0001193125-16-451977.txt : 20160205 0001193125-16-451977.hdr.sgml : 20160205 20160205134203 ACCESSION NUMBER: 0001193125-16-451977 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20151130 FILED AS OF DATE: 20160205 DATE AS OF CHANGE: 20160205 EFFECTIVENESS DATE: 20160205 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 161391491 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 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 0000052136 S000034097 Loomis Sayles Senior Floating Rate and Fixed Income Fund C000105118 Class A LSFAX C000105119 Class C LSFCX C000105120 Class Y LSFYX 0000052136 S000036453 Loomis Sayles Dividend Income Fund C000111612 Class A LSCAX C000111613 Class C LSCCX C000111614 Class Y LSCYX 0000052136 S000037523 Vaughan Nelson Select Fund C000115831 Class A VNSAX C000115832 Class C VNSCX C000115833 Class Y VNSYX 0000052136 S000044078 Loomis Sayles Emerging Markets Opportunities Fund C000136785 Class A LEOAX C000136786 Class C LEOCX C000136787 Class N LEONX C000136788 Class Y LEOYX N-CSR 1 d100081dncsr.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-00242

 

 

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

 

 

 

399 Boylston Street, Boston, Massachusetts   02116
(Address of principal executive offices)   (Zip code)

 

 

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: November 30

Date of reporting period: November 30, 2015

 

 

 

 

 


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Item 1. Reports to Stockholders.

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


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ANNUAL REPORT

November 30, 2015

LOGO

 

Loomis Sayles Dividend Income Fund

Loomis Sayles Emerging Markets Opportunities Fund

Loomis Sayles Senior Floating Rate and Fixed Income Fund

Vaughan Nelson Select Fund

 

 

LOGO

 

 

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 19

Financial Statements page  46

Notes to Financial Statements page 64

 


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LOOMIS SAYLES DIVIDEND INCOME FUND

 

Managers:   Symbols:
Arthur J. Barry, CFA®   Class A    LSCAX
Matthew J. Eagan, CFA®   Class C    LSCCX
Daniel J. Fuss, CFA®, CIC   Class Y    LSCYX
Adam C. Liebhoff  
Elaine M. Stokes  
Loomis, Sayles & Company, L.P.

 

 

Objective:

The Fund’s investment goal is high total return through a combination of current income and capital appreciation.

 

 

Market Conditions

The U.S. large cap equity market generally outperformed most other global equity markets during the 12-month period. During the second half of the period, global stocks came under increasing pressure. Given mounting concerns about China’s growth, falling commodity prices and uncertainty around the timing of the Federal Reserve’s (the Fed) first interest rate increase, market volatility spiked in August and triggered a broad equity market correction. During that period, many benchmarks declined 10 percent or more for the first time since 2011. However, markets rebounded late in the period, coincident with lower volatility. Fixed income markets were similarly challenged during the 12-month period. For the first half, a strengthening U.S. dollar elevated investor concerns. During the second half, investor risk aversion rose due to volatile oil prices. Spreads (difference in yield between non-U.S. Treasury and Treasury securities of similar maturity) generally widened, particularly for lower-quality issues.

Performance Results

For the 12 months ended November 30, 2015, Class A shares of the Loomis Sayles Dividend Income Fund returned -1.89% at net asset value. The Fund underperformed its primary benchmark, the all-equity S&P 500® Index, which returned 2.75% for the period. The Fund also underperformed its secondary benchmark, the Russell 1000® Value Index, which returned -1.11%.

Explanation of Fund Performance

The Fund underperformed largely due to security selection in the fixed income allocation. Underperformance was primarily driven by security-specific risk; significant oil price volatility put pressure on energy-related holdings in the industrials sector. A specific energy sector convertible issue also weighed heavily on performance. Significant U.S. dollar appreciation during the reporting period caused bonds denominated in the Australian dollar and Mexican peso to detract from performance. Not surprisingly, equity allocations to the energy and materials sectors also detracted from absolute performance, given the pressure on commodities markets from declining oil prices. Additionally, a large underweight to and

 

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stock selection within the information technology sector dragged on relative performance. In terms of individual equity holdings, Tronox, a specialty chemical company, underperformed largely due to a softening titanium dioxide market. We exited the position during the summer. Qualcomm, a communications equipment maker, was also a main detractor. Investors’ confidence in the company’s ability to grow was soured by a number of factors, including worse-than-expected conditions in the company’s mobile chipset business, difficulties signing royalty contracts in China and a Korean regulatory investigation into its royalty business. In addition, Southcross Energy Partners, a natural gas utility, underperformed due to the continued decline in commodity prices and lower expected activity in the regions where its gathering, processing and pipeline networks are located. We sold the position in August.

On an absolute basis, the consumer discretionary, consumer staples, financials, industrials and utilities sectors contributed most to overall return. Security selection in the utilities, industrials, financials and consumer staples sectors contributed meaningfully to relative performance but not enough to offset individual stock underperformance in other sectors. On an individual basis, independent refiner PBF Energy was a leading contributor to performance due to strong operating fundamentals amid declining crude oil prices and increased demand for gasoline. PBF also made two attractive acquisitions that were well received by investors. In addition, Old Republic International, a property and casualty insurance holding company, was a main contributor. The company’s stock experienced significant price appreciation following strong earnings results released in October 2015. General Electric also performed well during the period, largely due to management’s historic decision to spin off the company’s financial services business. The combination of solid underlying fundamentals and a large capital return program propelled the company’s stock price to new highs.

Outlook

We expect S&P 500® earnings to resume growth in 2016 after a flat 2015. Profit margins should remain healthy, but we do not anticipate material expansion. We would be pleased with mid to high single-digit equity market returns over the next few years given high valuations, tepid global growth, US elections and geopolitical uncertainties. Importantly, major fundamental positives remain intact: stable-to-improving developed market growth, lower commodity prices, capped global inflation and continuing low interest rates.

 

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LOOMIS SAYLES DIVIDEND INCOME FUND

 

Growth of $10,000 Investment in Class A Shares4

March 30, 2012 (inception) through November 30, 2015

 

LOGO

Average Annual Total Returns — November 30, 20154

 

     
      1 Year      Life of Fund  
   
Class A (Inception 3/30/2012)        
NAV      -1.89      11.33
With 5.75% Maximum Sales Charge      -7.50         9.55   
   
Class C (Inception 3/30/2012)        
NAV      -2.64         10.49   
With CDSC1      -3.51         10.49   
   
Class Y (Inception 3/30/2012)        
NAV      -1.64         11.59   
   
Comparative Performance        
S&P 500® Index2      2.75         13.64   
Russell 1000® Value Index3      -1.11         12.96   

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

 

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

 

2

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

 

3

Russell 1000® Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.

 

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

 

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LOOMIS SAYLES EMERGING MARKETS OPPORTUNITIES FUND

 

Managers:   Symbols:
Elisabeth Colleran, CFA®   Class A    LEOAX
Peter A. Frick, CFA®   Class C    LEOCX
Peter N. Marber   Class N    LEONX
David W. Rolley, CFA®   Class Y    LEOYX
Edgardo Sternberg  
Loomis, Sayles & Company, L.P.

 

 

Objective

The Fund seeks high total investment return through a combination of high current income and capital appreciation.

 

 

Market Conditions

Technical moves, U.S. dollar strength, falling commodity prices and risk-averse investor sentiment created a turbulent backdrop for emerging markets during the 12-month period. Quantitative easing (QE) policies from the European Central Bank (ECB) and Bank of Japan temporarily improved liquidity and investor sentiment for emerging market credit risk during the first half of the period. However, bond market liquidity fell and volatility increased in the second half, creating a more fragile environment for emerging markets.

Commodity prices continued to decline, albeit at a more muted pace as the period progressed. Net exporters of commodities, such as some Latin American countries and Russia, faced substantial price pressures as investors exited those markets. Meanwhile, slowing growth in China influenced conditions in the latter part of the period. Increased government intervention and weak exports triggered investor concerns, which were then exacerbated by weak demand and liquidity fears. The decision by the People’s Bank of China to devalue its currency triggered outflows from developing countries into developed markets. Investors generally interpreted the currency devaluation as a signal the Chinese economy was slowing faster than anticipated, spurring a selloff among risk assets that impacted most emerging markets.

The U.S. dollar rallied for most of the period, pressuring selected countries and currencies and hurting returns of local currency bonds in U.S.-dollar terms. However, easier local monetary policies and weakening currencies helped emerging market economies become better balanced in a world of lower commodity prices.

Performance Results

For the 12-months ended November 30, 2015, Class A shares of the Loomis Sayles Emerging Markets Opportunities Fund returned -2.51% at net asset value. The Fund underperformed its benchmark, the Barclays EM USD Aggregate 10% Country Capped Index, which returned 0.18%.

 

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LOOMIS SAYLES EMERGING MARKETS OPPORTUNITIES FUND

 

Explanation of Fund Performance

We express our investment views through specific strategies applied across the various market segments and instruments. When combined, these strategies constitute the Fund’s performance. For the 12-month period, our equity strategies detracted from performance. Specifically, out-of-benchmark exposure to emerging market equity exchange-traded funds (ETFs), equity options and equity index futures weighed on Fund performance. The continued decline in commodity prices, slowing growth in China and broad risk aversion triggered a selloff in global equities that hit emerging markets particularly hard. Additionally, our convertible strategy lost value primarily due to a specific holding. Our bank loan and derivative strategies, including interest rate futures and swaps and ETF options, also detracted from performance. Although our overall credit strategy was sound, selected names underperformed, particularly during the third quarter of 2015, mainly due to their heavy exposure to falling commodity markets.

Sovereign bonds contributed positively to performance. Specifically, long positions in U.S.-dollar-denominated Russian and Ukrainian sovereigns aided results as geopolitical tensions between Russia and Ukraine subsided. Some commodity price stability and the alleviation of Ukrainian sovereign default risk also supported the bonds. Meanwhile, emerging market corporate exposure across sectors contributed the most to performance despite the market volatility. In particular, financials, utilities, technology, media and telecommunications were the primary contributors to performance. On a country basis, commodity-linked names in Russia and Venezuela and financial names in Mexico added to return. While out-of-benchmark exposure to currency options proved useful, given the fluctuations in commodity prices and the U.S. dollar’s strength, the negative impact from ETF options overpowered the benefits from our currency option selection.

Outlook

We believe emerging markets will continue to be an area where idiosyncratic stories will take precedence over general themes. The fundamental backdrop for many emerging markets remains mixed, and depressed commodity prices are still stifling growth in many export-led economies. We remain generally constructive about emerging markets, as accommodative monetary policies, conservative behavior from corporate issuers and some positive market technical factors remain supportive. However, we expect that slow global growth, with few catalysts for acceleration, has the potential to trigger future liquidity concerns.

The delayed Federal Reserve (Fed) rate hike has delivered mixed results for emerging markets. It has reduced pressure on local rates, offering relief to countries facing decelerating growth. However, prolonged market uncertainty about the path for U.S. rates acts as a drag on emerging market investment. The Fed rate hike should reduce uncertainty and improve investor sentiment toward emerging markets.

 

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Growth of $10,000 Investment in Class A Shares3

February 10, 2014 (inception) through November 30, 2015

 

LOGO

See notes to chart on page 7.

 

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LOOMIS SAYLES EMERGING MARKETS OPPORTUNITIES FUND

 

Average Annual Total Returns — November 30, 20153

 

     
      1 Year      Life of Fund  
   
Class A (Inception 2/10/2014)        
NAV      -2.51 %5       1.84
With 4.25% Maximum Sales Charge4      -6.68         -0.57   
   
Class C (Inception 2/10/2014)        
NAV      -3.30         0.95   
With CDSC1      -4.24         0.95   
   
Class N (Inception 2/10/2014)        
NAV      -2.27         2.08   
   
Class Y (Inception 2/10/2014)        
NAV      -2.38 5       2.01   
   
Comparative Performance        
Barclays EM USD Aggregate 10% Country Capped Index2      0.18         3.92   

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

 

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

 

2 The Barclays EM USD Aggregate 10% Country Capped Index includes USD denominated debt from sovereign, quasi-sovereign, and corporate EM issuers. The index is broad-based in its coverage by sector and by country, and includes a 10% Country cap.

 

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

 

4 The maximum sales charge on purchases of Class A shares was reduced from 4.50% to 4.25% on November 2, 2015. The Fund’s returns for Class A shares for all periods have been restated to reflect the current maximum applicable sales charge of 4.25%.

 

5 Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights. The return presented in the table(s) is what an investor would have actually experienced.

 

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LOOMIS SAYLES SENIOR FLOATING RATE AND FIXED INCOME FUND

 

Managers:   Symbols:
Kevin J. Perry   Class A    LSFAX
John R. Bell   Class C    LSFCX
Loomis, Sayles & Company, L.P.   Class Y    LSFYX

 

 

 

Objective:

The Fund seeks to provide a high level of current income.

 

 

Market Conditions

The bank loan market faced a challenging 12-month period ending November 30, 2015, as technical forces overwhelmed fundamentals and risk-aversion persisted. The period began on a difficult note, as continued concerns surrounding energy-related companies led to a risk-off sentiment that unsettled investors. Outflows from retail bank loan mutual funds noticeably slowed in January 2015, and although outflows generally persisted throughout the remainder of the period, the effect on the market was muted.

During the second quarter of 2015, collateralized loan obligation (CLO) formation, an important technical driver for the bank loan market, remained strong, topping $10 billion in April and June. Mounting concerns about Greece’s debt crisis in late June sparked volatility that continued into the third quarter of 2015. The bank loan market was less affected than the high yield bond market. Distressed bank loans posted outsized losses for the third quarter, while higher-rated loans fared better in the risk-averse environment. Technical conditions continued to influence the bank loan market more than fundamentals. CLO formation was more tepid during the last few months of the period, ranging between $5 and $7 billion from July through November.

Overall, new issuance was generally muted during the period, but the bank loan market continued to grow. As of November 30, 2015, the market value of the S&P/LSTA Leveraged Loan® Index stood at $870.6 billion.

Performance Results

For the 12-month period ended November 30, 2015, Class A shares of the Loomis Sayles Senior Floating Rate and Fixed Income Fund returned -1.33% at net asset value. The Fund underperformed its benchmark, the S&P/LSTA Leveraged Loan Index, which returned -0.89%.

Explanation of Fund Performance

The Fund’s bank loan exposure outpaced the benchmark, but the Fund’s allocation to high yield bonds weighed on relative results. Due to falling oil and commodity prices, the energy and metals and mining sectors lagged the broader bank loan and high yield indexes. Consequently, the Fund’s energy-related holdings and exposure to the metals and mining industry detracted the most from performance. We continued to analyze energy names, buying and selling on a credit-by-credit basis in light of our longer-term positive views on energy prices.

 

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LOOMIS SAYLES SENIOR FLOATING RATE AND FIXED INCOME FUND

 

We gradually reduced the Fund’s exposure to lower-rated loans in anticipation of greater market volatility surrounding a potential Federal Reserve (Fed) policy change. Nevertheless, we continued to focus on credit selection and generating a high level of current income rather than defensive tactics, given our fundamentally positive view of the U.S. loan market. Overall, we targeted a yield advantage relative to the benchmark in most market conditions, which aided the Fund’s performance. We made no significant shifts in our macroeconomic view during the period.

After subtracting cash held for the purpose of settling purchases, the Fund ended the period with approximately 84% of its portfolio invested in bank loans, 11% in bonds and 2% in cash equivalents. The Fund’s allocation to bonds remained relatively moderate and stable throughout the period, as few low-duration (less price sensitivity to interest rate changes) high yield bonds appeared competitive with bank loans. In the second quarter of 2015 we removed a modest level of leverage (borrowing capital at a lower interest rate relative to the interest rates on bank loans) initiated at the end of 2013, and we did not use leverage again during the reporting period.

Outlook

The Fed raised interest rates in December 2015, and additional rate increases appear likely, which may attract additional investors to the bank loan market. We also expect CLO formation to remain a positive technical driver for loan demand in 2016. We believe low levels of loan maturities through 2016 and 2017 should help keep default rates below historic averages. In our view, markets seem eager to embrace negative long-term views, particularly relative to slowing growth in China, recovering growth in Europe and other geopolitical risks. While we remain cautious, we are more positive on market fundamentals than the broad investor universe appears to be.

 

 

Growth of $10,000 Investment in Class A Shares4

September 30, 2011 (inception) through November 30, 2015

 

LOGO

 

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Average Annual Total Returns — November 30, 20154

 

     
      1 Year      Life of Fund  
   
Class A (Inception 9/30/11)        
NAV      -1.33      5.76
With 3.50% Maximum Sales Charge      -4.81         4.85   
   
Class C (Inception 9/30/11)        
NAV      -2.06         4.99   
With CDSC2      -2.99         4.99   
   
Class Y (Inception 9/30/11)1        
NAV      -1.08         6.03   
   
Comparative Performance        
S&P / LSTA Leveraged Loan Index3      -0.89         4.71   

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

 

1 9/30/11 represents the date Class Y shares were first registered for public sale under the Securities Act of 1933. 9/16/11 represents commencement of operations for Class Y shares for accounting and financial reporting purposes only.

 

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

 

3 S&P/LSTA Leveraged Loan Index reflects the market-weighted performance of institutional leveraged loans based upon real-time market weightings, spreads and interest payments.

 

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

 

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VAUGHAN NELSON SELECT FUND

 

Managers:   Symbols:
Dennis G. Alff, CFA®   Class A    VNSAX
Chad D. Fargason, PhD   Class C    VNSCX
Chris D. Wallis, CFA®   Class Y    VNSYX
Scott J. Weber, CFA®  
Vaughan Nelson Investment Management, L.P.

 

 

Objective:

The Fund seeks long-term capital appreciation.

 

 

Market Conditions

During the past 12 months, deteriorating market breadth resulted in increased equity market volatility. Current volatility will likely continue as capital markets adjust to the shifts in central bank policy that are occurring globally. Specifically, the ongoing shift in U.S. monetary policy creates deflationary pressures as the dollar strengthens relative to those currencies whose monetary authorities are accelerating stimulative policies.

In typical business cycles, shifts in monetary policy that reduce liquidity occur when the economy is accelerating, profit margins are increasing and inflation expectations are rising. Unfortunately, none of these conditions are currently present in the United States, which is why we believe this market cycle will be materially different from market cycles experienced prior to the 2009 financial crisis.

Equity markets are digesting falling earnings growth estimates, declining profit margins and rising credit costs. The recent volatility is consistent with our view that with valuations stretched, near term earnings estimates declining and corporate borrowing rates likely beyond their cyclical lows, the market will present attractive investment opportunities.

Performance Results

For the 12 months ended November 30, 2015, Class A shares of the Vaughan Nelson Select Fund returned 3.31% at net asset value. The Fund outperformed its benchmark, the S&P 500® Index, which returned 2.75%.

Explanation of Fund Performance

Sector allocation drove the outperformance vs. the benchmark, while stock selection was a modest relative headwind. The sector allocation benefit resulted from our focus on company specific valuations and fundamentals as opposed to targeted sector exposure. Information technology and consumer staples contributed the most to both the Fund’s absolute and relative performance, while consumer discretionary and industrials were the biggest detractors.

Stock selection stood out as a positive driver in the information technology sector. Avago Technologies, Alphabet (formerly Google) and Microsoft were the largest contributors. Avago continued its strong fundamental performance on the back of increasing radio

 

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frequency content in mobile phones, solid execution in its enterprise businesses and effective capital deployment through mergers and acquisitions (announced acquisition of Broadcom). Alphabet was a strong contributor in 2015 as impressive growth in its core advertising business continued (search, mobile, YouTube) and management made overtures towards more disciplined capital allocation, expense management and enhanced transparency. Microsoft had a strong 2015, advancing its transition into a more enterprise focused IT organization with a unique combination of assets (public cloud, hybrid cloud, leading software applications).

Stock selection drove the positive performance in the consumer staples sector primarily due to the Fund’s position in Walgreens Boots Alliance. Walgreens had another strong year of performance as the new management team continued to implement improvements in operations and capital allocation.

Individual stocks that were meaningful contributors to performance from other sectors include UnitedHealth Group and American International Group.

Consumer discretionary and industrials were the sectors that detracted the most from performance. Fossil was the largest detractor in consumer discretionary and the Fund’s largest detractor overall in 2015. Fossil underperformed as its key category (watches) came under intense competitive pressure from emerging wearable technologies, as its biggest brand (Michael Kors) floundered, and as the overall retail environment remained anemic. The Fund exited the position as we lost conviction in our thesis and management’s ability to navigate the challenging environment. Cummins and Precision Castparts were the detractors in the industrials sector. Both companies were affected by a difficult global industrial environment compounded by slowing emerging markets growth and ongoing challenges in commodity-related investments.

The largest increases in weightings by sector were in information technology and healthcare. The increase in information technology was primarily due to new positions in Texas Instruments and Broadridge Financial, and the significant appreciation in positions such as Avago, Alphabet and Microsoft. The increase in healthcare was primarily due to new positions in Thermo Fisher and HCA Holdings, offset by exiting our position in Mallinckrodt.

The largest reductions in weightings by sector were in industrials and energy. The decline in industrials weighting was due to the sale of Precision Castparts and underperformance by Cummins. The reduction in the Fund’s energy exposure was due to the sale of positions in Schlumberger and Cabot Oil and Gas, which were slightly offset by a new position initiated in Marathon Petroleum late in the year.

Outlook

Given current valuations in the equity market, sluggish growth and the prospect of the Federal Reserve moving off its zero interest rate policy, the equity markets are likely to be volatile and could experience a further correction. We would view any correction as an opportunity to make attractive investments.

 

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VAUGHAN NELSON SELECT FUND

 

We expect market volatility to remain elevated during the short term as investors unwind trading positions that were preconditioned on higher levels of liquidity and lower levels of volatility. We expect the near term direction of U.S. equity markets will be dictated by the tug-of-war between an improving labor market, which will pressure corporate margins, and the potential reacceleration of top line growth as wages rise and the employment base expands. Preconditions for rising equity markets are stability in credit markets combined with abating deflationary forces from overseas markets. A shift to more accommodative U.S. fiscal and monetary policy could also positively impact equity markets.

We continue to seek investments in companies that have better pricing power, lower earnings variability, higher profitability and stronger balance sheets than the broader investment universe. We still do not favor any single industry or sector, and continue to look for companies with the characteristics noted above that trade at attractive valuations.

 

 

Growth of $10,000 Investment in Class A Shares3

June 29, 2012 (inception) through November 30, 2015

 

LOGO

 

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Average Annual Total Returns — November 30, 20153

 

     
      1 Year      Life of Fund  
   
Class A (Inception 6/29/2012)        
NAV      3.31      17.40
With 5.75% Maximum Sales Charge      -2.62         15.39   
   
Class C (Inception 6/29/2012)        
NAV      2.52         16.55   
With CDSC1      1.52         16.55   
   
Class Y (Inception 6/29/2012)        
NAV      3.56         17.72   
   
Comparative Performance        
S&P 500® Index2      2.75         15.65   

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

 

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

 

2

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

 

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

 

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on Natixis Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how Natixis Funds voted proxies relating to portfolio securities during the 12 months ended June 30, 2015 is available from Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

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Table of Contents

UNDERSTANDING FUND EXPENSES

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

The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from June 1, 2015 through November 30, 2015. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

LOOMIS SAYLES DIVIDEND INCOME FUND   BEGINNING
ACCOUNT VALUE
6/1/2015
    ENDING
ACCOUNT VALUE
11/30/2015
    EXPENSES PAID
DURING PERIOD*
6/1/2015 – 11/30/2015
 
Class A        
Actual     $1,000.00        $954.70        $5.88   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.05        $6.07   
Class C        
Actual     $1,000.00        $951.40        $9.54   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.29        $9.85   
Class Y        
Actual     $1,000.00        $956.70        $4.71   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.26        $4.86   

 

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95% and 0.95% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

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Table of Contents
LOOMIS SAYLES EMERGING MARKETS
OPPORTUNITIES FUND
  BEGINNING
ACCOUNT VALUE
6/1/2015
    ENDING
ACCOUNT VALUE
11/30/2015**
    EXPENSES PAID
DURING PERIOD*
6/1/2015 – 11/30/2015**
 
Class A        
Actual     $1,000.00        $970.60        $4.64   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.36        $4.76   
Class C        
Actual     $1,000.00        $960.30        $9.58   
Hypothetical (5% return before expenses)     $1,000.00        $1,015.29        $9.85   
Class N        
Actual     $1,000.00        $965.70        $4.68   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.31        $4.81   
Class Y        
Actual     $1,000.00        $965.60        $4.73   
Hypothetical (5% return before expenses)     $1,000.00        $1,020.26        $4.86   

 

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.94%, 1.95%, 0.95% and 0.96% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (183), divided by 365 (to reflect the half-year period).
** Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial statement purposes. Amounts expressed in the table include the effect of such adjustments. Prior to these adjustments, the Fund’s annualized expense ratios (after waiver/reimbursement) were 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively.

 

LOOMIS SAYLES SENIOR FLOATING RATE
AND FIXED INCOME FUND
  BEGINNING
ACCOUNT VALUE
6/1/2015
    ENDING
ACCOUNT VALUE
11/30/2015
    EXPENSES PAID
DURING PERIOD*
6/1/2015 – 11/30/2015
 
Class A        
Actual     $1,000.00        $969.10        $5.18   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.80        $5.32   
Class C        
Actual     $1,000.00        $966.50        $8.87   
Hypothetical (5% return before expenses)     $1,000.00        $1,016.04        $9.10   
Class Y        
Actual     $1,000.00        $970.40        $3.95   
Hypothetical (5% return before expenses)     $1,000.00        $1,021.06        $4.05   

 

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80% and 0.80% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

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VAUGHAN NELSON SELECT FUND   BEGINNING
ACCOUNT VALUE
6/1/2015
    ENDING
ACCOUNT VALUE
11/30/2015
    EXPENSES PAID
DURING PERIOD*
6/1/2015 – 11/30/2015
 
Class A        
Actual     $1,000.00        $985.40        $6.97   
Hypothetical (5% return before expenses)     $1,000.00        $1,018.05        $7.08   
Class C        
Actual     $1,000.00        $981.60        $10.68   
Hypothetical (5% return before expenses)     $1,000.00        $1,014.29        $10.86   
Class Y        
Actual     $1,000.00        $986.10        $5.73   
Hypothetical (5% return before expenses)     $1,000.00        $1,019.30        $5.82   

 

* Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund

 

    
Shares
     Description    Value (†)  
  Common Stocks — 79.5% of Net Assets   
   Aerospace & Defense — 2.6%   
  3,765       Honeywell International, Inc.    $ 391,372   
  1,480       Northrop Grumman Corp.      275,813   
     

 

 

 
        667,185   
     

 

 

 
   Automobiles — 3.3%   
  13,751       General Motors Co.(b)      497,786   
  6,909       Harley-Davidson, Inc.      337,989   
     

 

 

 
        835,775   
     

 

 

 
   Banks — 7.8%   
  11,905       BB&T Corp.      459,771   
  20,474       Fifth Third Bancorp(b)      423,198   
  10,129       JPMorgan Chase & Co.(c)      675,402   
  8,184       Wells Fargo & Co.      450,938   
     

 

 

 
        2,009,309   
     

 

 

 
   Beverages — 1.7%   
  4,353       PepsiCo, Inc.      435,997   
     

 

 

 
   Biotechnology — 2.3%   
  9,886       AbbVie, Inc.      574,871   
     

 

 

 
   Chemicals — 1.9%   
  7,353       E.I. du Pont de Nemours & Co.      495,151   
     

 

 

 
   Communications Equipment — 3.6%   
  17,854       Cisco Systems, Inc.      486,522   
  9,141       QUALCOMM, Inc.      445,989   
     

 

 

 
        932,511   
     

 

 

 
   Diversified Telecommunication Services — 2.1%   
  12,008       Verizon Communications, Inc.      545,764   
     

 

 

 
   Electric Utilities — 2.4%   
  2,000       Entergy Corp.      133,260   
  13,877       PPL Corp.      472,373   
     

 

 

 
        605,633   
     

 

 

 
   Electrical Equipment — 1.7%   
  7,584       Eaton Corp. PLC(c)      441,085   
     

 

 

 
   Energy Equipment & Services — 0.8%   
  5,592       National Oilwell Varco, Inc.      208,805   
     

 

 

 
   Food Products — 1.3%   
  3,691       Hershey Co. (The)      318,570   
     

 

 

 
   Hotels, Restaurants & Leisure — 2.0%   
  29,443       SeaWorld Entertainment, Inc.(d)      515,547   
     

 

 

 
   Industrial Conglomerates — 2.0%   
  17,047       General Electric Co.(c)      510,387   
     

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund – (continued)

 

    
Shares
     Description    Value (†)  
   Insurance — 3.2%   
  9,450       MetLife, Inc.    $ 482,800   
  18,129       Old Republic International Corp.      343,726   
     

 

 

 
        826,526   
     

 

 

 
   Leisure Products — 1.4%   
  13,882       Mattel, Inc.      345,107   
     

 

 

 
   Media — 2.5%   
  5,832       Omnicom Group, Inc.      431,102   
  1,099       Time Warner Cable, Inc.      203,062   
     

 

 

 
        634,164   
     

 

 

 
   Multi-Utilities — 1.9%   
  9,312       PG&E Corp.      491,022   
     

 

 

 
   Multiline Retail — 1.1%   
  6,164       Kohl’s Corp.      290,509   
     

 

 

 
   Oil, Gas & Consumable Fuels — 6.3%   
  4,710       Chevron Corp.(c)      430,117   
  6,912       Energy Transfer Partners LP      264,108   
  11,496       PBF Energy, Inc., Class A      465,473   
  9,308       Royal Dutch Shell PLC, ADR      464,841   
     

 

 

 
        1,624,539   
     

 

 

 
   Pharmaceuticals — 9.6%   
  4,934       Eli Lilly & Co.(c)      404,785   
  10,944       GlaxoSmithKline PLC, Sponsored ADR      443,342   
  10,457       Merck & Co., Inc.(b)      554,326   
  20,704       Pfizer, Inc.(c)      678,470   
  8,578       Sanofi, ADR      379,319   
     

 

 

 
        2,460,242   
     

 

 

 
   REITs – Diversified — 2.5%   
  18,597       Outfront Media, Inc.      424,941   
  6,957       Weyerhaeuser Co.      223,807   
     

 

 

 
        648,748   
     

 

 

 
   REITs – Hotels — 3.3%   
  24,967       Host Hotels & Resorts, Inc.      414,452   
  8,099       Ryman Hospitality Properties, Inc.      440,100   
     

 

 

 
        854,552   
     

 

 

 
   Road & Rail — 1.9%   
  5,056       Norfolk Southern Corp.      480,623   
     

 

 

 
   Software — 3.9%   
  12,103       Microsoft Corp.      657,798   
  17,947       Symantec Corp.      351,402   
     

 

 

 
        1,009,200   
     

 

 

 
   Technology Hardware, Storage & Peripherals — 1.3%   
  2,757       Apple, Inc.      326,153   
     

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund – (continued)

 

    
Shares
     Description    Value (†)  
   Tobacco — 2.3%   
  6,782       Philip Morris International, Inc.(c)    $ 592,679   
     

 

 

 
   Transportation Infrastructure — 1.1%   
  3,773       Macquarie Infrastructure Corp.      283,088   
     

 

 

 
   Wireless Telecommunication Services — 1.7%   
  13,045       Vodafone Group PLC, Sponsored ADR      437,790   
     

 

 

 
   Total Common Stocks
(Identified Cost $19,934,933)
     20,401,532   
     

 

 

 
     
Principal
Amount (‡)
               
  Bonds and Notes — 12.2%   
  Non-Convertible Bonds — 11.5%   
   Banking — 0.2%   
$ 50,000       Ally Financial, Inc., 4.625%, 3/30/2025      50,000   
     

 

 

 
   Cable Satellite — 0.1%   
  40,000       DISH DBS Corp., 5.875%, 11/15/2024      35,800   
     

 

 

 
   Chemicals — 0.3%   
  150,000       Hexion, Inc., 9.200%, 3/15/2021(f)(g)      48,840   
  65,000       Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020      22,750   
     

 

 

 
        71,590   
     

 

 

 
   Construction Machinery — 0.4%   
  95,000       United Rentals North America, Inc., 5.500%, 7/15/2025      95,000   
     

 

 

 
   Consumer Cyclical Services — 0.2%   
  45,000       ServiceMaster Co. LLC (The), 7.450%, 8/15/2027      45,225   
     

 

 

 
   Electric — 0.3%   
  100,000       AES Corp. (The), 5.500%, 4/15/2025      89,875   
     

 

 

 
   Finance Companies — 1.1%   
  370,000       Navient LLC, Series A, MTN, 5.625%, 8/01/2033(e)      271,950   
     

 

 

 
   Healthcare — 1.2%   
  125,000       HCA, Inc., 7.500%, 12/15/2023      138,125   
  150,000       HCA, Inc., 7.500%, 11/06/2033      159,750   
     

 

 

 
        297,875   
     

 

 

 
   Home Construction — 0.6%   
  125,000       PulteGroup, Inc., 6.000%, 2/15/2035      123,750   
  30,000       PulteGroup, Inc., 6.375%, 5/15/2033      30,750   
     

 

 

 
        154,500   
     

 

 

 
   Independent Energy — 2.0%   
  50,000       Chesapeake Energy Corp., 4.875%, 4/15/2022      21,156   
  75,000       Halcon Resources Corp., 9.750%, 7/15/2020      23,625   
  20,000       Noble Energy, Inc., 5.625%, 5/01/2021      20,200   
  95,000       Noble Energy, Inc., 5.875%, 6/01/2022      95,339   
  50,000       Noble Energy, Inc., 5.875%, 6/01/2024      50,125   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund – (continued)

 

Principal
Amount (‡)
     Description    Value (†)  
   Independent Energy — continued   
$ 40,000       QEP Resources, Inc., 5.250%, 5/01/2023    $ 35,700   
  5,000       QEP Resources, Inc., 5.375%, 10/01/2022      4,500   
  5,000       QEP Resources, Inc., 6.875%, 3/01/2021      4,775   
  5,000       Range Resources Corp., 5.000%, 8/15/2022      4,425   
  30,000       Range Resources Corp., 5.000%, 3/15/2023      26,550   
  25,000       Sanchez Energy Corp., 6.125%, 1/15/2023      17,187   
  15,000       SM Energy Co., 5.000%, 1/15/2024      13,163   
  105,000       SM Energy Co., 6.500%, 11/15/2021      102,112   
  50,000       Whiting Petroleum Corp., 5.000%, 3/15/2019      47,000   
  50,000       WPX Energy, Inc., 5.250%, 1/15/2017      49,500   
     

 

 

 
        515,357   
     

 

 

 
   Media Entertainment — 0.6%   
  185,000       R.R. Donnelley & Sons Co., 6.000%, 4/01/2024      163,263   
     

 

 

 
   Metals & Mining — 0.5%   
  160,000       Cliffs Natural Resources, Inc., 6.250%, 10/01/2040      38,400   
  200,000       United States Steel Corp., 6.650%, 6/01/2037      82,940   
     

 

 

 
        121,340   
     

 

 

 
   Retailers — 1.0%   
  365,000       J.C. Penney Corp., Inc., 6.375%, 10/15/2036      228,125   
  85,000       Nine West Holdings, Inc., 6.125%, 11/15/2034      25,075   
     

 

 

 
        253,200   
     

 

 

 
   Supermarkets — 1.5%   
  400,000       New Albertson’s, Inc., 8.000%, 5/01/2031      388,000   
     

 

 

 
   Transportation Services — 0.2%   
  75,000       APL Ltd., 8.000%, 1/15/2024(e)      57,000   
     

 

 

 
   Wireless — 0.7%   
  2,900,000       America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)      168,937   
     

 

 

 
   Wirelines — 0.6%   
  45,000       CenturyLink, Inc., 7.650%, 3/15/2042      36,225   
  10,000       CenturyLink, Inc., Series P, 7.600%, 9/15/2039      8,050   
  10,000       DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 3.950%, 1/15/2025      9,997   
  135,000       Frontier Communications Corp., 6.875%, 1/15/2025      110,700   
     

 

 

 
        164,972   
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $3,446,733)
     2,943,884   
     

 

 

 
     
  Convertible Bonds — 0.7%   
   Midstream — 0.7%   
  305,000       Chesapeake Energy Corp., 2.500%, 5/15/2037
(Identified Cost $268,211)
     195,200   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $3,714,944)
     3,139,084   
     

 

 

 
     

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund – (continued)

 

    
Shares
     Description    Value (†)  
  Preferred Stocks — 3.1%   
   Consumer Non-Cyclical Services — 1.3%   
  5,642       Tyson Foods, Inc., 4.750%    $ 323,004   
     

 

 

 
   Pharmaceuticals — 1.8%   
  453       Allergan PLC, Series A, 5.500%      474,436   
     

 

 

 
   Total Preferred Stocks
(Identified Cost $726,806)
     797,440   
     

 

 

 
     
Principal
Amount (‡)
               
  Short-Term Investments — 4.8%   
$ 1,230,010       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 11/30/2015 at 0.010% to be repurchased at $1,230,010 on 12/01/2015 collateralized by $1,245,000 U.S. Treasury Note, 2.000% due 5/31/2021 valued at $1,257,450 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $1,230,010)
     1,230,010   
     

 

 

 
     
   Total Investments — 99.6%
(Identified Cost $25,606,693)(a)
     25,568,066   
   Other assets less liabilities — 0.4%      92,322   
     

 

 

 
   Net Assets — 100.0%    $ 25,660,388   
     

 

 

 
     
Shares                
  Written Options — (0.0%)   
   Options on Securities — (0.0%)   
  1,500       Hershey Co. (The), Put expiring December 18, 2015 at 85    $ (1,358
  2,000       Mattel, Inc., Call expiring December 18, 2015 at 27      (200
  2,000       Norfolk Southern Corp., Call expiring December 18, 2015 at 95      (5,750
     

 

 

 
   Total Written Options
(Premiums Received $4,468)
   $ (7,308
     

 

 

 
     
  (‡)       Principal Amount stated in U.S. dollars unless otherwise noted.   
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At November 30, 2015, the net unrealized depreciation on investments based on a cost of $25,641,850 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    $ 1,880,804   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (1,954,588
     

 

 

 
   Net unrealized depreciation    $ (73,784
     

 

 

 
     
  (b)       All of this security has been designated to cover the Fund’s obligations under outstanding options.    
  (c)       A portion of this security has been pledged as collateral for outstanding options.   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Dividend Income Fund – (continued)

 

     
  (d)       A portion of this security has been designated to cover the Fund’s obligations under outstanding options.
  (e)       Illiquid security. At November 30, 2015, the value of these securities amounted to $328,950 or 1.3% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
  (f)       Illiquid security. At November 30, 2015, the value of this security amounted to $48,840 or 0.2% of net assets.
  (g)       Fair valued by the Fund’s adviser. At November 30, 2015, the value of this security amounted to $48,840 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
  
  ADR       An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
  MTN       Medium Term Note   
  REITs       Real Estate Investment Trusts   
  
  MXN       Mexican Peso   

Industry Summary at November 30, 2015

 

Pharmaceuticals

     11.4

Banks

     7.8   

Oil, Gas & Consumable Fuels

     6.3   

Software

     3.9   

Communications Equipment

     3.6   

REITs - Hotels

     3.3   

Automobiles

     3.3   

Insurance

     3.2   

Aerospace & Defense

     2.6   

REITs - Diversified

     2.5   

Media

     2.5   

Electric Utilities

     2.4   

Tobacco

     2.3   

Biotechnology

     2.3   

Chemicals

     2.2   

Diversified Telecommunication Services

     2.1   

Hotels, Restaurants & Leisure

     2.0   

Independent Energy

     2.0   

Industrial Conglomerates

     2.0   

Other Investments, less than 2% each

     27.1   

Short-Term Investments

     4.8   
  

 

 

 

Total Investments

     99.6   

Other assets less liabilities (including open written options)

     0.4   
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund

 

Principal
Amount
     Description    Value (†)  
  Bonds and Notes — 85.6% of Net Assets   
   Argentina — 1.4%   
$ 150,000       Argentina Bonar Bonds, Series X, 7.000%, 4/17/2017    $ 147,054   
  200,000       YPF S.A., 8.750%, 4/04/2024, 144A      197,500   
     

 

 

 
        344,554   
     

 

 

 
   Barbados — 0.9%   
  200,000       Columbus International, Inc., 7.375%, 3/30/2021, 144A      210,750   
     

 

 

 
   Brazil — 5.2%   
  135,000       Banco do Brasil S.A., 6.000%, 1/22/2020, 144A      139,641   
  235,000       Banco Santander Brasil S.A., 4.625%, 2/13/2017(b)      238,408   
  250,000       Itau Unibanco Holding S.A., EMTN, 2.850%, 5/26/2018      236,250   
  600,000       Petrobras Global Finance BV, 5.375%, 1/27/2021(b)      478,320   
  200,000       Tupy Overseas S.A., 6.625%, 7/17/2024, 144A      185,500   
     

 

 

 
        1,278,119   
     

 

 

 
   Chile — 2.7%   
  200,000       Cencosud S.A., 5.150%, 2/12/2025, 144A      195,837   
  250,000       Latam Airlines Pass Through Trust, Series 2015-1, Class B,
4.500%, 8/15/2025, 144A
     232,225   
  240,000       VTR Finance BV, 6.875%, 1/15/2024      230,592   
     

 

 

 
        658,654   
     

 

 

 
   China — 7.0%   
  215,000       Baidu, Inc., 3.500%, 11/28/2022(b)      212,165   
  270,000       Bestgain Real Estate Ltd., 2.625%, 3/13/2018(b)      268,058   
  250,000       China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(b)      260,368   
  280,000       CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(b)      266,413   
  255,000       Country Garden Holdings Co. Ltd., 7.250%, 4/04/2021, 144A      264,804   
  225,000       ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A(b)      246,754   
  200,000       Tencent Holdings Ltd., 3.375%, 5/02/2019, 144A      203,813   
     

 

 

 
        1,722,375   
     

 

 

 
   Colombia — 2.4%   
  235,000       Empresa de Energia de Bogota S.A. E.S.P., 6.125%, 11/10/2021(b)      243,812   
  260,000       Oleoducto Central S.A., 4.000%, 5/07/2021, 144A(b)      252,200   
  275,000       Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A      88,000   
     

 

 

 
        584,012   
     

 

 

 
   Croatia — 1.7%   
  200,000       Agrokor d.d., 8.875%, 2/01/2020      215,360   
  200,000       Hrvatska Elektroprivreda, 5.875%, 10/23/2022, 144A      204,750   
     

 

 

 
        420,110   
     

 

 

 
   Dominican Republic — 1.2%   
  295,000       Dominican Republic International Bond, 5.500%, 1/27/2025, 144A      289,100   
     

 

 

 
   Guatemala — 0.9%   
  225,000       Central American Bottling Corp., 6.750%, 2/09/2022      228,375   
     

 

 

 
   Hong Kong — 1.9%   
  265,000       PCCW-HKT Capital No. 5 Ltd., 3.750%, 3/08/2023(b)      265,885   

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Hong Kong — continued   
$ 200,000       Swire Pacific MTN Financing Ltd., EMTN, 4.500%, 10/09/2023    $ 213,779   
     

 

 

 
        479,664   
     

 

 

 
   Hungary — 1.6%   
  400,000       Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020, 144A      405,831   
     

 

 

 
   India — 3.6%   
  260,000       Bharti Airtel International BV, 5.350%, 5/20/2024, 144A(b)      274,511   
  220,000       NTPC Ltd., EMTN, 5.625%, 7/14/2021(b)      241,079   
  250,000       Reliance Industries Ltd., 4.125%, 1/28/2025, 144A(b)      247,905   
  200,000       Rolta Americas LLC, 8.875%, 7/24/2019, 144A      111,250   
     

 

 

 
        874,745   
     

 

 

 
   Indonesia — 3.8%   
  200,000       Listrindo Capital BV, 6.950%, 2/21/2019, 144A      206,141   
  340,000       Pelabuhan Indonesia III PT, 4.875%, 10/01/2024, 144A(b)      325,550   
  215,000       Pertamina Persero PT, EMTN, 4.300%, 5/20/2023(b)      198,747   
  200,000       TBG Global Pte Ltd., 4.625%, 4/03/2018      196,750   
     

 

 

 
        927,188   
     

 

 

 
   Israel — 1.0%   
  230,000       Israel Electric Corp. Ltd., 5.625%, 6/21/2018, 144A(b)      243,312   
     

 

 

 
   Jamaica — 1.9%   
  250,000       Digicel Ltd., 6.000%, 4/15/2021, 144A      223,125   
  255,000       Jamaica Government International Bond, 6.750%, 4/28/2028      257,550   
     

 

 

 
        480,675   
     

 

 

 
   Korea — 4.1%   
  240,000       GS Caltex Corp., 3.250%, 10/01/2018, 144A(b)      243,522   
  230,000       Korea Gas Corp., 4.250%, 11/02/2020(b)      248,562   
  200,000       Lotte Shopping Co. Ltd., 3.375%, 5/09/2017(b)      203,538   
  275,000       Woori Bank, 5.875%, 4/13/2021(b)      310,598   
     

 

 

 
        1,006,220   
     

 

 

 
   Luxembourg — 0.9%   
  240,000       Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A      224,400   
     

 

 

 
   Malaysia — 1.3%   
  200,000       Malayan Banking Bhd, EMTN, (fixed rate to 9/20/2017, variable rate thereafter), 3.250%, 9/20/2022(b)      200,026   
  100,000       Petronas Capital Ltd., 7.875%, 5/22/2022, 144A(b)      125,591   
     

 

 

 
        325,617   
     

 

 

 
   Mexico — 7.9%   
  250,000       Alfa SAB de CV, 5.250%, 3/25/2024, 144A(b)      257,500   
  225,000       BBVA Bancomer S.A., 6.750%, 9/30/2022(b)      247,275   
  254,593       Fermaca Enterprises S de RL de CV, 6.375%, 3/30/2038, 144A(b)      241,863   
  255,000       Fresnillo PLC, 5.500%, 11/13/2023, 144A(b)      262,523   
  250,000       Grupo KUO SAB de CV, 6.250%, 12/04/2022      241,250   
  250,000       Nemak SAB de CV, 5.500%, 2/28/2023, 144A      253,000   
  235,000       Office Depot de Mexico S.A. de CV, 6.875%, 9/20/2020, 144A      239,700   

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Mexico — continued   
$ 200,000       Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A    $ 192,500   
     

 

 

 
        1,935,611   
     

 

 

 
   Morocco — 0.9%   
  225,000       OCP S.A., 5.625%, 4/25/2024, 144A(b)      228,375   
     

 

 

 
   Panama — 0.8%   
  140,000       Panama Government International Bond, 8.875%, 9/30/2027      195,300   
     

 

 

 
   Paraguay — 0.9%   
  240,000       Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022      225,300   
     

 

 

 
   Peru — 2.6%   
  190,000       InRetail Consumer, 5.250%, 10/10/2021, 144A      190,513   
  280,000       Southern Copper Corp., 3.875%, 4/23/2025(b)      253,715   
  195,000       Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A      191,831   
     

 

 

 
        636,059   
     

 

 

 
   Philippines — 2.0%   
  240,000       Philippine Government International Bond, 4.200%, 1/21/2024(b)      261,512   
  205,000       Power Sector Assets and Liabilities Management Corp., 7.250%, 5/27/2019(b)      237,288   
     

 

 

 
        498,800   
     

 

 

 
   Qatar — 1.3%   
  285,000       Ooredoo International Finance Ltd., 4.750%, 2/16/2021, 144A(b)      312,217   
     

 

 

 
   Russia — 7.5%   
  265,000       Gazprom OAO Via Gaz Capital S.A., 3.850%, 2/06/2020, 144A      249,762   
  420,000       Gazprom OAO Via Gaz Capital S.A., 4.950%, 2/06/2028(b)      370,717   
  245,000       MMC Norilsk Nickel OJSC via MMC Finance Ltd., 5.550%, 10/28/2020      246,838   
  400,000       Russian Foreign Bond-Eurobond, 4.500%, 4/04/2022(b)      411,520   
  255,850       Russian Foreign Bond-Eurobond, 7.500%, 3/31/2030      303,950   
  260,000       VimpelCom Holdings BV, 6.255%, 3/01/2017      267,150   
     

 

 

 
        1,849,937   
     

 

 

 
   Singapore — 1.2%   
  300,000       BOC Aviation Pte Ltd., 3.000%, 3/30/2020, 144A(b)      296,212   
     

 

 

 
   South Africa — 1.6%   
  200,000       Eskom Holdings SOC Ltd., 6.750%, 8/06/2023, 144A      189,040   
  200,000       Myriad International Holdings BV, 5.500%, 7/21/2025, 144A      199,804   
     

 

 

 
        388,844   
     

 

 

 
   Thailand — 0.9%   
  205,000       PTT Global Chemical PCL, 4.250%, 9/19/2022(b)      210,670   
     

 

 

 
   Turkey — 4.8%   
  200,000       Akbank TAS, 4.000%, 1/24/2020, 144A(b)      194,000   
  240,000       Coca-Cola Icecek AS, 4.750%, 10/01/2018, 144A(b)      247,440   
  200,000       Export Credit Bank of Turkey, 5.000%, 9/23/2021, 144A      198,450   
  275,000       TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A(b)      272,877   
  265,000       Turk Telekomunikasyon AS, 3.750%, 6/19/2019, 144A(b)      261,025   
     

 

 

 
        1,173,792   
     

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Ukraine — 0.7%   
$ 901       Ukraine Government International Bond, 7.750%, 9/01/2019, 144A    $ 879   
  161,000       Ukraine Government International Bond, 7.750%, 9/01/2020, 144A      155,397   
  40,000       Ukraine Government International Bond, (fixed rate to 5/31/2021, variable rate thereafter), Zero Coupon, 5/31/2040, 144A      18,608   
     

 

 

 
        174,884   
     

 

 

 
   United Arab Emirates — 4.7%   
  325,000       Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/2023(b)      311,187   
  275,000       Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A(b)      304,729   
  230,000       DP World Ltd., 3.250%, 5/18/2020, 144A      227,130   
  260,000       Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A(b)      308,646   
     

 

 

 
        1,151,692   
     

 

 

 
   United States — 2.2%   
  315,000       Flextronics International Ltd., 4.750%, 6/15/2025, 144A(b)      303,367   
  260,000       Kosmos Energy Ltd., 7.875%, 8/01/2021, 144A      226,850   
     

 

 

 
        530,217   
     

 

 

 
   Uruguay — 0.7%   
  200,000       ACI Airport Sudamerica S.A., 6.875%, 11/29/2032, 144A      173,000   
     

 

 

 
   Venezuela — 1.4%   
  395,000       Petroleos de Venezuela S.A., 5.500%, 4/12/2037      145,518   
  220,000       Petroleos de Venezuela S.A., 6.000%, 11/15/2026      79,200   
  240,000       Venezuela Government International Bond, 12.750%, 8/23/2022      118,800   
     

 

 

 
        343,518   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $21,462,619)
     21,028,129   
     

 

 

 
     
  Senior Loans — 1.3%   
   Trinidad and Tobago — 1.0%   
  254,363       Methanol Holdings (Trinidad) Ltd., Term Loan B, 4.250%, 6/30/2022(c)      237,829   
     

 

 

 
   Brazil — 0.3%   
  83,000       Gol LuxCo S.A., 1st Lien Term Loan, 6.500%, 8/31/2020(c)      80,925   
     

 

 

 
   Total Senior Loans
(Identified Cost $334,154)
     318,754   
     

 

 

 
     
Shares/Units of
Currency (††)
               
  Purchased Options — 0.0%   
   Options on Securities — 0.0%   
  20,000       iShares® MSCI Brazil Capped ETF,
Call expiring December 18, 2015 at 25.0000
     3,300   
  110,000       iShares® MSCI Emerging Markets ETF,
Call expiring January 15, 2016 at 38.0000
     5,500   
     

 

 

 
        8,800   
     

 

 

 
   Over-the-Counter Options on Currency — 0.0%   
  500,000       KRW Put, expiring December 04, 2015 at 1201.1000(d)      54   
  1,000,000       MXN Put, expiring December 04, 2015 at 16.9000(d)      514   

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

Shares/Units of
Currency (††)
    

Description

  

Value (†)

 
   Over-the-Counter Options on Currency — continued   
  500,000       MYR Put, expiring December 04, 2015 at 4.3175(e)    $ 1,224   
     

 

 

 
        1,792   
     

 

 

 
   Total Purchased Options
(Identified Cost $96,336)
     10,592   
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 12.1%   
$ 2,966,794       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 11/30/2015 at 0.010% to be repurchased at $2,966,795 on 12/01/2015 collateralized by $3,000,000 U.S. Treasury Note, 2.000% due 5/31/2021 valued at $3,030,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,966,794)      2,966,794   
     

 

 

 
     
   Total Investments — 99.0%
(Identified Cost $24,859,903)(a)
     24,324,269   
   Other assets less liabilities — 1.0%      234,395   
     

 

 

 
   Net Assets — 100.0%    $ 24,558,664   
     

 

 

 
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (††)       Options on securities are expressed as shares. Options on currency are expressed as units of currency.   
  (a)       Federal Tax Information:   
   At November 30, 2015, the net unrealized depreciation on investments based on a cost of $24,976,785 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    $ 306,944   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (959,460
     

 

 

 
   Net unrealized depreciation    $ (652,516
     

 

 

 
     
  (b)       All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swap agreements.   
  (c)       Variable rate security. Rate as of November 30, 2015 is disclosed.   
  (d)       Counterparty is Bank of America, N.A.   
  (e)       Counterparty is Credit Suisse International.   
     
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2015, the value of Rule 144A holdings amounted to $11,799,618 or 48.0% of net assets.      
  EMTN       Euro Medium Term Note   

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

     
  ETF       Exchange-Traded Fund   
  OJSC       Open Joint-Stock Company   
  PJSC       Private Joint-Stock Company   
  
  KRW       South Korean Won   
  MXN       Mexican Peso   
  MYR       Malaysian Ringgit   

At November 30, 2015, the Fund had the following open bilateral credit default swap agreements:

 

Sell Protection                  
Counterparty   Reference
Obligation
  (Pay)/
Receive
Fixed
Rate
  Expiration
Date
    Implied
Credit
Spread^
    Notional
Value(‡)
    Unamortized
Up Front
Premium
Paid/
(Received)
    Market
Value
    Unrealized
Appreciation
(Depreciation)
    Fees
Receivable/
(Payable)
 
Bank of America, N.A.   CDX.EM* Series 24, 5-Year   1.00%     12/20/2020        3.24   $ 980,000      $ (128,068   $ (97,914   $ 30,154      $ 1,933   
Barclays Bank PLC   Republic of Russia   1.00%     12/20/2020        2.70     250,000        (27,175     (19,626     7,549        493   
Citibank, N.A.   Republic of Brazil   1.00%     3/20/2020        4.17     350,000        (18,526     (42,654     (24,128     690   
Citibank, N.A.   Republic of Brazil   1.00%     12/20/2020        4.37     250,000        (37,525     (36,936     589        493   
             

 

 

   

 

 

   

 

 

 
Total               $ (197,130   $ 14,164      $ 3,609   
             

 

 

   

 

 

   

 

 

 

 

(‡) Notional value stated in U.S. dollars unless otherwise noted.
^ Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
* CDX.EM is an index composed of emerging market credit default swaps.

At November 30, 2015, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell
   Delivery
Date
     Currency    Units of
Currency
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 
Buy1      1/13/2016       Indonesian Rupiah      3,400,000,000       $ 243,421       $ (1,536
Sell1      1/13/2016       Indonesian Rupiah      3,400,000,000         243,421         1,978   
Buy1      12/15/2015       Mexican Peso      8,300,000         500,217         (1,263
Buy1      12/28/2015       Mexican Peso      2,000,000         120,431         (1,412
Sell1      12/15/2015       Mexican Peso      8,300,000         500,217         (17,012
Sell1      12/28/2015       Mexican Peso      2,000,000         120,431         (4,111
              

 

 

 
Total                $ (23,356
              

 

 

 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Emerging Markets Opportunities Fund – (continued)

 

At November 30, 2015, the Fund had the following open forward cross currency contracts:

 

Settlement Date    Deliver/Units of Currency    Receive/Units of Currency      Unrealized
Appreciation
(Depreciation)
 
2/18/2016      South African Rand       5,300,000      Turkish Lira 1      1,088,497       $ 3,854   
2/18/2016      Turkish Lira       2,122,498      South African Rand 1      10,500,000         3,763   
             

 

 

 
Total               $ 7,617   
             

 

 

 

1 Counterparty is Credit Suisse International

At November 30, 2015, open long futures contracts were as follows:

 

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

Ultra Long U.S. Treasury Bond

     3/21/2016         2       $ 316,875       $ 885   

30 Year U.S. Treasury Bond

     3/21/2016         4         616,000         3,618   
           

 

 

 

Total

            $ 4,503   
           

 

 

 

Industry Summary at November 30, 2015

 

Banking

     8.4

Foreign Sovereign

     7.4   

Integrated Energy

     5.9   

Electric - Integrated

     4.9   

Telecom - Wireless

     4.8   

Telecom - Wireline Integrated & Services

     4.4   

Gas Distribution

     4.0   

Chemicals

     3.8   

Energy - Exploration & Production

     3.3   

Metals & Mining Excluding Steel

     3.1   

Transportation Infrastructure/Services

     2.9   

Oil Field Equipment & Services

     2.8   

Government Guaranteed

     2.6   

Real Estate Development & Management

     2.2   

Software & Services

     2.2   

Cons/Comm/Lease Financing

     2.0   

Other Investments, less than 2% each

     22.2   

Short-Term Investments

     12.1   
  

 

 

 

Total Investments

     99.0   

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

     1.0   
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

Principal
Amount
     Description    Value (†)  
  Senior Loans — 84.0% of Net Assets   
   Aerospace & Defense — 0.3%   
$ 552,629       Cadence Aerospace LLC, Term Loan B, 6.500%, 5/09/2018(b)    $ 540,195   
  6,083,721       WP CPP Holdings LLC, Term Loan B3, 4.500%, 12/28/2019(c)      5,931,628   
     

 

 

 
        6,471,823   
     

 

 

 
   Automotive — 3.0%   
  9,010,890       American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.250%, 9/01/2021(c)      9,007,106   
  12,151,880       Crowne Group LLC, 1st Lien Term Loan, 6.000%, 9/30/2020(c)      11,848,083   
  6,997,714       Dayco Products LLC, New Term Loan B, 5.250%, 12/12/2019(c)      6,910,243   
  11,969,773       Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(c)      11,166,841   
  8,451,000       IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(c)      7,183,350   
  11,298,214       U.S. Farathane LLC, Term Loan B, 6.750%, 12/23/2021(c)      11,269,969   
  1,700,000       Wand Intermediate I LP, 2nd Lien Term Loan, 8.250%, 9/19/2022(c)      1,632,000   
     

 

 

 
        59,017,592   
     

 

 

 
   Banking — 0.5%   
  1,046,492       Harland Clarke Holdings Corp., Extended Term Loan B2, 5.577%, 6/30/2017(c)      1,030,795   
  9,069,653       Harland Clarke Holdings Corp., Term Loan B3, 7.000%, 5/22/2018(c)      9,004,442   
     

 

 

 
        10,035,237   
     

 

 

 
   Building Materials — 3.7%   
  10,312,000       Builders FirstSource, Inc., Term Loan B, 6.000%, 7/31/2022(c)      10,154,742   
  6,564,000       C.H.I. Overhead Doors, Inc., 2015 1st Lien Term Loan, 4.750%, 7/29/2022(c)      6,468,297   
  160,000       Contech Construction Products, Inc., New Term Loan, 4/29/2019(d)      159,701   
  5,987,188       Contech Construction Products, Inc., New Term Loan, 6.250%, 4/29/2019(c)      5,975,991   
  10,382,706       CPG International, Inc., New Term Loan, 4.750%, 9/30/2020(c)      10,045,268   
  9,500,842       GYP Holdings III Corp., 1st Lien Term Loan, 4.750%, 4/01/2021(c)      9,184,179   
  1,618,136       Jeld-Wen, Inc., Term Loan B, 5.250%, 10/15/2021(c)      1,611,567   
  8,332,525       Munters Corp., Term Loan, 6.250%, 5/05/2021(c)      8,165,874   
  4,685,370       Priso Acquisition Corp., 1st Lien Term Loan, 4.500%, 5/08/2022(c)      4,544,809   
  9,673,000       Quanex Building Products Corp., Term Loan B, 6.250%, 11/02/2022(c)      9,588,361   
  5,397,309       Quikrete Holdings, Inc., 2nd Lien Term Loan, 7.000%, 3/26/2021(c)      5,390,563   
     

 

 

 
        71,289,352   
     

 

 

 
   Cable Satellite — 1.4%   
  4,830,000       Neptune Finco Corp., 2015 Term Loan B, 5.000%, 10/09/2022(c)      4,812,757   
  17,862,760       TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(c)      17,795,774   
  5,036,020       TWCC Holding Corp., Term Loan B1, 5.750%, 2/11/2020(c)      5,030,783   
     

 

 

 
        27,639,314   
     

 

 

 
   Chemicals — 3.1%   
  2,728,362       Aruba Investments, Inc., USD 2015 Term Loan B, 4.500%, 2/02/2022(c)      2,673,795   
  9,014,331       AZ Chem U.S., Inc., 2nd Lien Term Loan, 7.500%, 6/12/2022(c)      8,976,741   
  952,000       MacDermid, Inc., USD 1st Lien Term Loan, 6/07/2020(d)      922,250   
  11,145,839       MacDermid, Inc., USD 1st Lien Term Loan, 4.500%, 6/07/2020(c)      10,797,531   
  1,262,000       MacDermid, Inc., USD Term Loan B3, 6/07/2020(d)      1,226,904   
  8,885,730       Methanol Holdings (Trinidad) Ltd., Term Loan B, 4.250%, 6/30/2022(c)      8,308,157   
  2,409,119       Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(c)      2,294,686   

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Chemicals — continued   
$ 3,261,900       Nexeo Solutions LLC, Term Loan B3, 5.000%, 9/08/2017(c)    $ 3,090,650   
  6,551,987       OCI Beaumont LLC, Term Loan B3, 6.500%, 8/20/2019(c)      6,617,507   
  5,340,000       Plaskolite, Inc., 1st Lien Term Loan, 5.750%, 10/13/2022(c)      5,306,625   
  9,339,426       Styrolution U.S. Holding LLC, USD Term Loan B, 6.500%, 11/07/2019(c)      9,304,403   
     

 

 

 
        59,519,249   
     

 

 

 
   Construction Machinery — 0.3%   
  6,789,868       Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(c)      6,110,881   
     

 

 

 
   Consumer Cyclical Services — 5.7%   
  1,774,524       Access CIG LLC, 1st Lien Term Loan, 10/18/2021(d)      1,764,179   
  10,097,237       Access CIG LLC, 1st Lien Term Loan, 6.000%, 10/18/2021(b)      10,038,370   
  12,376,943       Active Network, Inc. (The), 1st Lien Term Loan, 5.500%, 11/13/2020(c)      12,098,462   
  9,918,596       Creative Artists Agency LLC, Term Loan B, 5.500%, 12/17/2021(c)      9,889,634   
  6,263,000       DTZ U.S. Borrower LLC, 2nd Lien Term Loan, 9.250%, 11/04/2022(c)      6,200,370   
  2,977,330       Mergermarket USA, Inc., 1st Lien Term Loan, 4.500%, 2/04/2021(c)      2,880,567   
  7,522,000       Mergermarket USA, Inc., 2nd Lien Term Loan, 7.500%, 2/04/2022(c)      6,845,020   
  8,594,146       Miller Heiman, Inc., Term Loan B, 6.759%, 9/30/2019(b)      7,562,848   
  11,387,027       Rentpath, Inc., 1st Lien Term Loan, 6.250%, 12/17/2021(c)      9,963,649   
  1,258,075       SGS Cayman LP, 2014 Term Loan B, 6.000%, 4/23/2021(c)      1,251,784   
  11,824,063       SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(c)(e)      10,641,656   
  9,084,684       STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, 6.250%, 6/30/2022(c)      8,948,413   
  5,404,625       Sutherland Global Services, Inc., Term Loan B, 6.000%, 4/23/2021(c)      5,377,602   
  7,111,187       William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.250%, 5/06/2021(c)      7,048,964   
  10,072,000       William Morris Endeavor Entertainment LLC, 2nd Lien Term Loan, 8.250%, 5/01/2022(c)      9,492,860   
     

 

 

 
        110,004,378   
     

 

 

 
   Consumer Products — 1.9%   
  8,003,000       Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 7.500%, 7/25/2022(c)      7,278,729   
  10,750,975       Bioplan USA, Inc., 2015 Term Loan, 5.750%, 9/23/2021(c)      9,165,206   
  3,147,377       FGI Operating Co. LLC, Term Loan, 5.500%, 4/19/2019(c)      2,517,902   
  8,345,490       NYDJ Apparel LLC, Term Loan, 7.000%, 1/06/2020(c)      7,357,968   
  5,481,822       Polyconcept Investments BV, USD 1st Lien Term Loan, 6.000%, 6/27/2019(c)      5,420,151   
  2,805,858       SRAM LLC, New Term Loan B, 4.017%, 4/10/2020(b)      2,286,774   
  2,755,105       Varsity Brands, Inc., 1st Lien Term Loan, 5.000%, 12/11/2021(c)      2,746,509   
     

 

 

 
        36,773,239   
     

 

 

 
   Diversified Manufacturing — 2.2%   
  9,649,052       CPI Acquisition, Inc., Term Loan B, 5.500%, 8/17/2022(c)      9,594,824   
  3,914,420       Douglas Dynamics Holdings, Inc., New Term Loan, 5.250%, 12/31/2021(c)      3,885,062   
  1,780,058       Dynacast International LLC, Term Loan B, 4.500%, 1/28/2022(c)      1,751,132   
  12,500,000       Lully Finance LLC, USD Term Loan B1, 5.000%, 10/14/2022(c)      12,304,750   
  9,989,000       NN, Inc., 2015 Term Loan B, 5.750%, 10/19/2022(c)      9,914,082   
  7,000,000       Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(c)      6,129,410   
     

 

 

 
        43,579,260   
     

 

 

 

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Electric — 1.8%   
$ 5,707,320       Mirion Technologies, Inc., Term Loan B, 5.750%, 3/31/2022(c)    $ 5,650,247   
  7,021,000       PrimeLine Utility Services LLC, Term Loan, 7.750%, 10/22/2022(c)      6,953,739   
  12,230,348       TerraForm AP Acquisition Holdings LLC, Term Loan B, 5.000%, 6/26/2022(c)      11,618,830   
  10,476,698       TPF II Power LLC, Term Loan B, 5.500%, 10/02/2021(c)      10,296,603   
     

 

 

 
        34,519,419   
     

 

 

 
   Environmental — 1.1%   
  7,894,881       EnergySolutions LLC, New Term Loan, 6.750%, 5/29/2020(c)      7,460,663   
  3,369,000       EWT Holdings III Corp., 2nd Lien Term Loan, 8.500%, 1/15/2022(c)      3,301,620   
  9,864,278       Infiltrator Systems, Inc., 2015 Term Loan, 5.250%, 5/27/2022(c)      9,851,947   
     

 

 

 
        20,614,230   
     

 

 

 
   Financial Other — 1.8%   
  9,239,107       Astro AB Borrower, Inc., 1st Lien Term Loan, 5.500%, 4/30/2022(c)      9,192,912   
  11,151,252       DBRS Ltd., Term Loan, 6.250%, 3/04/2022(c)      11,109,435   
  7,965,803       Eze Castle Software, Inc., New 2nd Lien Term Loan, 7.250%, 4/05/2021(c)      7,779,961   
  6,653,775       Institutional Shareholder Services, Inc., Term Loan, 5.000%, 4/30/2021(c)      6,520,700   
     

 

 

 
        34,603,008   
     

 

 

 
   Food & Beverage — 1.1%   
  9,564,030       CPM Holdings, Inc., Term Loan B, 6.000%, 4/11/2022(c)      9,444,480   
  3,771,573       Del Monte Foods, Inc., 2nd Lien Term Loan, 8.250%, 8/18/2021(c)      3,413,274   
  3,309,987       Lineage Logistics Holdings LLC, 2014 Term Loan, 4.500%, 4/07/2021(c)      3,028,638   
  6,368,823       PSSI Holdings LLC, Term Loan B, 5.000%, 12/02/2021(c)      6,336,978   
     

 

 

 
        22,223,370   
     

 

 

 
   Gaming — 0.9%   
  4,908,995       Amaya Holdings BV, USD 1st Lien Term Loan, 8/01/2021(d)      4,698,841   
  13,397,622       Scientific Games International, Inc., 2014 Term Loan B2, 6.000%, 10/01/2021(c)      12,383,288   
     

 

 

 
        17,082,129   
     

 

 

 
   Health Insurance — 0.5%   
  11,057,000       Sedgwick Claims Management Services, Inc., Incremental 2nd Lien Term Loan, 6.750%, 2/28/2022(c)      10,153,975   
     

 

 

 
   Healthcare — 9.4%   
  9,570,015       21st Century Oncology Holdings, Inc., Term Loan, 6.500%, 4/30/2022(c)      8,014,888   
  15,256,128       CareCore National LLC, Term Loan B, 5.500%, 3/05/2021(c)      13,425,393   
  9,678,252       CDRH Parent, Inc., New 1st Lien Term Loan, 5.250%, 7/01/2021(c)      7,549,037   
  11,870,592       CT Technologies Intermediate Holdings, Inc., New 1st Lien Term Loan, 5.250%, 12/01/2021(c)      11,672,709   
  15,551,245       eResearchTechnology, Inc., Term Loan B, 5.500%, 5/08/2022(c)      15,266,191   
  10,325,621       FHC Health Systems, Inc., 2014 Term Loan, 5.000%, 12/23/2021(c)      9,938,410   
  6,101,000       Global Healthcare Exchange LLC, 2015 Term Loan B, 5.500%, 8/15/2022(c)      6,070,495   
  6,753,000       Greatbatch Ltd., Term Loan B, 5.250%, 10/27/2022(c)      6,682,634   
  11,473,245       HC Group Holdings III, Inc., Term Loan B, 6.000%, 4/07/2022(c)      11,444,562   
  6,649,825       Learning Care Group (U.S.) No. 2, Inc., New Term Loan, 5.000%, 5/05/2021(c)      6,608,264   
  8,637,158       McGraw-Hill School Education Holdings LLC, Term Loan B, 6.250%, 12/18/2019(c)      8,593,972   

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Healthcare — continued   
$ 2,665,320       National Surgical Hospitals, Inc., 2015 Term Loan, 4.500%, 6/01/2022(c)    $ 2,592,024   
  4,199,000       NVA Holdings, Inc., 2nd Lien Term Loan, 8.000%, 8/14/2022(c)      4,139,500   
  5,723,000       Onex TSG Holdings II Corp., 1st Lien Term Loan, 5.000%, 7/31/2022(c)      5,671,150   
  10,426,000       Physio-Control International, Inc., 1st Lien Term Loan, 5.500%, 6/06/2022(c)      10,243,545   
  850,000       Renaissance Learning, Inc., New 2nd Lien Term Loan, 8.000%, 4/11/2022(c)      801,830   
  7,760,705       SkillSoft Corp., 1st Lien Term Loan, 5.750%, 4/28/2021(c)      6,518,992   
  4,333,118       SkillSoft Corp., 2nd Lien Term Loan, 9.250%, 4/28/2022(c)      3,210,104   
  11,188,641       Steward Health Care System LLC, Term Loan B, 6.750%, 4/12/2020(c)      10,964,868   
  9,206,430       Surgery Center Holdings, Inc., New 1st Lien Term Loan, 5.250%, 11/03/2020(c)      9,125,874   
  4,569,000       Team Health, Inc., Term Loan B, 11/06/2022(d)      4,534,732   
  11,444,822       Tecomet, Inc., 1st Lien Term Loan, 5.750%, 12/05/2021(c)      10,185,891   
  9,240,000       U.S. Renal Care, Inc., 2015 Term Loan B, 11/06/2022(d)      9,170,700   
     

 

 

 
        182,425,765   
     

 

 

 
   Home Construction — 0.6%   
  11,252,000       LBM Borrower LLC, 1st Lien Term Loan, 6.250%, 8/20/2022(c)      10,794,944   
     

 

 

 
   Independent Energy — 0.6%   
  5,894,000       Callon Petroleum Co., 2nd Lien Term Loan, 8.500%, 10/08/2021(c)      5,768,753   
  8,328,870       Magnum Hunter Resources, Inc., 2nd Lien Term Loan, 9.750%, 10/22/2019(c)      5,488,725   
     

 

 

 
        11,257,478   
     

 

 

 
   Industrial Other — 8.1%   
  8,373,131       Aquilex Holdings LLC, New Term Loan, 5.000%, 12/31/2020(b)      7,954,474   
  8,551,000       Brickman Group Ltd. LLC, 2nd Lien Term Loan, 7.500%, 12/17/2021(c)      8,076,419   
  6,869,000       Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 7.000%, 11/22/2021(c)      5,426,510   
  9,827,785       Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(c)      9,002,251   
  8,217,498       Element Materials Technology Group U.S. Holdings, Inc., Term Loan B, 5.000%, 8/06/2021(c)      8,135,323   
  1,361,725       Filtration Group Corp., 2nd Lien Term Loan, 8.250%, 11/21/2021(c)      1,341,299   
  5,623,851       Hampton Rubber Co., 1st Lien Term Loan, 5.000%, 3/27/2021(c)      4,625,618   
  9,454,986       Language Line LLC, 2015 1st Lien Term Loan, 6.500%, 7/07/2021(c)      9,431,349   
  3,024,000       LS Newco Pty Ltd., USD Term Loan B, 5.500%, 5/21/2022(c)      3,008,880   
  5,056,315       LTI Holdings, Inc., 1st Lien Term Loan, 5.250%, 4/16/2022(c)      4,891,985   
  3,782,270       McJunkin Red Man Corp., New Term Loan, 4.821%, 11/08/2019(b)      3,645,163   
  12,239,000       Merrill Communications LLC, 2015 Term Loan, 6.250%, 6/01/2022(c)      11,321,075   
  8,922,920       NES Global Talent Ltd., 1st Lien Term Loan, 6.500%, 10/03/2019(c)      8,298,316   
  8,975,749       North American Lifting Holdings, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(c)      6,698,153   
  10,487,046       Nusil Technology LLC, New Term Loan, 5.250%, 4/07/2017(c)      10,366,445   
  7,680,000       Oxbow Carbon LLC, 2nd Lien Term Loan, 8.000%, 1/17/2020(c)      6,796,800   
  9,554,000       Prime Security Services Borrower LLC, 1st Lien Term Loan, 5.000%, 7/01/2021(c)      9,434,575   
  8,524,641       RedTop Luxembourg S.a.r.l., USD 2nd Lien Term Loan, 8.250%, 6/03/2021(c)      8,268,902   
  7,952,040       Research Now Group, Inc., Term Loan, 5.500%, 3/18/2021(c)      7,832,759   
  11,394,531       Trojan Battery Co. LLC, 2013 Term Loan, 5.750%, 6/11/2021(c)      11,252,099   
  11,733,000       USAGM HoldCo LLC, 2015 Term Loan, 4.750%, 7/28/2022(c)      11,219,681   
     

 

 

 
        157,028,076   
     

 

 

 

 

See accompanying notes to financial statements.

 

35  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Leisure — 1.6%   
$ 10,373,390       AMF Bowling Centers, Inc., Term Loan B, 7.250%, 9/18/2021(c)    $ 10,211,357   
  6,569,000       Cast and Crew Payroll LLC, Term Loan B, 4.750%, 8/12/2022(c)      6,445,831   
  6,778,000       CDS U.S. Intermediate Holdings, Inc., 1st Lien Term Loan, 5.000%, 7/08/2022(c)      6,710,220   
  3,931,000       CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, 9.250%, 7/10/2023(c)      3,837,639   
  3,906,119       World Triathlon Corp., Term Loan, 5.250%, 6/26/2021(c)      3,867,058   
     

 

 

 
        31,072,105   
     

 

 

 
   Lodging — 0.4%   
  8,709,556       Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.250%, 12/27/2020(c)      8,611,573   
     

 

 

 
   Media Entertainment — 4.1%   
  9,987,900       ALM Media Holdings, Inc., 1st Lien Term Loan, 5.500%, 7/31/2020(c)      9,688,263   
  12,479,095       Cengage Learning Acquisitions, Inc., 1st Lien Term Loan, 7.000%, 3/31/2020(c)      12,272,442   
  9,371,263       Cumulus Media Holdings, Inc., 2013 Term Loan, 4.250%, 12/23/2020(c)      6,852,736   
  7,970,720       Dex Media West LLC, New Term Loan, 8.000%, 12/30/2016(c)      4,435,705   
  10,530,608       Eden Bidco Ltd., USD Term Loan B, 6.000%, 4/28/2022(c)      10,477,954   
  2,378,944       Extreme Reach, Inc., 1st Lien Term Loan, 2/07/2020(d)      2,355,154   
  7,588,000       Extreme Reach, Inc., 2nd Lien Term Loan, 10.500%, 1/24/2021(c)      7,208,600   
  11,343,616       iHeartCommunications, Inc., Term Loan D, 6.982%, 1/30/2019(c)      8,183,171   
  5,456,000       Penton Media, Inc., New 2nd Lien Term Loan, 9.000%, 10/02/2020(c)      5,355,992   
  7,033,774       ProQuest LLC, New Term Loan B, 5.250%, 10/24/2021(c)      6,921,234   
  5,442,709       YP LLC, USD Term Loan B, 8.000%, 6/04/2018(c)      5,354,265   
     

 

 

 
        79,105,516   
     

 

 

 
   Metals & Mining — 0.5%   
  3,982,361       American Rock Salt Holdings LLC, 1st Lien Term Loan, 4.750%, 5/20/2021(c)      3,865,877   
  6,243,885       American Rock Salt Holdings LLC, Incremental Term Loan, 4.750%, 5/20/2021(c)      6,061,252   
     

 

 

 
        9,927,129   
     

 

 

 
   Midstream — 0.7%   
  11,717,000       Chelsea Petroleum Products I LLC, Term Loan B, 5.250%, 10/22/2022(c)      11,497,306   
  2,793,891       Targa Resources Corp., Term Loan B, 5.750%, 2/25/2022(c)      2,788,667   
     

 

 

 
        14,285,973   
     

 

 

 
   Natural Gas — 0.6%   
  4,214,573       Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(c)      3,540,242   
  12,377,115       Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(c)      8,509,266   
     

 

 

 
        12,049,508   
     

 

 

 
   Oil Field Services — 1.0%   
  8,053,101       CJ Holding Co., Term Loan B2, 7.250%, 3/24/2022(c)      5,325,113   
  5,873,804       KCA Deutag U.S. Finance LLC, Term Loan, 6.250%, 5/15/2020(c)      4,503,269   
  316,667       Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 10.500%, 7/24/2020(c)      266,000   
  2,580,426       Pinnacle Holdco S.a.r.l., Term Loan, 4.750%, 7/30/2019(c)      2,303,030   
  6,196,831       UTEX Industries, Inc., 1st Lien Term Loan 2014, 5.000%, 5/22/2021(c)      4,288,703   

 

See accompanying notes to financial statements.

 

|  36


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Oil Field Services — continued   
$ 3,501,031       UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(c)    $ 2,425,935   
     

 

 

 
        19,112,050   
     

 

 

 
   Other Utility — 0.6%   
  11,973,000       PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(c)      11,441,758   
     

 

 

 
   Packaging — 0.7%   
  8,368,760       Hilex Poly Co. LLC, Term Loan B, 6.000%, 12/05/2021(c)      8,337,377   
  5,562,000       PLZ Aeroscience Corp., USD Term Loan, 5.250%, 7/31/2022(c)      5,520,285   
     

 

 

 
        13,857,662   
     

 

 

 
   Pharmaceuticals — 0.4%   
  7,494,000       MedImpact Healthcare Systems, Inc., Term Loan, 5.750%, 10/27/2022(c)      7,456,530   
     

 

 

 
   Property & Casualty Insurance — 2.9%   
  3,996,000       AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.500%, 9/04/2020(c)      3,986,010   
  12,559,969       Applied Systems, Inc., New 2nd Lien Term Loan, 7.500%, 1/24/2022(c)      12,041,870   
  7,026,000       AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.750%, 10/21/2022(c)      6,982,088   
  9,625,000       CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(c)      8,951,250   
  2,865,870       Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 5.000%, 12/10/2019(c)      2,235,379   
  701,591       Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(c)      452,526   
  9,485,335       Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(c)      9,437,908   
  9,375,000       Mitchell International, Inc., New 2nd Lien Term Loan, 8.500%, 10/11/2021(c)      9,175,781   
  3,705,286       York Risk Services Holding Corp., Term Loan B, 4.750%, 10/01/2021(c)      3,538,549   
     

 

 

 
        56,801,361   
     

 

 

 
   Restaurants — 0.8%   
  7,679,000       Portillo’s Holdings LLC, 2nd Lien Term Loan, 8.000%, 8/01/2022(c)      7,295,050   
  8,423,910       Red Lobster Management LLC, Term Loan B, 6.250%, 7/28/2021(c)      8,388,782   
     

 

 

 
        15,683,832   
     

 

 

 
   Retailers — 5.8%   
  12,385,620       Academy Ltd., 2015 Term Loan B, 5.000%, 7/01/2022(c)      11,784,917   
  13,863,010       Ascena Retail Group, Inc., 2015 Term Loan B, 5.250%, 8/21/2022(c)      12,286,093   
  9,837,565       At Home Holding III, Inc., Term Loan, 5.000%, 6/03/2022(c)      9,591,626   
  10,398,375       BDF Acquisition Corp., 1st Lien Term Loan, 5.250%, 2/12/2021(c)      10,242,399   
  12,874,000       BJ’s Wholesale Club, Inc., New 2nd Lien Term Loan, 8.500%, 3/26/2020(c)      12,283,985   
  8,111,697       David’s Bridal, Inc., New Term Loan B, 5.250%, 10/11/2019(c)      6,667,815   
  10,717,754       Evergreen Acqco 1 LP, New Term Loan, 5.000%, 7/09/2019(c)      8,721,572   
  5,921,165       Eyemart Express LLC, Term Loan B, 5.000%, 12/18/2021(c)      5,847,151   
  10,434,848       Jill Acquisition LLC, 2015 Term Loan, 6.000%, 5/08/2022(c)      10,226,150   
  14,904,780       Neiman Marcus Group, Inc. (The), 2020 Term Loan, 4.250%, 10/25/2020(c)      13,920,468   
  2,625,860       PFS Holding Corp., 1st Lien Term Loan, 4.500%, 1/31/2021(c)      2,411,406   
  5,287,162       Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(c)      5,080,063   
  3,407,000       Talbots, Inc. (The), 2nd Lien Term Loan, 9.500%, 3/19/2021(c)      3,228,132   
     

 

 

 
        112,291,777   
     

 

 

 
   Supermarkets — 0.4%   
  8,187,681       Albertson’s LLC, Term Loan B4, 5.500%, 8/25/2021(c)      8,171,306   
     

 

 

 

 

See accompanying notes to financial statements.

 

37  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Technology — 8.1%   
$ 11,206,181       AF Borrower LLC, 1st Lien Term Loan, 6.250%, 1/28/2022(c)    $ 11,087,172   
  9,659,059       Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(c)      9,417,583   
  3,561,000       Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(c)      3,409,657   
  9,875,079       Aricent Technologies, 1st Lien Term Loan, 5.500%, 4/14/2021(c)      9,447,192   
  3,939,825       BMC Foreign Holding Co., USD Term Loan, 5.000%, 9/10/2020(c)      3,434,227   
  1,412,386       BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(c)      1,221,121   
  4,085,876       Edmentum, Inc., 2013 Term Loan, PIK, 5.500%, 5/17/2018(c)(f)      2,931,616   
  4,846,981       EIG Investors Corp., 2013 Term Loan, 5.000%, 11/09/2019(c)      4,764,194   
  2,246,000       Hyland Software, Inc., 2nd Lien Term Loan, 8.250%, 7/01/2023(c)      2,129,949   
  8,019,000       Informatica Corp., USD Term Loan, 4.500%, 8/05/2022(c)      7,785,567   
  8,651,895       Internap Corp., Term Loan, 6.000%, 11/26/2019(c)      8,478,857   
  4,191,000       IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(c)      3,143,250   
  7,545,874       IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(c)      5,948,639   
  4,598,250       MA FinanceCo. LLC, Term Loan B, 5.250%, 11/19/2021(c)      4,558,015   
  7,964,858       MH Sub I LLC, 1st Lien Term Loan, 4.750%, 7/08/2021(c)      7,845,385   
  4,243,000       MH Sub I LLC, 2nd Lien Term Loan, 8.500%, 7/08/2022(c)      4,080,366   
  9,974,747       MSC Software Corp., 1st Lien Term Loan, 5.000%, 5/29/2020(c)      9,787,721   
  8,036,443       Openlink International Intermediate, Inc., 2017 Term Loan, 6.250%, 10/28/2017(c)      8,011,370   
  4,477,215       P2 Upstream Acquisition Co., 1st Lien Term Loan, 5.000%, 10/30/2020(c)      4,264,547   
  10,667,816       Presidio, Inc., Refi Term Loan, 5.250%, 2/02/2022(c)      10,541,189   
  9,180,991       Riverbed Technology, Inc., Term Loan B, 6.000%, 4/24/2022(c)      9,153,448   
  4,100,000       Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c)      4,076,097   
  28,207       Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(c)      28,125   
  11,762,337       Sirius Computer Solutions, Inc., 1st Lien Term Loan, 6.000%, 10/30/2022(c)      11,600,605   
  9,974,425       SurveyMonkey, Inc., Term Loan B, 6.250%, 2/05/2019(c)      9,600,384   
     

 

 

 
        156,746,276   
     

 

 

 
   Transportation Services — 3.5%   
  9,405,365       FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(c)      7,665,372   
  10,300,000       Gruden Acquisition, Inc., 1st Lien Term Loan, 5.750%, 8/18/2022(c)      9,926,625   
  9,664,496       OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)      9,579,931   
  9,833,678       OSG International, Inc., Exit Term Loan B, 5.750%, 8/05/2019(c)      9,772,218   
  10,379,470       WP Mustang Holdings LLC, 1st Lien Term Loan B, 5.500%, 5/29/2021(c)      10,353,522   
  11,780,000       XPO Logistics, Inc., Term Loan, 5.500%, 11/01/2021(c)      11,728,522   
  9,103,621       YRC Worldwide, Inc., Term Loan, 8.250%, 2/13/2019(c)      8,415,205   
     

 

 

 
        67,441,395   
     

 

 

 
   Wireless — 0.9%   
  18,692,000       Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(c)      16,439,614   
  1,995,000       Asurion LLC, Term Loan B4, 5.000%, 8/04/2022(c)      1,842,382   
     

 

 

 
        18,281,996   
     

 

 

 
   Wirelines — 3.0%   
  13,372,795       Communications Sales & Leasing, Inc., Term Loan B, 5.000%, 10/24/2022(c)      12,336,404   
  3,598,918       Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(c)      3,584,775   
  8,912,719       Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(c)      8,653,715   
  4,526,000       Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(c)      4,422,264   
  7,990,473       LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(c)      7,737,414   

 

See accompanying notes to financial statements.

 

|  38


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Wirelines — continued   
$ 10,464,538       Nextgen Networks Pty Ltd., USD Term Loan B, 5.000%, 5/31/2021(c)    $ 8,894,857   
  12,615,708       U.S. Telepacific Corp., Term Loan, 6.000%, 11/25/2020(c)      12,063,771   
     

 

 

 
        57,693,200   
     

 

 

 
   Total Senior Loans
(Identified Cost $1,715,346,838)
     1,631,173,666   
     

 

 

 
     
  Bonds and Notes — 11.6%   
  Non-Convertible Bonds — 11.2%   
   Banking — 0.5%   
  10,170,000       Ally Financial, Inc., 4.125%, 3/30/2020      10,283,904   
     

 

 

 
   Building Materials — 0.6%   
  7,340,000       Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A      5,431,600   
  5,370,000       Building Materials Holding Corp., 9.000%, 9/15/2018, 144A      5,665,350   
     

 

 

 
        11,096,950   
     

 

 

 
   Cable Satellite — 0.6%   
  2,000,000       Intelsat Luxembourg S.A., 7.750%, 6/01/2021      780,000   
  11,830,000       Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(g)      11,534,250   
     

 

 

 
        12,314,250   
     

 

 

 
   Chemicals — 1.4%   
  8,430,000       Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A      8,113,875   
  7,510,000       INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A      7,566,325   
  2,297,000       Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 3/01/2018      2,113,240   
  9,295,000       Perstorp Holding AB, 11.000%, 8/15/2017, 144A      9,341,475   
     

 

 

 
        27,134,915   
     

 

 

 
   Consumer Products — 0.4%   
  8,100,000       Serta Simmons Bedding LLC, 8.125%, 10/01/2020, 144A      8,444,250   
     

 

 

 
   Environmental — 0.5%   
  10,311,000       GFL Environmental, Inc., 7.875%, 4/01/2020, 144A      10,414,110   
     

 

 

 
   Finance Companies — 0.4%   
  7,100,000       Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017      7,171,000   
  885,000       OneMain Financial Holdings, Inc., 6.750%, 12/15/2019, 144A      927,037   
     

 

 

 
        8,098,037   
     

 

 

 
   Financial Other — 0.2%   
  3,335,000       Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A      3,401,700   
     

 

 

 
   Healthcare — 0.4%   
  7,320,000       Kindred Healthcare, Inc., 8.000%, 1/15/2020      6,844,200   
     

 

 

 
   Home Construction — 0.2%   
  2,879,000       Beazer Homes USA, Inc., 9.125%, 5/15/2019      2,886,198   
     

 

 

 
   Independent Energy — 1.5%   
  6,275,000       Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A      5,161,188   
  19,270,000       Chesapeake Energy Corp., 3.571%, 4/15/2019(c)      8,623,325   
  8,975,000       Halcon Resources Corp., 8.625%, 2/01/2020, 144A      7,067,812   

 

See accompanying notes to financial statements.

 

39  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

Principal
Amount
     Description    Value (†)  
   Independent Energy — continued   
$ 3,175,000       Rex Energy Corp., 8.875%, 12/01/2020    $ 1,238,250   
  8,660,000       Sanchez Energy Corp., 7.750%, 6/15/2021      6,581,600   
     

 

 

 
        28,672,175   
     

 

 

 
   Media Entertainment — 0.2%   
  4,515,000       National CineMedia LLC, 7.875%, 7/15/2021      4,695,600   
     

 

 

 
   Metals & Mining — 0.8%   
  5,025,000       Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A      4,082,812   
  3,000,000       Joseph T. Ryerson & Son, Inc., 9.000%, 10/15/2017      2,527,140   
  10,430,000       Petra Diamonds U.S. Treasury PLC, 8.250%, 5/31/2020, 144A      9,100,175   
  1,441,000       United States Steel Corp., 7.375%, 4/01/2020      724,103   
     

 

 

 
        16,434,230   
     

 

 

 
   Non-Agency Commercial Mortgage-Backed Securities — 0.3%   
  5,392,494       Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(e)      5,355,286   
     

 

 

 
   Property & Casualty Insurance — 0.5%   
  10,182,000       HUB International Ltd., 7.875%, 10/01/2021, 144A      9,774,720   
     

 

 

 
   Technology — 0.6%   
  12,206,000       Blackboard, Inc., 7.750%, 11/15/2019, 144A      10,863,340   
  1,068,003       Edmentum, Inc., Junior PIK Note, 10.000%, 6/09/2020(h)(i)(j)        
     

 

 

 
        10,863,340   
     

 

 

 
   Wireless — 0.5%   
  10,350,000       Sprint Communications, Inc., 6.000%, 12/01/2016      10,324,125   
     

 

 

 
   Wirelines — 1.6%   
  12,300,000       FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A      12,530,625   
  4,820,000       Frontier Communications Corp., 8.875%, 9/15/2020, 144A      4,832,050   
  18,065,000       Windstream Services LLC, 7.750%, 10/01/2021      14,406,837   
     

 

 

 
        31,769,512   
     

 

 

 
   Total Non-Convertible Bonds
(Identified Cost $245,951,452)
     218,807,502   
     

 

 

 
     
  Convertible Bonds — 0.4%   
   Consumer Products — 0.4%   
  8,450,000       Iconix Brand Group, Inc., 2.500%, 6/01/2016 (Identified Cost $8,086,641)      7,626,125   
     

 

 

 
   Total Bonds and Notes
(Identified Cost $254,038,093)
     226,433,627   
     

 

 

 
     
Shares                
  Preferred Stocks — 0.4%   
   Pharmaceuticals — 0.4%   
  6,693       Allergan PLC, Series A, 5.500% (Identified Cost $6,693,000)      7,009,713   
     

 

 

 
     
  Common Stocks — 0.0%   
   Diversified Consumer Services — 0.0%   
  8,680       Edmentum Ultimate Holdings LLC, Class A(i)(j)        
     

 

 

 

 

See accompanying notes to financial statements.

 

|  40


Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

    
Shares
     Description    Value (†)  
   Energy Equipment & Services — 0.0%   
  134,877       Hercules Offshore, Inc.(j)    $ 501,742   
     

 

 

 
   Total Common Stocks
(Identified Cost $6,908,271)
     501,742   
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 1.9%   
$ 1,063,071       Repurchase Agreement with State Street Bank and Trust Company, dated 11/30/2015 at 0.000% to be repurchased at $1,063,071 on 12/01/2015 collateralized by $1,070,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,084,394 including accrued interest (Note 2 of Notes to Financial Statements)      1,063,071   
  36,193,642       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 11/30/2015 at 0.010% to be repurchased at $36,193,652 on 12/01/2015 collateralized by $34,910,000 U.S. Treasury Note, 2.000% due 5/31/2021 valued at $35,259,100; $1,645,000 U.S. Treasury Note, 1.500% due 12/31/2018 valued at $1,665,563 including accrued interest (Note 2 of Notes to Financial Statements)      36,193,642   
     

 

 

 
   Total Short-Term Investments
(Identified Cost $37,256,713)
     37,256,713   
     

 

 

 
     
   Total Investments — 97.9%
(Identified Cost $2,020,242,915)(a)
     1,902,375,461   
   Other assets less liabilities — 2.1%      39,963,930   
     

 

 

 
   Net Assets — 100.0%    $ 1,942,339,391   
     

 

 

 
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At November 30, 2015, the net unrealized depreciation on investments based on a cost of $2,022,650,267 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    $ 2,732,878   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (123,007,684
     

 

 

 
   Net unrealized depreciation    $ (120,274,806
     

 

 

 
     
  (b)       Variable rate security. Rate shown represents the weighted average rate of underlying contracts at November 30, 2015.    
  (c)       Variable rate security. Rate as of November 30, 2015 is disclosed.   
  (d)       Position is unsettled. Contract rate was not determined at November 30, 2015 and does not take effect until settlement date. Maturity date is not finalized until settlement date.    
  (e)       Illiquid security. At November 30, 2015, the value of these securities amounted to $15,996,942 or 0.8% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.     

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of November 30, 2015

Loomis Sayles Senior Floating Rate and Fixed Income Fund – (continued)

 

     
  (f)       Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended November 30, 2015, interest payments were made in cash and additional debt securities.
  (g)       Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended November 30, 2015, interest payments were made in cash.
  (h)       Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.
  (i)       Fair valued at zero by the Fund’s adviser. At November 30, 2015, the value of these securities amounted to 0.0% of net assets. See Note 2 of Notes to Financial Statements.
  (j)       Non-income producing security.
     
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2015, the value of Rule 144A holdings amounted to $139,607,980 or 7.2% of net assets.
  PIK       Payment-in-Kind   

Industry Summary at November 30, 2015

 

Healthcare

     9.8

Technology

     8.7   

Industrial Other

     8.1   

Retailers

     5.8   

Consumer Cyclical Services

     5.7   

Wirelines

     4.6   

Chemicals

     4.5   

Media Entertainment

     4.3   

Building Materials

     4.3   

Transportation Services

     3.5   

Property & Casualty Insurance

     3.4   

Automotive

     3.0   

Consumer Products

     2.7   

Diversified Manufacturing

     2.2   

Independent Energy

     2.1   

Cable Satellite

     2.0   

Financial Other

     2.0   

Other Investments, less than 2% each

     19.3   

Short-Term Investments

     1.9   
  

 

 

 

Total Investments

     97.9   

Other assets less liabilities

     2.1   
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  42


Table of Contents

Portfolio of Investments – as of November 30, 2015

Vaughan Nelson Select Fund

 

Shares      Description    Value (†)  
  Common Stocks — 95.5% of Net Assets   
   Aerospace & Defense — 8.6%   
  32,300       General Dynamics Corp.    $ 4,730,658   
  37,000       Honeywell International, Inc.      3,846,150   
     

 

 

 
        8,576,808   
     

 

 

 
   Banks — 4.8%   
  87,175       Wells Fargo & Co.      4,803,343   
     

 

 

 
   Beverages — 2.9%   
  22,800       Anheuser-Busch InBev SA/NV, Sponsored ADR      2,928,888   
     

 

 

 
   Consumer Finance — 3.9%   
  54,300       American Express Co.      3,890,052   
     

 

 

 
   Diversified Financial Services — 3.1%   
  29,800       Moody’s Corp.      3,072,976   
     

 

 

 
   Food & Staples Retailing — 5.0%   
  59,825       Walgreens Boots Alliance, Inc.      5,027,095   
     

 

 

 
   Health Care Equipment & Supplies — 5.4%   
  71,725       Medtronic PLC      5,403,762   
     

 

 

 
   Health Care Providers & Services — 9.0%   
  50,200       HCA Holdings, Inc.(b)      3,416,612   
  49,450       UnitedHealth Group, Inc.      5,573,509   
     

 

 

 
        8,990,121   
     

 

 

 
   Insurance — 4.2%   
  65,175       American International Group, Inc.      4,143,827   
     

 

 

 
   Internet & Catalog Retail — 6.3%   
  5,010       Priceline Group, Inc. (The)(b)      6,256,738   
     

 

 

 
   Internet Software & Services — 12.0%   
  2,625       Alphabet, Inc., Class A(b)      2,002,481   
  7,210       Alphabet, Inc., Class C(b)      5,354,146   
  156,500       eBay, Inc.(b)      4,630,835   
     

 

 

 
        11,987,462   
     

 

 

 
   IT Services — 5.4%   
  40,800       Broadridge Financial Solutions, Inc.      2,243,184   
  19,950       MasterCard, Inc., Class A      1,953,504   
  33,625       PayPal Holdings, Inc.(b)      1,185,618   
     

 

 

 
        5,382,306   
     

 

 

 
   Life Sciences Tools & Services — 4.6%   
  33,050       Thermo Fisher Scientific, Inc.      4,574,120   
     

 

 

 
   Machinery — 3.3%   
  32,925       Cummins, Inc.      3,304,682   
     

 

 

 
   Oil, Gas & Consumable Fuels — 2.0%   
  34,725       Marathon Petroleum Corp.      2,028,287   
     

 

 

 
   Semiconductors & Semiconductor Equipment — 7.5%   
  35,525       Avago Technologies Ltd.      4,634,236   

 

See accompanying notes to financial statements.

 

43  |


Table of Contents

Portfolio of Investments – as of November 30, 2015

Vaughan Nelson Select Fund – (continued)

 

Shares      Description    Value (†)  
   Semiconductors & Semiconductor Equipment — continued   
  49,225       Texas Instruments, Inc.    $ 2,860,957   
     

 

 

 
        7,495,193   
     

 

 

 
   Software — 7.5%   
  137,400       Microsoft Corp.      7,467,690   
     

 

 

 
   Total Common Stocks
(Identified Cost $85,576,139)
     95,333,350   
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 5.9%   
$ 5,917,664       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 11/30/2015 at 0.010% to be repurchased at $5,917,666 on 12/01/2015 collateralized by $5,980,000 U.S. Treasury Note, 2.000% due 5/31/2021 valued at $6,039,800 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $5,917,664)
     5,917,664   
     

 

 

 
     
   Total Investments — 101.4%
(Identified Cost $91,493,803)(a)
     101,251,014   
   Other assets less liabilities — (1.4)%      (1,367,108
     

 

 

 
   Net Assets — 100.0%    $ 99,883,906   
     

 

 

 
     
  (†)       See Note 2 of Notes to Financial Statements.   
  (a)       Federal Tax Information:   
   At November 30, 2015, the net unrealized appreciation on investments based on a cost of $91,619,716 for federal income tax purposes was as follows:   
   Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 11,712,091   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (2,080,793
     

 

 

 
   Net unrealized appreciation    $ 9,631,298   
     

 

 

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

 

See accompanying notes to financial statements.

 

|  44


Table of Contents

Portfolio of Investments – as of November 30, 2015

Vaughan Nelson Select Fund – (continued)

 

Industry Summary at November 30, 2015

 

Internet Software & Services

     12.0

Health Care Providers & Services

     9.0   

Aerospace & Defense

     8.6   

Semiconductors & Semiconductor Equipment

     7.5   

Software

     7.5   

Internet & Catalog Retail

     6.3   

Health Care Equipment & Supplies

     5.4   

IT Services

     5.4   

Food & Staples Retailing

     5.0   

Banks

     4.8   

Life Sciences Tools & Services

     4.6   

Insurance

     4.2   

Consumer Finance

     3.9   

Machinery

     3.3   

Diversified Financial Services

     3.1   

Beverages

     2.9   

Oil, Gas & Consumable Fuels

     2.0   

Short-Term Investments

     5.9   
  

 

 

 

Total Investments

     101.4   

Other assets less liabilities

     (1.4
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

45  |


Table of Contents

Statements of Assets and Liabilities

 

November 30, 2015

 

    Loomis  Sayles
Dividend
Income

Fund
    Loomis Sayles
Emerging
Markets
Opportunities
Fund
    Loomis Sayles
Senior Floating
Rate and Fixed
Income

Fund
    Vaughan Nelson
Select

Fund
 

ASSETS

       

Investments at cost

  $ 24,376,683      $ 21,893,109      $ 1,982,986,202      $ 85,576,139   

Repurchase agreement(s) at cost

    1,230,010        2,966,794        37,256,713        5,917,664   

Net unrealized appreciation (depreciation)

    (38,627     (535,634     (117,867,454     9,757,211   
 

 

 

   

 

 

   

 

 

   

 

 

 

Investments at value

    25,568,066        24,324,269        1,902,375,461        101,251,014   

Cash

    4,509        7,753               27,158   

Due from brokers (Note 2)

           228,070                 

Foreign currency at value (identified cost $0, $40,573, $0 and $0, respectively)

           40,365                 

Receivable for Fund shares sold

    63,450               8,822,163        195,219   

Receivable for securities sold

                  52,313,723          

Dividends and interest receivable

    143,477        276,116        16,870,710        165,724   

Unrealized appreciation on bilateral swap agreements (Note 2)

           38,292                 

Unrealized appreciation on forward foreign currency contracts (Note 2)

           9,595                 

Tax reclaims receivable

    2,473               18,406        8,537   

Receivable for variation margin on futures contracts (Note 2)

           2,737                 

Fees receivable on swap agreements (Note 2)

           3,609                 

Prepaid expenses (Note 8)

                  490,385          
 

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL ASSETS

    25,781,975        24,930,806        1,980,890,848        101,647,652   
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Options written, at value (premiums received $4,468, $0, $0 and $0, respectively) (Note 2)

    7,308                        

Payable for securities purchased

    4,509               27,785,979        1,583,394   

Unrealized depreciation on bilateral swap agreements (Note 2)

           24,128                 

Payable for Fund shares redeemed

                  5,531,310        16,473   

Unrealized depreciation on forward foreign currency contracts (Note 2)

           25,334                 

Unamortized upfront premiums received on bilateral swap agreements (Note 2)

           211,294                 

Management fees payable (Note 6)

    14,269        5,488        878,027        74,331   

Deferred Trustees’ fees (Note 6)

    32,493        18,246        64,729        29,990   

Administrative fees payable (Note 6)

    922        882        71,436        3,511   

Payable to distributor (Note 6d)

    104        22        9,090        366   

Other accounts payable and accrued expenses

    61,982        86,748        4,210,886        55,681   
 

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL LIABILITIES

    121,587        372,142        38,551,457        1,763,746   
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 25,660,388      $ 24,558,664      $ 1,942,339,391      $ 99,883,906   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  46


Table of Contents

Statements of Assets and Liabilities (continued)

 

November 30, 2015

 

    Loomis  Sayles
Dividend
Income

Fund
    Loomis Sayles
Emerging
Markets
Opportunities
Fund
    Loomis Sayles
Senior Floating
Rate and Fixed
Income

Fund
    Vaughan Nelson
Select

Fund
 

NET ASSETS CONSIST OF:

       

Paid-in capital

  $ 23,006,809      $ 25,834,147      $ 2,105,241,430      $ 90,079,779   

Undistributed net investment income

    87,741        8,455        1,596,358        134,976   

Accumulated net realized gain (loss) on investments, futures contracts, options written, short sales, swap agreements and foreign currency transactions

    2,607,380        (754,633     (46,630,943     (88,060

Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap agreements and foreign currency translations

    (41,542     (529,305     (117,867,454     9,757,211   
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 25,660,388      $ 24,558,664      $ 1,942,339,391      $ 99,883,906   
 

 

 

   

 

 

   

 

 

   

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

       

Class A shares:

       

Net assets

  $ 11,329,141      $ 84,803      $ 361,834,226      $ 15,793,791   
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    997,778        8,725        37,326,424        1,065,850   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value and redemption price per share

  $ 11.35      $ 9.72      $ 9.69      $ 14.82   
 

 

 

   

 

 

   

 

 

   

 

 

 

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)

  $ 12.04      $ 10.15      $ 10.04      $ 15.72   
 

 

 

   

 

 

   

 

 

   

 

 

 

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

       

Net assets

  $ 3,743,581      $ 19,495      $ 287,330,012      $ 5,607,087   
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    331,149        2,028        29,725,286        388,392   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value and offering price per share

  $ 11.30      $ 9.61      $ 9.67      $ 14.44   
 

 

 

   

 

 

   

 

 

   

 

 

 

Class N shares:

       

Net assets

  $      $ 1,039      $      $   
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

           108                 
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $      $ 9.63   $      $   
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Y shares:

       

Net assets

  $ 10,587,666      $ 24,453,327      $ 1,293,175,153      $ 78,483,028   
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

    931,949        2,540,505        133,338,500        5,267,720   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

  $ 11.36      $ 9.63      $ 9.70      $ 14.90   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

* Net asset value calculations reflect fractional share and dollar amounts.

 

See accompanying notes to financial statements.

 

47  |


Table of Contents

Statements of Operations

 

For the Year Ended November 30, 2015

 

    Loomis  Sayles
Dividend
Income

Fund
    Loomis Sayles
Emerging
Markets
Opportunities
Fund
    Loomis Sayles
Senior Floating
Rate and Fixed
Income

Fund
    Vaughan Nelson
Select

Fund
 

INVESTMENT INCOME

       

Interest

  $ 293,098      $ 1,430,404      $ 114,482,518      $ 282   

Dividends

    827,758        23,049        275,082        1,181,862   

Less net foreign taxes withheld

    (2,446     (1,373            (17,866
 

 

 

   

 

 

   

 

 

   

 

 

 
    1,118,410        1,452,080        114,757,600        1,164,278   
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

       

Management fees (Note 6)

    166,524        214,896        10,725,395        679,744   

Service and distribution fees (Note 6)

    51,447        7,393        3,289,760        70,106   

Administrative fees (Note 6)

    11,856        12,235        753,858        34,204   

Trustees’ fees and expenses (Note 6)

    19,023        18,896        46,167        19,826   

Transfer agent fees and expenses (Notes 6 and 7)

    26,077        8,759        1,151,038        45,103   

Audit and tax services fees

    57,005        54,118        84,312        41,532   

Custodian fees and expenses

    18,116        28,532        271,179        11,717   

Interest expense (Note 9)

                  324,044          

Legal fees

    647        361        109,248        955   

Registration fees

    47,068        59,855        214,410        70,712   

Shareholder reporting expenses

    9,959        1,983        123,820        7,237   

Miscellaneous expenses

    13,414        14,270        737,509        11,620   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    421,136        421,298        17,830,740        992,756   

Less waiver and/or expense reimbursement (Note 6)

    (105,460     (132,344     (119,412     (2,996
 

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

    315,676        288,954        17,711,328        989,760   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    802,734        1,163,126        97,046,272        174,518   
 

 

 

   

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SHORT SALES, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS

       

Net realized gain (loss) on:

       

Investments

    2,510,501        (434,167     (36,878,480     28,358   

Futures contracts

           (127,291              

Options written

    66,259        11,633               (5,075

Short sales

                         (38,884

Swap agreements

           (228,010              

Foreign currency transactions

    (880     14,439                 

Net change in unrealized appreciation (depreciation) on:

       

Investments

    (3,560,973     (1,033,368     (96,493,468     2,853,568   

Futures contracts

           (13,107              

Options written

    371                        

Swap agreements

           30,412                 

Foreign currency translations

    150        (30,356              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts, options written, short sales, swap agreements and foreign currency transactions

    (984,572     (1,809,815     (133,371,948     2,837,967   
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (181,838   $ (646,689   $ (36,325,676   $ 3,012,485   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  48


Table of Contents

Statements of Changes in Net Assets

 

     Loomis Sayles Dividend
Income Fund
    Loomis Sayles Emerging
Markets Opportunities Fund
 
     Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2015
    Period Ended
November 30,
2014(a)
 

FROM OPERATIONS:

        

Net investment income

   $ 802,734      $ 958,433      $ 1,163,126      $ 956,131   

Net realized gain (loss) on investments, futures contracts, options written, short sales, swap agreements and foreign currency transactions

     2,575,880        2,631,506        (763,396     147,127   

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

     (3,560,452     (511,083     (1,046,419     517,114   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (181,838     3,078,856        (646,689     1,620,372   
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

        

Net investment income

        

Class A

     (265,753     (247,108     (113,564     (113,919

Class C

     (60,988     (76,058     (754     (331

Class N

                   (38     (32

Class Y

     (476,800     (548,134     (934,338     (825,391

Net realized capital gains

        

Class A

     (641,542     (353,619     (53,127       

Class C

     (149,568     (321,318     (260       

Class N

                   (8       

Class Y

     (1,904,100     (836,248     (223,530       
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (3,498,751     (2,382,485     (1,325,619     (939,673
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13)

     (2,489,180     5,978,520        (8,607,299     34,457,572   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (6,169,769     6,674,891        (10,579,607     35,138,271   

NET ASSETS

        

Beginning of the year

     31,830,157        25,155,266        35,138,271          
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the year

   $ 25,660,388      $ 31,830,157      $ 24,558,664      $ 35,138,271   
  

 

 

   

 

 

   

 

 

   

 

 

 

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

   $ 87,741      $ 118,390      $ 8,455      $ 4,977   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on February 10, 2014 through November 30, 2014.

 

See accompanying notes to financial statements.

 

49  |


Table of Contents

Statements of Changes in Net Assets (continued)

 

Loomis Sayles Senior Floating
Rate and Fixed Income Fund
    Vaughan Nelson Select Fund  
Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
 
     
$ 97,046,272      $ 85,247,114      $ 174,518      $ 11,524   

 

(36,878,480

    1,393,885        (15,601     2,046,942   

 

(96,493,468

    (23,608,611     2,853,568        3,930,789   

 

 

   

 

 

   

 

 

   

 

 

 

 

(36,325,676

    63,032,388        3,012,485        5,989,255   

 

 

   

 

 

   

 

 

   

 

 

 
     
     
     
  (19,237,804     (22,500,486            (6,348
  (12,216,535     (10,332,889              
                         
  (70,077,649     (55,152,730     (32,110     (27,302
     
                (332,805     (964,875
                (93,986     (118,489
                         
                (1,659,885     (1,439,450

 

 

   

 

 

   

 

 

   

 

 

 
  (101,531,988     (87,986,105     (2,118,786     (2,556,464

 

 

   

 

 

   

 

 

   

 

 

 

 

525,522,036

  

    206,911,045        30,758,176        40,001,524   

 

 

   

 

 

   

 

 

   

 

 

 
  387,664,372        181,957,328        31,651,875        43,434,315   
     
  1,554,675,019        1,372,717,691        68,232,031        24,797,716   

 

 

   

 

 

   

 

 

   

 

 

 
$ 1,942,339,391      $ 1,554,675,019      $ 99,883,906      $ 68,232,031   

 

 

   

 

 

   

 

 

   

 

 

 

$

1,596,358

  

  $ 2,301,153      $ 134,976      $ (2,012

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  50


Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Dividend Income Fund—Class A
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

  $ 13.02      $ 12.87      $ 10.43      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.34        0.51 (b)      0.32        0.25 (c) 

Net realized and unrealized gain (loss)

    (0.58     0.91        2.47        0.34   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.24     1.42        2.79        0.59   
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.33     (0.50     (0.33     (0.16

Net realized capital gains

    (1.10     (0.77     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.43     (1.27     (0.35     (0.16
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.35      $ 13.02      $ 12.87      $ 10.43   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)(e)

    (1.89 )%      11.95 %(b)      27.35     6.01 %(c)(f) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 11,329      $ 7,569      $ 5,978      $ 2,691   

Net expenses(g)

    1.20     1.20     1.20     1.20 %(h) 

Gross expenses

    1.60     1.67     1.55     1.74 %(h) 

Net investment income

    2.96     4.03 %(b)      2.70     3.67 %(c)(h) 

Portfolio turnover rate

    51     65     45     14

 

* From commencement of operations on March 30, 2012 through November 30, 2012.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.33, total return would have been 10.53% and the ratio of net investment income to average net assets would have been 2.63%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.23, total return would have been 5.71% and the ratio of net investment income to average net assets would have been 3.31%.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) A sales charge for Class A shares is not reflected in total return calculations.
(f) Periods less than one year are not annualized.
(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(h) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

51  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Dividend Income Fund—Class C
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

  $ 12.98      $ 12.81      $ 10.42      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.26        0.44 (b)      0.25        0.20 (c) 

Net realized and unrealized gain (loss)

    (0.58     0.89        2.45        0.34   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.32     1.33        2.70        0.54   
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.26     (0.39     (0.29     (0.12

Net realized capital gains

    (1.10     (0.77     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.36     (1.16     (0.31     (0.12
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.30      $ 12.98      $ 12.81      $ 10.42   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)(e)

    (2.64 )%      11.14 %(b)      26.40     5.44 %(c)(f) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 3,744      $ 1,716      $ 5,260      $ 61   

Net expenses(g)

    1.95     1.95     1.95     1.95 %(h) 

Gross expenses

    2.35     2.42     2.21     2.53 %(h) 

Net investment income

    2.21     3.54 %(b)      2.03     3.01 %(c)(h) 

Portfolio turnover rate

    51     65     45     14

 

* From commencement of operations on March 30, 2012 through November 30, 2012.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.21, total return would have been 9.71% and the ratio of net investment income to average net assets would have been 1.70%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.17, total return would have been 5.14% and the ratio of net investment income to average net assets would have been 2.53%.
(d) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Periods less than one year are not annualized.
(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(h) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  52


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Dividend Income Fund—Class Y
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

  $ 13.03      $ 12.88      $ 10.44      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income(a)

    0.35        0.56 (b)      0.35        0.26 (c) 

Net realized and unrealized gain (loss)

    (0.56     0.90        2.47        0.35   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.21     1.46        2.82        0.61   
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.36     (0.54     (0.36     (0.17

Net realized capital gains

    (1.10     (0.77     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.46     (1.31     (0.38     (0.17
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.36      $ 13.03      $ 12.88      $ 10.44   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)

    (1.64 )%      12.22 %(b)      27.63     6.19 %(c)(e) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 10,588      $ 22,545      $ 13,917      $ 16,945   

Net expenses(f)

    0.95     0.95     0.95     0.95 %(g) 

Gross expenses

    1.32     1.41     1.34     1.53 %(g) 

Net investment income

    2.97     4.46 %(b)      2.97     3.88 %(c)(g) 

Portfolio turnover rate

    51     65     45     14

 

* From commencement of operations on March 30, 2012 through November 30, 2012.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes non-recurring dividends. Without these dividends, net investment income per share would have been $0.37, total return would have been 10.80% and the ratio of net investment income to average net assets would have been 2.91%.
(c) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.23, total return would have been 5.89%, and the ratio of net investment income to average net assets would have been 3.45%.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

53  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Emerging
Markets Opportunities
Fund—Class A
 
    Year Ended
November 30,
2015
    Period Ended
November 30,
2014*
 

Net asset value, beginning of the period

  $ 10.30      $ 10.00   
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.38        0.29   

Net realized and unrealized gain (loss)

    (0.58     0.31   
 

 

 

   

 

 

 

Total from Investment Operations

    (0.20     0.60   
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.30     (0.30

Net realized capital gains

    (0.08       
 

 

 

   

 

 

 

Total Distributions

    (0.38     (0.30
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.72      $ 10.30   
 

 

 

   

 

 

 

Total return(b)(c)

    (1.90 )%(d)      6.00 %(e) 

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 85      $ 6,892   

Net expenses(f)

    1.23     1.25 %(g) 

Gross expenses

    1.69     1.72 %(g) 

Net investment income

    3.81     3.52 %(g) 

Portfolio turnover rate

    37     58

 

* From commencement of operations on February 10, 2014 through November 30, 2014.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) A sales charge for Class A shares is not reflected in total return calculations.
(d) Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the adjusted net asset value per share may differ from the total return reported in the average annual total return table.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  54


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Emerging
Markets Opportunities
Fund—Class C
 
    Year Ended
November 30,
2015
    Period Ended
November 30,
2014*
 

Net asset value, beginning of the period

  $ 10.28      $ 10.00   
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.31        0.23   

Net realized and unrealized gain (loss)

    (0.65     0.29   
 

 

 

   

 

 

 

Total from Investment Operations

    (0.34     0.52   
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.25     (0.24

Net realized capital gains

    (0.08       
 

 

 

   

 

 

 

Total Distributions

    (0.33     (0.24
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.61      $ 10.28   
 

 

 

   

 

 

 

Total return(b)(c)

    (3.30 )%      5.20 %(d) 

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 19      $ 33   

Net expenses(e)

    1.98     2.00 %(f) 

Gross expenses

    2.44     2.46 %(f) 

Net investment income

    3.10     2.82 %(f) 

Portfolio turnover rate

    37     58

 

* From commencement of operations on February 10, 2014 through November 30, 2014.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

55  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Emerging
Markets Opportunities
Fund—Class N
 
    Year Ended
November 30,
2015
    Period Ended
November 30,
2014*
 

Net asset value, beginning of the period

  $ 10.30      $ 10.00   
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.40        0.33   

Net realized and unrealized gain (loss)

    (0.63     0.28   
 

 

 

   

 

 

 

Total from Investment Operations

    (0.23     0.61   
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.36     (0.31

Net realized capital gains

    (0.08       
 

 

 

   

 

 

 

Total Distributions

    (0.44     (0.31
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.63      $ 10.30   
 

 

 

   

 

 

 

Total return(b)

    (2.27 )%      6.18 %(c) 

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 1      $ 1   

Net expenses(d)

    0.95     0.95 %(e) 

Gross expenses

    15.03     8.10 %(e) 

Net investment income

    4.08     3.97 %(e) 

Portfolio turnover rate

    37     58

 

* From commencement of operations on February 10, 2014 through November 30, 2014.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  56


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Emerging
Markets Opportunities
Fund—Class Y
 
    Year Ended
November 30,
2015
    Period Ended
November 30,
2014*
 

Net asset value, beginning of the period

  $ 10.30      $ 10.00   
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.40        0.32   

Net realized and unrealized gain (loss)

    (0.63     0.29   
 

 

 

   

 

 

 

Total from Investment Operations

    (0.23     0.61   
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.36     (0.31

Net realized capital gains

    (0.08       
 

 

 

   

 

 

 

Total Distributions

    (0.44     (0.31
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.63      $ 10.30   
 

 

 

   

 

 

 

Total return(b)

    (2.28 )%(c)      6.18 %(d) 

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 24,453      $ 28,213   

Net expenses(e)

    0.98     1.00 %(f) 

Gross expenses

    1.44     1.47 %(f) 

Net investment income

    4.09     3.87 %(f) 

Portfolio turnover rate

    37     58

 

 

* From commencement of operations on February 10, 2014 through November 30, 2014.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the adjusted net asset value per share may differ from the total return reported in the average annual total return table.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

57  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Senior Floating Rate and Fixed Income Fund—Class A
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Year Ended
November 30,
2012
    Period Ended
November 30,
2011*
 

Net asset value, beginning of the period

  $ 10.40      $ 10.56      $ 10.56      $ 10.02      $ 9.83   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

    0.55        0.58        0.56        0.68        0.12   

Net realized and unrealized gain (loss)

    (0.68     (0.14     0.10        0.49        0.17   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.13     0.44        0.66        1.17        0.29   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

    (0.58     (0.60     (0.60     (0.61     (0.10

Net realized capital gains

                  (0.06     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.58     (0.60     (0.66     (0.63     (0.10
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.69      $ 10.40      $ 10.56      $ 10.56      $ 10.02   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (1.33 )%(c)      4.22 %(c)      6.43     12.02 %(c)      3.00 %(c)(d) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

  $ 361,834      $ 317,293      $ 421,127      $ 80,141      $ 252   

Net expenses

    1.07 %(e)(f)      1.10 %(e)(g)      1.10 %(h)      1.10 %(e)      1.10 %(e)(i) 

Gross expenses

    1.08 %(f)      1.11 %(g)      1.10 %(h)      1.48     7.66 %(i) 

Net investment income

    5.45     5.48     5.30     6.46     7.00 %(i) 

Portfolio turnover rate

    67     107     82     90     17

 

* From commencement of Class operations on September 30, 2011 through November 30, 2011.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A sales charge for Class A shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.06%.
(g) Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 1.05% and the ratio of gross expenses would have been 1.06%.
(h) Includes fee/expense recovery of 0.01%.
(i) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  58


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Senior Floating Rate and Fixed Income Fund—Class C
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Year Ended
November 30,
2012
    Period Ended
November 30,
2011*
 

Net asset value, beginning of the period

  $ 10.38      $ 10.53      $ 10.54      $ 10.02      $ 9.83   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

    0.48        0.50        0.48        0.60        0.09   

Net realized and unrealized gain (loss)

    (0.68     (0.13     0.10        0.49        0.19   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.20     0.37        0.58        1.09        0.28   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

    (0.51     (0.52     (0.53     (0.55     (0.09

Net realized capital gains

                  (0.06     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.51     (0.52     (0.59     (0.57     (0.09
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.67      $ 10.38      $ 10.53      $ 10.54      $ 10.02   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    (2.06 )%(c)      3.47 %(c)      5.70     11.18 %(c)      2.87 %(c)(d) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

  $ 287,330      $ 215,189      $ 190,618      $ 22,655      $ 1   

Net expenses

    1.82 %(e)(f)      1.85 %(e)(g)      1.85 %(h)      1.85 %(e)      1.85 %(e)(i) 

Gross expenses

    1.83 %(f)      1.87 %(g)      1.85 %(h)      2.26     5.00 %(i) 

Net investment income

    4.71     4.77     4.56     5.75     5.50 %(i) 

Portfolio turnover rate

    67     107     82     90     17

 

* From commencement of Class operations on September 30, 2011 through November 30, 2011.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(c) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 1.80% and the ratio of gross expenses would have been 1.81%.
(g) Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 1.80% and the ratio of gross expenses would have been 1.82%.
(h) Includes fee/expense recovery of 0.01%.
(i) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

59  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Loomis Sayles Senior Floating Rate and Fixed Income Fund—Class Y
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Year Ended
November 30,
2012
    Period Ended
November 30,
2011*
 

Net asset value, beginning of the period

  $ 10.41      $ 10.56      $ 10.57      $ 10.02      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

    0.58        0.61        0.59        0.79        0.11   

Net realized and unrealized gain (loss)

    (0.68     (0.13     0.09        0.41        0.02   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.10     0.48        0.68        1.20        0.13   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

    (0.61     (0.63     (0.63     (0.63     (0.11

Net realized capital gains

                  (0.06     (0.02       
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.61     (0.63     (0.69     (0.65     (0.11
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.70      $ 10.41      $ 10.56      $ 10.57      $ 10.02   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    (1.08 )%(b)      4.49 %(b)      6.68     12.33 %(b)      1.29 %(b)(c)(d) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

  $ 1,293,175      $ 1,022,193      $ 760,972      $ 46,895      $ 40,636   

Net expenses

    0.82 %(e)(f)      0.85 %(e)(g)      0.85 %(h)      0.85 %(e)      1.01 %(e)(i)(j) 

Gross expenses

    0.83 %(f)      0.87 %(g)      0.85 %(h)      1.37     3.60 %(j) 

Net investment income

    5.69     5.76     5.55     7.57     5.17 %(j) 

Portfolio turnover rate

    67     107     82     90     17

 

* From commencement of operations on September 16, 2011 through November 30, 2011.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) For the period September 30, 2011 (the date Class Y shares were first registered under the Securities Act of 1933) through November 30, 2011, the total return for Class Y shares was 3.04%.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Includes interest expense of 0.02%. Without this expense the ratio of net expenses would have been 0.80% and the ratio of gross expenses would have been 0.81%.
(g) Includes interest expense of 0.05%. Without this expense the ratio of net expenses would have been 0.80% and the ratio of gross expenses would have been 0.82%.
(h) Includes fee/expense recovery of 0.02%.
(i) Prior to September 30, 2011, there was no expense limitation agreement in place for Class Y.
(j) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Vaughan Nelson Select Fund—Class A
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

  $ 14.78      $ 14.22      $ 10.50      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss)(a)

    0.01        (0.01     0.01 (b)      (0.00 )(c) 

Net realized and unrealized gain (loss)

    0.47        2.01        3.94        0.50   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.48        2.00        3.95        0.50   
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

           (0.01              

Net realized capital gains

    (0.44     (1.43     (0.23       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.44     (1.44     (0.23       
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 14.82      $ 14.78      $ 14.22      $ 10.50   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)

    3.31     15.31 %(e)      38.44 %(b)(e)      5.00 %(e)(f) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 15,794      $ 11,182      $ 9,468      $ 777   

Net expenses

    1.40     1.40 %(g)      1.40 %(g)      1.40 %(g)(h) 

Gross expenses

    1.40     1.62     1.96     3.36 %(h) 

Net investment income (loss)

    0.05     (0.08 )%      0.05 %(b)      (0.11 )%(h) 

Portfolio turnover rate

    35     64     112     72

 

* From commencement of operations on June 29, 2012 through November 30, 2012.
(a) Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.01), total return would have been 38.24%, and the ratio of net investment loss to average net assets would have been (0.07)%.
(c) Amount rounds to less than $0.01 per share.
(d) A sales charge for Class A shares is not reflected in total return calculations.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Periods less than one year are not annualized.
(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(h) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

         
    
Vaughan Nelson Select Fund—Class C
 
     Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

   $ 14.52      $ 14.07      $ 10.47      $ 10.00   
  

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment loss(a)

     (0.10     (0.11     (0.08 )(b)      (0.03

Net realized and unrealized gain (loss)

     0.46        1.99        3.91        0.50   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     0.36        1.88        3.83        0.47   
  

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

        

Net investment income

                            

Net realized capital gains

     (0.44     (1.43     (0.23       
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.44     (1.43     (0.23       
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

   $ 14.44      $ 14.52      $ 14.07      $ 10.47   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

     2.52     14.54 %(d)      37.38 %(b)(d)      4.70 %(d)(e) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 5,607      $ 2,955      $ 1,118      $ 159   

Net expenses

     2.15     2.15 %(f)      2.15 %(f)      2.15 %(f)(g) 

Gross expenses

     2.15     2.35     2.76     4.48 %(g) 

Net investment loss

     (0.69 )%      (0.84 )%      (0.62 )%(b)      (0.78 )%(g) 

Portfolio turnover rate

     35     64     112     72

 

* From commencement of operations on June 29, 2012 through November 30, 2012.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.09), total return would have been 37.28%, and the ratio of net investment loss to average net assets would have been (0.75)%.
(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

        
    
Vaughan Nelson Select Fund—Class Y
 
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
    Period Ended
November 30,
2012*
 

Net asset value, beginning of the period

  $ 14.83      $ 14.24      $ 10.51      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss)(a)

    0.05        0.02        0.04 (b)      (0.00 )(c) 

Net realized and unrealized gain (loss)

    0.47        2.03        3.94        0.51   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.52        2.05        3.98        0.51   
 

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

    (0.01     (0.03     (0.02       

Net realized capital gains

    (0.44     (1.43     (0.23       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.45     (1.46     (0.25       
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 14.90      $ 14.83      $ 14.24      $ 10.51   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    3.56     15.66 %(d)      38.80 %(b)(d)      5.10 %(d)(e) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $ 78,483      $ 54,095      $ 14,211      $ 6,759   

Net expenses

    1.15     1.15 %(f)      1.15 %(f)      1.15 %(f)(g) 

Gross expenses

    1.15     1.33     1.80     3.46 %(g) 

Net investment income (loss)

    0.31     0.16     0.33 %(b)      (0.10 )%(g) 

Portfolio turnover rate

    35     64     112     72

 

* From commencement of operations on June 29, 2012 through November 30, 2012.
(a) Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02, total return would have been 38.61%, and the ratio of net investment income to average net assets would have been 0.15%.
(c) Amount rounds to less than $0.01 per share.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

 

November 30, 2015

 

1.  Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Dividend Income Fund (the “Dividend Income Fund”)

Loomis Sayles Emerging Markets Opportunities Fund (the “Emerging Markets Opportunities Fund”)

Loomis Sayles Senior Floating Rate and Fixed Income Fund (the “Senior Floating Rate and Fixed Income Fund”)

Vaughan Nelson Select Fund (the “Select Fund”)

Dividend Income Fund is a diversified investment company, while Emerging Markets Opportunities Fund, Senior Floating Rate and Fixed Income Fund and Select Fund are each a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. In addition, Emerging Markets Opportunities Fund offers Class N shares. Class A shares are sold with a maximum front-end sales charge of 5.75% for Dividend Income Fund and Select Fund, 4.25% for Emerging Markets Opportunities Fund (4.50% prior to November 2, 2015) and 3.50% for Senior Floating Rate and Fixed Income Fund. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries and are intended for employer-sponsored retirement plans and, effective November 2, 2015, investors with an initial minimum investment of $1,000,000. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and, for Emerging Markets Opportunities Fund Class A, Class C and Class Y, collectively, and Class N, individually, transfer agent fees). In addition, each class votes as a class only with respect to its

 

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Table of Contents

Notes to Financial Statements (continued)

 

November 30, 2015

 

own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

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

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Domestic

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

exchange-traded single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations. Over-the-counter (“OTC”) options on exchange-traded funds (“ETFs”) and currency options are valued at the mid price (between the bid price and the ask price) supplied by an independent pricing service, if available. Options on ETFs and currency options not priced through an independent pricing service are valued based on quotations obtained from broker-dealers. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service.

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

As of November 30, 2015, securities of the funds included in net assets (reflected at absolute value) were fair valued as follows:

 

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Table of Contents

Notes to Financial Statements (continued)

 

November 30, 2015

 

 

Fund

  

Illiquid
securities
1

    

Percentage
of Net
Assets

   

Other fair

valued

securities2

   

Percentage of
Net Assets

 

Dividend Income Fund

   $ 328,950         1.3   $ 48,840        0.2

Senior Floating Rate and Fixed Income Fund

     15,996,942         0.8     3      0.0

 

1 

Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

2 

Fair valued by the Fund’s adviser.

3 

Fair valued at zero.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Short Sales.  Certain Funds may enter into short sales of securities. A short sale is a transaction in which a Fund sells a security it does not own, usually in anticipation of a decline in the fair market value of the security. To sell a security short, a Fund typically borrows that security from a prime broker and delivers it to the short sale counterparty. Short sale proceeds are held by the prime broker until the short position is closed out and are reflected as due from broker in the Statements of Assets and Liabilities. When closing out a short position, a Fund will have to purchase the security it originally sold short. The value of short sales is reflected as a liability in the Statements of Assets and Liabilities and is marked-to-market daily. A Fund will realize a profit from closing out a short position if the price of the security sold short has declined since the short position was opened; a Fund will realize a loss from closing out a short position if the value of the shorted security has risen since the short position was opened. Because there is no upper limit on the price to which a security can rise, short selling exposes a Fund to potentially unlimited losses. Ordinarily, a Fund will pay interest to borrow securities and will have to repay the lender any dividends that accrue on the security while the loan is outstanding. The Funds intend to cover their short sale transactions by segregating or earmarking liquid assets, such that the segregated/earmarked amount, combined with assets pledged to the prime broker as collateral, equals the current market value of the securities underlying the short sale.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars 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.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

During the year ended November 30, 2015, the amount of income available to be distributed was reduced by the following amounts as a result of losses arising from changes in exchange rates:

 

Dividend Income Fund

   $ 18,495   

Emerging Markets Opportunities Fund

     205,390   

Senior Floating Rate and Fixed Income Fund

       

Select Fund

       

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

e.  Forward Foreign Currency Contracts.  Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

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

f.  Futures Contracts.  Certain Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g.  Option Contracts.  Certain Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are

 

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treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.

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

 

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make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

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

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments). This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

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

 

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Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

i.  Due from Brokers.  Transactions and positions in certain options, futures and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from brokers balance in the Statement of Assets and Liabilities for Emerging Markets Opportunities Fund represents cash pledged as collateral for options and bilateral swap agreements and as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

j.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of November 30, 2015 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

 

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k.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, paydown gains and losses, return of capital and capital gain distributions received, distribution re-designations, defaulted bond adjustments, contingent payment debt instruments, convertible bonds, interest rate swaps and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, contingent payment debt instruments, futures and forward foreign currency contracts mark-to-market, swaps, partnerships, defaulted bonds, dividend payables, return of capital distributions received and convertible bonds. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended November 30, 2015 and 2014 were as follows:

 

    2015 Distributions Paid From:     2014 Distributions Paid From:  

Fund

 

Ordinary

Income

   

Long-Term
Capital Gains

   

Total

   

Ordinary

Income

   

Long-Term
Capital Gains

   

Total

 

Dividend Income Fund

  $ 1,415,966      $ 2,082,785      $ 3,498,751      $ 1,601,456      $ 781,029      $ 2,382,485   

Emerging Markets Opportunities Fund

    1,238,401        87,218        1,325,619        939,673               939,673   

Senior Floating Rate and Fixed Income Fund

    101,531,988               101,531,988        87,986,105               87,986,105   

Select Fund

    705,982        1,412,804        2,118,786        2,243,055        313,409        2,556,464   

 

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Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of November 30, 2015, the components of distributable earnings on a tax basis were as follows:

 

   

Dividend
Income Fund

   

Emerging
Markets
Opportunities
Fund

   

Senior
Floating Rate
and Fixed
Income Fund

   

Select Fund

 

Undistributed ordinary income

  $ 143,700      $ 8,351      $ 1,662,384      $ 164,967   

Undistributed long-term capital gains

    2,618,711                      2,044,342   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total undistributed earnings

    2,762,411        8,351        1,662,384        2,209,309   
 

 

 

   

 

 

   

 

 

   

 

 

 

Capital loss carryforward:

       

Short-term:

       

No expiration date

           (503,527     (11,510,617       

Long-term:

       

No expiration date

           (131,613     (32,396,710       
 

 

 

   

 

 

   

 

 

   

 

 

 

Total capital loss carryforward

           (635,140     (43,907,327       
 

 

 

   

 

 

   

 

 

   

 

 

 

Post-October capital loss deferrals*

                         (2,006,489
 

 

 

   

 

 

   

 

 

   

 

 

 

Unrealized appreciation (depreciation)

       

Investments

    (37,505     (580,704     (120,274,806     9,631,298   

Foreign currency translations

    (38,834     (49,744              
 

 

 

   

 

 

   

 

 

   

 

 

 

Total unrealized appreciation (depreciation)

    (76,339     (630,448     (120,274,806     9,631,298   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total accumulated earnings (losses)

  $ 2,686,072      $ (1,257,237   $ (162,519,749   $ 9,834,118   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31, may be deferred and treated as occurring on the first day of the following taxable year. Select Fund is deferring short-term and long-term capital losses that occurred after October 31, 2015.

l.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including

 

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interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of November 30, 2015, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

m.  Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

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

 

   

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

 

   

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

 

   

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

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

The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3.

 

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

The following is a summary of the inputs used to value the Funds’ investments as of November 30, 2015, at value:

Dividend Income Fund

Asset Valuation Inputs

 

Description

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks(a)

  $ 20,401,532      $      $      $ 20,401,532   

Bonds and Notes

       

Non-Convertible Bonds

       

Chemicals

           22,750        48,840 (b)      71,590   

All Other Non-Convertible Bonds(a)

           2,872,294               2,872,294   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Non-Convertible Bonds

           2,895,044        48,840        2,943,884   
 

 

 

   

 

 

   

 

 

   

 

 

 

Convertible Bonds(a)

           195,200               195,200   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Bonds and Notes

           3,090,244        48,840        3,139,084   
 

 

 

   

 

 

   

 

 

   

 

 

 

Preferred Stocks(a)

    797,440                      797,440   

Short-Term Investments

           1,230,010               1,230,010   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 21,198,972      $ 4,320,254      $ 48,840      $ 25,568,066   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

Liability Valuation Inputs

 

       

Description

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Written Options(a)

  $ (7,308   $   —      $   —      $ (7,308
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Fair valued by the Fund’s adviser.

 

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Emerging Markets Opportunities Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Bonds and Notes(a)

   $       $ 21,028,129      $   —       $ 21,028,129   

Senior Loans(a)

             318,754                318,754   

Purchased Options(a)

     8,800         1,792                10,592   

Short-Term Investments

             2,966,794                2,966,794   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Investments

     8,800         24,315,469                24,324,269   
  

 

 

    

 

 

   

 

 

    

 

 

 

Bilateral Credit Default Swap Agreements (unrealized appreciation)

             38,292                38,292   

Forward Foreign Currency Contracts (unrealized appreciation)

             9,595                9,595   

Futures Contracts (unrealized appreciation)

     4,503                        4,503   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 13,303       $ 24,363,356      $       $ 24,376,659   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

Liability Valuation Inputs

 

          

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Bilateral Credit Default Swap Agreements (unrealized depreciation)

   $   —       $ (24,128   $   —       $ (24,128

Forward Foreign Currency Contracts (unrealized depreciation)

             (25,334             (25,334
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $       $ (49,462   $       $ (49,462
  

 

 

    

 

 

   

 

 

    

 

 

 

 

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

For the year ended November 30, 2015, there were no transfers among Levels 1, 2 and 3.

 

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Senior Floating Rate and Fixed Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

   

Total

 

Senior Loans(a)

   $       $ 1,631,173,666       $      $ 1,631,173,666   

Bonds and Notes

          

Non-Convertible Bonds

          

Non-Agency Commercial Mortgage-Backed Securities

                     5,355,286 (b)      5,355,286   

Technology

             10,863,340         (c)      10,863,340   

All Other Non-Convertible Bonds(a)

             202,588,876                202,588,876   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Non-Convertible Bonds

             213,452,216         5,355,286        218,807,502   
  

 

 

    

 

 

    

 

 

   

 

 

 

Convertible Bonds(a)

             7,626,125                7,626,125   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Bonds and Notes

             221,078,341         5,355,286        226,433,627   
  

 

 

    

 

 

    

 

 

   

 

 

 

Preferred Stocks(a)

     7,009,713                        7,009,713   

Common Stocks(a)

     501,742                 (c)      501,742   

Short-Term Investments

             37,256,713                37,256,713   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 7,511,455       $ 1,889,508,720       $ 5,355,286      $ 1,902,375,461   
  

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
(b) Valued using broker-dealer bid prices.
(c) Fair valued at zero using level 3 inputs.

For the year ended November 30, 2015, there were no transfers among Levels 1, 2 and 3.

Select Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 95,333,350       $       $       $ 95,333,350   

Short-Term Investments

             5,917,664                 5,917,664   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 95,333,350       $ 5,917,664       $       $ 101,251,014   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For the year ended November 30, 2015, there were no transfers among Levels 1, 2 and 3.

 

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The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2014 and/or November 30, 2015:

Dividend Income Fund

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
November 30,
2014

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

Chemicals

  $   —      $ 1,480      $   —      ($ 92,140   $   —   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Net
Transfers
into Level 3

   

Net
Transfers
out of
Level 3

   

Balance as of
November 30,
2015

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
November 30,
2015

 

Bonds and Notes

         

Non-Convertible Bonds

         

Chemicals

  $   —      $ 139,500      $   —      $ 48,840      ($ 92,140
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

A debt security valued at $139,500 was transferred from Level 2 to Level 3 during the period ended November 30, 2015. At November 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At November 30, 2015, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

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

 

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Senior Floating Rate and Fixed Income Fund

Asset Valuation Inputs

 

Investments in
Securities

 

Balance as of
November 30,
2014

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

 

Bonds and Notes

         

Non-Convertible Bonds

         

Non-Agency Commercial Mortgage-Backed Securities

  $      $   —      $   —      $ (37,208   $ 5,410,000   

Technology

                         (2,045,647     2,045,647   

Common Stocks

                                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $      $      $      $ (2,082,855   $ 7,455,647   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in
Securities

 

Sales

   

Transfers
into Level 3

   

Transfers
out of
Level 3

   

Balance as of
November 30,
2015

   

Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
November 30,
2015

 

Bonds and Notes

         

Non-Convertible Bonds

         

Non-Agency Commercial Mortgage-Backed Securities

  $ (17,506   $      $      $ 5,355,286      $ (37,208

Technology

                                (2,045,647

Common Stocks

                                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (17,506   $      $      $ 5,355,286      $ (2,082,855
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset,

 

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November 30, 2015

 

reference rate or index. Derivative instruments that Dividend Income Fund, Emerging Markets Opportunities Fund and Select Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.

Dividend Income Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options, written call options and written put options for investment purposes. During the year ended November 30, 2015, the Fund engaged in written call option transactions, written put option transactions and purchased put transactions for hedging and investment purposes.

Emerging Markets Opportunities Fund seeks to provide high total investment return through a combination of high current income and capital appreciation. The Fund pursues its objective by generally obtaining its long investment exposures through direct cash investments and derivatives and short investment exposures substantially through derivatives, including forward foreign currency contracts, futures contracts, option contracts and swap agreements. During the year ended November 30, 2015, the Fund used forward foreign currency contracts, futures contracts, purchased call options and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

Emerging Markets Opportunities Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the year ended November 30, 2015, the Fund engaged in futures contracts for hedging purposes and futures contracts and interest rate swap agreements to manage duration.

Emerging Markets Opportunities Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the year ended November 30, 2015, the Fund engaged in purchased and written put options for hedging purposes.

Select Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use written call options to hedge against

 

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November 30, 2015

 

a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use written call options and written put options for investment purposes. During the year ended November 30, 2015, the Fund engaged in written call option and written put option transactions for investment purposes.

The following is a summary of derivative instruments for Dividend Income Fund as of November 30, 2015, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

  

Options written at value

 

Exchange-traded/cleared liability derivatives

  

Equity contracts

   $ (7,308

Transactions in derivative instruments for Dividend Income Fund during the year ended November 30, 2015, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Investments1

   

Options written

 

Equity contracts

   $ (4,403   $ 66,259   

Net Change in Unrealized Appreciation (Depreciation) on:

  

Investments1

   

Options written

 

Equity contracts

   $      $ 371   

 

1 

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

The following is a summary of derivative instruments for Emerging Markets Opportunities Fund as of November 30, 2015, as reflected within the Statements of Assets and Liabilities:

 

   

Investments

at value1

   

Unrealized

appreciation on

forward foreign

currency contracts

   

Unrealized

appreciation on

futures contracts2

   

Swap

agreements

at value3

   

Total

 

Assets

                             

Over-the-counter asset derivatives

         

Foreign exchange contracts

  $ 1,792      $ 9,595      $     —      $   —      $ 11,387   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total over-the-counter asset derivatives

  $ 1,792      $ 9,595      $      $      $ 11,387   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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November 30, 2015

 

   

Investments

at value1

   

Unrealized

appreciation on

forward foreign

currency contracts

   

Unrealized

appreciation on

futures contracts2

   

Swap

agreements

at value3

   

Total

 

Assets

                             

Exchange-traded/cleared asset derivatives

         

Equity contracts

  $ 8,800      $      $      $   —      $ 8,800   

Interest rate contracts

                  4,503               4,503   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total exchange traded/cleared asset derivatives

  $ 8,800      $      $ 4,503      $      $ 13,303   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total asset derivatives

  $ 10,592      $ 9,595      $ 4,503      $      $ 24,690   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         

Unrealized

depreciation on

forward foreign

currency contracts

   

Unrealized

depreciation on

futures contracts2

   

Swap

agreements

at value3

   

Total

 

Liabilities

                             

Over-the-counter liability derivatives

   

       

Foreign exchange contracts

    $ (25,334   $   —      $      $ (25,334

Credit contracts

                    (197,130     (197,130
   

 

 

   

 

 

   

 

 

   

 

 

 

Total over-the-counter liability derivatives

   

  $ (25,334   $      $ (197,130   $ (222,464
   

 

 

   

 

 

   

 

 

   

 

 

 

Total liability derivatives

  

  $ (25,334   $      $ (197,130   $ (222,464
   

 

 

   

 

 

   

 

 

   

 

 

 

 

1

Represents purchased options, at value.

2

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

3

Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statements of Assets and Liabilities.

 

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Transactions in derivative instruments for Emerging Markets Opportunities Fund during the year ended November 30, 2015, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

 

Investments4

   

Futures

contracts

   

Options

written

   

Swap

agreements

   

Foreign currency

transactions5

 

Interest rate contracts

  $      $ (39,436   $      $ (52,142   $   

Foreign exchange contracts

    85,988               7,348               21,713   

Credit contracts

                         (175,868       

Equity contracts

    (102,537     (87,855     4,285                 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (16,549   $ (127,291   $ 11,633      $ (228,010   $ 21,713   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

Net Change in Unrealized

Appreciation (Depreciation) on:

 

Investments4

   

Futures

contracts

   

Options

written

   

Swap

agreements

   

Foreign currency

translations5

 

Interest rate contracts

  $      $ (17,396   $   —      $      $   

Foreign exchange contracts

    (42,667                          (30,208

Credit contracts

                         30,412          

Equity contracts

    (33,597     4,289                        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ (76,264   $ (13,107   $      $ 30,412      $ (30,208
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

4 

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

5 

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

Transactions in derivative instruments for Select Fund during the year ended November 30, 2015, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Options written

 

Equity contracts

   $ (5,075

Net Change in Unrealized Appreciation (Depreciation) on:

  

Options written

 

Equity contracts

   $   

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

 

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The volume of option contract activity, as a percentage of net assets, for Dividend Income Fund, based on month-end market values of underlying securities, at absolute value, was as follows for the year ended November 30, 2015:

 

Dividend Income Fund**

 

Put Options

Purchased

   

Call Options

Written

   

Put Options

Written

 

Average Market Value of Underlying Securities

    0.07     1.15     1.44

Highest Market Value of Underlying Securities

    1.01     3.46     3.23

Lowest Market Value of Underlying Securities

    0.00     0.36     0.50

Market Value of Underlying Securities as of November 30, 2015

    0.00     0.93     0.50

The volume of option contract activity, as a percentage of net assets, for Emerging Markets Opportunities Fund, based on month-end market values of underlying securities, at absolute value, was as follows for the year ended November 30, 2015:

 

Emerging Markets Opportunities Fund**

 

Call Options

Purchased

   

Put Options

Purchased

   

Put Options

Written

 

Average Market Value of Underlying Securities

    4.08     5.77     2.20

Highest Market Value of Underlying Securities

    17.06     12.38     8.78

Lowest Market Value of Underlying Securities

    0.00     0.00     0.00

Market Value of Underlying Securities as of November 30, 2015

    17.06     8.32     0.00

The volume of option contract activity, as a percentage of net assets, for Select Fund, based on month-end market values of underlying securities, at absolute value, was as follows for the year ended November 30, 2015:

 

Select Fund**

  

Call Options

Written

   

Put Options

Written

 

Average Market Value of Underlying Securities

     0.28     0.04

Highest Market Value of Underlying Securities

     2.06     0.52

Lowest Market Value of Underlying Securities

     0.00     0.00

Market Value of Underlying Securities as of November 30, 2015

     0.00     0.00

 

** Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures, and for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate.

 

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The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, for Emerging Markets Opportunities Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions, at absolute value, was as follows for the year ended November 30, 2015:

 

Emerging Markets Opportunities Fund

  

Forwards

   

Futures

   

Credit

Default

Swaps

   

Interest

Rate

Swaps

 

Average Notional Amount Outstanding

     11.72     6.48     11.84     3.30

Highest Notional Amount Outstanding

     21.69     8.54     17.06     11.62

Lowest Notional Amount Outstanding

     3.15     2.31     6.63     0.00

Notional Amount Outstanding as of November 30, 2015

     15.81     3.80     7.45     0.00

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

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

 

Dividend Income Fund

  

Number of
Contracts

   

Premiums

 

Outstanding at November 30, 2014

     95      $ 4,627   

Options written

     997        91,770   

Options terminated in closing purchase transactions

     (606     (46,623

Options exercised

     (178     (18,133

Options expired

     (253     (27,173
  

 

 

   

 

 

 

Outstanding at November 30, 2015

     55      $ 4,468   
  

 

 

   

 

 

 

The following is a summary of Emerging Markets Opportunities Fund’s foreign currency and security written option activity:

 

Emerging Markets Opportunities Fund

  

Units of

Currency

   

Premiums

 

Outstanding at November 30, 2014

          $   

Options written

     8,500,000        94,989   

Options terminated in closing purchase transactions

     (8,500,000     (94,989
  

 

 

   

 

 

 

Outstanding at November 30, 2015

          $   
  

 

 

   

 

 

 

 

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November 30, 2015

 

 

Emerging Markets Opportunities Fund

  

Number of
Contracts

   

Premiums

 

Outstanding at November 30, 2014

          $   

Options written

     250        6,583   

Options terminated in closing purchase transactions

     (250     (6,583
  

 

 

   

 

 

 

Outstanding at November 30, 2015

          $   
  

 

 

   

 

 

 

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

 

Select Fund

  

Number of
Contracts

   

Premiums

 

Outstanding at November 30, 2014

          $   

Options written3

     250        27,079   

Options terminated in closing purchase transactions

     (200     (21,631

Options expired

     (50     (5,448
  

 

 

   

 

 

 

Outstanding at November 30, 2015

          $   
  

 

 

   

 

 

 

OTC derivatives, including forward foreign currency contracts, options and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of November 30, 2015, gross amounts of OTC derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Emerging Markets Opportunities Fund

 

Counterparty

 

Gross Amounts of

Assets

   

Offset
Amount

   

Net Asset

Balance

   

Collateral

(Received)/

Pledged

   

Net
Amount

 

Bank of America, N.A.

  $ 568      $ (568   $      $      $   

Credit Suisse International

    10,819        (10,819                     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 11,387      $ (11,387   $   —      $   —      $   —   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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Counterparty

 

Gross Amounts of

Assets

   

Offset
Amount

   

Net Asset

Balance

   

Collateral

(Received)/

Pledged

   

Net
Amount

 

Counterparty

 

Gross Amounts of

Liabilities

   

Offset
Amount

   

Net
Liability
Balance

   

Collateral

(Received)/

Pledged

   

Net
Amount

 

Bank of America, N.A.

  $ (97,914   $ 568      $ (97,346   $      $ (97,346

Barclays Bank PLC

    (19,626            (19,626            (19,626

Citibank, N.A.

    (79,590            (79,590     79,590          

Credit Suisse International

    (25,334     10,819        (14,515            (14,515
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ (222,464   $ 11,387      $ (211,077   $ 79,590      $ (131,487
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank and Trust Company (“State Street Bank”).

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value

 

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of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of November 30, 2015:

 

Fund

  

Maximum Amount

of Loss - Gross

    

Maximum Amount

of Loss - Net

 

Dividend Income Fund

   $ 443,505       $ 443,505   

Emerging Markets Opportunities Fund

     242,194         151,217   

5.  Purchases and Sales of Securities.  For the year ended November 30, 2015, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:

 

Fund

  

Purchases

    

Sales

 

Dividend Income Fund

   $ 13,757,722       $ 18,425,419   

Emerging Markets Opportunities Fund

     9,516,172         19,003,457   

Senior Floating Rate and Fixed Income Fund

     1,555,361,062         1,138,970,707   

Select Fund

     54,458,965         26,530,301   

For the year ended November 30, 2015, short sales and purchases to cover by Funds were as follows:

 

Fund

  

Purchases

    

Sales

 

Select Fund

   $ 1,237,298       $ 1,198,414   

6. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to Dividend Income Fund, Emerging Markets Opportunities Fund and Senior Floating Rate and Fixed Income Fund. Under the terms of the management agreements, Dividend Income Fund and Senior Floating Rate and Fixed Income Fund pay a management fee at the annual rate of 0.60%, calculated daily and payable monthly, based on Dividend Income Funds’ average daily net assets and Senior Floating Rate and Fixed Income Fund’s average daily managed assets, which include borrowings used for leverage. Emerging Markets Opportunities Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on average daily net assets.

NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to the Select Fund. NGAM Advisors is a wholly-owned subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”). Under the terms of the management agreement, the Fund pays a

 

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November 30, 2015

 

management fee at the annual rate of 0.85%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

NGAM Advisors has entered into a subadvisory agreement with Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”). Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.53%, calculated daily and payable monthly, based on the Fund’s average daily net assets. Payments to NGAM Advisors are reduced by the amount of payments to Vaughan Nelson.

Loomis Sayles and NGAM Advisors have given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, dividend expenses on securities sold short, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until March 31, 2016, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended November 30, 2015, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets
 

Fund

  

Class A

   

Class C

   

Class N

   

Class Y

 

Dividend Income Fund

     1.20     1.95            0.95

Emerging Markets Opportunities Fund

     1.25     2.00     0.95     1.00

Senior Floating Rate and Fixed Income Fund

     1.05     1.80            0.80

Select Fund

     1.40     2.15            1.15

Loomis Sayles and NGAM Advisors shall be permitted to recover expenses they have borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

For the year ended November 30, 2015, the management fees and waivers of management fees for each Fund were as follows:

 

Fund

  Gross
Management
Fees
    Contractual
Waivers of
Management
Fees
1
    Voluntary
Waivers of
Management
Fees
2
    Net
Management
Fees
    Percentage of
Average
Daily Net Assets
 
         

Gross

   

Net

 

Dividend Income Fund

  $ 166,524      $ 105,460      $      $ 61,064        0.60     0.22

Emerging Markets Opportunities Fund

    214,896        126,504        5,698        82,694        0.75     0.29

Senior Floating Rate and Fixed Income Fund

    10,725,395        119,412               10,605,983        0.61     0.60

Select Fund

    679,744        2,996               676,748        0.85     0.85

 

1

Contractual management fee waivers are subject to possible recovery until November 30, 2016.

2 

Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above.

For the year ended November 30, 2015, class-specific expenses have been reimbursed as follows:

 

     Contractual Reimbursement3  

Fund

  

Class A

    

Class C

    

Class N

    

Class Y

 

Emerging Markets Opportunities Fund

   $   —       $   —       $ 46       $   —   

 

3

Contractual expense reimbursements are subject to possible recovery until November 30, 2016, except as noted in Note 6h.

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis US.

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

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

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

Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.

For the year ended November 30, 2015, the service and distribution fees for each Fund were as follows:

 

     Service Fees      Distribution Fees  

Fund

  

Class A

    

Class C

    

Class C

 

Dividend Income Fund

   $ 23,991       $ 6,864       $ 20,592   

Emerging Markets Opportunities Fund

     7,114         70         209   

Senior Floating Rate and Fixed Income Fund

     844,569         611,298         1,833,893   

Select Fund

     30,939         9,792         29,375   

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

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

For the year ended November 30, 2015, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative
Fees

 

Dividend Income Fund

   $ 11,856   

Emerging Markets Opportunities Fund

     12,235   

Senior Floating Rate and Fixed Income Fund

     753,858   

Select Fund

     34,204   

d.  Sub-Transfer Agent Fees.  NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended November 30, 2015, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:

 

Fund

  

Sub-Transfer Agent Fees

 

Dividend Income Fund

   $ 19,881   

Emerging Markets Opportunities Fund

     4,744   

Senior Floating Rate and Fixed Income Fund

     1,072,288   

Select Fund

     36,156   

As of November 30, 2015, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

  

Reimbursements of
Sub-Transfer Agent Fees

 

Dividend Income Fund

   $ 104   

Emerging Markets Opportunities Fund

     22   

Senior Floating Rate and Fixed Income Fund

     9,090   

Select Fund

     366   

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended November 30, 2015 were as follows:

 

Fund

  

Commissions

 

Dividend Income Fund

   $ 3,604   

Emerging Markets Opportunities Fund

     94   

Senior Floating Rate and Fixed Income Fund

     137,154   

Select Fund

     13,515   

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $300,000. 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 $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $5,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Gateway Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Effective January 1, 2016, the Chairperson of the Board will receive a retainer fee at the annual rate of $325,000 and each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $155,000. The chairperson of the Governance Committee will receive an additional retainer fee at the annual rate of $10,000. All other Trustee fees will remain unchanged.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

g.  Affiliated Ownership.  As of November 30, 2015, Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) and Natixis US and affiliates held shares of the Funds representing the following percentages of the Fund’s net assets:

 

Fund

  

Retirement Plan

   

Natixis US

   

Total Affiliated
Ownership

 

Dividend Income Fund

     5.75            5.75

Emerging Markets Opportunities Fund

            97.52     97.52

Senior Floating Rate and Fixed Income Fund

     0.38            0.38

Investment activities of affiliated shareholders could have material impacts on the Funds.

h.  Reimbursement of Transfer Agent Fees and Expenses.  Effective April 1, 2015, NGAM Advisors has given a binding contractual undertaking to Emerging Markets Opportunities Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2016 and is not subject to recovery under the expense limitation agreement described above.

For the period from April 1, 2015 through November 30, 2015, NGAM Advisors reimbursed the Fund $96 for transfer agency expenses related to Class N shares.

i.  Payment by Affiliates.  During the year ended November 30, 2015, Loomis Sayles reimbursed Senior Floating Rate and Fixed Income Fund $23,353 in connection with trading errors.

7.  Class-Specific Transfer Agent Fees and Expenses.  For the year ended November 30, 2015, Emerging Markets Opportunities Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

    

Class A

    

Class C

    

Class N

    

Class Y

 

Transfer Agent Fees and Expenses

   $ 931       $ 8       $ 142       $ 7,678   

Transfer agent fees and expenses attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

8.  Line of Credit.  Effective April 16, 2015, each Fund, except the Senior Floating Rate and Fixed Income Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended November 30, 2015, none of the Funds had borrowings under this agreement.

Prior to April 16, 2015, the committed unsecured line of credit was $200,000,000 with an individual limit of $125,000,000 for each Fund that participated in the line of credit. In addition, the commitment fee was 0.10% per annum, payable at the end of each calendar quarter.

Effective November 23, 2015, Senior Floating Rate and Fixed Income Fund has entered into a syndicated, committed, secured line of credit with Sumitomo Mitsui Banking Corporation (the “Administrative Agent”), The Bank of Nova Scotia and National Australia Bank Limited (each a “Lender” and together with the Administrative Agent “Lenders”) under which it may borrow for investment or liquidity purposes. The commitment of the Lenders to make loans to the Fund shall not exceed $400,000,000 at any one time. Under the terms of the agreement, the Lenders are entitled to a security interest in the assets of the Fund as collateral. Interest is charged to the Fund based upon the terms set forth in the agreement. In addition, a commitment fee of 0.400% per annum payable to the Administrative Agent for the account of each Lender is accrued by the Fund based on the unused portion of the line of credit. For the period ended November 30, 2015, the Fund paid the Administrative Agent an upfront fee of $400,000 and a structuring fee of $100,000, for a total of $500,000, which are reflected as prepaid expenses on the Statement of Assets and Liabilities and are being amortized over a period of 364 days.

Prior to November 23, 2015, Senior Floating Rate and Fixed Income Fund had entered into a committed, secured line of credit with the Bank of Nova Scotia (the “Bank”), under which it borrowed for investment or liquidity purposes. The commitment of the Bank to make loans to the Fund shall not exceed $400,000,000 at any one time. Under the terms of the agreement, the Bank was entitled to a security interest in the assets of the Fund as collateral. Interest was charged to the Fund based upon the terms set forth in the agreement. In addition, a commitment fee of 0.175% per annum (0.125% per annum for dates upon which the loan balance exceeds 50% of the commitment), payable at the end of each calendar quarter, was accrued by the Fund based on the unused portion of the line of credit.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

During the year ended November 30, 2015, Senior Floating Rate and Fixed Income Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $56,648,148 at a weighted average interest rate of 1.18%.

9.  Interest Expense.  The Funds may incur interest expense on cash overdrafts at the custodian or from use of the line of credit. Interest expense incurred for the year ended November 30, 2015 is reflected on the Statements of Operations.

10.  Brokerage Commission Recapture.  Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments on the Statements of Operations. For the year ended November 30, 2015, amounts rebated under these agreements were as follows:

 

Fund

  

Rebates

 

Dividend Income Fund

   $ 800   

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

The Senior Floating Rate and Fixed Income Fund, Emerging Markets Opportunities Fund and Select Fund are non-diversified, which means that they are not limited under the 1940 Act to a percentage of assets that they may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.

Emerging markets investments are subject to greater risks arising from political or economic instability, nationalization or confiscatory taxation, currency exchange restrictions and an issuer’s unwillingness or inability to make principal or interest payments on its obligations. Emerging Markets Opportunities Fund’s investments in emerging markets companies, which may be smaller and have shorter operating histories than companies in developed markets, involves risks in addition to, and greater than, those generally associated with investing in companies in developed foreign markets.

The senior loans in which Senior Floating Rate and Fixed Income Fund expects to invest will generally not be rated investment grade by the rating agencies. Economic downturns generally increase non-payment rates and a senior loan could lose a substantial part of its value prior to default. Senior loans are subject to credit risk, and secured loans may not be adequately collateralized. The interest rates of senior loans reset frequently, and thus senior loans are subject to interest rate risk. There may also be less public information available about senior loans as compared to other debt securities.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

Senior loans are generally less liquid than many other debt securities. Transactions in senior loans may settle on a delayed basis, such that the Senior Floating Rate and Fixed Income Fund may not receive the proceeds from the sale of a loan for a substantial period of time (greater than seven days) after the sale. As a result, the proceeds related to the sale of senior loans may not be available to make additional investments or to meet the Fund’s redemption obligations until substantial period (greater than seven days) after the sale of the loans.

12.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of November 30, 2015, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

 

Number of 5%
Non-Affiliated
Account Holders

   

Percentage of
Non-Affiliated
Ownership

   

Percentage of
Affiliated Ownership
(Note 6)

   

Total
Percentage of
Ownership

 

Dividend Income Fund

    2        35.61     5.75     41.36

Emerging Markets Opportunities Fund

                  97.52     97.52

Senior Floating Rate and Fixed Income Fund

    1        8.09 %(a)      0.38     8.47

 

(a) Investment on behalf of non-affiliated account holders is controlled by AlphaSimplex Group, LLC, which is a subsidiary of Natixis US.

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

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

 

    

 

Year Ended

November 30, 2015

  

  

   

 

Year Ended

November 30, 2014

  

  

Dividend Income Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     512,006      $ 5,938,857        179,861      $ 2,266,267   

Issued in connection with the reinvestment of distributions

     76,595        888,237        48,376        591,237   

Redeemed

     (172,200     (1,965,394     (111,299     (1,388,398
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     416,401      $ 4,861,700        116,938      $ 1,469,106   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     243,281      $ 2,850,657        124,652      $ 1,563,458   

Issued in connection with the reinvestment of distributions

     17,190        199,012        32,680        394,551   

Redeemed

     (61,574     (693,371     (435,659     (5,233,591
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     198,897      $ 2,356,298        (278,327   $ (3,275,582
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     147,899      $ 1,736,431        1,127,135      $ 13,806,132   

Issued in connection with the reinvestment of distributions

     200,725        2,344,722        113,030        1,380,936   

Redeemed

     (1,147,070     (13,788,331     (590,262     (7,402,072
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (798,446   $ (9,707,178     649,903      $ 7,784,996   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     (183,148   $ (2,489,180     488,514      $ 5,978,520   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

13.  Capital Shares (continued).

 

    

 

Year Ended

November 30, 2015

  

  

   

 

Year Ended

November 30, 2014(a)

  

  

Emerging Markets Opportunities Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     60,018      $ 600,325        711,823      $ 7,411,470   

Issued in connection with the reinvestment of distributions

     16,514        164,398        10,837        112,651   

Redeemed

     (736,708     (7,347,482     (53,759     (556,078
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (660,176   $ (6,582,759     668,901      $ 6,968,043   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     45      $ 450        4,275      $ 43,749   

Issued in connection with the reinvestment of distributions

     102        1,014        32        331   

Redeemed

     (1,300     (12,591     (1,126     (11,469
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (1,153   $ (11,127     3,181      $ 32,611   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N         

Issued from the sale of shares

          $        100      $ 1,001   

Issued in connection with the reinvestment of distributions

     5        46        3        32   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     5      $ 46        103      $ 1,033   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     91,181      $ 914,925        2,671,508      $ 26,759,165   

Issued in connection with the reinvestment of distributions

     115,728        1,145,358        78,820        812,043   

Redeemed

     (405,726     (4,073,742     (11,006     (115,323
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (198,817   $ (2,013,459     2,739,322      $ 27,455,885   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     (860,141   $ (8,607,299     3,411,507      $ 34,457,572   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on February 10, 2014 through November 30, 2014.

 

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Notes to Financial Statements (continued)

 

November 30, 2015

 

13.  Capital Shares (continued).

 

    

 

Year Ended

November 30, 2015

  

  

   

 

Year Ended

November 30, 2014

  

  

Senior Floating Rate and Fixed Income Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     29,453,991      $ 299,812,431        22,625,002      $ 239,436,444   

Issued in connection with the reinvestment of distributions

     1,459,589        14,725,397        1,698,487        17,933,853   

Redeemed

     (24,088,241     (243,783,571     (33,702,577     (357,095,191
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     6,825,339      $ 70,754,257        (9,379,088   $ (99,724,894
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     14,874,571      $ 150,680,001        8,372,101      $ 88,336,125   

Issued in connection with the reinvestment of distributions

     719,764        7,238,470        580,059        6,102,364   

Redeemed

     (6,609,261     (66,799,576     (6,307,621     (66,612,203
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     8,985,074      $ 91,118,895        2,644,539      $ 27,826,286   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     107,699,562      $ 1,097,299,122        83,778,480      $ 887,036,447   

Issued in connection with the reinvestment of distributions

     4,856,776        49,016,156        3,190,392        33,621,437   

Redeemed

     (77,434,296     (782,666,394     (60,786,625     (641,848,231
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     35,122,042      $ 363,648,884        26,182,247      $ 278,809,653   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     50,932,455      $ 525,522,036        19,447,698      $ 206,911,045   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Notes to Financial Statements (continued)

 

November 30, 2015

 

13.  Capital Shares (continued).

 

    

 

Year Ended

November 30, 2015

  

  

   

 

Year Ended

November 30, 2014

  

  

Select Fund

     Shares        Amount        Shares        Amount   
Class A         

Issued from the sale of shares

     494,417      $ 7,263,911        1,080,164      $ 14,760,927   

Issued in connection with the reinvestment of distributions

     21,192        307,501        73,027        960,306   

Redeemed

     (206,222     (3,001,098     (1,062,633     (14,965,696
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     309,387      $ 4,570,314        90,558      $ 755,537   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     214,321      $ 3,070,814        124,505      $ 1,698,959   

Issued in connection with the reinvestment of distributions

     6,567        93,508        9,036        117,470   

Redeemed

     (36,042     (521,715     (9,427     (129,599
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     184,846      $ 2,642,607        124,114      $ 1,686,830   
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     3,122,510      $ 45,979,526        2,863,064      $ 40,671,827   

Issued in connection with the reinvestment of distributions

     115,142        1,676,475        108,470        1,427,464   

Redeemed

     (1,616,997     (24,110,746     (322,200     (4,540,134
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     1,620,655      $ 23,545,255        2,649,334      $ 37,559,157   
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     2,114,888      $ 30,758,176        2,864,006      $ 40,001,524   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Report of Independent Registered Public Accounting Firm

 

To the Trustees of Natixis Funds Trust II and Shareholders of Loomis Sayles Dividend Income Fund, Loomis Sayles Emerging Markets Opportunities Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Dividend Income Fund, Loomis Sayles Emerging Markets Opportunities Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund, each a series of Natixis Funds Trust II (collectively, the “Funds”) at November 30, 2015, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2015 by correspondence with the custodian, agent banks and brokers, and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

January 22, 2016

 

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2015 U.S. Tax Distribution Information to Shareholders (Unaudited)

 

Corporate Dividends Received Deduction.  For the fiscal year ended November 30, 2015, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

 

Fund

  

Qualifying
Percentage

 

Dividend Income

     47.05

Select

     68.37

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended November 30, 2015, unless subsequently determined to be different.

 

Fund

  

Amount

 

Dividend Income

   $ 2,082,785   

Emerging Markets Opportunities

     87,218   

Select

     1,412,804   

Qualified Dividend Income.  For the fiscal year ended November 30, 2015, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2015, complete information will be reported in conjunction with Form 1099-DIV.

 

Fund

Dividend Income

Emerging Markets Opportunities

Senior Floating Rate and Fixed Income

Select

Foreign Tax Credit.  For the year ended November 30, 2015, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:

 

Fund

  

Foreign Tax Credit

Pass-Through

    

Foreign Source

Income

 

Emerging Markets Opportunities

   $ 1,373       $ 1,478,513   

 

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Table of Contents

Trustee and Officer Information

 

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

 

Name and Year of

Birth

 

Position(s) Held
with the Trust,
Length of Time
Served and Term

of Office1

 

Principal
Occupation(s)
During Past

5 Years

 

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

 

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES      

Kenneth A. Drucker

(1945)

 

Trustee since 2008

Chairperson of the Audit Committee

and Governance Committee Member

  Retired  

42

None

  Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English

(1953)

 

Trustee since 2013

Audit Committee Member

  Chief Executive Officer of Bob’s Discount Furniture (retail)  

42

Formerly, Director, BJ’s Wholesale Club (retail)

  Experience on the Board and significant experience on the boards of other business organizations (including at a retail company and a bank); executive experience (including at a retail company)

 

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Trustee and Officer Information

 

Name and Year of

Birth

 

Position(s) Held
with the Trust,
Length of Time
Served and Term

of Office1

 

Principal
Occupation(s)
During Past

5 Years

 

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

 

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES

continued

     

Richard A. Goglia

(1951)

 

Trustee since 2015

Audit Committee Member

  Retired; formerly Vice President and Treasurer of Raytheon Company (defense)  

42

None

  Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox

(1948)

 

Trustee since 2009

Contract Review Committee

Member

and Governance Committee Member

  Director of Abt Associates Inc. (research and consulting)  

42

Director, Eastern Bank (bank)

  Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

 

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Trustee and Officer Information

 

Name and Year of

Birth

 

Position(s) Held
with the Trust,
Length of Time
Served and Term

of Office1

 

Principal
Occupation(s)
During Past

5 Years

 

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

 

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES

continued

     

Martin T. Meehan

(1956)

 

Trustee since 2012

Contract Review Committee Member

  President, University of Massachusetts (formerly, Chancellor and faculty member, University of Massachusetts Lowell)  

42

None

  Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Sandra O. Moose

(1942)

 

Chairperson of the Board of Trustees since November 2005

Trustee since 1993

Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee

  President, Strategic Advisory Services (management consulting)  

42

Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)

  Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

 

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Trustee and Officer Information

 

Name and Year of

Birth

 

Position(s) Held
with the Trust,
Length of Time
Served and Term

of Office1

 

Principal
Occupation(s)
During Past

5 Years

 

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

 

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INDEPENDENT TRUSTEES

continued

     

Erik R. Sirri

(1958)

 

Trustee since 2009

Audit Committee

Member

  Professor of Finance at Babson College  

42

None

  Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail

(1952)

 

Trustee since 2009

Chairperson of the Contract Review Committee

and Governance Committee Member

  Retired  

42

None

  Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker

(1956)

 

Trustee since 2005

Chairperson of the Governance Committee and Contract Review Committee Member

  Deputy Dean for Finance and Administration, Yale University School of Medicine  

42

None

  Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

 

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Table of Contents

Trustee and Officer Information

 

Name and Year of

Birth

 

Position(s) Held
with the Trust,
Length of Time
Served and Term

of Office1

 

Principal
Occupation(s)
During Past

5 Years

 

Number of
Portfolios in
Fund Complex
Overseen2
and Other
Directorships Held
During Past

5 Years

 

Experience,
Qualifications,
Attributes, Skills
for Board

Membership

INTERESTED TRUSTEES      

Kevin P. Charleston3

(1965)

One Financial Center

Boston, MA 02111

  Trustee since 2015   President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.  

42

None

  Continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.
David L. Giunta4 (1965)  

Trustee since 2011

President and Chief Executive Officer since 2008

  President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.  

42

None

  Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

John T. Hailer5

(1960)

  Trustee since 2000   President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.  

42

None

  Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

1 

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

 

2 

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

 

3 

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

 

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Trustee and Officer Information

 

 

4 

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

 

5

Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

 

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Trustee and Officer Information

 

Name and Year of Birth

 

Position(s) Held

with the Trust

 

Term of Office1 and

Length of Time Served

 

Principal Occupation(s)

During Past 5 Years2

OFFICERS OF THE TRUST

Coleen Downs Dinneen

(1960)

  Secretary, Clerk and Chief Legal Officer   Since September 2004   Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Russell L. Kane

(1969)

 

Chief Compliance Officer,

Assistant Secretary and Anti-Money Laundering Officer

  Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007   Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok

(1959)

  Treasurer, Principal Financial and Accounting Officer   Since October 2004   Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

 

1 

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

 

2 

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

 

111  |


Table of Contents

Item 2. Code of Ethics.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

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

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

 

     Audit fees      Audit-related fees1      Tax fees2      All other fees  
     12/1/13-
11/30/14
     12/1/14-
11/30/15
     12/1/13-
11/30/14
     12/1/14-
11/30/15
     12/1/13-
11/30/14
     12/1/14-
11/30/15
     12/1/13-
11/30/14
     12/1/14-
11/30/15
 
Natixis Funds Trust II – Loomis Sayles Dividend Income Fund, Loomis Sayles Emerging Markets Opportunities Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund    $ 194,700       $ 195,917       $ 225       $ 242       $ 30,909       $ 43,894       $ —         $ —     

 

1. Audit-related fees consist of:

2014 & 2015 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

 

2. Tax fees consist of:

2014 & 2015 – review of the Registrant’s tax returns and preparation of application for change in accounting method (2015 only).

Aggregate fees billed to the Registrant for non-audit services during 2014 and 2015 were $31,134 and $44,136 respectively.


Table of Contents

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

 

     Audit-related fees      Tax fees      All other fees  
     12/1/13-
11/30/14
     12/1/14-
11/30/15
     12/1/13-
11/30/14
     12/1/14-
11/30/15
     12/1/13-
11/30/14
     12/1/14-
11/30/15
 

Control Affiliates

   $ —         $ —         $ —         $ —         $ —         $ —     

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

 

     Aggregate Non-Audit Fees
     12/1/13-
11/30/14
   12/1/14-
11/30/15
Control Affiliates    $226,486    $50,066

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

Audit Committee Pre-Approval Policies.

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

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

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.


Table of Contents

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a)    (1)    Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)    (2)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)    (3)    Not applicable.
(b)       Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).


Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  Natixis Funds Trust II
  By:  

/s/ David L. Giunta

  Name:   David L. Giunta
  Title:   President and Chief Executive Officer
  Date:   January 22, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

  By:  

/s/ David L. Giunta

  Name:   David L. Giunta
  Title:   President and Chief Executive Officer
  Date:   January 22, 2016

 

  By:  

/s/ Michael C. Kardok

  Name:   Michael C. Kardok
  Title:   Treasurer
  Date:   January 22, 2016
EX-99.CODE 2 d100081dex99code.htm CODE OF ETHICS Code of Ethics

Exhibit (a) (1)

NATIXIS FUNDS TRUST I

NATIXIS FUNDS TRUST II

NATIXIS FUNDS TRUST IV

LOOMIS SAYLES FUNDS I

LOOMIS SAYLES FUNDS II

GATEWAY TRUST

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

ACT OF 2002 FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL

OFFICERS

 

I. Covered Persons/Purpose of the Code

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

 

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

 

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

 

    Compliance with applicable governmental laws, rules and regulations;

 

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

 

    Accountability for adherence to the Code.

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


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

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

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

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

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

 

- 2 -


Each Covered Person must not:

 

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

 

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

 

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

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

 

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

 

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

 

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

 

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

 

- 3 -


III. Disclosure and Compliance

 

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

 

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

 

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

 

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

 

IV. Reporting and Accountability

Each Covered Person must:

 

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

 

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

 

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

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

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

 

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

 

- 4 -


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

 

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

 

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

 

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

 

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

 

V. Other Policies and Procedures

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

 

VI. Amendments

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

 

VII. Confidentiality

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

 

- 5 -


VIII.   Internal Use

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

 

- 6 -


Exhibit A

Registered Investment Companies

Natixis Funds Trust I

Natixis Funds Trust II

Natixis Funds Trust IV

Loomis Sayles Funds I

Loomis Sayles Funds II

Gateway Trust

 

- 7 -


Exhibit B

Persons Covered by this Code of Ethics

 

Trust

  

Principal Executive

Officer

  

Principal Financial

Officer

  

Principal Accounting

Officer

Natixis Funds Trust I   

David L. Giunta,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

Natixis Funds Trust II   

David L. Giunta,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

Natixis Funds Trust IV   

David L. Giunta,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

Loomis Sayles Funds I   

Kevin Charleston,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

Loomis Sayles Funds II   

David L. Giunta,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

Gateway Trust   

David L. Giunta,

Trustee, President and

Chief Executive Officer

  

Michael C. Kardok,

Treasurer

  

Michael C. Kardok,

Treasurer

 

- 8 -

EX-99.CERT 3 d100081dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(2)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-CSR

Section 302 Certification

I, David L. Giunta, certify that:

 

  1. I have reviewed this report on Form N-CSR of Natixis 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: January 22, 2016

 

/s/ David L. Giunta

David L. Giunta
President and Chief Executive Officer


Exhibit (a)(2)(2)

Natixis 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 Natixis 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: January 22, 2016

 

/s/ Michael C. Kardok

Michael C. Kardok
Treasurer
EX-99.906CERT 4 d100081dex99906cert.htm SECTION 906 CERTFICATION Section 906 Certfication

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended November 30, 2015 for the Registrant (the “Report”), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

 

By:     By:
President and Chief Executive Officer     Treasurer

Natixis Funds Trust II

 

   

Natixis Funds Trust II

 

/s/ David L. Giunta

   

/s/ Michael C. Kardok

David L. Giunta     Michael C. Kardok
Date: January 22, 2016     Date: January 22, 2016

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 Natixis Funds Trust II, and will be retained by the Natixis Funds Trust II and furnished to the Securities and Exchange Commission or its staff upon request.

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