144A, 4.060%, 9/16/2010 (KRW) 251,887 9,000,000 Barclays Financial LLC, Series EMTN, 144A, 4.100%, 3/22/2010 (THB) 260,631 7,000,000 Barclays Financial LLC, 144A, 4.160%, 2/22/2010 (THB) 202,757 400,000,000 Barclays Financial LLC, 144A, 4.470%, 12/04/2011 (KRW) 423,299 500,000 HSBC Bank USA, 144A, 3.310%, 8/25/2010 547,550 1,436,358,000 JPMorgan Chase & Co., 144A, Zero Coupon, 3/28/2011 (IDR) 109,083 --------------- 1,795,207 --------------- Chemicals -- 4.1% 450,000 Borden, Inc., 7.875%, 2/15/2023 383,625 550,000 Borden, Inc., 9.200%, 3/15/2021 523,875 130,000 Georgia Gulf Corp., 144A, 10.750%, 10/15/2016(b) 124,800 380,000 Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029 323,000 155,000 Mosaic Co., (The), 144A, 7.375%, 12/01/2014 161,587 155,000 Mosaic Co., (The), 144A, 7.625%, 12/01/2016 163,525 60,000 Mosaic Global Holdings, Inc., 7.375%, 8/01/2018 59,700 --------------- 1,740,112 --------------- Construction Machinery -- 0.3% 120,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013(b) 119,100 ---------------
Principal Amount (++) Description Value (+) - -------------------------------------------------------------------- Electric -- 2.4% $ 375,000 Dynegy Holdings, Inc., 7.125%, 5/15/2018 $ 360,000 180,000 Dynegy Holdings, Inc., 7.625%, 10/15/2026 174,600 140,000 NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027 134,400 60,000 NRG Energy, Inc., 7.250%, 2/01/2014 61,500 165,000 NRG Energy, Inc., 7.375%, 2/01/2016 169,537 115,000 NRG Energy, Inc., 7.375%, 1/15/2017 118,019 20,000 TXU Corp., Series R, 6.550%, 11/15/2034 16,748 --------------- 1,034,804 --------------- Financial Other -- 0.7% 300,000 Petrozuata Finance, Inc., 144A, 8.220%, 4/01/2017 301,500 --------------- Food & Beverage -- 0.4% 200,000 Aramark Services, Inc., 5.000%, 6/01/2012 179,500 --------------- Gaming -- 0.1% 45,000 Harrah's Operating Co., Inc., 5.750%, 10/01/2017 37,238 --------------- Government Guaranteed -- 2.6% 28,000,000 Kreditanstalt fuer Wiederaufbau, 1.750%, 3/23/2010 (JPY) 243,197 28,000,000 Kreditanstalt fuer Wiederaufbau, 1.850%, 9/20/2010 (JPY) 244,300 70,000,000 Oesterreichische Kontrollbank AG, 1.800%, 3/22/2010 (JPY) 608,852 --------------- 1,096,349 --------------- Government Sponsored -- 1.4% 70,000,000 Federal National Mortgage Association, 1.750%, 3/26/2008 (JPY) 600,385 --------------- Healthcare -- 2.7% 70,000 HCA, Inc., 6.500%, 2/15/2016(b) 59,588 15,000 HCA, Inc., 7.050%, 12/01/2027 11,899 170,000 HCA, Inc., 7.500%, 12/15/2023 144,249 480,000 HCA, Inc., 7.500%, 11/06/2033 409,200 315,000 HCA, Inc., 7.580%, 9/15/2025 265,886 35,000 HCA, Inc., 7.690%, 6/15/2025 30,171 40,000 HCA, Inc., 7.750%, 7/15/2036 33,891 40,000 HCA, Inc., 8.360%, 4/15/2024 36,432 40,000 Invitrogen Corp., 1.500%, 2/15/2024 35,650
See accompanying notes to financial statements. 21 LOOMIS SAYLES HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - -------------------------------------------------------------------------------- Healthcare -- continued $ 5,000 Tenet Healthcare Corp., 6.875%, 11/15/2031 $ 3,950 110,000 Tenet Healthcare Corp., 9.250%, 2/01/2015 108,900 --------------- 1,139,816 --------------- Home Construction -- 3.7% 410,000 Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 423,120 320,000 K Hovnanian Enterprises, Inc., 6.250%, 1/15/2015 277,600 210,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.250%, 1/15/2016 180,075 30,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.500%, 1/15/2014 26,850 590,000 KB Home, 7.250%, 6/15/2018 544,880 155,000 Pulte Homes, Inc., 6.000%, 2/15/2035(b) 138,252 --------------- 1,590,777 --------------- Independent Energy -- 1.9% 625,000 Chesapeake Energy Corp., 6.500%, 8/15/2017 617,187 175,000 Chesapeake Energy Corp., 6.875%, 11/15/2020 174,125 --------------- 791,312 --------------- Industrial Other -- 0.9% 265,000 Incyte Corp., Convertible, 3.500%, 2/15/2011(b) 231,213 140,000 Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011(b) 138,838 --------------- 370,051 --------------- Integrated Energy -- 0.6% 265,000 Cerro Negro Finance, Ltd., 144A, 7.900%, 12/01/2020 265,000 --------------- Media Cable -- 1.3% 550,000 CSC Holdings, Inc., Senior Note, 7.625%, 7/15/2018(b) 555,500 --------------- Media Non-Cable -- 0.4% 175,000 Intelsat Corp., 6.875%, 1/15/2028 161,438 --------------- Metals & Mining -- 0.5% 195,000 Vale Overseas, Ltd., 6.875%, 11/21/2036 201,374 --------------- Non-Captive Diversified -- 0.8% 330,000 GMAC LLC, (MTN), 6.750%, 12/01/2014 324,420 --------------- Oil Field Services -- 0.7% 310,000 North American Energy Partners, Inc., Senior Note, 8.750%, 12/01/2011 316,200 --------------- Packaging -- 0.3% 135,000 Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018(b) 138,038 ---------------
Principal Amount (++) Description Value (+) - ----------------------------------------------------------------------------------------------- Paper -- 5.3% $ 215,000 Abitibi-Consolidated, Inc., 7.500%, 4/01/2028(b) $ 178,450 250,000 Abitibi-Consolidated, Inc., 8.500%, 8/01/2029 217,500 685,000 Bowater, Inc., 6.500%, 6/15/2013(b) 618,212 75,000 Georgia-Pacific Corp., 7.250%, 6/01/2028 71,625 155,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 149,575 370,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 366,300 170,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 170,850 430,000 Georgia-Pacific Corp., 8.875%, 5/15/2031 455,800 20,000 Jefferson Smurfit Corp., 7.500%, 6/01/2013(b) 19,400 --------------- 2,247,712 --------------- Pharmaceuticals -- 6.1% 440,000 Elan Finance PLC, Senior Note, 7.750%, 11/15/2011 432,300 110,000 Elan Finance PLC, 144A, 8.875%, 12/01/2013 111,788 425,000 Enzon Pharmaceuticals, Inc., 4.500%, 7/01/2008 413,844 127,000 EPIX Pharmaceuticals, Inc., Senior Note, Convertible, 3.000%, 6/15/2024 108,109 45,000 Human Genome Sciences, Inc., Convertible, 2.250%, 8/15/2012(b) 39,656 360,000 Inhale Therapeutic Systems, Inc., Subordinated Note, Convertible, 3.500%, 10/17/2007 353,250 210,000 Merck & Co., Inc., 4.750%, 3/01/2015 201,793 345,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, Convertible, 5.500%, 10/17/2008 364,838 190,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible, 3.000%, 8/16/2010 173,850 450,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible, 4.000%, 11/15/2013 410,062 --------------- 2,609,490 --------------- Pipelines -- 3.6% 915,000 El Paso Corp., 6.950%, 6/01/2028(b) 940,163 125,000 Kinder Morgan Energy Partners, LP, Senior Note, 5.800%, 3/15/2035(b) 115,291 65,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 5.700%, 1/05/2016 60,944 440,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 6.400%, 1/05/2036 393,991 25,000 Kinder Morgan, Inc., Senior Note, 5.150%, 3/01/2015 22,928 --------------- 1,533,317 ---------------
See accompanying notes to financial statements. 22 LOOMIS SAYLES HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------- Retailers -- 2.3% $ 250,000 Dillard's, Inc., 6.625%, 1/15/2018(b) $ 242,812 105,000 Dillard's, Inc., 7.130%, 8/01/2018 103,294 765,000 Toys R US, Inc., 7.375%, 10/15/2018(b) 657,900 --------------- 1,004,006 --------------- Sovereigns -- 6.4% 44,200(++) Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023 (MXN) 414,281 148,500(++) Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012 (MXN) 1,439,225 1,517,320 Republic of Argentina, 2.000%, 9/30/2014 (ARS) 425,214 2,100,000 Republic of South Africa, 13.000%, 8/31/2010 (ZAR) 329,944 3,710,000 Republic of Uruguay, 4.250%, 4/05/2027 (UYU) 155,683 --------------- 2,764,347 --------------- Supermarkets -- 3.2% 245,000 Albertson's, Inc., 6.625%, 6/01/2028 224,312 190,000 Albertson's, Inc., 7.750%, 6/15/2026 192,418 750,000 Albertson's, Inc., Senior Note, 7.450%, 8/01/2029 737,800 130,000 Albertson's, Inc., Senior Note, 8.000%, 5/01/2031 132,493 25,000 Albertson's, Inc., Senior Note, 8.700%, 5/01/2030 27,047 50,000 American Stores Co., 8.000%, 6/01/2026 53,621 --------------- 1,367,691 --------------- Supranational -- 2.3% 2,700,000 Inter-American Development Bank, Series E, (MTN), Zero Coupon, 5/11/2009 (BRL) 998,592 --------------- Technology -- 7.1% 270,000 Freescale Semiconductor, Inc., 144A, 10.125%, 12/15/2016(b) 270,675 345,000 JDS Uniphase Corp., Zero Coupon, 11/15/2010 316,969 215,000 Kulicke & Soffa Industries, Inc., Convertible, 0.500%, 11/30/2008 195,112 35,000 Kulicke & Soffa Industries, Inc., Convertible, 1.000%, 6/30/2010(b) 33,644 910,000 Lucent Technologies, Inc., 6.450%, 3/15/2029 821,275 266,000 Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(d) 250,040 300,000 Nortel Networks Corp., Guaranteed Senior Note, 4.250%, 9/01/2008 296,250 500,000 Nortel Networks Corp., 6.875%, 9/01/2023 465,000 40,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 38,500
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------ Technology -- continued $ 210,000 Sanmina-SCI Corp., 8.125%, 3/01/2016(b) $ 197,400 145,000 Unisys Corp., Senior Note, 8.000%, 10/15/2012 145,362 --------------- 3,030,227 --------------- Transportation Services -- 2.8% 275,000 APL Ltd., Senior Note, 8.000%, 1/15/2024(d) 255,445 300,000 Overseas Shipholding Group, Senior Note, 7.500%, 2/15/2024 304,500 295,000 Stena AB, Senior Note, 7.000%, 12/01/2016 292,050 350,000 Stena AB, Senior Note, 7.500%, 11/01/2013 355,250 --------------- 1,207,245 --------------- Wireless -- 0.9% 200,000 MetroPCS Wireless, Inc., 144A, 9.250%, 11/01/2014 211,500 165,000 True Move Co., Ltd., 144A, 10.750%, 12/16/2013 167,888 --------------- 379,388 --------------- Wirelines -- 8.2% 65,000 Cincinnati Bell Telephone Co., 6.300%, 12/01/2028 59,475 50,000 Cincinnati Bell, Inc., 8.375%, 1/15/2014 51,125 95,000 Citizens Communications Co., 7.000%, 11/01/2025(b) 87,400 405,000 Hanarotelecom, Inc., 144A, 7.000%, 2/01/2012 410,569 435,000 Level 3 Communications, Inc., Convertible, 2.875%, 7/15/2010 486,112 185,000 Level 3 Communications, Inc., Convertible, 6.000%, 3/15/2010(b) 177,600 375,000 Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028(b) 354,375 1,890,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 1,875,825 --------------- 3,502,481 --------------- Total Bonds and Notes (Identified Cost $33,048,906) 35,352,841 --------------- Shares - ------------------------------------------------------------------------------------ Common Stocks -- 1.6% Home Construction -- 0.2% 1,775 KB Home(b) 75,739 --------------- Pharmaceuticals -- 1.4% 6,875 Merck & Co., Inc. 303,669 1,717 Teva Pharmaceutical Industries, Ltd., ADR 64,267 8,147 Vertex Pharmaceuticals, Inc.(b)(e) 228,442 --------------- 596,378 --------------- Total Common Stocks (Identified Cost $500,137) 672,117 ---------------
See accompanying notes to financial statements. 23 LOOMIS SAYLES HIGH INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Shares Description Value (+) - ---------------------------------------------------------------------------------------------------- Preferred Stocks -- 3.7% Electric -- 1.7% 6,475 AES Trust III, Convertible, 6.750%, 10/15/2029(b) $ 325,304 8,000 CMS Energy Trust I, Convertible, 7.750%, 7/15/2027 399,000 --------------- 724,304 --------------- Packaging -- 0.6% 6,500 Owens-Illinois, Inc., Convertible, 4.750%, 12/31/2044 248,950 --------------- Pipelines -- 0.9% 9,500 El Paso Energy Capital Trust I, Convertible, 4.750%, 3/31/2028 380,000 --------------- Technology -- 0.5% 225 Lucent Technologies Capital Trust I, Convertible, 7.750%, 3/15/2017 232,959 --------------- Total Preferred Stocks (Identified Cost $1,411,773) 1,586,213 --------------- Shares - ---------------------------------------------------------------------------------------------------- Closed-End Investment Companies -- 0.1% 3,835 Morgan Stanley Emerging Markets Debt Fund, Inc.(b) 40,344 2,175 Western Asset High Income Opportunity Fund, Inc. 14,943 --------------- Total Closed-End Investment Companies (Identified Cost $45,442) 55,287 --------------- Shares/ Principal Amount (++) - ---------------------------------------------------------------------------------------------------- Short-Term Investments -- 25.9% 6,398,145 State Street Securities Lending Quality Trust(f) 6,398,145 $ 4,660,066 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $4,661,717 on 4/2/2007, collateralized by $4,800,000 U.S. Treasury Bill, 4.890% due 5/31/2007 valued at $4,758,000, including accrued interest (Note 2f) 4,660,066 --------------- Total Short-Term Investments (Identified Cost $11,058,211) 11,058,211 --------------- Total Investments -- 114.1% (Identified Cost $46,064,469)(a) 48,724,669 Other assets less liabilities -- (14.1)% (6,005,277) --------------- Net Assets -- 100% $ 42,719,392 =============== (++) Principal amount is in U.S. dollars unless otherwise noted. (+) See Note 2a of Notes to Financial Statements. (++) Amount shown represents units. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes): At March 31, 2007, the net unrealized appreciation on investments based on cost of $46,076,087 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 $ 3,174,001 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (525,419) --------------- Net unrealized appreciation $ 2,648,582 ===============
(b) All or a portion of this security was on loan at March 31, 2007. (c) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). (d) Illiquid security. At March 31, 2007, the value of these securities amounted to $505,485 or 1.2% of net assets. (e) Non-income producing security. (f) Represents investment of securities lending collateral. 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 are significantly influenced by trading on exchanges not located in the United States. MTN Medium Term Note 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $4,122,877 or 9.7% of net assets. ARS Argentine Peso BRL Brazilian Real IDR Indonesian Rupiah JPY Japanese Yen KRW South Korean Won MXN Mexican Peso THB Thailand Baht UYU Uruguayan Peso ZAR South African Rand
Holdings at March 31, 2007 as a Percentage of Net Assets (unaudited) Wirelines 8.2% Technology 7.6 Pharmaceuticals 7.5 Sovereigns 6.4 Paper 5.3 Pipelines 4.5 Automotive 4.3 Banking 4.2 Electric 4.1 Chemicals 4.1 Home Construction 3.9 Supermarkets 3.2 Transportation Services 2.8 Healthcare 2.7 Government Guaranteed 2.6 Retailers 2.3 Supranational 2.3 Other, less than 2% each 12.2
See accompanying notes to financial statements. 24 LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------------- Bonds and Notes -- 92.1% of Net Assets Agency -- 3.3% $ 4,200,000 Federal Home Loan Bank, 3.625%, 11/14/2008(b) $ 4,117,424 --------------- Asset-Backed Securities -- 4.2% 1,035,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035 1,005,600 2,200,000 Countrywide Asset-Backed Certificates, Series 2006-S1, Class A2, 5.549%, 8/25/2021 2,194,435 609,256 Residential Funding Mortgage Securities II, Series 2004-HI3, Class A4, 4.630%, 1/25/2020 603,840 660,000 Residential Funding Mortgage Securities II, Series 2005-HI3, Class A4, 5.490%, 9/25/2035 654,071 853,476 Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028 857,964 --------------- 5,315,910 --------------- Collateralized Mortgage Obligation -- 0.2% 219,593 Federal Home Loan Mortgage Corporation, Series 3145, Class KA, 5.000%, 8/15/2024 218,634 --------------- Hybrid ARMs -- 3.0% 1,550,234 JPMorgan Mortgage Trust, Series 2006-A7, Class 1A3, 5.936%, 1/25/2037(c) 1,553,700 1,945,716 Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.592%, 7/25/2035(c) 1,923,517 261,785 Washington Mutual, Series 2004-AR7, Class A2A, 3.537%, 7/25/2034 261,146 --------------- 3,738,363 --------------- Mortgage Backed Securities -- 1.1% 1,400,000 Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.962%, 6/10/2046(c) 1,447,268 --------------- Mortgage Related -- 57.2% 850,557 FHLMC, 4.500%, 5/01/2034 800,651 7,674,906 FHLMC, 5.000%, with various maturities to 2030(d) 7,590,523 2,662,852 FHLMC, 5.500%, 12/01/2034 2,639,338 7,253,341 FHLMC, 6.000%, with various maturities to 2021(d) 7,374,018 11,945,965 FHLMC, 6.500%, with various maturities to 2034(d) 12,248,617 283,085 FHLMC, 7.000%, 2/01/2016 292,604 48,196 FHLMC, 7.500%, with various maturities to 2026(d) 49,702 27,666 FHLMC, 8.000%, with various maturities to 2015(d) 28,825 6,613 FHLMC, 10.000%, 7/01/2019 7,303 295,192 FHLMC, 11.500%, with various maturities to 2020(d) 320,732 14,503,461 FNMA, 4.000%, with various maturities to 2019(d) 13,720,475
Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------ Mortgage Related -- continued $ 2,910,915 FNMA, 4.500%, with various maturities to 2035(d) $ 2,773,352 2,205,965 FNMA, 5.000%, 6/01/2035 2,133,448 4,787,462 FNMA, 5.500%, with various maturities to 2036(d) 4,756,628 4,853,656 FNMA, 6.000%, with various maturities to 2034(d) 4,927,350 7,932,855 FNMA, 6.500%, with various maturities to 2036(d) 8,109,067 600,000 FNMA, 6.625%, 9/15/2009(b) 624,290 300,775 FNMA, 7.000%, 12/01/2022 315,889 650,460 FNMA, 7.500%, with various maturities to 2032(d) 677,196 119,428 FNMA, 8.000%, with various maturities to 2016(d) 125,125 150,504 GNMA, 6.000%, 12/15/2031 152,911 564,266 GNMA, 6.500%, 5/15/2031 580,669 489,696 GNMA, 7.000%, with various maturities to 2029(d) 512,276 25,338 GNMA, 9.000%, with various maturities to 2009(d) 25,811 5,520 GNMA, 9.500%, 8/15/2009 5,724 9,867 GNMA, 12.500%, with various maturities to 2015(d) 11,019 126,398 GNMA, 16.000%, with various maturities to 2012(d) 144,994 51,411 GNMA, 17.000%, with various maturities to 2011(d) 60,129 985,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037 985,311 --------------- 71,993,977 --------------- Treasuries -- 23.1% 13,040,000 U.S. Treasury Note, 3.125%, 5/15/2007(b) 13,008,927 10,815,000 U.S. Treasury Note, 3.125%, 10/15/2008(b) 10,561,096 1,930,000 U.S. Treasury Note, 6.125%, 8/15/2007 1,937,539 4,000,000 U.S. Treasury STRIPS, Zero Coupon, 11/15/2009 3,558,507 --------------- 29,066,069 --------------- Total Bonds and Notes (Identified Cost $116,695,173) 115,897,645 ---------------
See accompanying notes to financial statements. 25 LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Shares/ Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------------------ Short-Term Investments -- 30.7% 28,938,786 State Street Securities Lending Quality Trust(e) $ 28,938,786 $ 1,630,055 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $1,630,633 on 4/02/2007, collateralized by $1,680,000 U.S. Treasury Bill, 4.890% due 5/31/2007 valued at $1,665,300, including accrued interest (Note 2f ) 1,630,055 $ 8,000,000 U.S Treasury Bill, 5.035%, 4/12/2007(f) 7,987,692 --------------- Total Short-Term Investments (Identified Cost $38,556,533) 38,556,533 --------------- Total Investments -- 122.8% (Identified Cost $155,251,706)(a) 154,454,178 Other assets less liabilities -- (22.8)% (28,640,867) --------------- Net Assets -- 100% $ 125,813,311 =============== (+) See Note 2a of Notes to Financial Statements. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At March 31, 2007, the net unrealized depreciation on investments based on cost of $155,441,470 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 $ 335,536 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (1,322,828) --------------- Net unrealized depreciation $ (987,292) =============== (b) All or a portion of this security was on loan at March 31, 2007. (c) Variable rate security whose interest rate varies with changes in a designated base rate (such as prime interest rate) on a specified date (such as coupon date or payment date). (d) The Fund's investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. (e) Represents investment of securities lending collateral. (f) Annualized yield at time of purchase. ARM Adjustable Rate Mortgage FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GNMA Government National Mortgage Association STRIPS Separate Trading of Registered Interest and Principal of Securities
Holdings at March 31, 2007 as a Percentage of Net Assets (unaudited) Mortgage Related 57.2% Treasuries 23.1 Asset-Backed Securities 4.2 Agency 3.3 Hybrid ARMs 3.0 Other, less than 2% each 1.3
See accompanying notes to financial statements. 26 LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount Description Value (+) - -------------------------------------------------------------------------------- Tax Exempt Obligations -- 98.0% of Net Assets Martha's Vineyard, MA -- 1.5% $ 1,000,000 Land Bank Revenue, 5.000%, 5/01/2032 (AMBAC insured) $ 1,043,560 --------------- Massachusetts -- 5.8% 3,500,000 State Refunding Series A, 6.500%, 11/01/2014 (AMBAC insured) 4,134,515 --------------- Massachusetts Bay Transportation Authority -- 3.9% 2,000,000 Sales Tax Revenue Series C, 5.000%, 7/01/2028 2,142,080 630,000 Series A, Unrefunded, 5.250%, 7/01/2030 657,185 --------------- 2,799,265 --------------- Massachusetts Development Finance Agency -- 15.6% 1,000,000 Cambridge Street Development Series A, 5.125%, 2/01/2034 (MBIA insured) 1,048,860 1,450,000 Curry College, Series A, 5.000%, 3/01/2036 (ACA insured) 1,488,744 1,000,000 Hampshire College, 5.625%, 10/01/2024 1,064,330 1,000,000 Mount Holyoke College, 5.250%, 7/01/2031 1,051,050 2,000,000 Simmons College Series H, 5.250%, 10/01/2033 (XLCA insured) 2,285,940 2,800,000 Springfield Resource Recovery Series A, 5.625%, 6/01/2019 2,920,680 1,100,000 Visual and Performing Arts, 6.000%, 8/01/2021 1,299,023 --------------- 11,158,627 --------------- Massachusetts Health & Educational Facilities Authority -- 36.1% 1,160,000 Baystate Medical Center Series F, 5.700%, 7/01/2027 1,226,480 2,000,000 Boston University Series S, 5.000%, 10/01/2039 (FGIC insured) 2,083,640 2,200,000 Catholic Health East, 5.500%, 11/15/2032 2,328,084 3,000,000 Harvard University Series N, 6.250%, 4/01/2020 3,692,490 750,000 Milford Regional Medical Center Series E, 5.000%, 7/15/2032 771,187 850,000 Milford Regional Medical Center Series E, 5.000%, 7/15/2037 870,510 2,716,000 Nichols College Series C, 6.000%, 10/01/2017 2,846,477 2,000,000 Partners Healthcare Systems Series B, 5.250%, 7/01/2029 2,069,960 2,500,000 Partners Healthcare Systems Series C, 5.750%, 7/01/2021 2,701,275 1,500,000 Sterling & Francine Clark Series A, 5.000%, 7/01/2036 1,579,290 2,000,000 University of Massachusetts Series C, 5.125%, 10/01/2034 (FGIC insured) 2,111,960 1,000,000 Wellesley College Series F, 5.125%, 7/01/2039 1,029,500 1,315,000 Wheaton College Series E, 5.000%, 7/01/2017 1,391,809 1,030,000 Williams College Series H, 5.000%, 7/01/2017 1,095,106 --------------- 25,797,768 ---------------
Principal Amount Description Value (+) - ---------------------------------------------------------------------------------------- Massachusetts Housing Finance Agency -- 3.2% $ 2,000,000 Single Family Housing Series 126, 4.700%, 6/01/2038(b) $ 1,973,460 265,000 Single Family Mortgage Series 21, 7.125%, 6/01/2025 265,464 --------------- 2,238,924 --------------- Massachusetts Port Authority -- 4.3% 1,750,000 Delta Air Lines, Inc. Project Series A, 5.500%, 1/01/2019 (AMBAC insured) 1,836,660 1,200,000 Series A, 5.000%, 7/01/2033 (MBIA insured) 1,254,168 --------------- 3,090,828 --------------- Massachusetts Water Resources Authority -- 6.9% 1,000,000 General Series A, 5.250%, 8/01/2020 (MBIA insured) 1,103,940 3,240,000 Series A, 6.500%, 7/15/2019 (FGIC insured) 3,866,908 --------------- 4,970,848 --------------- Michigan Hospital Finance Authority -- 1.5% 1,000,000 Oakwood Obligated Group, 5.500%, 11/01/2017 1,072,790 --------------- New England Education Loan Marketing -- 2.9% 2,000,000 Student Loan Revenue Bond Sub-Issue H, 6.900%, 11/01/2009 2,091,080 --------------- New Jersey Economic Development Authority -- 1.4% 1,000,000 Series A, 5.625%, 6/15/2018 1,032,300 --------------- New Jersey Transportation Trust Fund Authority -- 1.6% 1,000,000 Series A, 5.500%, 12/15/2023 1,152,220 --------------- Puerto Rico Commonwealth Aqueduct & Sewer Authority -- 4.7% 3,000,000 Aqueduct & Sewer Authoriry, 6.250%, 7/01/2013 3,371,130 --------------- Puerto Rico Commonwealth Infrastructure Financing Authority -- 2.2% 1,500,000 Series B, 5.000%, 7/01/2031 1,565,325 --------------- Puerto Rico Public Finance Corp. -- 4.5% 3,000,000 Commonwealth Appropriation Series A, 5.750%, 8/01/2027(b) 3,214,500 --------------- Sullivan County, TN, Health Educational & Housing Facilities Board Hospital Revenue -- 1.9% 1,315,000 Wellmont Health Systems Project Series C, 5.250%, 9/01/2036 1,376,555 --------------- Total Tax Exempt Obligations (Identified Cost $66,944,690) 70,110,235 ---------------
See accompanying notes to financial statements. 27 LOOMIS SAYLES MASSACHUSETTS TAX FREE INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------------------ Short-Term Investments -- 0.8% $ 555,594 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $555,791 on 4/02/2007, collateralized by $575,000 U.S. Treasury Bill, 4.890% due 5/31/2007 valued at $569,969, including accrued interest (Note 2f ) (Identified Cost $555,594) $ 555,594 --------------- Total Investments -- 98.8% (Identified Cost $67,500,284)(a) 70,665,829 Other assets less liabilities --1.2% 873,047 --------------- Net Assets -- 100% $ 71,538,876 =============== (+) See Note 2a of Notes to Financial Statements. (a) Federal Tax (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Accretion of market discount on debt securities and straddle loss deferrals are excluded for tax purposes.): At March 31, 2007, the net unrealized appreciation on investments based on cost of $67,500,271 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 $ 3,245,006 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (79,448) --------------- Net unrealized appreciation $ 3,165,558 =============== (b) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). ACA American Capital Access AMBAC American Municipal Bond Assurance Corporation FGIC Financial Guarantee Insurance Company MBIA Municipal Bond Investors Assurance Corporation XLCA XL Capital Assurance
Holdings at March 31, 2007 as a Percentage of Net Assets (unaudited) Colleges & Universities 29.0% Hospital 15.9 Water & Sewer 13.8 State Appropriations 11.9 Airport 4.3 Resource Recovery 4.1 Sales Tax 3.9 Insurance 3.2 Single-Family Housing 3.1 Student Loans 2.9 Other, less than 2% each 5.9
See accompanying notes to financial statements. 28 LOOMIS SAYLES MUNICIPAL INCOME FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------------- Tax Exempt Obligations -- 97.8% of Net Assets California -- 7.9% $ 1,000,000 California Health Facilities Financing Authority (Catholic Healthcare West), 4.950%, 7/01/2026 $ 1,055,940 1,000,000 California Health Facilities Financing Authority (Cedar-Sinai Medical Center), 5.000%, 11/15/2027 1,041,130 1,000,000 California State, 5.125%, 6/01/2027 1,043,430 2,655,000 California Statewide Communities Development Authority (California Endowment), 5.250%, 7/01/2023 2,850,196 1,500,000 California Statewide Communities Development Authority (Sutter Health), Series A, 5.000%, 11/15/2043 1,552,995 --------------- 7,543,691 --------------- Colorado -- 2.7% 2,500,000 Colorado Health Facilities Authority, 5.000%, 12/01/2035 2,535,750 --------------- District of Columbia -- 3.3% 3,000,000 Metropolitan Washington D.C. Airports Authority, 5.125%, 10/01/2029 (FGIC insured) 3,142,350 --------------- Florida -- 1.1% 1,000,000 Jacksonville, FL, Economic Development Community Health Care Facilities (Mayo Clinic), 5.000%, 11/15/2036 1,041,550 --------------- Guam -- 1.1% 1,000,000 Guam Government Waterworks Authority, 5.875%, 7/01/2035 1,070,230 --------------- Illinois -- 3.3% 1,000,000 Illinois Educational Facility Authority Revenue, 5.000%, 7/01/2033 1,040,120 2,000,000 Metropolitan Pier & Exposition Authority, IL, 5.250%, 6/15/2042 (MBIA insured) 2,115,040 --------------- 3,155,160 --------------- Kansas -- 1.0% 1,000,000 University of Kansas Hospital Authority, Health Facilities Revenue, 4.500%, 9/01/2032 985,070 --------------- Louisiana -- 5.4% 4,000,000 DeSoto Parish, LA, Environmental Improvement, 5.000%, 11/01/2018 4,075,600 1,000,000 Ernest N. Morial, New Orleans, LA, Exhibit Hall Authority, 5.000%, 7/15/2033 (AMBAC insured) 1,033,100 --------------- 5,108,700 --------------- Massachusetts -- 4.0% 1,500,000 Massachusetts State, 5.000%, 3/01/2019 1,603,950 1,000,000 Massachusetts State Development Finance Agency Revenue (Simmons College), Series H, 5.250%, 10/01/2033 (XLCA insured) 1,142,970 1,045,000 Massachusetts State Health & Educational Facilities Authority (Lahey Clinic Medical Center), 4.500%, 8/15/2035 (FGIC insured) 1,031,749 --------------- 3,778,669 ---------------
Principal Amount Description Value (+) - --------------------------------------------------------------------------------------------- Michigan -- 6.2% $ 1,500,000 Michigan State Hospital Finance Authority Revenue (Henry Ford Health System), Series A, 5.000%, 11/15/2038 $ 1,556,760 1,100,000 Michigan State Hospital Finance Authority Revenue (Oakwood Obligated Group), 5.500%, 11/01/2014 1,185,965 1,000,000 Taylor Brownfield Redevelopment Authority, MI, 5.000%, 5/01/2025 (MBIA insured) 1,055,680 2,000,000 University of Michigan Hospital, 5.250%, 12/01/2020 2,125,360 --------------- 5,923,765 --------------- Minnesota -- 3.4% 1,000,000 Chaska Minnesota Electric Revenue, 5.250%, 10/01/2025 1,072,870 2,000,000 Minnesota State Municipal Power Agency, 5.250%, 10/01/2024 2,133,780 --------------- 3,206,650 --------------- Mississippi -- 6.9% 2,000,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.700%, 4/01/2022 2,417,260 2,500,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.800%, 4/01/2022 3,048,200 1,000,000 Mississippi, Hospital Equipment & Facilities Authority Mortgage Revenue (Delta Regional Medical Center) 5.000%, 2/01/2035 (MBIA insured) 1,051,460 --------------- 6,516,920 --------------- New Jersey -- 5.7% 1,000,000 New Jersey Economic Development Authority, 5.500%, 6/15/2024 1,045,980 1,000,000 New Jersey Economic Development Authority, Cigarette Tax, 5.625%, 6/15/2018 1,032,300 1,000,000 New Jersey Health Care Facilities Financing Authority (Catholic Health East), 5.375%, 11/15/2033 1,054,080 2,000,000 New Jersey Transportation Trust Fund Authority, Series A, 5.500%, 12/15/2023 2,304,440 --------------- 5,436,800 --------------- New York -- 17.6% 1,020,000 New York, NY, 6.000%, 1/15/2020 1,130,946 1,400,000 New York, NY, City Health & Hospital Corp., 5.000%, 2/15/2020 (FSA insured) 1,461,264 1,000,000 New York, NY, City Industrial Development Agency, 5.500%, 1/01/2024(b) 1,076,030 2,000,000 New York, NY, City Municipal Water Finance Authority, Series C, 5.000%, 6/15/2025 (MBIA insured) 2,119,840 1,000,000 New York, NY, City Municipal Water Finance Authority, Series A, 5.125%, 6/15/2034 (FSA insured) 1,050,350 1,000,000 New York State Dormitory Authority (Rockefeller University), 5.000%, 7/01/2032(b) 1,047,770 2,000,000 New York State Dormitory Authority, 5.500%, 5/15/2013 2,153,440 2,200,000 New York State Dormitory Authority, 5.750%, 7/01/2013 2,382,446
See accompanying notes to financial statements. 29 LOOMIS SAYLES MUNICIPAL INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount Description Value (+) - -------------------------------------------------------------------------------------------- New York -- continued $ 1,000,000 New York State Housing Finance Agency, 5.250%, 9/15/2019 $ 1,096,740 3,000,000 New York State Municipal Bond Bank Agency, Series C, 5.250%, 6/01/2020 3,207,810 --------------- 16,726,636 --------------- North Carolina -- 1.5% 1,300,000 North Carolina Eastern Municipal Power Agency, Series A, 5.500%, 1/01/2012 1,389,167 --------------- Oregon -- 3.0% 1,750,000 Multnomah County, OR, Hospital Facilities Authority (Providence Health System), 5.250%, 10/01/2012 1,872,920 500,000 Oregon, Western Generation Agency, Wauna Cogeneration Project, Series A, 5.000%, 1/01/2020 517,350 485,000 Oregon, Western Generation Agency, Wauna Cogeneration Project, Series A, 5.000%, 1/01/2021 500,767 --------------- 2,891,037 --------------- Pennsylvania -- 3.4% 3,000,000 Pennsylvania State Industrial Development Authority, 5.500%, 7/01/2019 (AMBAC insured) 3,270,750 --------------- Puerto Rico -- 3.4% 1,000,000 Puerto Rico Commonwealth Infrastructure Financing Authority, Series A, 5.500%, 10/01/2040 1,071,330 2,000,000 Puerto Rico Public Finance Corp., Commonwealth Appropriation, Series A, 5.750%, 8/01/2027(b) 2,143,000 --------------- 3,214,330 --------------- South Carolina -- 3.4% 1,100,000 Charleston Educational Excellence Finance Corp., 5.250%, 12/01/2030 1,173,997 1,155,000 Lexington One School Facilities Corp., 5.000%, 12/01/2026 1,211,768 800,000 Newberry Investing in Children's Education (Newberry County School District), 5.250%, 12/01/2022 840,240 --------------- 3,226,005 --------------- South Dakota -- 1.4% 1,250,000 South Dakota Health & Educational Facilities Authority (Sioux Valley Hospital), 5.250%, 11/01/2027 1,319,425 --------------- Tennessee -- 5.1% 2,000,000 Knox County, TN Health Educational & Housing Facilities Board, Hospital Facilities Revenue, Series A, Zero Coupon Bond, 1/01/2035 500,020 2,500,000 Tennessee Energy Acquisition Corp., Gas Revenue, Series A, 5.250%, 9/01/2026 2,768,400 1,500,000 Tennessee Housing Development Agency, Series A, 5.200%, 7/01/2023 1,571,865 --------------- 4,840,285 ---------------
Principal Amount Description Value (+) - ------------------------------------------------------------------------------------------------------ Texas -- 4.7% $ 1,130,000 Conroe, TX, Independent School District, 4.500%, 2/15/2030 $ 1,128,339 2,000,000 Dallas-Fort Worth, TX, International Airport, 5.500%, 11/01/2033 (MBIA insured) 2,133,760 1,260,000 Keller, TX, Independent School District, Series A, 4.500%, 8/15/2031 1,247,060 --------------- 4,509,159 --------------- Washington -- 2.3% 2,000,000 Energy Northwest, WA, Electric, Project No. 1, Series A, 5.500%, 7/01/2014 2,209,360 --------------- Total Tax Exempt Obligations (Identified Cost $89,757,508) 93,041,459 --------------- Principal Amount - ------------------------------------------------------------------------------------------------------ Short-Term Investments -- 1.0% $ 950,906 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $951,243 on 4/02/2007, collateralized by $980,000 U.S. Treasury Bill, 4.890% due 5/31/2007 valued at $971,425, including accrued interest (Note 2f ) (Identified Cost $950,906) 950,906 --------------- Total Investments -- 98.8% (Identified Cost $90,708,414)(a) 93,992,365 Other assets less liabilities --1.2% 1,102,231 --------------- Net Assets -- 100% $ 95,094,596 =============== (+) See Note 2a of Notes to Financial Statements. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Accretion of market discount on debt securities and straddle loss deferrals are excluded for tax purposes.): At March 31, 2007, the net unrealized appreciation on investments based on cost of $90,393,119 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 $ 3,705,738 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (106,492) --------------- Net unrealized appreciation $ 3,599,246 =============== (b) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). AMBAC American Municipal Bond Assurance Corp. FGIC Financial Guarantee Insurance Company FSA Financial Security Assurance, Inc. MBIA Municipal Bond Investors Assurance Corp. XLCA XL Capital Assurance
See accompanying notes to financial statements. 30 LOOMIS SAYLES MUNICIPAL INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited) Holdings at March 31, 2007 as a Percentage of Net Assets (unaudited) Corporate Backed/Industrial Revenue/Pollution Control 13.5% Hospital 11.4 Hospital Obligated Group 8.4 Electric 8.2 Colleges & Universities 6.9 Special Tax 6.6 Airport 5.5 State Appropriation 4.7 Lease 4.5 Water & Sewerage 4.5 Bond Bank/Pooled Loan Program 3.4 Non-Profit 3.0 Gas 2.9 State General Obligation 2.8 Senior Living 2.7 School District 2.5 City & Town 2.3 Other, less than 2% each 4.0
See accompanying notes to financial statements. 31 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - -------------------------------------------------------------------------------------------- Bonds and Notes -- 90.7% of Net Assets Convertible Bonds -- 3.9% Canada -- 0.1% $ 8,499,000 Nortel Networks Corp., Guaranteed Senior Note, 4.250%, 9/01/2008 $ 8,392,762 --------------- United States -- 3.8% 12,755,000 Avnet, Inc., 2.000%, 3/15/2034 15,226,281 32,815,000 Bristol-Myers Squibb Co., 4.855%, 9/15/2023(b)(c) 33,061,112 200,000 Builders Transport, Inc., Subordinated Note, 6.500%, 5/01/2011(d) -- 1,000,000 Builders Transport, Inc., Subordinated Note, 8.000%, 8/15/2005(d) -- 750,000 Ciena Corp., 3.750%, 2/01/2008 735,938 157,000 Dixie Group, Inc., Subordinated Note, 7.000%, 5/15/2012 146,991 14,933,000 Enzon, Inc., 4.500%, 7/01/2008 14,541,009 5,111,000 EPIX Pharmaceuticals, Inc., Senior Note, 3.000%, 6/15/2024 4,350,739 7,140,000 Human Genome Sciences, Inc., 2.250%, 8/15/2012 6,292,125 28,760,000 Incyte Corp., 3.500%, 2/15/2011 25,093,100 4,865,000 Inhale Therapeutic Systems, Inc., Subordinated Note, 3.500%, 10/17/2007 4,773,781 12,005,000 Invitrogen Corp., 1.500%, 2/15/2024 10,699,456 2,360,000 IVAX Corp., Senior Subordinated Note, 4.500%, 5/15/2008 2,377,700 8,030,000 Kellwood Co., (step to 0.000% on 6/15/2011), 3.500%, 6/15/2034(e) 7,347,450 6,670,000 Kulicke & Soffa Industries, Inc., Subordinated Note, 0.500%, 11/30/2008 6,053,025 3,540,000 Kulicke & Soffa Industries, Inc., Subordinated Note, 1.000%, 6/30/2010 3,402,825 14,893,000 Level 3 Communications, Inc., 6.000%, 9/15/2009 14,390,361 34,370,000 Level 3 Communications, Inc., 6.000%, 3/15/2010(c) 32,995,200 6,138,025 Liberty Media LLC, 3.500%, 1/15/2031 6,007,592 4,591,000 Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(f) 4,315,540 18,491,000 Nektar Therapeutics, 3.250%, 9/28/2012 17,866,929 625,000 Nextel Communications, Inc., Senior Note, 5.250%, 1/15/2010 620,313 500,000 Preston Corp., Subordinated Note, 7.000%, 5/01/2011 470,000 20,000,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, 5.500%, 10/17/2008 21,150,000 311,000 Richardson Electronics, Ltd., 7.750%, 12/15/2011 308,668 7,716,000 Sinclair Broadcast Group, Inc., (step to 2.000% on 1/15/2011), 4.875%, 7/15/2018(e) 7,590,615 20,555,000 Valeant Pharmaceuticals International, Subordinated Note, 3.000%, 8/16/2010 18,807,825
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------------- United States -- continued $ 24,477,000 Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013(c) $ 22,304,666 23,130,000 Wells Fargo & Co., 5.110%, 5/01/2033(b)(c) 23,073,100 --------------- 304,002,341 --------------- Total Convertible Bonds (Identified Cost $299,802,106) 312,395,103 --------------- Non-Convertible Bonds -- 86.8% Argentina -- 0.3% 2,405,000 Petrobras Energia SA, Series A, 144A, 8.125%, 7/15/2010 2,531,263 51,531,500 Republic of Argentina, 2.000%, 9/30/2014, (ARS) 14,441,188 8,906,250 Republic of Argentina, 5.475%, 8/03/2012(b) 8,457,375 1,380,120 Republic of Argentina, 8.280%, 12/31/2033(b)(c)(g) 1,603,699 --------------- 27,033,525 --------------- Australia -- 0.4% 1,000,000 General Motors Acceptance Corp. of Australia, Ltd., Series E, (MTN), 6.500%, 8/10/2007, (AUD) 795,418 1,500,000 Qantas Airways, Ltd., 144A, 5.125%, 6/20/2013 1,336,212 31,220,000 Qantas Airways, Ltd., 144A, 6.050%, 4/15/2016 27,211,134 --------------- 29,342,764 --------------- Bermuda -- 0.2% 11,855,000 Weatherford International, Ltd., 6.500%, 8/01/2036 11,853,601 --------------- Brazil -- 2.2% 9,922,000 Republic of Brazil, 8.250%, 1/20/2034(c) 12,452,110 6,000,000 Republic of Brazil, 8.875%, 4/15/2024 7,800,000 43,700,000 Republic of Brazil, 10.250%, 1/10/2028, (BRL) 21,157,477 140,235,000 Republic of Brazil, 12.500%, 1/05/2016, (BRL)(c) 78,356,808 107,840,000 Republic of Brazil, 12.500%, 1/05/2022, (BRL) 61,122,245 --------------- 180,888,640 --------------- Canada -- 17.3% 250,000 Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 212,500 8,125,000 Abitibi-Consolidated, Inc., 7.400%, 4/01/2018 6,946,875 12,060,000 Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 10,009,800 2,960,000 Abitibi-Consolidated, Inc., 8.500%, 8/01/2029 2,575,200 39,846,000 Abitibi-Consolidated, Inc., 8.850%, 8/01/2030 35,462,940 750,000 Avenor, Inc., 10.850%, 11/30/2014, (CAD) 705,793 2,795,000 Bombardier, Inc., 7.350%, 12/22/2026, (CAD) 2,402,804
See accompanying notes to financial statements. 32 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------------- Canada -- continued $ 15,600,000 Bombardier, Inc., 144A, 7.450%, 5/01/2034 $ 14,664,000 361,535,000 Canadian Government, 2.750%, 12/01/2007, (CAD)(c) 310,221,769 14,525,000 Canadian Government, 4.000%, 6/01/2016, (CAD)(c) 12,465,457 319,550,000 Canadian Government, 4.250%, 9/01/2008, (CAD)(c) 277,506,132 436,930,000 Canadian Government, 4.250%, 12/01/2008, (CAD) 379,733,611 10,555,000 Canadian Government, 4.250%, 9/01/2009, (CAD) 9,191,855 11,010,000 Canadian Government, 4.500%, 9/01/2007, (CAD) 9,542,890 35,580,000 Canadian Government, 5.750%, 6/01/2033, (CAD) 38,344,423 24,200,000 Canadian Government, 6.000%, 6/01/2008, (CAD) 21,407,305 7,955,000 Domtar, Inc., 5.375%, 12/01/2013 7,328,544 335,000 GMAC Canada, Ltd., Series E, (MTN), 6.625%, 12/17/2010, (GBP) 646,045 945,000 GMAC Canada, Ltd., 7.750%, 9/26/2008, (NZD) 654,809 9,790,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 5.700%, 1/05/2016 9,179,172 42,635,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 6.400%, 1/05/2036 38,176,829 9,975,000 Nortel Networks Corp., 6.875%, 9/01/2023 9,276,750 22,320,000 Nortel Networks, Ltd., 144A, 10.125%, 7/15/2013 24,496,200 22,930,000 North American Energy Partners, Inc., Senior Note, 8.750%, 12/01/2011 23,388,600 5,800,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 5,582,500 36,735,000 Province of British Columbia, 6.000%, 6/09/2008, (CAD) 32,489,395 13,000,000 Province of Manitoba, 4.450%, 12/01/2008, (CAD) 11,315,349 6,685,000 Province of Manitoba, 5.750%, 6/02/2008, (CAD) 5,893,918 6,745,000 Province of Ontario, 3.875%, 3/08/2008, (CAD) 5,820,739 40,020,000 Province of Ontario, 5.700%, 12/01/2008, (CAD) 35,526,113 18,470,000 Province of Saskatchewan, 5.500%, 6/02/2008, (CAD) 16,239,361 2,525,000 Rogers Wireless Communications, Inc., Senior Secured Note, 6.375%, 3/01/2014 2,588,125 8,500,000 Rogers Wireless Communications, Inc., Senior Note, 7.625%, 12/15/2011, (CAD) 8,190,113 10,000,000 Shaw Communications, Inc., 5.700%, 3/02/2017, (CAD) 8,636,206 29,010,000 Telus Corp., 4.950%, 3/15/2017, (CAD) 24,698,076 --------------- 1,401,520,198 ---------------
Principal Amount (++) Description Value (+) - -------------------------------------------------------------------------------------------- Cayman Islands -- 0.0% $ 1,000,000 Enersis SA, Cayman Island, 7.400%, 12/01/2016 $ 1,100,617 --------------- Chile -- 0.2% 4,875,000 Empresa Nacional de Electricidad SA, Chile, 7.875%, 2/01/2027 5,526,232 250,000 Empresa Nacional de Electricidad SA, Chile, 8.350%, 8/01/2013 283,476 1,700,000 Empresa Nacional de Electricidad SA, Chile, 8.625%, 8/01/2015(c) 2,005,959 4,525,000 Enersis SA, Chile, 7.375%, 1/15/2014(c) 4,911,390 --------------- 12,727,057 --------------- France -- 0.2% 224,520,000,000 BNP Paribas SA, Series E, (MTN), 144A, Zero Coupon, 6/13/2011, (IDR) 16,558,651 --------------- India -- 0.1% 6,800,000 ICICI Bank Ltd., 144A, 6.375%, 4/30/2022(b) 6,737,460 --------------- Ireland -- 0.8% 35,410,000 Elan Finance PLC, Senior Note, 7.750%, 11/15/2011 34,790,325 32,520,000 Elan Finance PLC, 144A, 8.875%, 12/01/2013 33,048,450 --------------- 67,838,775 --------------- Malaysia -- 0.2% 20,000,000 Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011(c) 19,834,000 --------------- Mexico -- 3.1% 11,265,000 Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 11,625,480 3,245,000(++) Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) 30,176,817 17,299,000(++) Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) 162,141,149 4,738,000(++) Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012, (MXN) 45,919,529 --------------- 249,862,975 --------------- Netherlands -- 1.8% 1,800,000 Koninklijke (Royal) KPN NV, Series G, (MTN), 4.000%, 6/22/2015, (EUR) 2,227,925 1,120,000 Koninklijke (Royal) KPN NV, Series E, (MTN), 5.750%, 3/18/2016, (GBP) 2,145,674 8,098,000 Koninklijke (Royal) KPN NV, 8.375%, 10/01/2030 9,167,592 8,580,000,000 Rabobank Nederland, Series E (MTN), 144A, 13.500%, 1/28/2008, (ISK) 130,045,818 --------------- 143,587,009 --------------- Norway -- 0.0% 10,000,000 Kingdom of Norway, 5.500%, 5/15/2009, (NOK) 1,669,646 --------------- Philipines -- 0.1% 3,700,000 Philippine Long Distance Telephone Co., Series E, (MTN), 8.350%, 3/06/2017 4,181,000 1,743,000 Quezon Power (Philippines), Ltd., Senior Secured Note, 8.860%, 6/15/2017 1,804,005 --------------- 5,985,005 ---------------
See accompanying notes to financial statements. 33 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------------- Republic of Korea -- 0.1% $ 5,470,000 Hanarotelecom, Inc., 144A, 7.000%, 2/01/2012 $ 5,545,213 5,000,000 Hynix Semiconductor, Inc., 144A, 9.875%, 7/01/2012(c) 5,575,000 300,000 Samsung Electronics Co., Ltd., 144A, 7.700%, 10/01/2027 318,574 --------------- 11,438,787 --------------- Singapore -- 0.0% 1,050,000 SP PowerAssets, Ltd., Series E, (MTN), 3.730%, 10/22/2010, (SGD) 705,819 --------------- South Africa -- 0.6% 320,500,000 Republic of South Africa, 13.000%, 8/31/2010, (ZAR) 50,355,765 --------------- Spain -- 1.5% 113,785,000 Telefonica Emisiones SAU, Guaranteed Note, 7.045%, 6/20/2036 121,509,636 --------------- Supranational -- 2.7% 15,543,570 European Investment Bank, 144A, Zero Coupon, 9/12/2008, (BRL) 6,447,077 128,250,000 European Investment Bank, Senior Note, Zero Coupon, 3/10/2021, (AUD) 45,387,517 134,330,000 European Investment Bank, 144A, 4.600%, 1/30/2037, (CAD) 116,204,467 80,000,000 Inter-American Development Bank, Series E, (MTN), Zero Coupon, 5/11/2009, (BRL) 29,587,924 24,450,000 Inter-American Development Bank, Series E, (MTN), 6.000%, 12/15/2017, (NZD) 16,225,817 12,125,000 Inter-American Development Bank, Series G, (MTN), 6.250%, 6/22/2016, (NZD) 8,198,650 --------------- 222,051,452 --------------- Sweden -- 0.4% 207,265,000 Kingdom of Sweden, 6.500%, 5/05/2008, (SEK) 30,575,654 --------------- Thailand -- 0.4% 28,255,000 True Move Co., Ltd., 144A, 10.750%, 12/16/2013 28,749,463 --------------- United Kingdom -- 0.2% 72,717,436,000 JPMorgan Chase Bank, 144A, Zero Coupon, 10/21/2010, (IDR) 5,798,620 1,000,000 Virgin Media Finance PLC, 9.125%, 8/15/2016 1,055,000 4,570,000 Virgin Media Finance PLC, 9.750%, 4/15/2014, (GBP) 9,510,173 1,605,000 Vodafone Group PLC, 6.150%, 2/27/2037 1,549,436 --------------- 17,913,229 --------------- United States -- 53.6% 5,565,000 AES Corp. (The), 8.375%, 3/01/2011, (GBP) 11,334,369 4,020,000 AES Corp. (The), Senior Note, 7.750%, 3/01/2014 4,221,000 1,190,000 Affiliated Computer Services, Inc., 5.200%, 6/01/2015 1,116,648 13,242,000 Albertson's, Inc., 6.625%, 6/01/2028 12,123,859
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------------- United States -- continued $ 17,735,000 Albertson's, Inc., 7.750%, 6/15/2026 $ 17,960,696 69,796,000 Albertson's, Inc., Senior Note, 7.450%, 8/01/2029 68,660,628 4,895,000 Albertson's, Inc., Senior Note, 8.000%, 5/01/2031 4,988,881 1,510,000 Albertson's, Inc., Senior Note, 8.700%, 5/01/2030 1,633,607 4,785,000 Allstate Corp., 5.950%, 4/01/2036 4,771,702 1,750,000 Altria Group, Inc., 7.000%, 11/04/2013 1,900,467 825,000 American Airlines, Inc., Series 1999-1, Class B, 7.324%, 10/15/2009 838,406 1,225,697 American Airlines, Inc., Series 93A6, 8.040%, 9/16/2011 1,234,890 6,950,000 Amkor Technology, Inc., Senior Note, 7.125%, 3/15/2011(c) 6,811,000 475,000 Amkor Technology, Inc., Senior Note, 7.750%, 5/15/2013(c) 465,500 980,000 Amkor Technology, Inc., Senior Subordinated Note, 10.500%, 5/01/2009(c) 982,450 37,190,000 Anadarko Petroleum Corp., 5.950%, 9/15/2016 37,268,322 39,805,000 Anadarko Petroleum Corp., 6.450%, 9/15/2036 39,388,918 10,503,000 APL Ltd., Senior Note, 8.000%, 1/15/2024(f) 9,756,132 1,585,000 Aramark Services, Inc., 5.000%, 6/01/2012 1,422,538 4,640,000 Arrow Electronics, Inc., 6.875%, 6/01/2018 4,850,995 8,000,000 ASIF Global Financing, 144A, 2.380%, 2/26/2009, (SGD) 5,198,083 10,245,000 AT&T, Corp., 6.500%, 3/15/2029 10,078,826 8,500,000 AT&T, Inc., 6.150%, 9/15/2034(c) 8,365,734 17,574,841 Atlas Air, Inc., Series 1998-1, Class 1B, 7.680%, 1/02/2014(h) 19,332,325 350,169 Atlas Air, Inc., Series 1999-1, Class A2, 6.880%, 7/02/2009 352,795 12,740,207 Atlas Air, Inc., Series 1999-1, Class B, 7.630%, 1/02/2015(h) 14,109,779 4,744,556 Atlas Air, Inc., Series 1999-1, Class C, 8.770%, 1/02/2011(h) 4,602,219 5,323,737 Atlas Air, Inc., Series 2000-1, Class B, 9.057%, 1/02/2014(h) 6,228,772 6,862,758 Atlas Air, Inc., Series C, 8.010%, 1/02/2010(h) 6,039,227 30,125,000 Avnet, Inc., 5.875%, 3/15/2014 29,915,450 35,630,000 Avnet, Inc., 6.000%, 9/01/2015 35,326,789 11,345,000 Avnet, Inc., 6.625%, 9/15/2016 11,709,878 22,125,000 BAC Capital Trust VI, 5.625%, 3/08/2035 20,555,275 17,310,000,000 Barclays Financial LLC, 144A, 4.060%, 9/16/2010, (KRW) 17,440,635
See accompanying notes to financial statements. 34 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------ United States -- continued $ 1,006,000,000 Barclays Financial LLC, 144A, 4.160%, 2/22/2010, (THB) $ 29,138,988 21,340,000,000 Barclays Financial LLC, 144A, 4.460%, 9/23/2010, (KRW) 22,623,848 56,650,000,000 Barclays Financial LLC, 144A, 4.470%, 12/04/2011, (KRW) 59,949,766 337,000,000 Barclays Financial LLC, 144A, 5.500%, 11/01/2010, (THB) 10,107,394 529,000,000 Barclays Financial LLC, Series E, (MTN), 144A, 4.100%, 3/22/2010, (THB) 15,319,316 15,195,000 BellSouth Corp., 6.000%, 11/15/2034(c) 14,637,192 21,174,000 Borden, Inc., 7.875%, 2/15/2023 18,050,835 6,920,000 Borden, Inc., 8.375%, 4/15/2016 6,435,600 8,757,000 Borden, Inc., 9.200%, 3/15/2021 8,341,042 2,685,000 Bowater, Inc., 6.500%, 6/15/2013(c) 2,423,212 2,840,000 Centex Corp., 5.250%, 6/15/2015(c) 2,591,545 21,365,000 Chesapeake Energy Corp., 6.500%, 8/15/2017 21,097,937 22,690,000 Chesapeake Energy Corp., 6.875%, 11/15/2020 22,576,550 15,325,000 CIGNA Corp., 6.150%, 11/15/2036 15,186,830 425,000 Cincinnati Bell, Inc., 8.375%, 1/15/2014 434,563 3,055,000 CIT Group, Inc., 6.000%, 4/01/2036 2,961,208 2,500,000 CIT Group, Inc., Series E, Senior Note, (MTN), 5.500%, 12/01/2014, (GBP) 4,708,079 18,650,000 Citibank NA, 144A, 15.000%, 7/02/2010, (BRL) 10,294,034 35,260,000 Citizens Communications Co., 144A, 7.875%, 1/15/2027 36,053,350 2,405,000 Colorado Interstate Gas Co., 5.950%, 3/15/2015 2,420,017 2,670,000 Colorado Interstate Gas Co., 6.800%, 11/15/2015 2,839,500 41,635,000 Comcast Corp., 5.650%, 6/15/2035 37,722,642 34,570,000 Comcast Corp., 6.450%, 3/15/2037 34,609,410 20,175,000 Comcast Corp., 6.500%, 11/15/2035 20,327,846 6,398,540 Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 1/02/2017 6,350,551 8,655,346 Continental Airlines, Inc., Series 1998-1, Class 1B, 6.748%, 3/15/2017 8,666,165 7,034,243 Continental Airlines, Inc., Series 1999-1, Class B, 6.795%, 8/02/2018 7,029,847 2,426,773 Continental Airlines, Inc., Series 1999-1, Class C, 6.954%, 8/02/2009 2,414,639 4,425,167 Continental Airlines, Inc., Series 1999-2, Class B, 7.566%, 3/15/2020 4,480,482 7,733,554 Continental Airlines, Inc., Series 2000-2, Class B, 8.307%, 4/02/2018 8,062,230
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------------- United States -- continued $ 2,803,874 Continental Airlines, Inc., Series 2001-1, Class B, 7.373%, 12/15/2015 $ 2,817,893 304,984 Continental Airlines, Inc., Series 96-A, 6.940%, 10/15/2013 311,083 2,836,149 Continental Airlines, Inc., Series 971A, 7.461%, 4/01/2015 2,960,230 6,225,000 Corning, Inc., 5.900%, 3/15/2014 6,367,814 6,220,000 Corning, Inc., 6.200%, 3/15/2016 6,391,516 650,000 Corning, Inc., 6.750%, 9/15/2013 698,027 6,150,000 Corning, Inc., 6.850%, 3/01/2029 6,421,184 4,725,000 Corning, Inc., 7.250%, 8/15/2036 4,980,764 400,000 CSC Holdings, Inc., Senior Note, 7.875%, 2/15/2018 411,000 250,000 CSC Holdings, Inc., Series B, Senior Note, 8.125%, 7/15/2009 258,750 250,000 CSC Holdings, Inc., Series B, Senior Note, 8.125%, 8/15/2009 258,750 18,600,000 CSX Corp., 6.000%, 10/01/2036(c) 17,736,886 2,145,000 Cummins, Inc., 7.125%, 3/01/2028 2,224,440 1,853,000 Cummins, Inc., 6.750%, 2/15/2027 1,854,809 19,745,000 DCP Midstream LP, 144A, 6.450%, 11/03/2036 20,082,679 8,558,000 Dillard's, Inc., 6.625%, 1/15/2018(c) 8,311,957 1,500,000 Dillard's, Inc., 7.750%, 7/15/2026 1,477,500 425,000 Dillard's, Inc., 7.875%, 1/01/2023 422,344 4,187,000 Dillard's, Inc., 7.130%, 8/01/2018 4,118,961 3,325,000 Dillard's, Inc., Class A, 7.000%, 12/01/2028 3,025,750 1,935,000 Dole Food Co., Inc., 8.625%, 5/01/2009 1,930,163 8,180,000 Dominion Resources, Inc., Senior Note, Series B, 5.950%, 6/15/2035 7,949,586 4,335,000 DR Horton, Inc., 5.625%, 9/15/2014 4,120,244 1,625,000 DR Horton, Inc., 6.500%, 4/15/2016 1,589,245 16,160,000 DR Horton, Inc., Guaranteed Note, 5.625%, 1/15/2016(c) 14,948,259 43,470,000 DR Horton, Inc., Senior Note, 5.250%, 2/15/2015 39,750,707 11,275,000 Dynegy Holdings, Inc., 7.125%, 5/15/2018 10,824,000 10,185,000 Dynegy Holdings, Inc., 7.625%, 10/15/2026 9,879,450 7,455,000 Dynegy Holdings, Inc., 8.375%, 5/01/2016 7,753,200 3,705,000 Edison Mission Energy Corp., Senior Note, 7.730%, 6/15/2009 3,834,675
See accompanying notes to financial statements. 35 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------ United States -- continued $ 15,685,000 El Paso Corp., 6.950%, 6/01/2028 $ 16,116,337 1,965,000 El Paso Corp., 7.000%, 5/15/2011 2,063,250 925,000 El Paso Corp., 7.750%, 6/15/2010(c) 985,125 750,000 El Paso Corp., Senior Note, (MTN), 7.800%, 8/01/2031 828,750 1,600,000 El Paso Energy Corp., 6.750%, 5/15/2009(c) 1,638,000 1,000,000 El Paso Energy Corp., (MTN), 7.750%, 1/15/2032(c) 1,105,000 5,330,000 Embarq Corp., 7.995%, 6/01/2036 5,503,817 5,255,000 Energy Transfer Partners LP, 6.125%, 2/15/2017 5,369,596 3,855,000 Energy Transfer Partners LP, 6.625%, 10/15/2036 3,943,441 7,940,000 Federated Retail Holdings, Inc., 6.375%, 3/15/2037 7,717,609 5,000,000 FHLMC, 3.220%, 6/20/2007, (SGD) 3,297,815 35,900,000 FNMA, 2.290%, 2/19/2009, (SGD) 23,332,764 17,816,000 Ford Motor Co., 6.375%, 2/01/2029(c) 12,693,900 1,705,000 Ford Motor Co., 6.500%, 8/01/2018(c) 1,359,738 500,000 Ford Motor Co., 6.625%, 2/15/2028(c) 361,250 72,614,000 Ford Motor Co., 6.625%, 10/01/2028 52,463,615 1,940,000 Ford Motor Co., 7.125%, 11/15/2025 1,459,850 86,090,000 Ford Motor Co., 7.450%, 7/16/2031(c) 66,612,137 800,000 Ford Motor Co., 7.500%, 8/01/2026 624,000 26,070,000 Ford Motor Credit Co., 5.700%, 1/15/2010 24,956,055 10,685,000 Ford Motor Credit Co., 7.000%, 10/01/2013(c) 9,932,637 15,465,000 Ford Motor Credit Co., 7.250%, 10/25/2011 15,030,480 14,595,000 Ford Motor Credit Co., 8.000%, 12/15/2016 14,043,937 9,905,000 Ford Motor Credit Co., 8.625%, 11/01/2010 10,108,260 23,605,000 Freescale Semiconductor, Inc., 144A, 10.125%, 12/15/2016(c) 23,664,012 222,777,000 General Electric Capital Corp., 6.500%, 9/28/2015, (NZD) 149,186,816 30,350,000 General Electric Capital Corp., Series A, (MTN), 6.625%, 2/04/2010, (NZD) 21,016,405 500,000 General Electric Capital Corp., Series E, (MTN), 1.725%, 6/27/2008, (SGD) 324,181 3,100,000 General Electric Capital Corp., Series E, (MTN), 6.125%, 5/17/2012, (GBP) 6,191,661 47,925,000 General Electric Capital Corp., Series E, (MTN), 6.750%, 9/26/2016, (NZD) 33,006,933
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------------- United States -- continued $ 115,000,000 General Electric Capital Corp., Series G, (MTN), 3.485%, 3/08/2012, (SGD) $ 76,730,617 1,035,000 General Motors Corp., 8.375%, 7/15/2033(c) 928,913 4,775,000 Georgia Gulf Corp., 144A, 10.750%, 10/15/2016(c) 4,584,000 10,895,000 Georgia-Pacific Corp., 7.250%, 6/01/2028 10,404,725 10,040,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 9,688,600 41,260,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 40,847,400 9,380,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 9,426,900 11,878,000 Georgia-Pacific Corp., 8.875%, 5/15/2031 12,590,680 6,625,000 GMAC LLC, 6.310%, 7/16/2007(b) 6,624,980 820,000 GMAC LLC, 8.000%, 11/01/2031 879,158 4,650,000 GMAC LLC, (MTN), 6.750%, 12/01/2014 4,571,378 4,360,000 Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 4,054,800 1,845,000 Goodyear Tire & Rubber Co., 9.000%, 7/01/2015(c) 2,024,888 2,590,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013 2,570,575 5,790,000 GTE Corp., 6.940%, 4/15/2028 6,106,366 185,000 Hawaiian Telcom Communications, Inc., 12.500%, 5/01/2015(c) 202,575 18,025,000 HCA, Inc., 6.500%, 2/15/2016(c) 15,343,781 12,875,000 HCA, Inc., 7.050%, 12/01/2027 10,213,531 8,742,000 HCA, Inc., 7.500%, 12/15/2023 7,417,779 17,530,000 HCA, Inc., 7.500%, 11/06/2033 14,944,325 10,240,000 HCA, Inc., 7.580%, 9/15/2025 8,643,410 21,372,000 HCA, Inc., 7.690%, 6/15/2025 18,423,497 4,490,000 HCA, Inc., 7.750%, 7/15/2036 3,804,260 6,155,000 HCA, Inc., 8.360%, 4/15/2024 5,606,005 1,000,000 HCA, Inc., Senior Note, 5.750%, 3/15/2014 853,750 10,500,000 Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029 8,925,000 34,205,000 Highwoods Properties, Inc., 144A, 5.850%, 3/15/2017 33,955,611 9,995,000 Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015 9,820,087 11,370,000 Hospira, Inc., 6.050%, 3/30/2017 11,361,075 66,372,000 HSBC Bank PLC, 144A, Zero Coupon, 4/18/2012, (MYR) 16,240,264
See accompanying notes to financial statements. 36 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - ---------------------------------------------------------------------------------------- United States -- continued $ 119,806,078 HSBC Bank USA, 144A, Zero Coupon, 11/28/2011 $ 78,413,078 16,050,000 HSBC Bank USA, 144A, 3.310%, 8/25/2010 17,576,355 5,310,000 ITC Holdings Corp., 144A, 6.375%, 9/30/2036 5,340,973 640,000 JC Penney Corp., Inc., 7.125%, 11/15/2023(c) 701,500 3,445,000 Jefferson Smurfit Corp., 7.500%, 6/01/2013 3,341,650 1,425,000 Joy Global, Inc., 6.625%, 11/15/2036 1,435,026 109,312,000,000 JPMorgan Chase & Co., 144A Zero Coupon, 3/28/2011, (IDR) 8,301,615 599,726,100,000 JPMorgan Chase & Co., 144A Zero Coupon, 3/28/2011, (IDR) 45,545,730 229,157,783,660 JPMorgan Chase & Co., 144A, Zero Coupon, 4/12/2012, (IDR) 15,782,831 92,000,000 JPMorgan Chase Bank, 144A, Zero Coupon, 5/17/2010, (BRL) 32,092,742 2,365,000 K N Capital Trust III, 7.630%, 4/15/2028(c) 2,283,275 4,300,000 K N Energy, Inc., 6.670%, 11/01/2027 3,961,680 6,180,000 K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016(c) 5,762,850 2,655,000 K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.375%, 12/15/2014 2,323,125 8,940,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.250%, 1/15/2016 7,666,050 1,750,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.500%, 1/15/2014 1,566,250 10,975,000 KB Home, 7.250%, 6/15/2018 10,135,687 7,515,000 Kellwood Co., 7.625%, 10/15/2017 6,955,095 1,915,000 Kimball Hill Homes, Inc., 10.500%, 12/15/2012 1,838,400 11,288,000 Kinder Morgan, Inc., Senior Note, 5.150%, 3/01/2015 10,352,586 1,650,000 Koppers Holdings, Inc., (step to 9.875% on 11/15/2009), 0.000%, 11/15/2014(e) 1,388,063 22,525,000 Lennar Corp., Series A, 6.500%, 4/15/2016(c) 22,148,112 1,600,000 Lennar Corp., Series B, Class A, Guaranteed Note, 5.600%, 5/31/2015 1,504,974 31,295,000 Level 3 Communications, Inc., 2.875%, 7/15/2010 34,972,162 25,275,000 Level 3 Financing, Inc., 144A, 8.750%, 2/15/2017 25,464,562 36,390,000 Lucent Technologies, Inc., 6.450%, 3/15/2029 32,841,975 2,840,000 Lucent Technologies, Inc., 6.500%, 1/15/2028 2,563,100 8,310,000 Lyondell Chemical Co., 8.000%, 9/15/2014 8,704,725 2,660,000 Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014 2,603,454 11,710,000 Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015 11,632,363
Principal Amount (++) Description Value (+) - ------------------------------------------------------------------------------------------ United States -- continued $ 6,905,000 Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033(c) $ 6,307,020 1,250,000 McDonalds Corp., Series E, (MTN), 3.628%, 10/10/2010, (SGD) 834,920 51,500,000 Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) 25,071,349 5,350,000 Methanex Corp., Senior Note, 6.000%, 8/15/2015 5,122,513 13,405,000 Michigan Tobacco Settlement Finance Authority, Taxable Turbo Series A, 7.309%, 6/01/2034 13,838,116 1,000,000 MidAmerican Energy Holdings Co, 6.125%, 4/01/2036 997,838 1,153,000 Missouri Pacific Railroad Co., 5.000%, 1/01/2045 961,039 6,065,000 Mosaic Global Holdings, Inc., 7.300%, 1/15/2028 5,685,937 2,945,000 Mosaic Global Holdings, Inc., 7.375%, 8/01/2018 2,930,275 3,346,000 New England Telephone & Telegraph Co., 7.875%, 11/15/2029 3,761,747 11,140,000 News America, Inc., 6.200%, 12/15/2034 10,805,243 46,085,000 News America, Inc., 144A, 6.150%, 3/01/2037 43,903,935 4,305,000 Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 4,410,305 25,790,000 Nextel Communications, Inc., Series F, 5.950%, 3/15/2014 25,372,434 31,485,000 NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027 30,225,600 2,500,000 NRG Energy, Inc., 7.250%, 2/01/2014 2,562,500 5,000,000 NRG Energy, Inc., 7.375%, 2/01/2016 5,137,500 4,530,000 ONEOK Partners LP, 6.650%, 10/01/2036 4,654,290 2,275,000 Owens & Minor, Inc., 6.350%, 4/15/2016 2,293,575 9,480,000 Owens Corning, Inc., 144A, 6.500%, 12/01/2016 9,682,853 14,200,000 Owens Corning, Inc., 144A, 7.000%, 12/01/2036 14,162,015 225,000 Owens-Illinois, Inc., Senior Note, 7.500%, 5/15/2010 228,375 42,043,000 Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018 42,988,967 3,000,000 Pemex Project Funding Master Trust, 8.625%, 12/01/2023 3,735,000 4,350,000 Pemex Project Funding Master Trust, 9.500%, 9/15/2027(c) 5,896,425 1,920,000 Pioneer Natural Resource, 5.875%, 7/15/2016 1,786,518 943,000 Pioneer Natural Resources Co., 7.200%, 1/15/2028 897,058 20,770,000 Plains All American Pipeline, 144A, 6.125%, 1/15/2017 21,184,341 44,730,000 Plains All American Pipeline, 144A, 6.650%, 1/15/2037 45,472,965
See accompanying notes to financial statements. 37 United States -- continued
LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------- United States -- continued $ 1,948,000 Ply Gem Industries, Inc., 9.000%, 2/15/2012(c) $ 1,689,890 3,165,000 Pulte Homes, Inc., 5.200%, 2/15/2015 2,924,235 42,115,000 Pulte Homes, Inc., 6.000%, 2/15/2035 37,564,390 12,730,000 Pulte Homes, Inc., 6.375%, 5/15/2033 11,830,715 12,295,000 Qwest Capital Funding, Inc., 6.500%, 11/15/2018 11,572,669 950,000 Qwest Capital Funding, Inc., 7.250%, 2/15/2011(c) 972,563 26,205,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 26,008,462 41,730,000 Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028(c) 39,434,850 2,025,000 Qwest Capital Funding, Inc., Guaranteed Note, 7.000%, 8/03/2009(c) 2,050,313 5,640,000 Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021 5,668,200 20,420,000 Qwest Corp., 6.875%, 9/15/2033(c) 19,705,300 2,785,000 Qwest Corp., 7.250%, 9/15/2025 2,872,031 3,310,000 Sara Lee Corp., 6.125%, 11/01/2032 3,059,413 6,100,000 SLM Corp., 6.500%, 6/15/2010, (NZD) 4,198,454 2,550,000 Southern Natural Gas Co., 7.350%, 2/15/2031 2,820,313 6,326,000 Sprint Capital Corp., 6.875%, 11/15/2028 6,299,981 11,309,000 Sprint Nextel Corp., 6.000%, 12/01/2016 11,129,255 4,000,000 St. Paul Travelers Cos., Inc. (The), 6.750%, 6/20/2036 4,403,348 4,035,000 Stanley-Martin Communities LLC, 9.750%, 8/15/2015(c) 3,616,369 1,810,000 Sungard Data Systems, Inc., 9.125%, 8/15/2013 1,941,225 2,595,000 Sungard Data Systems, Inc., 10.250%, 8/15/2015 2,831,794 690,000 Tenet Healthcare Corp., 6.875%, 11/15/2031 545,100 4,480,000 Tenet Healthcare Corp., 9.250%, 2/01/2015 4,435,200 7,872,000 Tennessee Gas Pipeline Co., Senior Note, 7.000%, 10/15/2028(c) 8,428,283 9,240,000 Time Warner, Inc., 6.500%, 11/15/2036 9,213,842 11,145,000 Time Warner, Inc., 6.625%, 5/15/2029 11,278,695 4,795,000 Time Warner, Inc., 6.950%, 1/15/2028 5,021,051 3,150,000 Time Warner, Inc., 7.625%, 4/15/2031 3,540,042 2,025,000 Time Warner, Inc., 7.700%, 5/01/2032 2,295,824 496,687 Tiverton Power Associates, LP, 144A, 9.000%, 7/15/2018(d) 596,025
Principal Amount (++) Description Value (+) - --------------------------------------------------------------------------------------------- United States -- continued $ 8,785,000 Toledo Edison Co., 6.150%, 5/15/2037 $ 8,606,243 4,245,000 Toll Brothers Financial Corp., 5.150%, 5/15/2015(c) 3,837,947 20,850,000 Toys R Us, Inc., 7.375%, 10/15/2018 17,931,000 8,355,000 Toys R Us, Inc., 7.875%, 4/15/2013(c) 7,707,487 1,000,000 Travelers Property Casualty Corp., 6.375%, 3/15/2033 1,042,286 315,000 TXU Corp., 5.550%, 11/15/2014 278,989 2,225,000 TXU Corp., Series R, 6.550%, 11/15/2034 1,863,211 385,850,000 U.S. Treasury Bond, 4.500%, 2/15/2036(c) 363,784,010 704,680,000 U.S. Treasury Bond, 5.375%, 2/15/2031(c) 751,255,120 24,880,000 USG Corp., 144A, 6.300%, 11/15/2016 25,056,126 51,815,000 Verizon Global Funding Corp., 5.850%, 9/15/2035 49,000,254 5,530,000 Verizon Maryland, Inc., 5.125%, 6/15/2033 4,614,265 12,050,000 Verizon New York, Inc., 7.375%, 4/01/2032 12,740,549 32,790,000 Viacom, Inc., Class B, 6.875%, 4/30/2036 33,051,795 88,105,000 Western Union Co., 6.200%, 11/17/2036 83,646,887 600,000 Williams Cos., Inc., 7.875%, 9/01/2021 660,000 965,000 Williams Cos., Inc., Senior Note, 7.750%, 6/15/2031(c) 1,032,550 8,600,000 Williams Cos., Inc., Series A, 7.500%, 1/15/2031 9,116,000 11,205,000 Willis North America, Inc., 6.200%, 3/28/2017 11,229,606 10,270,000 Woolworth Corp., 8.500%, 1/15/2022 10,526,750 18,050,000 Xerox Capital Trust I, Guaranteed Note, 8.000%, 2/01/2027 18,411,000 1,730,000 Xerox Corp., (MTN), 7.200%, 4/01/2016 1,823,505 --------------- 4,336,553,633 --------------- Uruguay -- 0.1% 1,595,000 Republic of Uruguay, 7.625%, 3/21/2036(c) 1,758,488 2,949,995 Republic of Uruguay, 7.875%, 1/15/2033(c)(g) 3,340,869 --------------- 5,099,357 --------------- Venezuela -- 0.3% 15,930,000 Cerro Negro Finance, Ltd., 144A, 7.900%, 12/01/2020 15,930,000 9,335,000 Petrozuata Finance, Inc., Series B, 144A, 8.220%, 4/01/2017 9,381,668 --------------- 25,311,668 --------------- Total Non-Convertible Bonds (Identified Cost $6,772,503,834) 7,026,804,386 --------------- Total Bonds and Notes (Identified Cost $7,072,305,940) 7,339,199,489 ---------------
See accompanying notes to financial statements. 38 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited)
Shares Description Value (+) - ------------------------------------------------------------------------------------- Common Stocks -- 3.2% of Net Assets Israel -- 0.0% 2,288 Teva Pharmaceutical Industries, Ltd., ADR $ 85,640 --------------- Philippines -- 0.0% 24,316 Philippine Long Distance Telephone Co., Sponsored ADR 1,283,885 --------------- United States -- 3.2% 200,925 Apartment Investment & Management Co., Class A 11,591,363 889,730 Associated Estates Realty Corp., (REIT) 12,536,296 2,238,800 Bristol-Myers Squibb Co. 62,149,088 53,260 Chesapeake Energy Corp.(c) 1,644,669 2,309,175 ConAgra Foods, Inc. 57,521,549 41,343 Corning, Inc.(h) 940,140 182,500 Developers Diversified Realty Corp., (REIT)(c) 11,479,250 282,500 Duke Energy Corp.(c) 5,731,925 460,000 Equity Residential, (REIT)(c) 22,185,800 477,725 KB Home(c) 20,384,526 549,450 Lennar Corp., Class A(c) 23,192,284 117,700 Simon Property Group, Inc., (REIT)(c) 13,094,125 141,250 Spectra Energy Corp.(c) 3,710,624 359,449 Vertex Pharmaceuticals, Inc.(c)(h) 10,078,950 --------------- 256,240,589 --------------- Total Common Stocks (Identified Cost $212,606,104) 257,610,114 --------------- Shares - ------------------------------------------------------------------------------------- Preferred Stocks -- 1.9% United States -- 1.9% 297,150 AES Trust III, Convertible, 6.750%, 10/15/2029(c) 14,928,816 21,020 Chesapeake Energy Corp., 4.500%, 12/31/2049(c) 2,098,427 278,685 Chesapeake Energy Corp., Convertible, 5.000%, 12/31/2049(c) 30,306,994 107,725 CMS Energy Trust I, Convertible, 7.750%, 7/15/2027 5,372,784 136,125 El Paso Energy Capital Trust I, Convertible, 4.750%, 3/31/2028 5,445,000 393 Entergy New Orleans, Inc., 4.750%, 12/31/2045(d) 28,591 42,700 FelCor Lodging Trust, Inc., (REIT) Convertible, 1.950%, 12/31/2049 1,101,233 1,447,000 Ford Motor Co. Capital Trust II, Convertible, 6.500%, 1/15/2032 51,744,720 15,600 Lucent Technologies Capital Trust I, Convertible, 7.750%, 3/15/2017 16,151,850 69,975 Newell Financial Trust I, 5.250%, 12/01/2027 3,420,028 457,900 Owens-Illinois, Inc., Convertible, 4.750%, 12/31/2049 17,537,570 332,275 Six Flags, Inc., 7.250%, 8/15/2009(c) 7,766,928 9,381 United Rentals Trust I, Convertible, 6.500%, 8/01/2028 459,669 --------------- Total Preferred Stocks (Identified Cost $150,623,120) 156,362,610 ---------------
Shares Description Value (+) - --------------------------------------------------------------------------------------------------- Closed-End Investment Companies -- 0.3% 110,211 Morgan Stanley Emerging Markets Debt Fund, Inc.(c) $ 1,159,420 1,755,800 Western Asset High Income Opportunity Fund, Inc. 12,062,346 1,368,400 Western Asset Managed High Income Fund, Inc.(c) 9,565,116 --------------- Total Closed-End Investment Companies (Identified Cost $20,353,073) 22,786,882 --------------- Warrants -- 0.0% Argentina -- 0.0% 3,603,539(+++) Republic of Argentina, Expiration 12/15/2035 (Identified Cost $165,518) 497,288 --------------- Shares/ Principal Amount (++) - --------------------------------------------------------------------------------------------------- Short-Term Investments -- 24.1% of Net Assets 1,742,998,995 State Street Securities Lending Quality Trust(i) 1,742,998,995 $ 210,596,435 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2007 at 4.250% to be repurchased at $210,671,021 on 4/2/2007, collateralized by $39,485,000 U.S. Treasury Bill, 4.890% due 9/27/2007 with a value of $38,537,360; $2,120,000 U.S Treasury Bond, 8.875% due 2/15/2019 with a value of $2,923,438; $12,985,000 U.S. Treasury Note, 4.875% due 2/15/2012 with a value of $13,273,228; $5,000,000 U.S. Treasury Note, 3.625% due 5/15/2013 with a value of $4,826,970; $11,270,000 U.S. Treasury Note, 3.375% due 12/15/2008 with a value of $11,129,125; $100,000,000 U.S. Treasury Note, 3.375% due 2/15/2008 with a value of $99,125,000; $435,000 U.S. Treasury Note, 4.00% due 4/15/2010 with a value of $436,088; $35,980,000 U.S. Treasury Note, 4.625% due 3/31/2008 with a value of $36,699,600; $7,780,000 U.S. Treasury Note, 4.750% due 2/15/2010 with a value of $7,857,800, including accrued interest (Note 2f ) 210,596,435 --------------- Total Short-Term Investments (Identified Cost $1,953,595,430) 1,953,595,430 --------------- Total Investments -- 120.2% (Identified Cost $9,409,649,185)(a) 9,730,051,813 Other assets less liabilities--(20.2)% (1,633,274,600) --------------- Net Assets -- 100% $ 8,096,777,213 =============== (++) Principal amount is in U.S. dollars unless otherwise noted. (++) Amount shown represents units. One unit represents a principal amount of 100. (+++) Amount shown represents notional amount. (+) See Note 2a of Notes to Financial Statements. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At March 31, 2007, the net unrealized appreciation on investments based on cost of $9,420,855,663 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 $ 365,554,909 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (56,358,759) --------------- Net unrealized appreciation $ 309,196,150 ===============
See accompanying notes to financial statements. 39 LOOMIS SAYLES STRATEGIC INCOME FUND -- PORTFOLIO OF INVESTMENTS (continued) Investments as of March 31, 2007 (Unaudited) (b) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). (c) All or a portion of this security was on loan at March 31, 2007. (d) Non-income producing security due to default or bankruptcy filing. (e) Step Bond: Coupon is a fixed rate for an initial period and then resets at a specified date and rate. (f) Illiquid security. At March 31, 2007, the value of these securities amounted to $14,071,672 or 0.2% of net assets. (g) All or a portion of interest payment is paid-in-kind. (h) Non-income producing security. (i) Represents investment of security lending collateral. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $1,173,461,490 or 14.5% of net assets. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association MTN Medium Term Note REIT Real Estate Investment Trusts ARS Argentine Peso AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar EUR Euro GBP British Pound IDR Indonesian Rupiah ISK Iceland Krona KRW South Korean Won MXN Mexican Peso MYR Malaysian Ringgit NOK Norwegian Krone NZD New Zealand Dollar SEK Swedish Krona SGD Singapore Dollar THB Thailand Baht ZAR South African Rand
Holdings at March 31, 2007 as a Percentage of Net Assets (Unaudited) Treasuries 26.9% Sovereigns 7.9 Banking 7.3 Wirelines 6.7 Technology 3.7 Non-Captive Finance 3.5 Pharmaceuticals 3.4 Automotive 3.4 Home Construction 2.9 Supranational 2.7 Pipelines 2.7 Independent Energy 2.1 Other, less than 2% each 22.9
See accompanying notes to financial statements. 40 STATEMENTS OF ASSETS AND LIABILITIES March 31, 2007 (Unaudited)
Limited Term Government Core Plus Bond Fund High Income Fund and Agency Fund --------------------- --------------------- ----------------------- --------------------- --------------------- --------------------- ASSETS Investments at cost $ 274,377,842 $ 46,064,469 $ 155,251,706 Net unrealized appreciation (depreciation) 263,335 2,660,200 (797,528) --------------------- --------------------- --------------------- Investments at value (a) 274,641,177 48,724,669 154,454,178 Cash -- -- -- Foreign currency at value (identified cost $34,019, $5,442, $0, $0, $0, and $0) 34,062 5,661 -- Receivable for Fund shares sold 757,299 342,438 92,724 Receivable for securities sold -- -- -- Dividends and interest receivable 2,210,830 598,078 773,882 Tax reclaims receivable -- -- -- Securities lending income receivable 3,633 1,136 846 Other assets 7,376 1,174 3,947 --------------------- --------------------- --------------------- TOTAL ASSETS 277,654,377 49,673,156 155,325,577 --------------------- --------------------- --------------------- LIABILITIES Collateral on securities loaned, at value (Note 2) 55,198,804 6,398,145 28,938,786 Payable for securities purchased -- 152,864 -- Payable for Fund shares redeemed 370,057 221,037 125,425 Dividends payable 311,443 75,982 137,961 Management fees payable (Note 4) 96,094 21,370 43,358 Deferred Trustees' fees (Note 4) 221,586 62,321 193,640 Administrative fees payable (Note 4) 10,999 2,209 6,082 Other accounts payable and accrued expenses 258,060 19,836 67,014 --------------------- --------------------- --------------------- TOTAL LIABILITIES 56,467,043 6,953,764 29,512,266 --------------------- --------------------- --------------------- NET ASSETS $ 221,187,334 $ 42,719,392 $ 125,813,311 ===================== ===================== ===================== NET ASSETS CONSIST OF: Paid-in capital $ 242,164,684 $ 121,602,793 $ 153,451,297 Undistributed (overdistributed) net investment income 249,280 (297,871) (345,156) Accumulated net realized gain (loss) on investments and foreign currency transactions (21,500,476) (81,245,797) (26,495,302) Net unrealized appreciation (depreciation) on investments and foreign currency translations 273,846 2,660,267 (797,528) --------------------- --------------------- --------------------- NET ASSETS $ 221,187,334 $ 42,719,392 $ 125,813,311 ===================== ===================== ===================== COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: Class A shares: Net assets $ 95,893,043 $ 31,830,418 $ 109,356,047 ===================== ===================== ===================== Shares of beneficial interest 8,440,867 6,038,661 9,919,781 ===================== ===================== ===================== Net asset value and redemption price per share $ 11.36 $ 5.27 $ 11.02 ===================== ===================== ===================== Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) $ 11.90 $ 5.52 $ 11.36 ===================== ===================== ===================== Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) Net assets $ 101,658,794 $ 6,250,634 $ 8,076,476 ===================== ===================== ===================== Shares of beneficial interest 8,943,083 1,184,384 733,483 ===================== ===================== ===================== Net asset value and offering price per share $ 11.37 $ 5.28 $ 11.01 ===================== ===================== ===================== Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) Net assets $ 9,085,207 $ 4,638,340 $ 4,421,839 ===================== ===================== ===================== Shares of beneficial interest 798,720 879,278 400,947 ===================== ===================== ===================== Net asset value and offering price per share $ 11.37 $ 5.28 $ 11.03 ===================== ===================== ===================== Class Y shares: Net assets $ 14,550,290 $ -- $ 3,958,949 ===================== ===================== ===================== Shares of beneficial interest 1,275,171 -- 358,076 ===================== ===================== ===================== Net asset value, offering and redemption price per share $ 11.41 $ -- $ 11.06 ===================== ===================== ===================== (a) Including securities on loan with market values of: $ 53,957,797 $ 6,277,989 $ 28,399,989 ===================== ===================== =====================
See accompanying notes to financial statements. 41
Massachusetts Tax Municipal Income Strategic Income Free Income Fund Fund Fund --------------------- --------------------- --------------------- --------------------- --------------------- $ 67,500,284 $ 90,708,414 $ 9,409,649,185 3,165,545 3,283,951 320,402,628 --------------------- --------------------- --------------------- 70,665,829 93,992,365 9,730,051,813 -- -- 1,371,370 -- -- -- 14,285 27,802 79,050,775 -- -- 2,802,553 1,108,390 1,438,760 104,777,218 -- -- 3,865 -- -- 77,745 2,541 2,928 630,140 --------------------- --------------------- --------------------- 71,791,045 95,461,855 9,918,765,479 --------------------- --------------------- --------------------- -- -- 1,742,998,995 -- -- 50,224,135 72,707 85,226 8,439,575 53,391 85,320 15,436,946 31,241 43,438 3,756,105 71,483 134,236 271,547 3,716 4,774 369,728 19,631 14,265 491,235 --------------------- --------------------- --------------------- 252,169 367,259 1,821,988,266 --------------------- --------------------- --------------------- $ 71,538,876 $ 95,094,596 $ 8,096,777,213 ===================== ===================== ===================== $ 69,800,435 $ 91,350,437 $ 7,797,737,053 17,699 204,138 (382,572) (1,444,803) 256,070 (21,622,623) 3,165,545 3,283,951 321,045,355 --------------------- --------------------- --------------------- $ 71,538,876 $ 95,094,596 $ 8,096,777,213 ===================== ===================== ===================== $ 69,575,610 $ 90,394,287 $ 4,445,654,306 ===================== ===================== ===================== 4,189,451 12,050,773 298,285,775 ===================== ===================== ===================== $ 16.61 $ 7.50 $ 14.90 ===================== ===================== ===================== $ 17.35 $ 7.85 $ 15.60 ===================== ===================== ===================== $ 1,963,266 $ 4,700,309 $ 216,309,586 ===================== ===================== ===================== 118,478 625,905 14,447,466 ===================== ===================== ===================== $ 16.57 $ 7.51 $ 14.97 ===================== ===================== ===================== $ -- $ -- $ 2,976,546,523 ===================== ===================== ===================== -- -- 198,881,878 ===================== ===================== ===================== $ -- $ -- $ 14.97 ===================== ===================== ===================== $ -- $ -- $ 458,266,798 ===================== ===================== ===================== -- -- 30,760,763 ===================== ===================== ===================== $ -- $ -- $ 14.90 ===================== ===================== ===================== $ -- $ -- $ 1,708,578,357 ===================== ===================== =====================
42 STATEMENTS OF OPERATIONS For the Six Months Ended March 31, 2007 (Unaudited)
Limited Term Government Core Plus Bond Fund High Income Fund and Agency Fund --------------------- --------------------- ----------------------- --------------------- --------------------- --------------------- INVESTMENT INCOME Dividends $ -- $ 63,031 $ -- Interest 5,828,561 1,558,948 3,171,604 Securities lending income (Note 2) 24,391 4,082 7,045 Less net foreign taxes withheld -- (1,300) -- --------------------- --------------------- --------------------- 5,852,952 1,624,761 3,178,649 --------------------- --------------------- --------------------- Expenses Management fees (Note 4) 473,947 124,538 317,466 Service fees - Class A (Note 4) 116,084 38,300 138,196 Service and distribution fees - Class B (Note 4) 529,876 34,054 44,705 Service and distribution fees - Class C (Note 4) 38,321 20,309 22,052 Trustees' fees and expenses (Note 4) 8,083 5,192 6,623 Administrative fees (Note 4) 62,090 11,885 35,458 Custodian fees and expenses 16,131 9,441 13,304 Transfer agent fees and expenses - Class A 124,621 27,877 84,356 Transfer agent fees and expenses - Class B 142,168 6,205 6,831 Transfer agent fees and expenses - Class C 10,290 3,692 3,361 Transfer agent fees and expenses - Class Y 5,157 -- 152 Audit fees 20,062 19,732 21,383 Legal fees 5,192 1,490 3,580 Shareholder reporting expenses 19,547 2,696 11,456 Registration fees 20,203 15,517 20,510 Miscellaneous expenses 4,721 3,635 3,829 --------------------- --------------------- --------------------- Total expenses 1,596,493 324,563 733,262 Less reimbursement/waiver (Note 4) (43,578) (31,206) (52,930) --------------------- --------------------- --------------------- Net expenses 1,552,915 293,357 680,332 --------------------- --------------------- --------------------- Net investment income 4,300,037 1,331,404 2,498,317 --------------------- --------------------- --------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS Realized gain (loss) on: Investments - net 1,974,105 1,687,407 119,607 Foreign currency transactions - net 1,232 (1,545) -- Change in unrealized appreciation (depreciation) on: Investments - net 1,018,313 (53,147) 403,094 Foreign currency translations - net 11,223 (339) -- --------------------- --------------------- --------------------- Total net realized and unrealized gain (loss) on investments and foreign currency transactions 3,004,873 1,632,376 522,701 --------------------- --------------------- --------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,304,910 $ 2,963,780 $ 3,021,018 ===================== ===================== =====================
See accompanying notes to financial statements. 43
Massachusetts Tax Municipal Strategic Free Income Fund Income Fund Income Fund --------------------- --------------------- --------------------- --------------------- --------------------- --------------------- $ -- $ -- $ 8,911,236 1,752,173 2,256,106 194,769,158 -- -- 631,138 -- -- (160,470) --------------------- --------------------- --------------------- 1,752,173 2,256,106 204,151,062 --------------------- --------------------- --------------------- 217,585 241,772 18,485,826 87,994 114,640 4,466,518 10,665 24,984 988,953 -- -- 11,952,460 5,869 6,044 98,818 20,656 27,338 1,957,264 9,164 9,802 186,752 25,312 27,871 1,303,653 768 1,519 72,664 -- -- 871,206 -- -- 108,059 19,256 17,730 21,075 1,638 2,094 103,231 4,278 1,925 165,350 8,831 11,195 69,393 3,013 3,059 23,700 --------------------- --------------------- --------------------- 415,029 489,973 40,874,922 (62,520) (11,868) -- --------------------- --------------------- --------------------- 352,509 478,105 40,874,922 --------------------- --------------------- --------------------- 1,399,664 1,778,001 163,276,140 --------------------- --------------------- --------------------- 770,856 338,455 22,643,468 -- -- (885,317) (1,061,299) (524,483) 100,087,391 -- -- 657,735 --------------------- --------------------- --------------------- (290,443) (186,028) 122,503,277 --------------------- --------------------- --------------------- $ 1,109,221 $ 1,591,973 $ 285,779,417 ===================== ===================== =====================
44 STATEMENTS OF CHANGES IN NET ASSETS
Core Plus Bond Fund -------------------------------------------- Six Months Ended March 31, 2007 Year Ended (unaudited) September 30, 2006 --------------------- --------------------- --------------------- --------------------- FROM OPERATIONS: Net investment income $ 4,300,037 $ 9,304,763 Net realized gain (loss) on investments and foreign currency transactions 1,975,337 (250,058) Net change in unrealized appreciation (depreciation) on investments and foreign currency translations 1,029,536 (1,346,777) --------------------- --------------------- Net increase in net assets resulting from operations 7,304,910 7,707,928 --------------------- --------------------- FROM DISTRIBUTIONS TO SHAREHOLDERS: Net investment income Class A (2,224,878) (5,268,788) Class B (2,120,394) (5,666,228) Class C (151,766) (281,535) Class Y (338,467) (518,162) Net realized capital gain Class A -- -- Class B -- -- --------------------- --------------------- Total distributions (4,835,505) (11,734,713) --------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 7) (1,499,024) (28,217,204) --------------------- --------------------- Redemption fees Class A 642 707 Class B 711 886 Class C 55 42 Class Y 93 61 --------------------- --------------------- 1,501 1,696 --------------------- --------------------- Net increase (decrease) in net assets 971,882 (32,242,293) --------------------- --------------------- NET ASSETS Beginning of the period 220,215,452 252,457,745 --------------------- --------------------- End of the period $ 221,187,334 $ 220,215,452 ===================== ===================== UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 249,280 $ 784,748 ===================== =====================
High Income Fund -------------------------------------------- Six Months Ended March 31, 2007 Year Ended (unaudited) September 30, 2006 --------------------- --------------------- --------------------- --------------------- FROM OPERATIONS: Net investment income $ 1,331,404 $ 2,541,904 Net realized gain (loss) on investments and foreign currency transactions 1,685,862 588,883 Net change in unrealized appreciation (depreciation) on investments and foreign currency translations (53,486) 285,142 --------------------- --------------------- Net increase in net assets resulting from operations 2,963,780 3,415,929 --------------------- --------------------- FROM DISTRIBUTIONS TO SHAREHOLDERS: Net investment income Class A (1,177,365) (1,818,161) Class B (232,118) (563,592) Class C (137,151) (204,085) Class Y -- -- Net realized capital gain Class A -- -- Class B -- -- --------------------- --------------------- Total distributions (1,546,634) (2,585,838) --------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 7) 1,493,783 (2,428,478) --------------------- --------------------- Redemption fees Class A 272 866 Class B 63 337 Class C 35 116 Class Y -- -- --------------------- --------------------- 370 1,319 --------------------- --------------------- Net increase (decrease) in net assets 2,911,299 (1,597,068) --------------------- --------------------- NET ASSETS Beginning of the period 39,808,093 41,405,161 --------------------- --------------------- End of the period $ 42,719,392 $ 39,808,093 ===================== ===================== UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (297,871) $ (82,641) ===================== =====================
Limited Term Government and Agency Fund -------------------------------------------- Six Months Ended March 31, 2007 Year Ended (unaudited) September 30, 2006 --------------------- --------------------- --------------------- --------------------- FROM OPERATIONS: Net investment income $ 2,498,317 $ 5,075,427 Net realized gain (loss) on investments and foreign currency transactions 119,607 (845,533) Net change in unrealized appreciation (depreciation) on investments and foreign currency translations 403,094 (145,704) --------------------- --------------------- Net increase in net assets resulting from operations 3,021,018 4,084,190 --------------------- --------------------- FROM DISTRIBUTIONS TO SHAREHOLDERS: Net investment income Class A (2,387,884) (4,997,550) Class B (154,655) (381,270) Class C (76,349) (153,472) Class Y (72,254) (105,197) Net realized capital gain Class A -- -- Class B -- -- --------------------- --------------------- Total distributions (2,691,142) (5,637,489) --------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 7) (5,339,757) (32,402,336) --------------------- --------------------- Redemption fees Class A -- -- Class B -- -- Class C -- -- Class Y -- -- --------------------- --------------------- -- -- --------------------- --------------------- Net increase (decrease) in net assets (5,009,881) (33,955,635) --------------------- --------------------- NET ASSETS Beginning of the period 130,823,192 164,778,827 --------------------- --------------------- End of the period $ 125,813,311 $ 130,823,192 ===================== ===================== UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (345,156) $ (152,331) ===================== =====================
See accompanying notes to financial statements. 45
Massachusetts Tax Free Income Fund Municipal Income Fund - -------------------------------------------- -------------------------------------------- Six Months Ended Six Months Ended March 31, 2007 Year Ended March 31, 2007 Year Ended (unaudited) September 30, 2006 (unaudited) September 30, 2006 - --------------------- --------------------- --------------------- --------------------- --------------------- --------------------- --------------------- $ 1,399,664 $ 2,919,705 $ 1,778,001 $ 3,899,552 770,856 345,282 338,455 1,173,164 (1,061,299) (133,389) (524,483) (395,083) - --------------------- --------------------- --------------------- --------------------- 1,109,221 3,131,598 1,591,973 4,677,633 - --------------------- --------------------- --------------------- --------------------- (1,362,014) (2,838,521) (1,678,937) (3,654,019) (33,214) (86,605) (72,710) (192,325) -- -- -- -- -- -- -- -- -- -- (425,469) -- -- -- (23,297) -- - --------------------- --------------------- --------------------- --------------------- (1,395,228) (2,925,126) (2,200,413) (3,846,344) - --------------------- --------------------- --------------------- --------------------- (2,998,516) (5,608,072) (2,932,811) (12,060,212) - --------------------- --------------------- --------------------- --------------------- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- - --------------------- --------------------- --------------------- --------------------- -- -- -- -- - --------------------- --------------------- --------------------- --------------------- (3,284,523) (5,401,600) (3,541,251) (11,228,923) - --------------------- --------------------- --------------------- --------------------- 74,823,399 80,224,999 98,635,847 109,864,770 - --------------------- --------------------- --------------------- --------------------- $ 71,538,876 $ 74,823,399 $ 95,094,596 $ 98,635,847 ===================== ===================== ===================== ===================== $ 17,699 $ 13,263 $ 204,138 $ 177,784 ===================== ===================== ===================== =====================
Strategic Income Fund - -------------------------------------------- Six Months Ended March 31, 2007 Year Ended (unaudited) September 30, 2006 - --------------------- --------------------- - --------------------- --------------------- $ 163,276,140 $ 147,505,882 21,758,151 6,215,522 100,745,126 138,319,873 - --------------------- --------------------- 285,779,417 292,041,277 - --------------------- --------------------- (97,602,532) (93,282,911) (4,564,609) (7,447,638) (54,901,845) (55,187,294) (10,444,688) (7,523,452) -- -- -- -- - --------------------- --------------------- (167,513,674) (163,441,295) - --------------------- --------------------- 2,932,214,311 2,980,503,923 - --------------------- --------------------- 77,176 110,642 4,195 9,525 51,719 75,367 7,824 9,065 - --------------------- --------------------- 140,914 204,599 - --------------------- --------------------- 3,050,620,968 3,109,308,504 - --------------------- --------------------- 5,046,156,245 1,936,847,741 - --------------------- --------------------- $ 8,096,777,213 $ 5,046,156,245 ===================== ===================== $ (382,572) $ 3,854,962 ===================== =====================
46 FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
Income (loss) from investment operations: Less distributions: --------------------------------------- --------------------------- Net asset value, Dividends beginning Net Net realized Total from from of investment and unrealized investment net investment Total Redemption period income gain (loss) operations income distributions fees (g) ---------- ---------- -------------- ---------- -------------- ------------- ---------- CORE PLUS BOND FUND Class A 3/31/2007(k) $ 11.23 $ 0.24(c) $ 0.16 $ 0.40 $ (0.27) $ (0.27) $ 0.00 9/30/2006 11.41 0.50(c) (0.07) 0.43 (0.61) (0.61) 0.00 9/30/2005 11.69 0.46(c) (0.18) 0.28 (0.56) (0.56) 0.00 9/30/2004 11.63 0.47(c) 0.13 0.60 (0.54) (0.54) 0.00 9/30/2003(f) 11.28 0.37(c) 0.34 0.71 (0.36) (0.36) - 12/31/2002 11.59 0.63(c) (0.32) 0.31 (0.62) (0.62) - 12/31/2001(d) 11.52 0.73 0.10 0.83 (0.76) (0.76) - Class B 3/31/2007(k) 11.24 0.20(c) 0.16 0.36 (0.23) (0.23) 0.00 9/30/2006 11.41 0.41(c) (0.05) 0.36 (0.53) (0.53) 0.00 9/30/2005 11.70 0.37(c) (0.18) 0.19 (0.48) (0.48) 0.00 9/30/2004 11.62 0.38(c) 0.14 0.52 (0.44) (0.44) 0.00 9/30/2003(f) 11.28 0.30(c) 0.34 0.64 (0.30) (0.30) - 12/31/2002 11.59 0.55(c) (0.32) 0.23 (0.54) (0.54) - 12/31/2001(d) 11.51 0.64 0.10 0.74 (0.66) (0.66) - Class C 3/31/2007(k) 11.25 0.20(c) 0.15 0.35 (0.23) (0.23) 0.00 9/30/2006 11.42 0.41(c) (0.05) 0.36 (0.53) (0.53) 0.00 9/30/2005 11.71 0.37(c) (0.18) 0.19 (0.48) (0.48) 0.00 9/30/2004 11.63 0.38(c) 0.14 0.52 (0.44) (0.44) 0.00 9/30/2003(f) 11.29 0.30(c) 0.34 0.64 (0.30) (0.30) - 12/31/2002 11.60 0.55(c) (0.32) 0.23 (0.54) (0.54) - 12/31/2001(d) 11.52 0.65 0.09 0.74 (0.66) (0.66) - Class Y 3/31/2007(k) 11.29 0.27(c) 0.15 0.42 (0.30) (0.30) 0.00 9/30/2006 11.46 0.51(c) (0.04) 0.47 (0.64) (0.64) 0.00 9/30/2005 11.74 0.49(c) (0.18) 0.31 (0.59) (0.59) 0.00 9/30/2004 11.69 0.50(c) 0.13 0.63 (0.58) (0.58) 0.00 9/30/2003(f) 11.33 0.41(c) 0.35 0.76 (0.40) (0.40) - 12/31/2002 11.63 0.69(c) (0.32) 0.37 (0.67) (0.67) - 12/31/2001(d) 11.54 0.79 0.10 0.89 (0.80) (0.80) - HIGH INCOME FUND* Class A 3/31/2007(k) $ 5.09 $ 0.17(c) $ 0.21 $ 0.38 $ (0.20) $ (0.20) $ 0.00 9/30/2006 4.98 0.34(c) 0.11 0.45 (0.34) (0.34) 0.00 9/30/2005 4.82 0.33(c) 0.16 0.49 (0.33) (0.33) 0.00 9/30/2004 4.65 0.33(c) 0.17 0.50 (0.33) (0.33) 0.00 9/30/2003(f) 4.12 0.25(c) 0.53 0.78 (0.25) (0.25) - 12/31/2002 4.94 0.39(c) (0.82) (0.43) (0.39) (0.39) - 12/31/2001(d) 6.21 0.66 (1.25) (0.59) (0.68) (0.68) - Class B 3/31/2007(k) 5.10 0.15(c) 0.21 0.36 (0.18) (0.18) 0.00 9/30/2006 4.98 0.30(c) 0.12 0.42 (0.30) (0.30) 0.00 9/30/2005 4.83 0.29(c) 0.15 0.44 (0.29) (0.29) 0.00 9/30/2004 4.65 0.30(c) 0.18 0.48 (0.30) (0.30) 0.00 9/30/2003(f) 4.12 0.23(c) 0.53 0.76 (0.23) (0.23) - 12/31/2002 4.95 0.36(c) (0.83) (0.47) (0.36) (0.36) - 12/31/2001(d) 6.22 0.62 (1.26) (0.64) (0.63) (0.63) -
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one, if applicable, are not annualized. (b)Computed on an annualized basis for periods less than one year. (c)Per share net investment income has been calculated using the average shares outstanding during the period. (d)As required, effective January 1, 2001, the Funds adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. The effect of this change for the year ended December 31, 2001 for Core Plus Bond Fund was to decrease net investment income per share by $0.01 for Class A, $0.02 for Class B, and $0.01 for Class C and to decrease the ratio of net investment income to average net assets from 6.34% to 6.26% for Class A, 5.57% to 5.49% for Class B, 5.59% to 5.52% for Class C and 6.75% to 6.68% for Class Y shares. For High Income Fund, the effect of this change was to decrease net investment income per share by $0.01 for Class A and Class B and to decrease the ratio of net investment income to average net assets from 11.39% to 11.31% for Class A and 10.64% to 10.56% for Class B. (e)Represents the total expenses prior to advisory fee waiver and/or reimbursement of a portion of the Fund's expenses, if applicable. See accompanying notes to financial statements. 47
Ratios to average net assets: ------------------------------------------ Net asset Net assets, value, Total end of Net Gross Net investment Portfolio end of return period expenses expenses income turnover period (%) (a) (h) (000's) (%) (b) (i) (%) (b) (e) (%) (b) rate (%) - ---------- ----------- ----------- ----------- ----------- -------------- --------- $ 11.36 3.5 $ 95,893 1.05 1.09 4.29 32 11.23 4.0 91,464 1.05 1.08 4.46 91 11.41 2.4 105,111 1.13 1.18 3.93 64 11.69 5.3 120,009 1.19 1.22 4.05 69 11.63 6.4 133,887 1.28 1.28 4.31 61 11.28 2.8 147,647 1.18 1.18 5.65 65 11.59 7.2 173,836 1.09 1.09 6.26 84 11.37 3.2 101,659 1.80 1.84 3.53 32 11.24 3.3 109,782 1.80 1.83 3.72 91 11.41 1.6 132,221 1.88 1.93 3.18 64 11.70 4.6 148,556 1.94 1.97 3.29 69 11.62 5.8 161,317 2.03 2.03 3.55 61 11.28 2.1 141,188 1.93 1.93 4.90 65 11.59 6.5 127,520 1.84 1.84 5.49 84 11.37 3.1 9,085 1.80 1.84 3.52 32 11.25 3.3 6,983 1.80 1.82 3.63 91 11.42 1.6 6,065 1.88 1.93 3.17 64 11.71 4.6 6,162 1.94 1.98 3.30 69 11.63 5.8 7,612 2.03 2.03 3.55 61 11.29 2.1 9,024 1.93 1.93 4.90 65 11.60 6.5 11,470 1.84 1.84 5.52 84 11.41 3.7 14,550 0.65 0.65 4.68 32 11.29 4.3 11,986 0.80(j) 0.80(j) 4.58 91 11.46 2.7 9,060 0.88 0.99 4.18 64 11.74 5.5 10,941 0.94 0.98 4.30 69 11.69 6.9 17,889 0.73 0.73 4.85 61 11.33 3.5 18,346 0.67 0.67 6.15 65 11.63 7.8 17,351 0.67 0.67 6.68 84 $ 5.27 7.6 $ 31,830 1.22 1.37 6.61 18 5.09 9.4 29,069 1.31 1.48 6.70 41 4.98 10.3 25,817 1.58 1.72 6.60 42 4.82 11.1 24,641 1.65 1.65 6.97 51 4.65 19.5 23,809 1.71 1.71 7.62 41 4.12 (8.9) 22,454 1.58 1.58 8.85 114 4.94 (10.7) 33,471 1.47 1.47 11.31 65 5.28 7.1 6,251 1.97 2.11 5.86 18 5.10 8.8 7,283 2.08 2.25 6.00 41 4.98 9.3 12,034 2.33 2.47 5.85 42 4.83 10.5 17,967 2.40 2.40 6.22 51 4.65 18.8 23,405 2.46 2.46 6.89 41 4.12 (9.7) 23,031 2.33 2.33 8.10 114 4.95 (11.3) 34,713 2.22 2.22 10.56 65
(f)For the nine months ended September 30, 2003. (g)Amount rounds to less than $0.01, if applicable. (h)Had certain expenses not been reduced during the period, if applicable, total return would have been lower. (i)The investment adviser agreed to reimburse a portion of the Fund's expenses and/or waive its management fee during the period. Without this reimbursement/waiver, if applicable, expenses would have been higher. See Note 4. (j)Includes expense recapture of 0.06%. See Note 4. (k)For the six months ended March 31, 2007 (Unaudited). * The financial information for periods prior to September 30, 2004 reflects the financial information for the CDC Nvest High Income Fund's Class A and Class B shares, which were reorganized into Class A and Class B shares, respectively, of the Loomis Sayles High Income Fund, effective September 12, 2003. Prior to September 1, 2003, the predecessor Fund was advised by CDC IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles & Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003, had a December 31 fiscal year end. The Fund's current fiscal year end is September 30. 48 FINANCIAL HIGHLIGHTS (continued) For a share outstanding throughout each period.
Income (loss) from investment operations: Less distributions: --------------------------------------- --------------------------- Net asset value, Dividends beginning Net Net realized Total from from of investment and unrealized investment net investment Total period income gain (loss) operations income distributions ---------- ---------- -------------- ---------- -------------- ------------- HIGH INCOME FUND* Class C 3/31/2007(k) $ 5.09 $ 0.15(c) $ 0.22 $ 0.37 $ (0.18) $ (0.18) 9/30/2006 4.98 0.30(c) 0.11 0.41 (0.30) (0.30) 9/30/2005 4.83 0.29(c) 0.15 0.44 (0.29) (0.29) 9/30/2004 4.65 0.30(c) 0.18 0.48 (0.30) (0.30) 9/30/2003(e) 4.12 0.23(c) 0.53 0.76 (0.23) (0.23) 12/31/2002 4.94 0.36(c) (0.82) (0.46) (0.36) (0.36) 12/31/2001(d) 6.22 0.61 (1.26) (0.65) (0.63) (0.63) LIMITED TERM GOVERNMENT AND AGENCY FUND** Class A 3/31/2007(k) $ 11.00 $ 0.22(c) $ 0.04 $ 0.26 $ (0.24) $ (0.24) 9/30/2006 11.09 0.39(c) (0.05) 0.34 (0.43) (0.43) 9/30/2005 11.30 0.28(c) (0.16) 0.12 (0.33) (0.33) 9/30/2004 11.51 0.30(c) (0.09) 0.21 (0.42) (0.42) 9/30/2003(e) 11.73 0.21(c) (0.07) 0.14 (0.36) (0.36) 12/31/2002 11.36 0.42(c) 0.49 0.91 (0.54) (0.54) 12/31/2001(d) 11.16 0.51 0.25 0.76 (0.56) (0.56) Class B 3/31/2007(k) 10.98 0.18(c) 0.04 0.22 (0.19) (0.19) 9/30/2006 11.07 0.31(c) (0.05) 0.26 (0.35) (0.35) 9/30/2005 11.28 0.20(c) (0.17) 0.03 (0.24) (0.24) 9/30/2004 11.49 0.22(c) (0.09) 0.13 (0.34) (0.34) 9/30/2003(e) 11.71 0.15(c) (0.06) 0.09 (0.31) (0.31) 12/31/2002 11.34 0.35(c) 0.48 0.83 (0.46) (0.46) 12/31/2001(d) 11.14 0.44 0.24 0.68 (0.48) (0.48) Class C 3/31/2007(k) 10.99 0.18(c) 0.05 0.23 (0.19) (0.19) 9/30/2006 11.08 0.31(c) (0.05) 0.26 (0.35) (0.35) 9/30/2005 11.30 0.20(c) (0.18) 0.02 (0.24) (0.24) 9/30/2004 11.50 0.22(c) (0.08) 0.14 (0.34) (0.34) 9/30/2003(e) 11.72 0.15(c) (0.06) 0.09 (0.31) (0.31) 12/31/2002 11.35 0.35(c) 0.48 0.83 (0.46) (0.46) 12/31/2001(d) 11.15 0.44 0.24 0.68 (0.48) (0.48) Class Y 3/31/2007(k) 11.03 0.24(c) 0.05 0.29 (0.26) (0.26) 9/30/2006 11.13 0.43(c) (0.06) 0.37 (0.47) (0.47) 9/30/2005 11.34 0.31(c) (0.17) 0.14 (0.35) (0.35) 9/30/2004 11.55 0.32(c) (0.09) 0.23 (0.44) (0.44) 9/30/2003(e) 11.78 0.25(c) (0.08) 0.17 (0.40) (0.40) 12/31/2002 11.41 0.48(c) 0.48 0.96 (0.59) (0.59) 12/31/2001(d) 11.20 0.56 0.26 0.82 (0.61) (0.61)
Redemption fees (f) ---------- HIGH INCOME FUND* Class C 3/31/2007(k) $ 0.00 9/30/2006 0.00 9/30/2005 0.00 9/30/2004 0.00 9/30/2003(e) -- 12/31/2002 -- 12/31/2001(d) -- LIMITED TERM GOVERNMENT AND AGENCY FUND** Class A 3/31/2007(k) $ -- 9/30/2006 -- 9/30/2005 -- 9/30/2004 -- 9/30/2003(e) -- 12/31/2002 -- 12/31/2001(d) -- Class B 3/31/2007(k) -- 9/30/2006 -- 9/30/2005 -- 9/30/2004 -- 9/30/2003(e) -- 12/31/2002 -- 12/31/2001(d) -- Class C 3/31/2007(k) -- 9/30/2006 -- 9/30/2005 -- 9/30/2004 -- 9/30/2003(e) -- 12/31/2002 -- 12/31/2001(d) -- Class Y 3/31/2007(k) -- 9/30/2006 -- 9/30/2005 -- 9/30/2004 -- 9/30/2003(e) -- 12/31/2002 -- 12/31/2001(d) --
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. (b)Computed on an annualized basis for periods less than one year. (c)Per share net investment income has been calculated using the average shares outstanding during the period. (d)As required, effective January 1, 2001, the Funds adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. The effect of this change for the year ended December 31, 2001 for High Income Fund was to decrease net investment income per share by $0.01 for Class C and to decrease the ratio of net investment income to average net assets from 10.63% to 10.54% for Class C. For Limited Term Government and Agency Fund, the effect of this change was to decrease net investment income per share by $0.04 for Class A, B, C, and Y and to decrease the ratio of net investment income to average net assets from 4.88% to 4.52% for Class A, 4.22% to 3.85% for Class B, 4.25% to 3.89% for Class C, and 5.34% to 4.98% for Class Y. (e)For the nine months ended September 30, 2003. (f)Amount rounds to less than $0.01, if applicable. (g)Represents total expenses prior to waiver of a portion of the Class's transfer agent expenses. See accompanying notes to financial statements. 49
Ratios to average net assets: -------------------------------------- Net asset Net assets, value, Total end of Net Gross Net investment Portfolio end of return period expenses expenses income (loss) turnover period (%) (a)(h) (000's) (%) (b)(j) (%) (b)(i) (%) (b) rate (%) - ---------- ---------- ----------- ---------- ---------- -------------- --------- $ 5.28 7.3 $ 4,638 1.96 2.12 5.84 18 5.09 8.6 3,457 2.07 2.23 5.96 41 4.98 9.3 3,554 2.33 2.47 5.82 42 4.83 10.5 2,608 2.40 2.40 6.22 51 4.65 18.8 2,858 2.46 2.46 6.89 41 4.12 (9.5) 2,605 2.33 2.33 8.10 114 4.94 (11.5) 4,153 2.22 2.22 10.54 65 $ 11.02 2.4 $ 109,356 1.00 1.09 4.01 31 11.00 3.2 114,180 1.04 1.09 3.57 50 11.09 1.1 141,417 1.24 1.24 2.50 93 11.30 1.9 106,701 1.32 1.32 2.60 80 11.51 1.2 117,225 1.37 1.37 2.41 53 11.73 8.2 106,013 1.35 1.35 3.66 88 11.36 6.9 109,189 1.42 1.42 4.52 275 11.01 2.0 8,076 1.75 1.83 3.25 31 10.98 2.4 9,952 1.79 1.84 2.79 50 11.07 0.3 15,114 1.99 1.99 1.75 93 11.28 1.2 10,107 2.00 2.00 1.95 80 11.49 0.7 14,637 2.02 2.02 1.77 53 11.71 7.5 16,263 2.00 2.00 3.01 88 11.34 6.2 14,317 2.07 2.07 3.85 275 11.03 2.0 4,422 1.75 1.84 3.25 31 10.99 2.5 4,230 1.79 1.84 2.81 50 11.08 0.2 5,715 1.99 1.99 1.75 93 11.30 1.3 6,949 2.00 2.00 1.94 80 11.50 0.7 8,704 2.02 2.02 1.77 53 11.72 7.5 8,079 2.00 2.00 3.01 88 11.35 6.2 5,851 2.07 2.07 3.89 275 11.06 2.6 3,959 0.70 0.70 4.33 31 11.03 3.4 2,461 0.74 0.74 3.89 50 11.13 1.2 2,533 1.02 1.59(g) 2.77 93 11.34 2.1 4,233 1.13 1.13 2.82 80 11.55 1.5 6,886 0.93 0.93 2.87 53 11.78 8.6 8,529 0.88 0.88 4.14 88 11.41 7.4 3,441 0.95 0.95 4.98 275
(h)Had certain expenses not been reduced during the period, if applicable, total return would have been lower. (i)Represents total expenses prior to advisory fee waiver and/or reimbursement of a portion of the Fund's expenses, if applicable. (j)The investment adviser agreed to reimburse a portion of the Fund's expenses and/or waive its management fee during the period. Without this reimbursement/waiver, if applicable, expenses would have been higher. See Note 4. (k)For the six months ended March 31, 2007 (Unaudited). * The financial information prior to September 30, 2004 reflects the financial information for the CDC Nvest High Income Fund's Class C shares which were reorganized into Class C shares of the Loomis Sayles High Income Fund, effective September 12, 2003. Prior to September 1, 2003, the predecessor Fund was advised by CDC IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles & Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003, had a December 31 fiscal year end. The Fund's current fiscal year end is September 30. ** The financial information for periods prior to September 30, 2004 reflects the financial information for the CDC Nvest Limited Term U.S. Government Fund's Class A, Class B, Class C, and Class Y shares which were reorganized into Class A, Class B, Class C, and Class Y shares, respectively, of the Loomis Sayles Limited Term Government and Agency Fund, effective September 12, 2003. Prior to September 1, 2003, the predecessor Fund was advised by CDC IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles & Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003, had a December 31 fiscal year end. The Fund's current fiscal year end is September 30. 50 FINANCIAL HIGHLIGHTS (continued) For a share outstanding throughout each period.
Income (loss) from investment operations: ----------------------------------------- Net asset value, Net beginning investment Net realized Total from of income and unrealized investment period (loss) gain (loss) operations ---------- ---------- -------------- ---------- MASSACHUSETTS TAX FREE INCOME FUND Class A 3/31/2007(i) $ 16.67 $ 0.32 $ (0.06) $ 0.26 9/30/2006 16.62 0.64 0.05 0.69 9/30/2005 16.58 0.60 0.04 0.64 9/30/2004 16.41 0.61 0.17 0.78 9/30/2003(f) 16.40 0.49 0.01 0.50 12/31/2002 15.82 0.67 0.59 1.26 12/31/2001(d) 16.06 0.75 (0.24) 0.51 Class B 3/31/2007(i) 16.64 0.26 (0.07) 0.19 9/30/2006 16.58 0.51 0.06 0.57 9/30/2005 16.54 0.46 0.05 0.51 9/30/2004 16.37 0.49 0.18 0.67 9/30/2003(f) 16.36 0.41 0.01 0.42 12/31/2002 15.78 0.57 0.58 1.15 12/31/2001(d) 16.03 0.64 (0.24) 0.40 MUNICIPAL INCOME FUND Class A 3/31/2007(i) $ 7.55 $ 0.14 $ (0.02) $ 0.12 9/30/2006 7.48 0.28 0.07 0.35 9/30/2005 7.47 0.28 0.01 0.29 9/30/2004 7.41 0.29 0.06 0.35 9/30/2003(f) 7.43 0.23 (0.02) 0.21 12/31/2002 7.25 0.34 0.18 0.52 12/31/2001(d) 7.39 0.36 (0.14) 0.22 Class B 3/31/2007(i) 7.56 0.11 (0.02) 0.09 9/30/2006 7.49 0.23 0.07 0.30 9/30/2005 7.48 0.22 0.01 0.23 9/30/2004 7.41 0.24 0.07 0.31 9/30/2003(f) 7.44 0.19 (0.03) 0.16 12/31/2002 7.25 0.29 0.19 0.48 12/31/2001(d) 7.39 0.31 (0.14) 0.17
Less distributions: ----------------------------------------- Dividends Distributions from from net net investment realized Total income capital gains distributions -------------- ------------- ------------- MASSACHUSETTS TAX FREE INCOME FUND Class A 3/31/2007(i) $ (0.32) $ -- $ (0.32) 9/30/2006 (0.64) -- (0.64) 9/30/2005 (0.60) -- (0.60) 9/30/2004 (0.61) -- (0.61) 9/30/2003(f) (0.49) -- (0.49) 12/31/2002 (0.68) -- (0.68) 12/31/2001(d) (0.75) -- (0.75) Class B 3/31/2007(i) (0.26) -- (0.26) 9/30/2006 (0.51) -- (0.51) 9/30/2005 (0.47) -- (0.47) 9/30/2004 (0.50) -- (0.50) 9/30/2003(f) (0.41) -- (0.41) 12/31/2002 (0.57) -- (0.57) 12/31/2001(d) (0.65) -- (0.65) MUNICIPAL INCOME FUND Class A 3/31/2007(i) $ (0.14) $ (0.03) $ (0.17) 9/30/2006 (0.28) -- (0.28) 9/30/2005 (0.28) -- (0.28) 9/30/2004 (0.29) -- (0.29) 9/30/2003(f) (0.23) -- (0.23) 12/31/2002 (0.34) -- (0.34) 12/31/2001(d) (0.36) -- (0.36) Class B 3/31/2007(i) (0.11) (0.03) (0.14) 9/30/2006 (0.23) -- (0.23) 9/30/2005 (0.22) -- (0.22) 9/30/2004 (0.24) -- (0.24) 9/30/2003(f) (0.19) -- (0.19) 12/31/2002 (0.29) -- (0.29) 12/31/2001(d) (0.31) -- (0.31)
(a)A sales charge for Class A shares and a contingent deferred sales charge for Class B shares are not reflected in total return calculations. Periods less than one, if applicable, are not annualized. (b)Computed on an annualized basis for periods less than one year. (c)Represents total expenses prior to advisory fee waiver and/or reimbursement of a portion of the Fund's expenses, if applicable. (d)As required, effective January 1, 2001, the Funds adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and accreting discount on debt securities. The effect of this change for the year ended December 31, 2001, for Massachusetts Tax Free Income Fund was to increase the ratio of net investment income to average net assets from 4.66% to 4.67% for Class A and from 4.02% to 4.03% for Class B shares. For Municipal Income Fund, the effect of this change was to increase net investment income per share by $0.01 and to decrease net realized and unrealized gains and losses per share by $0.01 for Class A shares and Class B shares and increase the ratio of net investment income to average net assets from 4.84% to 4.89% for Class A shares and from 4.09% to 4.14% for Class B shares. See accompanying notes to financial statements. 51
Ratios to average net assets: ---------------------------------------- Net asset Net assets, value, Total end of Net Gross Net investment Portfolio end of return period expenses expenses income (loss) turnover period (%) (a) (e) (000's) (%) (b) (g) (%) (b) (c) (%) (b) rate (%) - ---------- ----------- ----------- ----------- ----------- -------------- --------- $ 16.61 1.6 $ 69,576 0.95 1.12 3.88 12 16.67 4.2 72,479 1.02 1.14(h) 3.86 8 16.62 3.9 77,018 1.22 1.22 3.59 5 16.58 4.9 81,427 1.33 1.33 3.74 21 16.41 3.1 86,368 1.38 1.38 3.99 9 16.40 8.1 92,053 1.34 1.34 4.19 33 15.82 3.2 89,376 1.33 1.35 4.67 60 16.57 1.1 1,963 1.70 1.87 3.13 12 16.64 3.5 2,345 1.77 1.89(h) 3.10 8 16.58 3.1 3,207 1.97 1.97 2.84 5 16.54 4.2 4,435 2.00 2.00 3.08 21 16.37 2.6 6,185 2.03 2.03 3.34 9 16.36 7.4 6,742 1.99 1.99 3.54 33 15.78 2.5 8,313 1.98 2.00 4.03 60 $ 7.50 1.6 $ 90,394 0.95 0.97 3.72 9 7.55 4.8 93,448 0.97 0.99 3.83 14 7.48 3.9 102,255 1.07 1.07 3.65 29 7.47 4.9 111,801 1.11 1.11 4.00 35 7.41 2.9 126,906 1.10 1.10 4.14 42 7.43 7.3 133,005 1.06 1.06 4.67 33 7.25 3.0 137,852 1.07 1.07 4.89 80 7.51 1.3 4,700 1.70 1.72 2.97 9 7.56 4.0 5,188 1.72 1.75 3.07 14 7.49 3.1 7,610 1.82 1.82 2.90 29 7.48 4.2 9,087 1.86 1.86 3.25 35 7.41 2.2 10,884 1.85 1.85 3.39 42 7.44 6.7 12,326 1.81 1.81 3.92 33 7.25 2.2 14,549 1.82 1.82 4.14 80
(e)Had certain expenses not been reduced during the period, if applicable, total return would have been lower. (f)For the nine months ended September 30, 2003. (g)The investment adviser agreed to reimburse a portion of the Fund's expenses and/or waive its management fee during the period. Without this reimbursement/waiver, if applicable, expenses would have been higher. See Note 4. (h)Includes expense recapture of 0.01%. See Note 4. (i)For the six months ended March 31, 2007 (Unaudited). 52 FINANCIAL HIGHLIGHTS (continued) For a share outstanding throughout each period.
Income (loss) from investment operations: Less distributions: ---------------------------------------- --------------------------------------- Net asset value, Net Dividends beginning investment Net realized Total from from of income and unrealized investment net investment Total Redemption period (loss) (c) gain (loss) operations income distributions fees (g) ---------- ---------- -------------- ---------- -------------- ------------- ---------- STRATEGIC INCOME FUND* Class A 3/31/2007(j) $ 14.60 $ 0.39 $ 0.32 $ 0.71 $ (0.41) $ (0.41) $ 0.00 9/30/2006 14.17 0.71 0.53 1.24 (0.81) (0.81) 0.00 9/30/2005 13.57 0.66 0.70 1.36 (0.76) (0.76) 0.00 9/30/2004 12.57 0.75 1.11 1.86 (0.86) (0.86) 0.00 9/30/2003(d) 10.72 0.57 1.93 2.50 (0.65) (0.65) _ 12/31/2002 9.88 0.75 0.72 1.47 (0.63) (0.63) _ 12/31/2001(f) 10.80 0.91 (0.92) (0.01) (0.91) (0.91) _ Class B 3/31/2007(j) 14.66 0.34 0.31 0.65 (0.34) (0.34) 0.00 9/30/2006 14.22 0.61 0.52 1.13 (0.69) (0.69) 0.00 9/30/2005 13.60 0.56 0.71 1.27 (0.65) (0.65) 0.00 9/30/2004 12.59 0.65 1.10 1.75 (0.74) (0.74) 0.00 9/30/2003(d) 10.71 0.51 1.92 2.43 (0.55) (0.55) _ 12/31/2002 9.88 0.67 0.73 1.40 (0.57) (0.57) _ 12/31/2001(f) 10.79 0.83 (0.90) (0.07) (0.84) (0.84) _ Class C 3/31/2007(j) 14.65 0.34 0.32 0.66 (0.34) (0.34) 0.00 9/30/2006 14.22 0.61 0.51 1.12 (0.69) (0.69) 0.00 9/30/2005 13.60 0.55 0.72 1.27 (0.65) (0.65) 0.00 9/30/2004 12.58 0.64 1.11 1.75 (0.73) (0.73) 0.00 9/30/2003(d) 10.70 0.50 1.93 2.43 (0.55) (0.55) _ 12/31/2002 9.87 0.67 0.73 1.40 (0.57) (0.57) _ 12/31/2001(f) 10.78 0.83 (0.91) (0.08) (0.83) (0.83) _ Class Y 3/31/2007(j) 14.59 0.41 0.33 0.74 (0.43) (0.43) 0.00 9/30/2006 14.17 0.76 0.51 1.27 (0.85) (0.85) 0.00 9/30/2005 13.57 0.70 0.70 1.40 (0.80) (0.80) 0.00 9/30/2004 12.58 0.78 1.11 1.89 (0.90) (0.90) 0.00 9/30/2003(d) 10.74 0.60 1.93 2.53 (0.69) (0.69) _ 12/31/2002 9.90 0.80 0.71 1.51 (0.67) (0.67) _ 12/31/2001(f) 10.81 0.94 (0.92) 0.02 (0.93) (0.93) _
(a)A sales charge for Class A and Class C (prior to February 1, 2004) shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. (b)Computed on an annualized basis for periods less than one year. (c)Per share net investment income has been calculated using the average shares outstanding during the period. (d)For the nine months ended September 30, 2003. (e)Had certain expenses not been reduced during the period, if applicable, total return would have been lower. (f)As required, effective January 1, 2001, the Funds adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium on debt securities. There was no effect on net investment income per share, however, the effect of this change was to decrease the ratio of net investment income to average net assets from 8.78% to 8.77% for Class A, 8.03% to 8.02% for Class B and 8.04% to 8.02% for Class C. See accompanying notes to financial statements. 53
Ratios to average net assets: -------------------------------------- Net asset Net assets, value, Total end of Net Gross Net investment Portfolio end of return period expenses expenses income (loss) turnover period (%) (a) (e) (000's) (%) (b) (i) (%) (b) (h) (%) (b) rate (%) - --------- ----------- ----------- ----------- ----------- -------------- --------- $14.90 4.9 $4,445,654 0.97 0.97 5.30 12 14.60 9.0 2,782,887 1.05 1.05 5.01 21 14.17 10.2 977,198 1.18 1.18 4.71 14 13.57 15.2 343,586 1.23 1.23 5.66 28 12.57 23.7 140,576 1.28 1.31 6.49 27 10.72 15.5 92,303 1.33 1.33 7.38 30 9.88 (0.1) 94,156 1.31 1.31 8.77 10 14.97 4.5 216,310 1.72 1.72 4.54 12 14.66 8.2 179,927 1.79 1.79 4.26 21 14.22 9.5 144,081 1.93 1.93 3.98 14 13.60 14.3 128,714 1.98 1.98 4.91 28 12.59 23.0 118,217 2.03 2.06 5.73 27 10.71 14.6 98,501 2.08 2.08 6.63 30 9.88 (0.8) 102,159 2.06 2.06 8.02 10 14.97 4.6 2,976,547 1.72 1.72 4.52 12 14.65 8.1 1,812,278 1.79 1.79 4.24 21 14.22 9.5 765,200 1.93 1.93 3.93 14 13.60 14.3 255,705 1.98 1.98 4.87 28 12.58 23.0 66,394 2.03 2.06 5.73 27 10.70 14.7 27,727 2.08 2.08 6.63 30 9.87 (0.8) 28,925 2.06 2.06 8.02 10 14.90 5.1 458,267 0.71 0.71 5.57 12 14.59 9.3 271,065 0.78 0.78 5.30 21 14.17 10.5 50,369 0.91 0.91 4.98 14 13.57 15.5 10,833 1.00 1.08 5.93 28 12.58 24.0 2,193 0.97 0.97 6.83 27 10.74 15.9 1,039 0.94 0.94 7.77 30 9.90 0.3 445 0.93 0.93 9.10 10
(g)Amount rounds to less than $0.01, if applicable. (h)Represents total expenses prior to advisory fee waiver and/or reimbursement of a portion of the Fund's expenses, if applicable. (i)The investment adviser agreed to reimburse a portion of the Fund's expenses and/or waive its management fee during the period. Without this reimbursement/waiver, if applicable, expenses would have been higher. See Note 4. (j)For the six months ended March 31, 2007 (unaudited). * The financial information for periods prior to September 30, 2004 reflects the financial information for CDC Nvest Strategic Income Fund's Class A, Class B, Class C and Class Y shares, which were reorganized into Class A, Class B, Class C and Class Y shares, respectively, of Loomis Sayles Strategic Income Fund, effective September 12, 2003. Prior to September 1, 2003, the predecessor Fund was advised by CDC IXIS Asset Management Advisers, L.P. and subadvised by Loomis, Sayles & Company, L.P. (the Fund's current adviser) and, prior to September 12, 2003, had a December 31 fiscal year end. The Fund's current fiscal year end is September 30. 54 NOTES TO FINANCIAL STATEMENTS March 31, 2007 (Unaudited) 1. Organization. IXIS Advisor Funds Trust I, IXIS Advisor Funds Trust II and Loomis Sayles Funds II (the "Trusts" and each a "Trust") are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended ("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. Information presented in these financial statements pertains to certain fixed income funds of the Trusts; the financial statements for the other funds of the Trusts are presented in separate reports. The following funds (individually, a "Fund" and collectively, the "Funds") are included in this report: IXIS Advisor Funds Trust I: Loomis Sayles Core Plus Bond Fund (the "Core Plus Bond Fund") IXIS Advisor Funds Trust II: Loomis Sayles Massachusetts Tax Free Income Fund (the "Massachusetts Tax Free Income Fund") Loomis Sayles Funds II: Loomis Sayles High Income Fund (the "High Income Fund") Loomis Sayles Limited Term Government and Agency Fund (the "Limited Term Government and Agency Fund") Loomis Sayles Municipal Income Fund (the "Municipal Income Fund") Loomis Sayles Strategic Income Fund (the "Strategic Income Fund") Core Plus Bond Fund, Limited Term Government and Agency Fund and Strategic Income Fund each offer Class A, Class B, Class C and Class Y shares. High Income Fund offers Class A, Class B and Class C shares. Massachusetts Tax Free Income Fund and Municipal Income Fund each offer Class A and Class B shares. Class A shares of all Funds except Limited Term Government and Agency Fund and Massachusetts Tax Free Income Fund are sold with a maximum front-end sales charge of 4.50%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 3.00% and Class A shares of Massachusetts Tax Free Income Fund are sold with a maximum front-end sales charge of 4.25%. Class B shares do not pay a front-end sales charge, but pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares), and are subject to a contingent deferred sales charge ("CDSC") if those shares are redeemed within six years of purchase. Class C shares do not pay a front-end sales charge, do not convert to any other Class of shares and pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. They are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are excepted from the minimum investment amount as outlined in the Fund's prospectus. Prior to March 16, 2007 the minimum initial investment for Class Y was $1,000,000. Most expenses of the Trusts 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 the 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 service and distribution fees and transfer agent fees applicable to such class). 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 dividends 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 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. a. Security Valuation. Debt securities for which market quotations are readily available (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Funds by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds' investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day. 55 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values. b. Security Transactions and Related Investment Income. Security transactions are accounted for 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. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income and non-class specific expenses are allocated on a pro rata basis to each Class based on the relative value of settled shares of each Class to the total for the Fund. 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 value 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 on the respective dates of such transactions. Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations arising from changes in market prices of the investment securities. Such changes are included with the net realized and unrealized gain or loss on investments. Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates. Each 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. Each Fund (except Massachusetts Tax Free Income Fund and Municipal Income Fund) may purchase investments of foreign issuers. Investing in securities of foreign issuers involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government. d. 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 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. Accordingly, no provision for federal income tax has been made. A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund's understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable. e. 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 annually 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 paydowns on mortgage-backed securities, premium amortization and foreign currency transactions. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to the capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees' fees, defaulted bond income accruals, premium amortization accruals, market discounts, capital loss carryforwards, post-October capital loss deferrals and wash sales. Distributions from net investment income and short-term capital gains are considered to be ordinary income for tax purposes. 56 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2006 was as follows:
2006 Distributions Paid From: - ----------------------------- Exempt Ordinary Interest Fund Income Dividends Total ---- ------ --------- ----- Core Plus Bond Fund $ 11,734,713 $ -- $ 11,734,713 High Income Fund 2,585,838 -- 2,585,838 Limited Term Government and Agency Fund 5,637,489 -- 5,637,489 Massachusetts Tax Free Income Fund 19,311 2,905,815 2,925,126 Municipal Income Fund 52,251 3,794,093 3,846,344 Strategic Income Fund 163,441,295 -- 163,441,295
As of September 30, 2006, capital loss carryforwards and post - October losses were as follows:
Limited Term Government Massachusetts Municipal Strategic Core Plus High Income and Agency Tax Free Income Income Bond Fund Fund Fund Income Fund Fund Fund - - ------------ ------------ ------------ ------------- --------- ------------ Capital loss carryforward: Expires September 30, 2007 $ -- $ -- $ (9,755,614) $ (804,173) $-- $ -- Expires September 30, 2008 -- (12,726,943) (4,165,768) (116,500) -- -- Expires September 30, 2009 -- (43,374,721) (4,128,091) -- -- (7,292,580) Expires September 30, 2010 (20,960,955) (26,826,634) (663,109) (1,003,440) -- (21,770,312) Expires September 30, 2011 -- -- (425,323) -- -- (7,096,274) Expires September 30, 2012 -- -- (193,904) -- -- -- Expires September 30, 2013 -- -- -- (154,156) -- -- Expires September 30, 2014 (181,728) -- (2,770,324) -- -- -- ------------ ------------ ------------ ----------- --- ------------ Total Capital loss carryforward (21,142,683) (82,928,298) (22,102,133) (2,078,269) -- (36,159,166) Deferred net capital losses (post-October) (1,656,378) -- (4,268,354) -- -- --
f. Repurchase Agreements. Each Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is each Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank 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. 57 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) g. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value 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 of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned securities for non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at March 31, 2007 were as follows:
Market Value of Value of Securities on Collateral Fund Loan Received ---- ---- -------- Core Plus Bond Fund $ 53,957,797 $ 55,198,804 High Income Fund 6,277,989 6,398,145 Limited Term Government and Agency Fund 28,399,989 28,938,786 Massachusetts Tax Free Income Fund -- -- Municipal Income Fund -- -- Strategic Income Fund 1,708,578,357 1,742,998,995
h. Delayed Delivery Commitments. Each Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract. Collateral consisting of liquid securities or cash and cash equivalents is maintained in an amount at least equal to these commitments with the custodian. i. Indemnifications. Under the Trusts' organizational documents, their officers and Trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. j. New Accounting Pronouncements. Financial Accounting Standards Board (FASB) Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement 109 ("FIN 48") was issued and became effective for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Subsequent thereto, the United States Securities and Exchange Commission ("SEC") indicated that it would not object if a fund first adopts FIN 48 on the last business day of the first required financial reporting period for fiscal years beginning after December 15, 2006. Accordingly, Management is continuing to evaluate the impact the adoption of FIN 48 may have on the Funds' net assets and results of operations. In compliance with the recently issued SEC guidance the impact, if any, will be reflected in the Funds' semiannual financial statements as of March 31, 2008. In addition, in September, 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. 3. Purchases and Sales of Securities. For the six months ended March 31, 2007, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
U.S. Government and Agency Securities Other Securities - - ------------------------------------- ---------------- Fund Purchases Sales Purchases Sales - ---- --------- ----- --------- ----- Core Plus Bond Fund $ 34,506,630 $ 12,383,873 $ 35,703,364 $ 56,826,159 High Income Fund 604,789 782,884 6,632,935 8,295,098 Limited Term Government and Agency Fund 35,951,589 41,201,089 2,869,054 3,898,154 Massachusetts Tax Free Income Fund -- -- 8,898,505 11,233,625 Municipal Income Fund -- -- 8,166,727 11,992,380 Strategic Income Fund 874,120,539 289,621,748 2,709,069,150 434,241,364
58 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) 4. Management Fees and Other Transactions with Affiliates. a. Management Fees. Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund's average daily net assets:
Percentage of Average Daily Net Assets - - ------------------------------------------------- First Next Next Over Fund $100 million $100 million $1.8 billion $2 billion - ---- ------------ ------------ ------------ ---------- Core Plus Bond Fund 0.2500% 0.1875% 0.1875% 0.1875% High Income Fund 0.6000% 0.6000% 0.6000% 0.6000% Limited Term Government and Agency Fund 0.5000% 0.5000% 0.5000% 0.5000% Massachusetts Tax Free Income Fund 0.3000% 0.2500% 0.2500% 0.2500% Municipal Income Fund 0.5000% 0.3750% 0.3750% 0.3750% Strategic Income Fund 0.6500% 0.6500% 0.6000% 0.5500%
IXIS Asset Management Advisors, L.P. ("IXIS Advisors"), serves as the advisory administrator to Core Plus Bond Fund and Massachusetts Tax Free Income Fund. Under the terms of the advisory administration agreements, each Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:
Percentage of Average Daily Net Assets - ------------------------- First Over Fund $100 million $100 million ---- ------------ ------------ Core Plus Bond Fund 0.2500% 0.1875% Massachusetts Tax Free Income Fund 0.3000% 0.2500%
Management and advisory administration fees are presented in the Statements of Operations as management fees. Loomis Sayles has given binding undertakings to the Funds to defer its management fees and/or reimburse certain expenses associated with these Funds to limit their operating expenses. These undertakings are in effect until January 31, 2008 and will be reevaluated on an annual basis. For the period from February 1, 2007 to March 31, 2007, 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 B Class C Class Y ---- ------- ------- ------- ------- Core Plus Bond Fund 1.05% 1.80% 1.80% 0.80% High Income Fund 1.15% 1.90% 1.90% -- Limited Term Government and Agency Fund 1.00% 1.75% 1.75% 0.75% Massachusetts Tax Free Income Fund 0.95% 1.70% -- -- Municipal Income Fund 0.95% 1.70% -- -- Strategic Income Fund 1.25% 2.00% 2.00% 1.00%
Prior to February 1, 2007, the expense limits as a percentage of average daily net assets were as follows:
Expense Limit as a Percentage of Average Daily Net Assets - ------------------------------- Fund Class A Class B Class C Class Y ---- ------- ------- ------- ------- Core Plus Bond Fund 1.05% 1.80% 1.80% 0.80% High Income Fund 1.25% 2.00% 2.00% -- Limited Term Government and Agency Fund 1.00% 1.75% 1.75% 0.75% Massachusetts Tax Free Income Fund 0.95% 1.70% -- -- Municipal Income Fund 0.95% 1.70% -- -- Strategic Income Fund 1.25% 2.00% 2.00% 1.00%
59 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) Loomis Sayles and IXIS Advisors have agreed to equally bear the fee waivers and/or expense reimbursements for the Core Plus Bond Fund and Massachusetts Tax Free Income Fund. For the six months ended March 31, 2007, the management fees and waivers of management fees for each Fund were as follows:
Percentage of Average Gross Waiver of Net Daily Net Assets Management Management Management ---------------- Fund Fee Fee Fee Gross Net - ---- ----------- ---------- ----------- ----- --- Core Plus Bond Fund $ 236,973 $ -- $ 236,973 0.216% 0.216% High Income Fund 124,538 -- 124,538 0.600% 0.600% Limited Term Government and Agency Fund 317,466 -- 317,466 0.500% 0.500% Massachusetts Tax Free Fund 108,793 18,220 90,573 0.300% 0.250% Municipal Income Fund 241,772 -- 241,772 0.500% 0.500% Strategic Income Fund 18,485,826 -- 18,485,826 0.567% 0.567%
For the six months ended March 31, 2007, the advisory administration fees and waivers for each Fund were as follows:
Percentage of Gross Waiver of Net Average Advisory Advisory Advisory Daily Net Assets Administration Administration Administration --------------- Fund Fee Fee Fee Gross Net - ---- -------------- -------------- -------------- ----- --- Core Plus Bond Fund $236,974 $ -- $236,974 0.216% 0.216% Massachusetts Tax Free Income Fund 108,792 18,220 90,572 0.300% 0.250%
For the six months ended March 31, 2007, in addition to the waiver of management fees and/or advisory administration fees, expenses have been reimbursed as follows:
Fund Reimbursement ---- ------------- Core Plus Bond Fund $43,578 High Income Fund 31,206 Limited Term Government and Agency Fund 52,930 Massachusetts Tax Free Income Fund 26,080 Municipal Income Fund 11,868
Loomis Sayles and IXIS Advisors shall be permitted to recover management fees/advisory administration fees waived and/or expenses borne under the expense limitation agreements on a Class by Class basis in later periods to the extent a Class' expenses fall below a Class' expense limits, provided, however, that a Class is not obligated to pay such deferred fees/expenses more than one year after the end of the fiscal year in which the fee/expense was deferred. The amounts subject to possible reimbursement under the expense limitation agreements at March 31, 2007 were as follows:
Expenses Subject to Possible Reimbursement until September 30, 2007 - - --------------------------------------- Fund Class A Class B Class C Class Y Total - ---- ------- ------- ------- ------- ----- Core Plus Bond Fund $31,145 $40,795 $1,089 $-- $73,029 High Income Fund 42,950 15,738 5,404 -- 64,092 Limited Term Government and Agency Fund 61,913 6,019 2,350 -- 70,282 Massachusetts Tax Free Income Fund 88,881 3,276 -- -- 92,157 Municipal Income Fund 18,551 1,493 -- -- 20,044 Expenses Subject to Possible Reimbursement until September 30, 2008 --------------------------------------- Fund Class A Class B Class C Class Y Total - ---- ------- ------- ------- ------- ----- Core Plus Bond Fund $19,860 $22,155 $1,563 $-- $43,578 High Income Fund 23,148 4,967 3,091 -- 31,206 Limited Term Government and Agency Fund 47,256 3,784 1,890 -- 52,930 Massachusetts Tax Free Income Fund 60,692 1,828 -- -- 62,520 Municipal Income Fund 11,265 603 -- -- 11,868
60 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) Certain officers and directors of Loomis Sayles and IXIS Advisors are also Trustees of the Funds. Loomis Sayles and IXIS Advisors are both limited partnerships whose sole general partner is indirectly owned by IXIS Asset Management US Group, L.P. ("IXIS US Group") (formerly, IXIS Asset Management North America, L.P.), which is part of IXIS Asset Management Group, an international asset management group based in Paris, France. b. Administrative Fees. IXIS Advisors provides certain administrative services for the Funds and has subcontracted with State Street Bank to serve as sub-administrator. IXIS Advisors is a wholly-owned subsidiary of IXIS US Group. Pursuant to an agreement among IXIS Advisor Funds Trust I, IXIS Advisor Funds Trust II, IXIS Advisor Funds Trust III, IXIS Advisor Funds Trust IV, IXIS Advisor Cash management Trust ("IXIS Advisor Funds Trusts"), Loomis Sayles Funds I, Loomis Sayles Funds II ("Loomis Sayles Funds Trusts") and IXIS Advisors, each Fund pays IXIS Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0675% of the first $5 billion of the average daily net assets of the IXIS Advisor Funds Trusts and Loomis Sayles Funds Trusts, 0.0625% of the next $5 billion, and 0.0500% of such assets in excess of $10 billion, subject to an annual aggregate minimum fee for the IXIS Advisor Funds Trusts and Loomis Sayles Funds Trusts of $5 million, which is reevaluated on an annual basis. For the six months ended March 31, 2007, amounts paid to IXIS Advisors for administrative fees were as follows:
Administrative Fund Fees ---- ---- Core Plus Bond Fund $ 62,090 High Income Fund 11,885 Limited Term Government and Agency Fund 35,458 Massachusetts Tax Free Income Fund 20,656 Municipal Income Fund 27,338 Strategic Income Fund 1,957,264
c. Service and Distribution Fees. The Trusts have entered into a distribution agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"), a wholly owned subsidiary of IXIS US Group. Pursuant to this agreement, IXIS Distributors 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 Plan") and Service and Distribution Plans relating to each Fund's Class B and Class C shares (the "Class B and Class C Plans"). Under the Class A Plan, each Fund pays IXIS Distributors 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 IXIS Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts. Under the Class B and Class C Plans, each Fund pays IXIS Distributors 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 B and Class C shares, as compensation for services provided and expenses incurred by IXIS Distributors in providing personal services to investors in Class B and Class C shares and/or the maintenance of shareholder accounts. Also under the Class B and Class C Plans, each Fund pays IXIS Distributors a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund's Class B and Class C shares, as compensation for services provided and expenses incurred by IXIS Distributors in connection with the marketing or sale of Class B and Class C shares. For the six months ended March 31, 2007, the Funds paid the following service and distribution fees:
Service Fee Distribution Fee - - ------------------------------ ------------------- Fund Class A Class B Class C Class B Class C - ---- ------- ------- ------- ------- ------- Core Plus Bond Fund $ 116,084 $132,468 $ 9,580 $397,408 $ 28,741 High Income Fund 38,300 8,513 5,077 25,541 15,232 Limited Term Government and Agency Fund 138,196 11,176 5,513 33,529 16,539 Massachusetts Tax Free Income Fund 87,994 2,666 -- 7,999 -- Municipal Income Fund 114,640 6,245 -- 18,739 -- Strategic Income Fund 4,466,518 247,238 2,988,114 741,715 8,964,346
61 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) d. Commissions. The Funds have been informed that commissions (including CDSC) on Fund shares paid to IXIS Distributors by investors in shares of the Funds during the six months ended March 31, 2007 were as follows:
Fund Commission ---- ---------- Core Plus Bond Fund $ 44,311 High Income Fund 43,345 Limited Term Government and Agency Fund 39,155 Massachusetts Tax Free Income Fund 10,109 Municipal Income Fund 13,245 Strategic Income Fund 6,790,046
e. Trustee Fees and Expenses. Trustees who are directors, officers or employees of IXIS Advisors, IXIS Distributors, IXIS US Group, Loomis Sayles or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $200,000. 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 $55,000. Each Independent Trustee also receives a meeting attendance fee of $6,000 for each meeting of the Board of Trustees that he or she attends in person and $3,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $10,000. Each Contract Review and Governance Committee member is compensated $4,000 for each Committee meeting that he or she attends in person and $2,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $5,000 for each Committee meeting that he or she attends in person and $2,500 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the IXIS Advisor Funds Trusts and the 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. Each participating Trustee will receive an amount equal to the value that such deferred compensation would have been had it been invested in a designated fund or certain other funds of the IXIS Advisor Funds Trusts and the Loomis Sayles Funds Trusts on the normal payment date. Deferred amounts remain in the Funds until distributed in accordance with the Plan. f. Redemption Fees. Shareholders of Class A shares of Core Plus Bond Fund, High Income Fund and Strategic Income Fund and shareholders of Class Y shares of Core Plus Bond Fund and Strategic Income Fund are charged a 2% redemption fee if they redeem, including redeeming by exchange, Class A shares and Class Y shares within 60 days of their acquisition (including acquisition by exchange). The redemption fee is intended to offset the costs to the Funds of short-term trading, such as portfolio transaction and market impact costs associated with redemption activity and administrative costs associated with processing redemptions. The redemption fee is deducted from the shareholder's redemption or exchange proceeds and is paid to the Fund. The "first-in, first-out" (FIFO) method is used to determine the holding period of redeemed or exchanged shares, which means that if a shareholder acquired shares on different days, the shares acquired first will be redeemed or exchanged first for purposes of determining whether the redemption fee applies. A new holding period begins with each purchase or exchange. These fees are accounted for as an addition to paid-in capital and are presented on the Statements of Changes in Net Assets. 5. Line of Credit. High Income Fund and Strategic Income Fund, together with certain other funds of IXIS Advisor Funds Trusts and Loomis Sayles Funds Trusts, participate in a $75,000,000 committed line of credit provided by State Street Bank. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.09% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. For the six months ended March 31, 2007, the Funds had no borrowings under this agreement. 6. Concentration of Credit. Massachusetts Tax Free Income Fund primarily invests in debt obligations issued by the Commonwealth of Massachusetts and its political subdivisions, agencies and public authorities to obtain funds for various public purposes. The Fund is more susceptible to factors adversely affecting issuers of Massachusetts municipal securities than is a comparable municipal bond fund that is not so concentrated. Uncertain economic and fiscal conditions may affect the ability of issuers of Massachusetts municipal securities to meet their financial obligations. 62 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) 7. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows: Six Months Ended March 31, 2007 ----------------------------------- Core Plus Bond Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 1,118,665 $ 12,666,839 Issued in connection with the reinvestment of distributions 152,668 1,731,982 ---------------- ----------------- 1,271,333 14,398,821 Redeemed (971,720) (11,002,059) ---------------- ----------------- Net Change 299,613 $ 3,396,762 ---------------- ----------------- Class B: Issued from the sale of shares 1,144,948 $ 12,961,741 Issued in connection with the reinvestment of distributions 38,550 437,606 ---------------- ----------------- 1,183,498 13,399,347 Redeemed (2,009,099) (22,737,373) ---------------- ----------------- Net Change (825,601) $ (9,338,026) ---------------- ----------------- Class C: Issued from the sale of shares 241,950 $ 2,744,066 Issued in connection with the reinvestment of distributions 4,904 55,700 ---------------- ----------------- 246,854 2,799,766 Redeemed (69,084) (780,681) ---------------- ----------------- Net Change 177,770 $ 2,019,085 ---------------- ----------------- Class Y: Issued from the sale of shares 331,307 $ 3,764,438 Issued in connection with the reinvestment of distributions 17,309 197,234 ---------------- ----------------- 348,616 3,961,672 Redeemed (135,578) (1,538,517) ---------------- ----------------- Net Change 213,038 $ 2,423,155 ---------------- ----------------- Increase (decrease) from capital share transactions (135,180) $ (1,499,024) ================ ================= Six Months Ended March 31, 2007 ----------------------------------- High Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 961,861 $ 5,027,169 Issued in connection with the reinvestment of distributions 149,133 781,972 ---------------- ----------------- 1,110,994 5,809,141 Redeemed (781,096) (4,085,451) ---------------- ----------------- Net Change 329,898 $ 1,723,690 ---------------- ----------------- Class B: Issued from the sale of shares 87,747 $ 458,795 Issued in connection with the reinvestment of distributions 23,131 121,457 ---------------- ----------------- 110,878 580,252 Redeemed (355,784) (1,860,654) ---------------- ----------------- Net Change (244,906) $ (1,280,402) ---------------- ----------------- Class C: Issued from the sale of shares 242,883 $ 1,272,735 Issued in connection with the reinvestment of distributions 14,638 76,873 ---------------- ----------------- 257,521 1,349,608 Redeemed (57,026) (299,113) ---------------- ----------------- Net Change 200,495 $ 1,050,495 ---------------- ----------------- Increase (decrease) from capital share transactions 285,487 $ 1,493,783 ================ =================
Year Ended September 30, 2006 ----------------------------------- Core Plus Bond Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 1,382,171 $ 15,380,850 Issued in connection with the reinvestment of distributions 372,669 4,153,500 ---------------- ----------------- 1,754,840 19,534,350 Redeemed (2,825,473) (31,498,913) ---------------- ----------------- Net Change (1,070,633) $ (11,964,563) ---------------- ----------------- Class B: Issued from the sale of shares 2,443,291 $ 27,246,501 Issued in connection with the reinvestment of distributions 124,023 1,383,392 ---------------- ----------------- 2,567,314 28,629,893 Redeemed (4,382,113) (48,867,417) ---------------- ----------------- Net Change (1,814,799) $ (20,237,524) ---------------- ----------------- Class C: Issued from the sale of shares 217,848 $ 2,421,818 Issued in connection with the reinvestment of distributions 13,202 147,350 ---------------- ----------------- 231,050 2,569,168 Redeemed (141,074) (1,577,745) ---------------- ----------------- Net Change 89,976 $ 991,423 ---------------- ----------------- Class Y: Issued from the sale of shares 531,672 $ 5,901,516 Issued in connection with the reinvestment of distributions 36,711 411,038 ---------------- ----------------- 568,383 6,312,554 Redeemed (296,854) (3,319,094) ---------------- ----------------- Net Change 271,529 $ 2,993,460 ---------------- ----------------- Increase (decrease) from capital share transactions (2,523,927) $ (28,217,204) ================ ================= Year Ended September 30, 2006 ----------------------------------- High Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 1,613,908 $ 8,110,484 Issued in connection with the reinvestment of distributions 225,645 1,132,995 ---------------- ----------------- 1,839,553 9,243,479 Redeemed (1,315,469) (6,579,692) ---------------- ----------------- Net Change 524,084 $ 2,663,787 ---------------- ----------------- Class B: Issued from the sale of shares 139,925 $ 704,223 Issued in connection with the reinvestment of distributions 49,894 250,269 ---------------- ----------------- 189,819 954,492 Redeemed (1,175,776) (5,886,573) ---------------- ----------------- Net Change (985,957) $ (4,932,081) ---------------- ----------------- Class C: Issued from the sale of shares 245,364 $ 1,234,623 Issued in connection with the reinvestment of distributions 16,606 83,348 ---------------- ----------------- 261,970 1,317,971 Redeemed (296,889) (1,478,155) ---------------- ----------------- Net Change (34,919) $ (160,184) ---------------- ----------------- Increase (decrease) from capital share transactions (496,792) $ (2,428,478) ================ =================
63 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) Six Months Ended Year Ended March 31, 2007 September 30, 2006 ----------------------------------- ----------------------------------- Limited Term Government and Agency Fund Shares Amount Shares Amount - ------------------------------ ---------------- ----------------- ---------------- ----------------- Class A: Issued from the sale of shares 497,060 $ 5,476,695 555,196 $ 6,089,078 Issued in connection with the reinvestment of distributions 148,373 1,634,180 317,378 3,476,250 ---------------- ----------------- ---------------- ----------------- 645,433 7,110,875 872,574 9,565,328 Redeemed (1,109,544) (12,216,793) (3,237,220) (35,466,514) ---------------- ----------------- ---------------- ----------------- Net Change (464,111) $ (5,105,918) (2,364,646) $ 25,901,186) ---------------- ----------------- ---------------- ----------------- Class B: Issued from the sale of shares 31,349 $ 344,511 74,303 $ 814,813 Issued in connection with the reinvestment of distributions 12,094 133,292 29,021 317,417 ---------------- ----------------- ---------------- ----------------- 43,443 477,803 103,324 1,132,230 Redeemed (216,585) (2,380,349) (562,347) (6,150,376) ---------------- ----------------- ---------------- ----------------- Net Change (173,142) $ (1,902,546) (459,023) $ (5,018,146) ---------------- ----------------- ---------------- ----------------- Class C: Issued from the sale of shares 77,995 $ 858,709 63,287 $ 692,417 Issued in connection with the reinvestment of distributions 4,577 50,411 8,700 95,297 ---------------- ----------------- ---------------- ----------------- 82,572 909,120 71,987 787,714 Redeemed (66,397) (730,598) (202,763) (2,222,285) ---------------- ----------------- ---------------- ----------------- Net Change 16,175 $ 178,522 (130,776) $ (1,434,571) ---------------- ----------------- ---------------- ----------------- Class Y: Issued from the sale of shares 130,977 $ 1,445,641 16,475 $ 181,528 Issued in connection with the reinvestment of distributions 5,592 61,784 9,128 100,325 ---------------- ----------------- ---------------- ----------------- 136,569 1,507,425 25,603 281,853 Redeemed (1,563) (17,240) (30,025) (330,286) ---------------- ----------------- ---------------- ----------------- Net Change 135,006 $ 1,490,185 (4,422) $ (48,433) ---------------- ----------------- ---------------- ----------------- Increase (decrease) from capital share transactions (486,072) $ (5,339,757) (2,958,867) $ (32,402,336) ================ ================= ================ ================= On March 31, 2007, one shareholder of the Limited Term Government and Agency Fund owned 7.76% of the Fund's total shares outstanding. Six Months Ended Year Ended March 31, 2007 September 30, 2006 ----------------------------------- ----------------------------------- Massachusetts Tax Free Income Fund Shares Amount Shares Amount - ------------------------------ ---------------- ----------------- ---------------- ----------------- Class A: Issued from the sale of shares 39,863 $ 664,792 116,584 $ 1,927,090 Issued in connection with the reinvestment of distributions 61,924 1,033,446 128,646 2,122,198 ---------------- ----------------- ---------------- ----------------- 101,787 1,698,238 245,230 4,049,288 Redeemed (259,329) (4,322,082) (533,421) (8,795,072) ---------------- ----------------- ---------------- ----------------- Net Change (157,542) $ (2,623,844) (288,191) $ (4,745,784) ---------------- ----------------- ---------------- ----------------- Class B: Issued from the sale of shares 1,737 $ 28,898 3,138 $ 51,637 Issued in connection with the reinvestment of distributions 1,444 24,047 3,663 60,307 ---------------- ----------------- ---------------- ----------------- 3,181 52,945 6,801 111,944 Redeemed (25,653) (427,617) (59,258) (974,232) ---------------- ----------------- ---------------- ----------------- Net Change (22,472) $ (374,672) (52,457) $ (862,288) ---------------- ----------------- ---------------- ----------------- Increase (decrease) from capital share transactions (180,014) $ (2,998,516) (340,648) $ (5,608,072) ================ ================= ================ =================
64 NOTES TO FINANCIAL STATEMENTS (continued) March 31, 2007 (Unaudited) Six Months Ended March 31, 2007 ----------------------------------- Municipal Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 204,175 $ 1,541,640 Issued in connection with the reinvestment of distributions 200,000 1,510,742 ---------------- ----------------- 404,175 3,052,382 Redeemed (733,469) (5,527,609) ---------------- ----------------- Net Change (329,294) $ (2,475,227) ---------------- ----------------- Class B: Issued from the sale of shares 14,650 $ 110,871 Issued in connection with the reinvestment of distributions 7,931 60,002 ---------------- ----------------- 22,581 170,873 Redeemed (83,167) (628,457) ---------------- ----------------- Net Change (60,586) $ (457,584) ---------------- ----------------- Increase (decrease) from capital share transactions (389,880) $ (2,932,811) ================ ================= Six Months Ended March 31, 2007 ----------------------------------- Strategic Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 120,795,402 $ 1,794,110,302 Issued in connection with the reinvestment of distributions 4,581,344 68,217,440 ---------------- ----------------- 125,376,746 1,862,327,742 Redeemed (17,757,656) (263,817,356) ---------------- ----------------- Net Change 107,619,090 $ 1,598,510,386 ---------------- ----------------- Class B: Issued from the sale of shares 3,184,716 $ 47,493,752 Issued in connection with the reinvestment of distributions 140,784 2,104,846 ---------------- ----------------- 3,325,500 49,598,598 Redeemed (1,154,810) (17,206,663) ---------------- ----------------- Net Change 2,170,690 $ 32,391,935 ---------------- ----------------- Class C: Issued from the sale of shares 80,969,959 $ 1,206,975,597 Issued in connection with the reinvestment of distributions 1,211,846 18,118,364 ---------------- ----------------- 82,181,805 1,225,093,961 Redeemed (7,011,867) (104,691,092) ---------------- ----------------- Net Change 75,169,938 $ 1,120,402,869 ---------------- ----------------- Class Y: Issued from the sale of shares 14,450,901 $ 214,553,654 Issued in connection with the reinvestment of distributions 132,523 1,972,361 ---------------- ----------------- 14,583,424 216,526,015 Redeemed (2,398,377) (35,616,894) ---------------- ----------------- Net Change 12,185,047 $ 180,909,121 ---------------- ----------------- Increase (decrease) from capital share transactions 197,144,765 $ 2,932,214,311 ================ =================
Year Ended September 30, 2006 ----------------------------------- Municipal Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 462,407 $ 3,433,795 Issued in connection with the reinvestment of distributions 334,961 2,490,096 ---------------- ----------------- 797,368 5,923,891 Redeemed (2,091,235) (15,530,757) ---------------- ----------------- Net Change (1,293,867) $ (9,606,866) ---------------- ----------------- Class B: Issued from the sale of shares 53,879 $ 401,621 Issued in connection with the reinvestment of distributions 15,598 116,046 ---------------- ----------------- 69,477 517,667 Redeemed (399,386) (2,971,013) ---------------- ----------------- Net Change (329,909) $ (2,453,346) ---------------- ----------------- Increase (decrease) from capital share transactions (1,623,776) $ (12,060,212) ================ ================= Year Ended September 30, 2006 ----------------------------------- Strategic Income Fund Shares Amount - -------------------------------------------------------------- ---------------- ----------------- Class A: Issued from the sale of shares 138,264,882 $ 1,969,973,470 Issued in connection with the reinvestment of distributions 4,434,461 63,237,389 ---------------- ----------------- 142,699,343 2,033,210,859 Redeemed (20,978,934) (298,257,925) ---------------- ----------------- Net Change 121,720,409 $ 1,734,952,934 ---------------- ----------------- Class B: Issued from the sale of shares 4,378,474 $ 62,611,798 Issued in connection with the reinvestment of distributions 254,799 3,636,750 ---------------- ----------------- 4,633,273 66,248,548 Redeemed (2,489,164) (35,488,933) ---------------- ----------------- Net Change 2,144,109 $ 30,759,615 ---------------- ----------------- Class C: Issued from the sale of shares 76,685,324 $ 1,097,132,921 Issued in connection with the reinvestment of distributions 1,024,379 14,656,353 ---------------- ----------------- 77,709,703 1,111,789,274 Redeemed (7,823,598) (111,619,466) ---------------- ----------------- Net Change 69,886,105 $ 1,000,169,808 ---------------- ----------------- Class Y: Issued from the sale of shares 16,186,079 $ 231,166,734 Issued in connection with the reinvestment of distributions 92,338 1,318,567 ---------------- ----------------- 16,278,417 232,485,301 Redeemed (1,256,435) (17,863,735) ---------------- ----------------- Net Change 15,021,982 $ 214,621,566 ---------------- ----------------- Increase (decrease) from capital share transactions 208,772,605 $ 2,980,503,923 ================ =================
65 Item 2. Code of Ethics. Not applicable. Item 3. Audit Committee Financial Expert. Not applicable. Item 4. Principal Accountant Fees and Services. Not applicable. Item 5. Audit Committee of Listed Registrants. Not applicable. Item 6. Schedule of Investments. Included as part of the Report to Shareholders filed as Item 1 herewith. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Securities Holders. There were no material changes to the procedures by which shareholders may recommend nominees to the Trust'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 was no change in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal quarter of the period covered by the 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) Not applicable. (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. IXIS Advisor Funds Trust II By: /s/ John T. Hailer --------------------------------- Name: John T. Hailer Title: President and Chief Executive Officer Date: May 22, 2007 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/ John T. Hailer --------------------------------- Name: John T. Hailer Title: President and Chief Executive Officer Date: May 22, 2007 By: /s/ Michael C. Kardok --------------------------------- Name: Michael C. Kardok Title: Treasurer Date: May 22, 2007 EX-99.CERT 2 dex99cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT Exhibit (a)(2)(1) IXIS Advisor Funds Trust II Exhibit to SEC Form N-CSR Section 302 Certification I, John T. Hailer, certify that: 1. I have reviewed this report on Form N-CSR of IXIS Advisor Funds Trust II; 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: May 22, 2007 /s/ John T. Hailer ------------------------------------- John T. Hailer President and Chief Executive Officer Exhibit (a)(2)(2) IXIS Advisor Funds Trust II 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 IXIS Advisor Funds Trust II; 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: May 22, 2007 /s/ Michael C. Kardok ------------------------------------- Michael C. Kardok Treasurer EX-99.906CERT 3 dex99906cert.txt CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT Exhibit (b) IXIS Advisor Funds Trust II Section 906 Certification In connection with the report on Form N-CSR for the period ended March 31, 2007 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 and 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 Treasurer IXIS Advisor Funds Trust II IXIS Advisor Funds Trust II /s/ John T. Hailer /s/ Michael C. Kardok - ------------------------------------- ----------------------------------- John T. Hailer Michael C. Kardok Date: May 22, 2007 Date: May 22, 2007 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 IXIS Advisor Funds Trust II, and will be retained by the IXIS Advisor Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----