0001193125-18-232881.txt : 20180731 0001193125-18-232881.hdr.sgml : 20180731 20180731133610 ACCESSION NUMBER: 0001193125-18-232881 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20180531 FILED AS OF DATE: 20180731 DATE AS OF CHANGE: 20180731 EFFECTIVENESS DATE: 20180731 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 18980538 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 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 C000188118 Class N LSFNX 0000052136 S000036453 Loomis Sayles Dividend Income Fund C000111612 Class A LSCAX C000111613 Class C LSCCX C000111614 Class Y LSCYX C000181966 Class N LDINX 0000052136 S000037523 Vaughan Nelson Select Fund C000115831 Class A VNSAX C000115832 Class C VNSCX C000115833 Class Y VNSYX C000188120 Class N VNSNX 0000052136 S000053353 Loomis Sayles Global Growth Fund C000167848 Class A LSAGX C000167849 Class C LSCGX C000167850 Class Y LSGGX C000188122 Class N LSNGX N-CSRS 1 d592214dncsrs.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)

 

 

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

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

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

Date of fiscal year end: November 30

Date of reporting period: May 31, 2018

 

 

 


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Item 1. Reports to Stockholders.

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


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LOGO

 

LOGO

 

Semiannual Report

May 31, 2018

Loomis Sayles Dividend Income Fund

Loomis Sayles Global Growth Fund

Vaughan Nelson Select Fund

 

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Portfolio Review     1  
Portfolio of Investments     16  
Financial Statements     25  
Notes to Financial Statements     43  

 

LOGO


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LOOMIS SAYLES DIVIDEND INCOME FUND

 

Managers:   Symbols:
Arthur J. Barry, CFA®   Class A    LSCAX

David L. Waldman

  Class C    LSCCX
Loomis, Sayles & Company, L.P.   Class N    LDINX
  Class Y    LSCYX

 

 

Investment Goal

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

 

 

On June 8, 2018, the Board of Trustees approved the liquidation of the fund. See Note 13 in the Notes to Financial Statements.

 

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Average Annual Total Returns — May 31, 20184,5

 

           
                             Expense Ratios6  
     6 Months     1 Year     5 Years     Life of Class     Gross     Net  
     
Class Y (Inception 3/30/2012)           Class A/C/Y       Class N        
NAV     -1.00     4.45     8.08     10.32         1.16     0.85
     
Class A (Inception 3/30/2012)                
NAV     -1.04       4.19       7.84       10.07             1.42       1.10  
With 5.75% Maximum Sales Charge     -6.75       -1.79       6.57       9.02              
     
Class C (Inception 3/30/2012)                
NAV     -1.45       3.40       7.04       9.23             2.17       1.85  
With CDSC1     -2.39       2.42       7.04       9.23              
     
Class N (Inception 3/31/2017)                
NAV     -0.89       4.51                   3.69       14.68       0.80  
   
Comparative Performance                
S&P 500® Index2     3.16       14.38       12.98       13.55       14.56        
Russell 1000® Value Index3     -0.50       8.25       10.09       11.90       6.77                  

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

 

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

 

2

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

 

3

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.

 

5 The Fund revised its investment strategy on October 15, 2014 and July 18, 2016; performance may have been different had the current investment strategy been in place for all periods shown.

 

6 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 3/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

 

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LOOMIS SAYLES GLOBAL GROWTH FUND

 

Manager:   Symbols:
Aziz V. Hamzaogullari, CFA®   Class A    LSAGX
Loomis, Sayles & Company, L.P.   Class C    LSCGX
  Class N    LSNGX
  Class Y    LSGGX

 

 

Investment Goal

The Fund’s investment goal is long-term growth of capital.

 

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Average Annual Total Returns — May 31, 20183

 

                                  Expense Ratios4  
     6 Months     1 Year     Life of Class     Gross     Net  
     
Class Y (Inception 3/31/2016)         Class A/C/Y       Class N        
NAV     3.04     13.85     17.70         2.31     1.05
     
Class A (Inception 3/31/2016)              
NAV     2.90       13.64       17.39             2.56       1.30  
With 5.75% Maximum Sales Charge     -3.02       7.12       14.22              
     
Class C (Inception 3/31/2016)              
NAV     2.57       12.83       16.51             3.31       2.05  
With CDSC1     1.57       11.83       16.51              
     
Class N (Inception 3/31/2017)              
NAV     3.00       13.89             19.74       15.78       1.00  
   
Comparative Performance              
MSCI ACWI (Net)2     1.72       11.84       14.29       13.64                  

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

 

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

 

2 The MSCI ACWI (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

 

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

 

4 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 3/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

 

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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 N    VNSNX
Scott J. Weber, CFA®   Class Y    VNSYX
Vaughan Nelson Investment Management, L.P.

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

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Average Annual Total Returns — May 31, 20183

 

           
                             Expense Ratios4  
     6 Months     1 Year     5 Years     Life of Class     Gross     Net  
     
Class Y (Inception 6/29/2012)           Class A/C/Y        Class N        
NAV     5.86     17.69     13.90     16.10         1.34     1.26
     
Class A (Inception 6/29/2012)                
NAV     5.74       17.36       13.60       15.79             1.59       1.51  
With 5.75% Maximum Sales Charge     -0.32       10.62       12.26       14.64              
     
Class C (Inception 6/29/2012)                
NAV     5.31       16.47       12.76       14.94             2.34       2.26  
With CDSC1     4.34       15.47       12.76       14.94              
     
Class N (Inception 3/31/2017)                
NAV     5.90       17.86                   18.44       14.88       1.21  
   
Comparative Performance                
S&P 500® Index2     3.16       14.38       12.98       14.70       14.56                  

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

 

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

 

2

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

 

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

 

4 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 3/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

 

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-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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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 December 1, 2017 through May 31, 2018. 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.

 

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LOOMIS SAYLES DIVIDEND INCOME FUND   BEGINNING
ACCOUNT VALUE
12/1/2017
    ENDING
ACCOUNT VALUE
5/31/2018
    EXPENSES PAID
DURING PERIOD*
12/1/2017 – 5/31/2018
 
Class A        
Actual     $1,000.00       $989.60       $5.46  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.45       $5.54  
Class C        
Actual     $1,000.00       $985.50       $9.16  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.71       $9.30  
Class N        
Actual     $1,000.00       $991.10       $3.97  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.94       $4.03  
Class Y        
Actual     $1,000.00       $990.00       $4.22  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.69       $4.28  

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85%, 0.80% and 0.85% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

LOOMIS SAYLES GLOBAL GROWTH FUND  

BEGINNING
ACCOUNT VALUE
12/1/2017

   

ENDING
ACCOUNT VALUE
5/31/2018

   

EXPENSES PAID
DURING PERIOD*
12/1/2017 – 5/31/2018

 
Class A        
Actual     $1,000.00       $1,029.00       $6.42  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.60       $6.39  
Class C        
Actual     $1,000.00       $1,025.70       $10.25  
Hypothetical (5% return before expenses)     $1,000.00       $1,014.81       $10.20  
Class N        
Actual     $1,000.00       $1,030.00       $5.06  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.95       $5.04  
Class Y        
Actual     $1,000.00       $1,030.40       $5.21  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.80       $5.19  

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.27%, 2.03%, 1.00% and 1.03% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

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VAUGHAN NELSON SELECT FUND   BEGINNING
ACCOUNT VALUE
12/1/2017
    ENDING
ACCOUNT VALUE
5/31/2018
    EXPENSES PAID
DURING PERIOD*
12/1/2017 – 5/31/2018
 
Class A        
Actual     $1,000.00       $1,057.40       $6.36  
Hypothetical (5% return before expenses)     $1,000.00       $1,018.75       $6.24  
Class C        
Actual     $1,000.00       $1,053.10       $10.19  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.01       $10.00  
Class N        
Actual     $1,000.00       $1,059.00       $4.88  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.20       $4.78  
Class Y        
Actual     $1,000.00       $1,058.60       $5.08  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.00       $4.99  

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.24%, 1.99%, 0.95% and 0.99% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

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

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal

 

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performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category where available, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2018. In the case of the Vaughan Nelson Select Fund, the Board approved the Agreement with an amendment that reduces the Fund’s advisory fee effective on July 1, 2018. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.

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

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

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

The Board noted that, through December 31, 2017, each Fund’s one-, three- and five-year performance, as applicable, stated as percentile rankings within categories selected by the

 

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independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

    

Three-Year

    

Five-Year

 

Loomis Sayles Dividend Income Fund

     97%        86%        90%  

Loomis Sayles Global Growth Fund

     12%        N/A        N/A  

Vaughan Nelson Select Fund

     81%        62%        25%  

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies and (2) that the Fund’s performance, although lagging in certain periods, was stronger over the long term. With respect to the Loomis Sayles Dividend Income Fund, the Board considered that it had approved the liquidation of the Fund, which was expected to occur in the third quarter of 2018.

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

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

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

 

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and expense caps for various funds in the fund family. They noted that the Funds have expense caps in place, and they considered the amounts waived or reimbursed by the Advisers for the Funds under their caps.

The Trustees noted that the Vaughan Nelson Select Fund had an advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including: (1) that the Fund has a more complex and flexible investment strategy than its peers; (2) that management was proposing to reduce the advisory fee rate, effective July 1, 2018; and (3) that management had proposed to further reduce the expense cap of the Fund, which had also been reduced last year.

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although the Funds’ management fees were not subject to breakpoints, each Fund was subject to an expense cap. The Trustees also considered management’s proposal to further reduce the expense cap for Vaughan Nelson Select Fund, which had also been reduced last year. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.

 

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

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

 

·  

The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund.

 

·  

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

 

·  

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

 

·  

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements, with the reduction of the advisory fee rate for the Vaughan Nelson Select Fund described above, should be continued through June 30, 2019.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Dividend Income Fund

 

Shares      Description    Value (†)  
  Common Stocks — 98.1% of Net Assets  
   Aerospace & Defense — 1.6%  
  4,497      United Technologies Corp.    $ 561,316  
     

 

 

 
   Air Freight & Logistics — 2.5%  
  7,660      United Parcel Service, Inc., Class B      889,479  
     

 

 

 
   Automobiles — 3.0%  
  13,517      General Motors Co.      577,176  
  12,691      Harley-Davidson, Inc.      521,346  
     

 

 

 
        1,098,522  
     

 

 

 
   Banks — 9.9%  
  16,173      BB&T Corp.      849,082  
  6,046      JPMorgan Chase & Co.(a)      646,982  
  16,693      PacWest Bancorp      885,731  
  21,904      Wells Fargo & Co.(b)      1,182,597  
     

 

 

 
        3,564,392  
     

 

 

 
   Beverages — 1.8%  
  6,353      PepsiCo, Inc.      636,888  
     

 

 

 
   Biotechnology — 1.3%  
  7,062      Gilead Sciences, Inc.      475,979  
     

 

 

 
   Building Products — 1.8%  
  19,150      Johnson Controls International PLC      642,674  
     

 

 

 
   Capital Markets — 1.9%  
  31,299      KKR & Co. LP      695,777  
     

 

 

 
   Chemicals — 2.4%  
  13,601      DowDuPont, Inc.      871,960  
     

 

 

 
   Communications Equipment — 2.8%  
  23,332      Cisco Systems, Inc.      996,510  
     

 

 

 
   Containers & Packaging — 1.9%  
  12,945      International Paper Co.      692,558  
     

 

 

 
   Diversified Telecommunication Services — 2.7%  
  20,366      Verizon Communications, Inc.(a)      970,847  
     

 

 

 
   Electric Utilities — 5.2%  
  23,611      Exelon Corp.      977,259  
  32,962      PPL Corp.      900,522  
     

 

 

 
        1,877,781  
     

 

 

 
   Electrical Equipment — 1.8%  
  8,630      Eaton Corp. PLC(a)      660,885  
     

 

 

 
   Food Products — 1.2%  
  4,770      Hershey Co. (The)      429,491  
     

 

 

 
   Health Care Equipment & Supplies — 1.8%  
  7,544      Medtronic PLC      651,198  
     

 

 

 
   Independent Power & Renewable Electricity Producers — 3.0%  
  23,993      NextEra Energy Partners LP      1,078,725  
     

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Dividend Income Fund – (continued)

 

Shares      Description    Value (†)  
   Insurance — 5.4%  
  11,876      FNF Group    $ 438,937  
  21,094      MetLife, Inc.      970,113  
  9,497      Principal Financial Group, Inc.      529,933  
     

 

 

 
        1,938,983  
     

 

 

 
   Media — 2.1%  
  10,776      Omnicom Group, Inc.      776,734  
     

 

 

 
   Oil, Gas & Consumable Fuels — 9.2%  
  8,351      Chevron Corp.(a)(b)      1,038,029  
  18,105      Energy Transfer Partners LP      343,814  
  22,356      MPLX LP      802,804  
  15,579      Royal Dutch Shell PLC, B Shares, Sponsored ADR      1,126,829  
     

 

 

 
        3,311,476  
     

 

 

 
   Pharmaceuticals — 10.8%  
  14,028      Bristol-Myers Squibb Co.      738,153  
  27,291      GlaxoSmithKline PLC, Sponsored ADR(b)      1,105,831  
  18,798      Merck & Co., Inc.      1,119,045  
  26,546      Pfizer, Inc.(a)(b)      953,798  
     

 

 

 
        3,916,827  
     

 

 

 
   Professional Services — 1.7%  
  20,609      Nielsen Holdings PLC      621,774  
     

 

 

 
   REITs – Diversified — 4.0%  
  41,627      Outfront Media, Inc.      825,880  
  16,708      Weyerhaeuser Co.      623,709  
     

 

 

 
        1,449,589  
     

 

 

 
   REITs – Hotels — 4.5%  
  25,849      Park Hotels & Resorts, Inc.      832,855  
  9,244      Ryman Hospitality Properties, Inc.      775,387  
     

 

 

 
        1,608,242  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 2.8%  
  17,138      QUALCOMM, Inc.      996,061  
     

 

 

 
   Software — 3.6%  
  7,646      Microsoft Corp.      755,730  
  11,322      Oracle Corp.      528,964  
     

 

 

 
        1,284,694  
     

 

 

 
   Technology Hardware, Storage & Peripherals — 1.7%  
  3,384      Apple, Inc.      632,368  
     

 

 

 
   Tobacco — 4.3%  
  10,664      Altria Group, Inc.      594,412  
  11,969      Philip Morris International, Inc.(a)      952,014  
     

 

 

 
        1,546,426  
     

 

 

 
   Transportation Infrastructure — 1.4%   
  13,221      Macquarie Infrastructure Corp.      511,653  
     

 

 

 
   Total Common Stocks
(Identified Cost $33,153,922)
     35,389,809  
     

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Dividend Income Fund – (continued)

 

Shares      Description    Value (†)  
  Preferred Stocks — 1.7%  
   Integrated Energy — 1.7%   
  8,945      Hess Corp., 8.000%
(Identified Cost $528,450)
   $ 612,419  
     

 

 

 
   Total Investments — 99.8%
(Identified Cost $33,682,372)
     36,002,228  
   Other assets less liabilities — 0.2%      89,616  
     

 

 

 
   Net Assets — 100.0%    $ 36,091,844  
     

 

 

 
              

Written Options — (0.00%)

 

Description    Expiration
Date
     Exercise
Price
     Shares     Notional
Amount
    Premiums
(Received)
    Value (†)  

Options on Securities — (0.0%)

 

Kellogg Co., Put

     06/15/2018        52.5        (5,000   $ (321,950   $ (2,436   $ (125
            

 

 

   

 

 

 
                 
(†)    See Note 2 of Notes to Financial Statements.  
(a)    Security (or a portion thereof) has been pledged as collateral for open option contracts.  
(b)    Security (or a portion thereof) has been designated to cover the Fund’s obligations under open option contracts.  
ADR    An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.  
REITs    Real Estate Investment Trusts  

Industry Summary at May 31, 2018 (Unaudited)

 

Pharmaceuticals

     10.8

Banks

     9.9  

Oil, Gas & Consumable Fuels

     9.2  

Insurance

     5.4  

Electric Utilities

     5.2  

REITs — Hotels

     4.5  

Tobacco

     4.3  

REITs — Diversified

     4.0  

Software

     3.6  

Automobiles

     3.0  

Independent Power & Renewable Electricity Producers

     3.0  

Communications Equipment

     2.8  

Semiconductors & Semiconductor Equipment

     2.8  

Diversified Telecommunication Services

     2.7  

Air Freight & Logistics

     2.5  

Chemicals

     2.4  

Media

     2.1  

Other Investments, less than 2% each

     21.6  
  

 

 

 

Total Investments

     99.8  

Other assets less liabilities (including open written options)

     0.2  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Global Growth Fund

 

Shares      Description    Value (†)  
  Common Stocks — 98.9% of Net Assets  
   Argentina — 3.6%  
  6,691      MercadoLibre, Inc.    $ 1,945,944  
     

 

 

 
   Brazil — 2.8%  
  187,639      Ambev S.A., ADR      986,981  
  117,876      Companhia Brasileira de Meios de Pagamento      536,041  
     

 

 

 
        1,523,022  
     

 

 

 
   China — 14.9%  
  18,178      Alibaba Group Holding Ltd., Sponsored ADR(a)      3,599,426  
  9,434      Baidu, Inc., Sponsored ADR(a)      2,288,311  
  53,688      Yum China Holdings, Inc.      2,109,938  
     

 

 

 
        7,997,675  
     

 

 

 
   Denmark — 3.5%  
  39,077      Novo Nordisk AS, Class B      1,857,269  
     

 

 

 
   France — 4.4%  
  20,181      Danone      1,545,397  
  8,574      Sodexo S.A.      833,679  
     

 

 

 
        2,379,076  
     

 

 

 
   Italy — 1.4%  
  140,200      Prada SpA      735,609  
     

 

 

 
   Sweden — 1.7%  
  75,311      Elekta AB, Class B      918,183  
     

 

 

 
   Switzerland — 6.4%  
  13,227      Nestle S.A., (Registered)      999,729  
  13,633      Novartis AG, (Registered)      1,013,514  
  6,791      Roche Holding AG      1,456,070  
     

 

 

 
        3,469,313  
     

 

 

 
   United Kingdom — 7.8%  
  23,139      Diageo PLC      850,202  
  55,200      Experian PLC      1,352,259  
  9,294      Reckitt Benckiser Group PLC      711,393  
  23,460      Unilever NV      1,308,337  
     

 

 

 
        4,222,191  
     

 

 

 
   United States — 52.4%  
  2,139      Alphabet, Inc., Class A(a)      2,352,900  
  2,065      Amazon.com, Inc.(a)      3,365,165  
  5,365      American Express Co.      527,379  
  23,461      Coca-Cola Co. (The)      1,008,823  
  14,912      Colgate-Palmolive Co.      940,798  
  2,811      Core Laboratories NV      349,070  
  13,722      Deere & Co.      2,051,576  
  12,416      Expeditors International of Washington, Inc.      924,744  
  15,468      Facebook, Inc., Class A(a)      2,966,453  
  13,525      Microsoft Corp.      1,336,811  
  47,700      Oracle Corp.      2,228,544  

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Global Growth Fund – (continued)

 

Shares      Description    Value (†)  
   United States — continued  
  13,870      Procter & Gamble Co. (The)    $ 1,014,868  
  21,431      QUALCOMM, Inc.      1,245,570  
  21,386      Schlumberger Ltd.      1,468,577  
  15,574      SEI Investments Co.      993,310  
  17,506      Shire PLC      955,795  
  60,255      Under Armour, Inc., Class A(a)      1,259,329  
  17,075      Visa, Inc., Class A      2,232,044  
  11,742      Yum! Brands, Inc.      954,977  
     

 

 

 
        28,176,733  
     

 

 

 
   Total Common Stocks
(Identified Cost $50,084,672)
     53,225,015  
     

 

 

 
     
Principal
Amount
         
  Short-Term Investments — 2.1%   
$ 1,126,832      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2018 at 0.900% to be repurchased at $1,126,860 on 6/01/2018 collateralized by $1,205,000 U.S. Treasury Note, 1.750% due 5/15/2023 valued at $1,154,045 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,126,832)      1,126,832  
     

 

 

 
   Total Investments — 101.0%
(Identified Cost $51,211,504)
     54,351,847  
   Other assets less liabilities — (1.0)%      (546,539
     

 

 

 
   Net Assets — 100.0%    $ 53,805,308  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.  
  (a)      Non-income producing security.  
     
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.  

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Global Growth Fund – (continued)

 

Industry Summary at May 31, 2018 (Unaudited)

 

Internet Software & Services

     24.5

Pharmaceuticals

     8.1  

Hotels, Restaurants & Leisure

     7.2  

Software

     6.6  

Internet & Direct Marketing Retail

     6.3  

Beverages

     5.3  

IT Services

     5.1  

Household Products

     5.0  

Food Products

     4.7  

Machinery

     3.8  

Textiles, Apparel & Luxury Goods

     3.7  

Energy Equipment & Services

     3.4  

Professional Services

     2.5  

Personal Products

     2.4  

Semiconductors & Semiconductor Equipment

     2.3  

Other Investments, less than 2% each

     8.0  

Short-Term Investments

     2.1  
  

 

 

 

Total Investments

     101.0  

Other assets less liabilities

     (1.0
  

 

 

 

Net Assets

     100.0
  

 

 

 

Currency Exposure Summary at May 31, 2018 (Unaudited)

 

United States Dollar

     73.0

British Pound

     7.2  

Euro

     6.8  

Swiss Franc

     6.4  

Danish Krone

     3.5  

Other, less than 2% each

     4.1  
  

 

 

 

Total Investments

     101.0  

Other assets less liabilities

     (1.0
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Vaughan Nelson Select Fund

 

Shares      Description    Value (†)  
  Common Stocks — 94.6% of Net Assets  
   Aerospace & Defense — 5.0%  
  46,775      General Dynamics Corp.    $ 9,434,985  
     

 

 

 
   Auto Components — 4.5%  
  87,350      Aptiv PLC      8,516,625  
     

 

 

 
   Banks — 3.2%  
  91,375      Citigroup, Inc.      6,093,799  
     

 

 

 
   Biotechnology — 2.9%  
  256,450      Grifols S.A., ADR      5,598,304  
     

 

 

 
   Capital Markets — 2.3%  
  25,550      Moody’s Corp.      4,358,064  
     

 

 

 
   Chemicals — 4.9%  
  24,310      Sherwin-Williams Co. (The)      9,219,567  
     

 

 

 
   Diversified Financial Services — 4.6%  
  45,525      Berkshire Hathaway, Inc., Class B(a)      8,719,403  
     

 

 

 
   Diversified Telecommunication Services — 2.3%  
  137,975      AT&T, Inc.      4,459,352  
     

 

 

 
   Electronic Equipment, Instruments & Components — 1.4%  
  11,150      IPG Photonics Corp.(a)      2,690,161  
     

 

 

 
   Energy Equipment & Services — 3.6%  
  137,500      Halliburton Co.      6,839,250  
     

 

 

 
   Health Care Providers & Services — 6.0%  
  46,925      UnitedHealth Group, Inc.      11,332,857  
     

 

 

 
   Internet Software & Services — 2.3%  
  22,300      Alibaba Group Holding Ltd., Sponsored ADR(a)      4,415,623  
     

 

 

 
   IT Services — 5.5%  
  33,150      Broadridge Financial Solutions, Inc.      3,827,167  
  34,700      MasterCard, Inc., Class A      6,597,164  
     

 

 

 
        10,424,331  
     

 

 

 
   Life Sciences Tools & Services — 2.4%  
  21,525      Thermo Fisher Scientific, Inc.      4,483,012  
     

 

 

 
   Machinery — 3.1%  
  39,950      Snap-on, Inc.      5,905,409  
     

 

 

 
   Media — 9.3%  
  71,550      Time Warner, Inc.      6,737,148  
  288,175      Twenty-First Century Fox, Inc., Class B      10,999,640  
     

 

 

 
        17,736,788  
     

 

 

 
   Oil, Gas & Consumable Fuels — 9.4%   
  516,750      Cameco Corp.      5,338,027  
  145,125      Enterprise Products Partners LP      4,194,113  
  1,074,425      Kosmos Energy Ltd.(a)      8,348,282  
     

 

 

 
        17,880,422  
     

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Vaughan Nelson Select Fund – (continued)

 

Shares      Description    Value (†)  
   Personal Products — 3.5%   
  44,750      Estee Lauder Cos., Inc. (The), Class A    $ 6,687,440  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 5.2%   
  87,650      Texas Instruments, Inc.      9,808,911  
     

 

 

 
   Software — 5.5%   
  106,225      Microsoft Corp.      10,499,279  
     

 

 

 
   Specialty Retail — 4.8%   
  49,100      Home Depot, Inc. (The)      9,159,605  
     

 

 

 
   Technology Hardware, Storage & Peripherals — 2.9%   
  29,125      Apple, Inc.      5,442,589  
     

 

 

 
   Total Common Stocks
(Identified Cost $144,569,239)
     179,705,776  
     

 

 

 
   Closed-End Investment Companies — 1.5%   
  36,400      Altaba, Inc.(a)
(Identified Cost $2,078,000)
     2,808,624  
     

 

 

 
   Total Purchased Options — 0.4%
(Identified Cost $2,940,612) (see detail below)
     825,000  
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 4.5%   
$ 8,472,978      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2018 at 0.900% to be repurchased at $8,473,190 on 6/01/2018 collateralized by $9,165,000 U.S. Treasury Note, 1.375% due 6/30/2023 valued at $8,646,573 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,472,978)      8,472,978  
     

 

 

 
     
   Total Investments — 101.0%
(Identified Cost $158,060,829)
     191,812,378  
   Other assets less liabilities — (1.0)%      (1,913,106
     

 

 

 
   Net Assets — 100.0%    $ 189,899,272  
     

 

 

 
  Purchased Options — 0.4%   
Description    Expiration
Date
     Exercise
Price
     Contracts     Notional
Amount
    Cost     Value (†)  

Index Options — 0.4%

 

S&P 500® Index, Put(a)

     09/21/2018        2,475        300     $ 81,158,100     $ 2,940,612     $ 825,000  
            

 

 

   

 

 

 

Written Options — (0.3%)

 

Description    Expiration
Date
     Exercise
Price
     Contracts     Notional
Amount
    Premiums
(Received)
    Value (†)  

Index Options — (0.3%)

 

S&P 500® Index, Put

     09/21/2018        2,375        (300   $ (81,158,100   $ (2,249,388   $ (556,500
            

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

Vaughan Nelson Select Fund – (continued)

 

  
  (†)      See Note 2 of Notes to Financial Statements.
  (a)      Non-income producing security.
  
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at May 31, 2018 (Unaudited)

 

Oil, Gas & Consumable Fuels

     9.4

Media

     9.3  

Health Care Providers & Services

     6.0  

Software

     5.5  

IT Services

     5.5  

Semiconductors & Semiconductor Equipment

     5.2  

Aerospace & Defense

     5.0  

Chemicals

     4.9  

Specialty Retail

     4.8  

Diversified Financial Services

     4.6  

Auto Components

     4.5  

Energy Equipment & Services

     3.6  

Personal Products

     3.5  

Banks

     3.2  

Machinery

     3.1  

Biotechnology

     2.9  

Technology Hardware, Storage & Peripherals

     2.9  

Life Sciences Tools & Services

     2.4  

Diversified Telecommunication Services

     2.3  

Internet Software & Services

     2.3  

Capital Markets

     2.3  

Other Investments, less than 2% each

     3.3  

Short-Term Investments

     4.5  
  

 

 

 

Total Investments

     101.0  

Other assets less liabilities (including open written options)

     (1.0
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Table of Contents

Statements of Assets and Liabilities

 

May 31, 2018 (Unaudited)

 

     Loomis Sayles
Dividend
Income Fund
     Loomis Sayles
Global Growth
Fund
     Vaughan Nelson
Select Fund
 

ASSETS

 

Investments at cost

   $ 33,682,372      $ 51,211,504      $ 158,060,829  

Net unrealized appreciation

     2,319,856        3,140,343        33,751,549  
  

 

 

    

 

 

    

 

 

 

Investments at value

     36,002,228        54,351,847        191,812,378  

Cash

     75,065                

Foreign currency at value (identified cost $0, $23,781 and $0, respectively)

            23,838         

Receivable for Fund shares sold

     560        4,280        1,005,068  

Dividends and interest receivable

     129,135        37,785        175,129  

Tax reclaims receivable

     159        31,939        12,553  

Prepaid expenses (Note 8)

     46        41        222  
  

 

 

    

 

 

    

 

 

 

TOTAL ASSETS

     36,207,193        54,449,730        193,005,350  
  

 

 

    

 

 

    

 

 

 

LIABILITIES

 

Options written, at value (premiums received $2,436, $0 and $2,249,388, respectively) (Note 2)

     125               556,500  

Payable for securities purchased

            569,883        2,266,303  

Payable for Fund shares redeemed

                   84,589  

Management fees payable (Note 6)

     16,941        12,845        92,915  

Deferred Trustees’ fees (Note 6)

     50,922        12,781        50,324  

Administrative fees payable (Note 6)

     1,389        1,445        7,047  

Payable to distributor (Note 6d)

     268        44        608  

Other accounts payable and accrued expenses

     45,704        47,424        47,792  
  

 

 

    

 

 

    

 

 

 

TOTAL LIABILITIES

     115,349        644,422        3,106,078  
  

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 36,091,844      $ 53,805,308      $ 189,899,272  
  

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 32,759,553      $ 50,116,072      $ 151,939,186  

Undistributed (Distributions in excess of) net investment income

     90,401        116,046        (218,462

Accumulated net realized gain on investments, options written and foreign currency transactions

     919,723        433,320        2,734,111  

Net unrealized appreciation on investments, options written and foreign currency translations

     2,322,167        3,139,870        35,444,437  
  

 

 

    

 

 

    

 

 

 

NET ASSETS

   $ 36,091,844      $ 53,805,308      $ 189,899,272  
  

 

 

    

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Statements of Assets and Liabilities (continued)

 

May 31, 2018 (Unaudited)

 

     Loomis Sayles
Dividend
Income Fund
    Loomis Sayles
Global Growth
Fund
     Vaughan Nelson
Select Fund
 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

       

Class A shares:

 

Net assets

   $ 14,019,388     $ 1,804,825      $ 24,036,734  
  

 

 

   

 

 

    

 

 

 

Shares of beneficial interest

     1,268,106       134,772        1,324,015  
  

 

 

   

 

 

    

 

 

 

Net asset value and redemption price per share

   $ 11.06     $ 13.39      $ 18.15  
  

 

 

   

 

 

    

 

 

 

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

   $ 11.73     $ 14.21      $ 19.26  
  

 

 

   

 

 

    

 

 

 

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

       

Net assets

   $ 5,791,884     $ 280,354      $ 7,304,844  
  

 

 

   

 

 

    

 

 

 

Shares of beneficial interest

     526,944       21,198        419,995  
  

 

 

   

 

 

    

 

 

 

Net asset value and offering price per share

   $ 10.99     $ 13.23      $ 17.39  
  

 

 

   

 

 

    

 

 

 

Class N shares:

 

Net assets

   $ 1,044     $ 4,878,887      $ 1,219  
  

 

 

   

 

 

    

 

 

 

Shares of beneficial interest

     94       363,158        67  
  

 

 

   

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 11.07   $ 13.43      $ 18.27
  

 

 

   

 

 

    

 

 

 

Class Y shares:

 

Net assets

   $ 16,279,528     $ 46,841,242      $ 158,556,475  
  

 

 

   

 

 

    

 

 

 

Shares of beneficial interest

     1,471,396       3,486,922        8,687,197  
  

 

 

   

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 11.06     $ 13.43      $ 18.25  
  

 

 

   

 

 

    

 

 

 

 

* Net asset value calculations have been determined utilizing fractional share and penny amounts.

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Statements of Operations

 

For the Six Months Ended May 31, 2018 (Unaudited)

 

     Loomis Sayles
Dividend
Income Fund
    Loomis Sayles
Global Growth
Fund
    Vaughan Nelson
Select Fund
 

INVESTMENT INCOME

 

Dividends

   $ 777,215     $ 306,494     $ 1,438,909  

Interest

     735       2,680       15,592  

Less net foreign taxes withheld

           (24,925     (3,895
  

 

 

   

 

 

   

 

 

 
     777,950       284,249       1,450,606  
  

 

 

   

 

 

   

 

 

 

Expenses

 

Management fees (Note 6)

     121,235       120,101       758,453  

Service and distribution fees (Note 6)

     52,863       3,064       64,115  

Administrative fees (Note 6)

     8,959       6,659       39,572  

Trustees’ fees and expenses (Note 6)

     8,887       8,086       10,645  

Transfer agent fees and expenses
(Notes 6 and 7)

     19,418       3,751       32,555  

Audit and tax services fees

     23,260       18,911       18,732  

Custodian fees and expenses

     3,708       10,868       3,543  

Legal fees

     520       365       1,703  

Registration fees

     61,570       63,993       68,447  

Shareholder reporting expenses

     7,812       1,947       12,759  

Miscellaneous expenses (Note 8)

     7,018       6,328       6,957  
  

 

 

   

 

 

   

 

 

 

Total expenses

     315,250       244,073       1,017,481  

Less waiver and/or expense reimbursement (Note 6)

     (89,681     (87,294     (73,236
  

 

 

   

 

 

   

 

 

 

Net expenses

     225,569       156,779       944,245  
  

 

 

   

 

 

   

 

 

 

Net investment income

     552,381       127,470       506,361  
  

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS

      

Net realized gain (loss) on:

 

Investments

     1,017,088       479,329       2,532,718  

Options written

     21,803             (60,277

Foreign currency transactions (Note 2c)

           1,712        

Net change in unrealized appreciation (depreciation) on:

      

Investments

     (1,930,063     (145,011     6,022,712  

Options written

     1,825             1,150,696  

Foreign currency transactions (Note 2c)

           (1,011      
  

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments, options written and foreign currency transactions

     (889,347     335,019       9,645,849  
  

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (336,966   $ 462,489     $ 10,152,210  
  

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

27  |


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|  28


Table of Contents

Statements of Changes in Net Assets

 

       Loomis Sayles Dividend
Income Fund
 
       Six Months
Ended
May 31,
2018
(Unaudited)
     Year Ended
November 30,
2017
 

FROM OPERATIONS:

       

Net investment income

     $ 552,381      $ 1,276,324  

Net realized gain on investments, options written and foreign currency transactions

       1,038,891        1,657,611  

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

       (1,928,238      2,197,112  
    

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

       (336,966      5,131,047  
    

 

 

    

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

       

Net investment income

       

Class A

       (215,794      (366,391

Class C

       (72,938      (150,359

Class N

       (16      (16

Class Y

       (284,409      (525,416

Net realized capital gains

       

Class A

       (605,908      (26,949

Class C

       (316,697      (12,460

Class N

       (39       

Class Y

       (739,011      (30,883
    

 

 

    

 

 

 

Total distributions

       (2,234,812      (1,112,474
    

 

 

    

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)

       (6,898,278      6,456,317  
    

 

 

    

 

 

 

Net increase (decrease) in net assets

       (9,470,056      10,474,890  

NET ASSETS

       

Beginning of the period

       45,561,900        35,087,010  
    

 

 

    

 

 

 

End of the period

     $ 36,091,844      $ 45,561,900  
    

 

 

    

 

 

 

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME

     $ 90,401      $ 111,177  
    

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Table of Contents

Statements of Changes in Net Assets (continued)

 

 

 

    
Loomis Sayles Global Growth Fund
    Vaughan Nelson Select Fund  
Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
 
     
$ 127,470     $ 52,478     $ 506,361     $ 766,365  
  481,041       501,578      
    
2,472,441

 
    14,787,021  
  (146,022     3,130,805      
    
7,173,408

 
    13,647,695  

 

 

   

 

 

   

 

 

   

 

 

 
  462,489       3,684,861       10,152,210       29,201,081  

 

 

   

 

 

   

 

 

   

 

 

 
     
     
  (2,956     (578     (119,484     (9,096
        (7            
  (5           (10      
  (55,031     (44,506     (1,174,471     (277,073
     
  (44,924     (3,916     (1,596,388     (328,006
  (4,651     (498     (530,390     (124,325
  (36           (82      
  (485,507     (200,228     (10,702,893     (1,583,641

 

 

   

 

 

   

 

 

   

 

 

 
  (593,110     (249,733     (14,123,718     (2,322,141

 

 

   

 

 

   

 

 

   

 

 

 
  36,207,211       4,281,483      
    
40,427,136

 
    (5,953,310

 

 

   

 

 

   

 

 

   

 

 

 
  36,076,590       7,716,611       36,455,628       20,925,630  
     
  17,728,718       10,012,107       153,443,644       132,518,014  

 

 

   

 

 

   

 

 

   

 

 

 
$ 53,805,308     $ 17,728,718     $ 189,899,272     $ 153,443,644  

 

 

   

 

 

   

 

 

   

 

 

 
$ 116,046     $ 46,568         
$

(218,462

  $ 569,142  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Loomis Sayles Dividend Income Fund—Class A  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 11.77     $ 10.70     $ 11.35     $ 13.02     $ 12.87     $ 10.43  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.15       0.32       0.35       0.34       0.51 (b)      0.32  

Net realized and unrealized gain (loss)

    (0.27     1.03       0.53       (0.58     0.91       2.47  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.12     1.35       0.88       (0.24     1.42       2.79  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.16     (0.26     (0.34     (0.33     (0.50     (0.33

Net realized capital gains

    (0.43     (0.02     (1.19     (1.10     (0.77     (0.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.59     (0.28     (1.53     (1.43     (1.27     (0.35
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.06     $ 11.77     $ 10.70     $ 11.35     $ 13.02     $ 12.87  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)(d)

    (1.04 )%(e)      12.76     9.26     (1.89 )%      11.95 %(b)      27.35

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 14,019     $ 16,518     $ 14,236     $ 11,329     $ 7,569     $ 5,978  

Net expenses(f)

    1.10 %(g)      1.10     1.16 %(h)      1.20     1.20     1.20

Gross expenses

    1.55 %(g)      1.42     1.51     1.60     1.67     1.55

Net investment income

    2.75 %(g)      2.82     3.46     2.96     4.03 %(b)      2.70

Portfolio turnover rate

    14     40     35     51     65     45

 

(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) A sales charge for Class A shares is not reflected in total return calculations.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.
(h) Effective July 1, 2016, the expense limit decreased from 1.20% to 1.10%.

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Dividend Income Fund—Class C  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 11.70     $ 10.65     $ 11.30     $ 12.98     $ 12.81     $ 10.42  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.11       0.24       0.27       0.26       0.44 (b)      0.25  

Net realized and unrealized gain (loss)

    (0.28     1.02       0.53       (0.58     0.89       2.45  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.17     1.26       0.80       (0.32     1.33       2.70  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.11     (0.19     (0.26     (0.26     (0.39     (0.29

Net realized capital gains

    (0.43     (0.02     (1.19     (1.10     (0.77     (0.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.54     (0.21     (1.45     (1.36     (1.16     (0.31
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 10.99     $ 11.70     $ 10.65     $ 11.30     $ 12.98     $ 12.81  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)(d)

    (1.45 )%(e)      11.87     8.48     (2.64 )%      11.14 %(b)      26.40

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 5,792     $ 8,525     $ 5,505     $ 3,744     $ 1,716     $ 5,260  

Net expenses(f)

    1.85 %(g)      1.85     1.90 %(h)      1.95     1.95     1.95

Gross expenses

    2.30 %(g)      2.17     2.26     2.35     2.42     2.21

Net investment income

    1.96 %(g)      2.11     2.68     2.21     3.54 %(b)      2.03

Portfolio turnover rate

    14     40     35     51     65     45

 

(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) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.
(h) Effective July 1, 2016, the expense limit decreased from 1.95% to 1.85%.

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Dividend Income Fund—Class N  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Period Ended
November 30,
2017*
 

Net asset value, beginning of the period

  $ 11.78     $ 11.37  
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.17       0.24  

Net realized and unrealized gain (loss)

    (0.27     0.35  
 

 

 

   

 

 

 

Total from Investment Operations

    (0.10     0.59  
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.18     (0.18

Net realized capital gains

    (0.43      
 

 

 

   

 

 

 

Total Distributions

    (0.61     (0.18
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.07     $ 11.78  
 

 

 

   

 

 

 

Total return(b)(c)

    (0.89 )%      5.26

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 1     $ 1  

Net expenses(d)(e)

    0.80     0.80

Gross expenses(e)

    27.60     14.68

Net investment income(e)

    3.10     3.16

Portfolio turnover rate

    14     40 %(f) 

 

* From commencement of Class operations on March 31, 2017 through November 30, 2017.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.
(f) Represents the Fund’s portfolio turnover rate for year ended November 30, 2017.

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Dividend Income Fund—Class Y  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 11.78     $ 10.71     $ 11.36     $ 13.03     $ 12.88     $ 10.44  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.17       0.35       0.37       0.35       0.56 (b)      0.35  

Net realized and unrealized gain (loss)

    (0.29     1.03       0.53       (0.56     0.90       2.47  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    (0.12     1.38       0.90       (0.21     1.46       2.82  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.17     (0.29     (0.36     (0.36     (0.54     (0.36

Net realized capital gains

    (0.43     (0.02     (1.19     (1.10     (0.77     (0.02
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.60     (0.31     (1.55     (1.46     (1.31     (0.38
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 11.06     $ 11.78     $ 10.71     $ 11.36     $ 13.03     $ 12.88  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    (1.00 )%(d)      13.03     9.53     (1.64 )%      12.22 %(b)      27.63

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 16,280     $ 20,518     $ 15,345     $ 10,588     $ 22,545     $ 13,917  

Net expenses(e)

    0.85 %(f)      0.85     0.90 %(g)      0.95     0.95     0.95

Gross expenses

    1.30 %(f)      1.16     1.26     1.32     1.41     1.34

Net investment income

    3.00 %(f)      3.07     3.62     2.97     4.46 %(b)      2.97

Portfolio turnover rate

    14     40     35     51     65     45

 

(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) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(d) Periods less than one year are not annualized.
(e) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(f) Computed on an annualized basis for periods less than one year.
(g) Effective July 1, 2016, the expense limit decreased from 0.95% to 0.85%.

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Global Growth Fund—Class A  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Period Ended
November 30,
2016*
 

Net asset value, beginning of the period

  $ 13.44     $ 10.53     $ 10.00  
 

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income (loss)(a)

    0.04       (0.00 )(b)      0.00 (b) 

Net realized and unrealized gain (loss)

    0.35       3.15       0.53  
 

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.39       3.15       0.53  
 

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

    (0.03     (0.03      

Net realized capital gains

    (0.41     (0.21      
 

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.44     (0.24      
 

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.39     $ 13.44     $ 10.53  
 

 

 

   

 

 

   

 

 

 

Total return(c)(d)

    2.90 %(e)      30.63     5.30 %(e) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

  $ 1,805     $ 1,541     $ 195  

Net expenses(f)

    1.27 %(g)      1.29     1.30 %(g) 

Gross expenses

    1.86 %(g)      2.56     2.74 %(g) 

Net investment income (loss)

    0.56 %(g)      (0.00 )%(h)      0.00 %(g)(h) 

Portfolio turnover rate

    6     17     12

 

* From commencement of operations on March 31, 2016 through November 30, 2016.
(a) Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) A sales charge for Class A shares is not reflected in total return calculations.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.
(h) Amount rounds to less than 0.01%.

 

See accompanying notes to financial statements.

 

35  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Global Growth Fund—Class C  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Period Ended
November 30,
2016*
 

Net asset value, beginning of the period

  $ 13.30     $ 10.47     $ 10.00  
 

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment loss(a)

    (0.01     (0.09     (0.08

Net realized and unrealized gain (loss)

    0.35       3.13       0.55  
 

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.34       3.04       0.47  
 

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

          (0.00 )(b)       

Net realized capital gains

    (0.41     (0.21      
 

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.41     (0.21      
 

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.23     $ 13.30     $ 10.47  
 

 

 

   

 

 

   

 

 

 

Total return(c)(d)

    2.57 %(e)      29.67     4.70 %(e) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

  $ 280     $ 134     $ 25  

Net expenses(f)

    2.03 %(g)      2.04     2.05 %(g) 

Gross expenses

    2.61 %(g)      3.31     3.18 %(g) 

Net investment loss

    (0.14 )%(g)      (0.73 )%      (1.09 )%(g) 

Portfolio turnover rate

    6     17     12

 

* From commencement of operations on March 31, 2016 through November 30, 2016.
(a) Per share net investment loss has been calculated using the average shares outstanding during the period.
(b) Amount rounds to less than $0.01 per share.
(c) A contingent deferred sales charge for Class C shares is not reflected in total return calculations.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Periods less than one year are not annualized.
(f) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(g) Computed on an annualized basis for periods less than one year.

 

See accompanying notes to financial statements.

 

|  36


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Global Growth Fund—Class N  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Period Ended
November 30,
2017*
 

Net asset value, beginning of the period

  $ 13.49     $ 11.26  
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.07       0.03  

Net realized and unrealized gain (loss)

    0.33       2.20  
 

 

 

   

 

 

 

Total from Investment Operations

    0.40       2.23  
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.05      

Net realized capital gains

    (0.41      
 

 

 

   

 

 

 

Total Distributions

    (0.46      
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.43     $ 13.49  
 

 

 

   

 

 

 

Total return(b)(c)

    3.00     19.80

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 4,879     $ 1  

Net expenses(d)(e)

    1.00     1.00

Gross expenses(e)

    1.60     15.78

Net investment income(e)

    1.05     0.30

Portfolio turnover rate

    6     17 %(f) 

 

* From commencement of Class operations on March 31, 2017 through November 30, 2017.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.
(f) Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017.

 

See accompanying notes to financial statements.

 

37  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Loomis Sayles Global Growth Fund—Class Y  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Period Ended
November 30,
2016*
 

Net asset value, beginning of the period

  $ 13.48     $ 10.55     $ 10.00  
 

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

     

Net investment income(a)

    0.06       0.05       0.03  

Net realized and unrealized gain (loss)

    0.35       3.14       0.52  
 

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.41       3.19       0.55  
 

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

     

Net investment income

    (0.05     (0.05      

Net realized capital gains

    (0.41     (0.21      
 

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.46     (0.26      
 

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 13.43     $ 13.48     $ 10.55  
 

 

 

   

 

 

   

 

 

 

Total return(b)

    3.04 %(c)      30.96     5.50 %(c) 

RATIOS TO AVERAGE NET ASSETS:

     

Net assets, end of the period (000’s)

  $ 46,841     $ 16,053     $ 9,793  

Net expenses(d)

    1.03 %(e)      1.04     1.05 %(e) 

Gross expenses

    1.61 %(e)      2.31     2.55 %(e) 

Net investment income

    0.86 %(e)      0.40     0.45 %(e) 

Portfolio turnover rate

    6     17     12

 

* From commencement of operations on March 31, 2016 through November 30, 2016.
(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.

 

|  38


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Select Fund—Class A  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 18.59     $ 15.38     $ 14.82     $ 14.78     $ 14.22     $ 10.50  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income (loss)(a)

    0.04       0.06       0.03       0.01       (0.01     0.01 (b) 

Net realized and unrealized gain (loss)

    0.96       3.41       0.83       0.47       2.01       3.94  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    1.00       3.47       0.86       0.48       2.00       3.95  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.10     (0.01     (0.00 )(c)            (0.01      

Net realized capital gains

    (1.34     (0.25     (0.30     (0.44     (1.43     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.44     (0.26     (0.30     (0.44     (1.44     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 18.15     $ 18.59     $ 15.38     $ 14.82     $ 14.78     $ 14.22  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(d)

    5.74 %(e)(f)      22.86 %(f)      5.91 %(f)      3.31     15.31 %(f)      38.44 %(b)(f) 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 24,037     $ 22,268     $ 20,502     $ 15,794     $ 11,182     $ 9,468  

Net expenses

    1.24 %(g)(h)      1.28 %(h)(i)      1.34 %(h)(j)      1.40     1.40 %(h)      1.40 %(h) 

Gross expenses

    1.32 %(g)      1.33     1.37     1.40     1.62     1.96

Net investment income (loss)

    0.40 %(g)      0.39     0.18     0.05     (0.08 )%      0.05 %(b) 

Portfolio turnover rate

    16     66     64     35     64     112

 

(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) Periods less than one year are not annualized.
(f) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(g) Computed on an annualized basis for periods less than one year.
(h) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(i) Effective July 1, 2017, the expense limit decreased from 1.30% to 1.25%.
(j) Effective July 1, 2016, the expense limit decreased from 1.40% to 1.30%.

 

See accompanying notes to financial statements.

 

39  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Vaughan Nelson Select Fund—Class C  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 17.84     $ 14.87     $ 14.44     $ 14.52     $ 14.07     $ 10.47  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment loss(a)

    (0.03     (0.06     (0.08     (0.10     (0.11     (0.08 )(b) 

Net realized and unrealized gain (loss)

    0.92       3.28       0.81       0.46       1.99       3.91  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.89       3.22       0.73       0.36       1.88       3.83  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

                                   

Net realized capital gains

    (1.34     (0.25     (0.30     (0.44     (1.43     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.34     (0.25     (0.30     (0.44     (1.43     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 17.39     $ 17.84     $ 14.87     $ 14.44     $ 14.52     $ 14.07  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    5.31 %(d)(e)      21.96 %(e)      5.14 %(e)      2.52     14.54 %(e)      37.38 %(b)(e) 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 7,305     $ 7,429     $ 7,693     $ 5,607     $ 2,955     $ 1,118  

Net expenses

    1.99 %(f)(g)      2.03 %(g)(h)      2.09 %(g)(i)      2.15     2.15 %(g)      2.15 %(g) 

Gross expenses

    2.07 %(f)      2.08     2.12     2.15     2.35     2.76

Net investment loss

    (0.35 )%(f)      (0.37 )%      (0.58 )%      (0.69 )%      (0.84 )%      (0.62 )%(b) 

Portfolio turnover rate

    16     66     64     35     64     112

 

(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) Periods less than one year are not annualized.
(e) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(f) Computed on an annualized basis for periods less than one year.
(g) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(h) Effective July 1, 2017, the expense limit decreased from 2.05% to 2.00%.
(i) Effective July 1, 2016, the expense limit decreased from 2.15% to 2.05%.

 

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 N  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Period Ended
November 30,
2017*
 

Net asset value, beginning of the period

  $ 18.73     $ 16.28  
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.06       0.09  

Net realized and unrealized gain (loss)

    0.97       2.36  
 

 

 

   

 

 

 

Total from Investment Operations

    1.03       2.45  
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

   

Net investment income

    (0.15      

Net realized capital gains

    (1.34      
 

 

 

   

 

 

 

Total Distributions

    (1.49      
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 18.27     $ 18.73  
 

 

 

   

 

 

 

Total return(b)(c)

    5.90     15.05

RATIOS TO AVERAGE NET ASSETS:

   

Net assets, end of the period (000’s)

  $ 1     $ 1  

Net expenses(d)(e)

    0.95     0.97 %(f) 

Gross expenses(e)

    13.79     14.62

Net investment income(e)

    0.67     0.80

Portfolio turnover rate

    16     66 %(g) 

 

 

* From commencement of Class operations on March 31, 2017 through November 30, 2017.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.
(f) Effective July 1, 2017, the expense limit decreased from 1.00% to 0.95%.
(g) Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017.

 

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  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 18.71     $ 15.48     $ 14.90     $ 14.83     $ 14.24     $ 10.51  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.06       0.11       0.06       0.05       0.02       0.04 (b) 

Net realized and unrealized gain (loss)

    0.97       3.41       0.85       0.47       2.03       3.94  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    1.03       3.52       0.91       0.52       2.05       3.98  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.15     (0.04     (0.03     (0.01     (0.03     (0.02

Net realized capital gains

    (1.34     (0.25     (0.30     (0.44     (1.43     (0.23
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (1.49     (0.29     (0.33     (0.45     (1.46     (0.25
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 18.25     $ 18.71     $ 15.48     $ 14.90     $ 14.83     $ 14.24  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    5.86 %(c)(d)      23.13 %(d)      6.22 %(d)      3.56     15.66 %(d)      38.80 %(b)(d) 

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 158,556     $ 123,746     $ 104,324     $ 78,483     $ 54,095     $ 14,211  

Net expenses

    0.99 %(e)(f)      1.03 %(f)(g)      1.09 %(f)(h)      1.15     1.15 %(f)      1.15 %(f) 

Gross expenses

    1.07 %(e)      1.08     1.12     1.15     1.33     1.80

Net investment income

    0.64 %(e)      0.64     0.43     0.31     0.16     0.33 %(b) 

Portfolio turnover rate

    16     66     64     35     64     112

 

(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02, total return would have been 38.61%, and the ratio of net investment income to average net assets would have been 0.15%.
(c) Periods less than one year are not annualized.
(d) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(e) Computed on an annualized basis for periods less than one year.
(f) The 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) Effective July 1, 2017, the expense limit decreased from 1.05% to 1.00%.
(h) Effective July 1, 2016, the expense limit decreased from 1.15% to 1.05%.

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

 

May 31, 2018 (Unaudited)

 

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

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

Loomis Sayles Global Growth Fund (the “Global Growth Fund”)

Vaughan Nelson Select Fund (the “Select Fund”)

On December 30, 2017, Natixis Investment Managers, L.P. (“Natixis”) contributed $8,000,000 in additional seed money to the Global Growth Fund.

Each Fund is a diversified investment company, except for Select Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C, Class N and Class Y shares. Class T shares of the Funds are not currently available for purchase. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Effective June 1, 2018, Class C shares will automatically convert to Class A shares after 10 years. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

quotations. Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Funds will fair value S&P 500® Index options using the closing rotation values published by the CBOE. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s Net Asset Value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of May 31, 2018, purchased and written S&P 500® Index options held by Select Fund were fair valued at $825,000 and $(556,500), representing 0.4% and (0.3)% of net assets, respectively, using the closing rotation values published by the CBOE.

As of May 31, 2018, securities held by Global Growth Fund were fair valued as follows:

 

Equity

Securities1

  

Percentage of

Net Assets

 
$15,073,477      28.0

 

1 

Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

trade date. Dividend income, including income reinvested, 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. Dividends reinvested are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the 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 or eliminate 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.

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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

d.  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 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 or index 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 or index 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.

e.  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 May 31, 2018 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 six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses and return of capital and capital gain distributions received. Permanent book and tax basis differences relating to shareholder distributions, net investment income, and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, return of capital distributions received and options contract mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and 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 year ended November 30, 2017 was as follows:

 

     2017 Distributions Paid From:  

Fund

  

Ordinary

Income

    

Long-Term

Capital Gains

    

Total

 

Dividend Income Fund

   $ 1,075,908      $ 36,566      $ 1,112,474  

Global Growth Fund

     249,733               249,733  

Select Fund

     286,169        2,035,972        2,322,141  

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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 May 31, 2018, the cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

    

Dividend
Income Fund

   

Global Growth
Fund

   

Select Fund

 

Federal tax cost

   $ 33,682,372     $ 51,211,504     $ 158,060,829  
  

 

 

   

 

 

   

 

 

 

Gross tax appreciation

   $ 4,247,997     $ 4,242,348     $ 40,178,488  

Gross tax depreciation

     (1,925,830     (1,102,005     (4,734,051
  

 

 

   

 

 

   

 

 

 

Net tax appreciation

   $ 2,322,167     $ 3,140,343     $ 35,444,437  
  

 

 

   

 

 

   

 

 

 

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of May 31, 2018, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

   

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

 

   

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

 

   

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

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

The following is a summary of the inputs used to value the Funds’ investments as of May 31, 2018, at value:

Dividend Income Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 35,389,809     $   —      $   —      $ 35,389,809  

Preferred Stocks(a)

     612,419             612,419  
  

 

 

   

 

 

    

 

 

    

 

 

 

Total

   $ 36,002,228     $      $      $ 36,002,228  
  

 

 

   

 

 

    

 

 

    

 

 

 
Liability Valuation Inputs           

Description

  

Level 1

   

Level 2

    

Level 3

    

Total

 

Written Options(a)

   $ (125   $   —      $   —      $ (125
  

 

 

   

 

 

    

 

 

    

 

 

 

 

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

For the six months ended May 31, 2018, there were no transfers among Levels 1, 2 and 3.

 

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May 31, 2018 (Unaudited)

 

Global Growth Fund

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks

           

Brazil

   $ 986,981      $ 536,041      $   —      $ 1,523,022  

Denmark

            1,857,269               1,857,269  

France

            2,379,076               2,379,076  

Italy

            735,609               735,609  

Sweden

            918,183               918,183  

Switzerland

            3,469,313               3,469,313  

United Kingdom

            4,222,191               4,222,191  

United States

     27,220,938        955,795               28,176,733  

All Other Common Stocks(a)

     9,943,619                      9,943,619  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Common Stocks

     38,151,538        15,073,477               53,225,015  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments

            1,126,832               1,126,832  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 38,151,538      $ 16,200,309      $      $ 54,351,847  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For the six months ended May 31, 2018, 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)

   $ 179,705,776      $     $   —      $ 179,705,776  

Closed-End Investment Companies

     2,808,624                     2,808,624  

Purchased Options(a)

            825,000              825,000  

Short-Term Investments

            8,472,978              8,472,978  
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 182,514,400      $ 9,297,978     $      $ 191,812,378  
  

 

 

    

 

 

   

 

 

    

 

 

 
Liability Valuation Inputs  

Description

  

Level 1

    

Level 2

   

Level 3

    

Total

 

Written Options(a)

   $      $ (556,500   $      $ (556,500
  

 

 

    

 

 

   

 

 

    

 

 

 

 

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

For the six months ended May 31, 2018, there were no transfers among Levels 1, 2 and 3.

 

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4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Dividend Income Fund and Select Fund used during the period include option contracts.

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 six months ended May 31, 2018, the Fund engaged in written put and call options for both hedging and investment 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 purchased and written put options to hedge against a decline in values. The Fund may also use written call options to collect incremental income on an equity position it holds. During the six months ended May 31, 2018, the Fund engaged in purchased and written put options for hedging purposes.

The following is a summary of derivative instruments for the Dividend Income Fund as of May 31, 2018, as reflected within the Statements of Assets and Liabilities:

 

Liabilities

  

Options written
at value

 

Exchange-traded liability derivatives

 

Equity contracts

   $ (125

The following is a summary of derivative instruments for the Select Fund as of May 31, 2018, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Investments
at value
1

 

Exchange-traded asset derivatives

 

Equity contracts

     $825,000  

Liabilities

  

Options written
at value

 

Exchange-traded liability derivatives

 

Equity contracts

     $(556,500)  

 

1 

Represents purchased options, at value.

 

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May 31, 2018 (Unaudited)

 

Transactions in derivative instruments for Dividend Income Fund during the six months ended May 31, 2018, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Options written

 

Equity contracts

     $21,803  

Net Change in Unrealized Appreciation
(Depreciation) on:

  

Options written

 

Equity contracts

     $1,825  

Transactions in derivative instruments for Select Fund during the six months ended May 31, 2018, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Options written

Equity contracts

   $(60,277)

 

Net Change in Unrealized Appreciation
(Depreciation) on:

  

Investments2

  

Options written

 

Equity contracts

   $(1,374,000)      $1,150,696  

 

2 

Represents change in unrealized appreciation (depreciation) for purchased options during the period.

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.

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 six months ended May 31, 2018:

 

Dividend Income Fund**

  

Call Options

Written

    

Put Options

Written

 

Average Market Value of Underlying Securities

     0.25      0.90

Highest Market Value of Underlying Securities

     1.21      1.84

Lowest Market Value of Underlying Securities

     0.00      0.24

Market Value of Underlying Securities as of May 31, 2018

     0.00      0.89

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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 six months ended May 31, 2018:

 

Select Fund**

  

Put Options

Purchased

   

Call Options

Written

   

Put Options

Written

 

Average Market Value of Underlying Securities

     45.41     0.34     45.41

Highest Market Value of Underlying Securities

     45.33     0.00     45.33

Lowest Market Value of Underlying Securities

     42.74     0.00     42.74

Market Value of Underlying Securities as of May 31, 2018

     42.74     0.00     42.74

 

** 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 indices by multiplying option contracts by the contract multiplier by the price of the option’s underlying index.

Amounts outstanding at the end of the prior period are included in the average amount outstanding.

5.  Purchases and Sales of Securities.  For the six months ended May 31, 2018, purchases and sales of securities (excluding short-term investments, option contracts and U.S. Government/Agency securities and including paydowns) were as follows:

 

Fund

  

Purchases

    

Sales

 

Dividend Income Fund

   $ 5,498,158      $ 13,525,352  

Global Growth Fund

     37,206,994        1,856,456  

Select Fund

     48,601,457        27,389,327  

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Funds, except Select Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on average daily net assets:

 

Fund

  

Percentage of Average
Daily Net Assets

 

Dividend Income Fund

     0.60

Global Growth Fund

     0.80

Natixis Advisors, L.P. (“Natixis Advisors”), serves as investment adviser to the Select Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis, which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.85%, calculated daily and payable monthly, based on the

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

Fund’s average daily net assets. Effective July 1, 2018, the Fund pays a management fee at the annual rate of 0.80%, calculated daily and payable monthly, based on the Fund’s average daily net assets.

Natixis 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 Natixis Advisors are reduced by the amount of payments to Vaughan Nelson.

Loomis Sayles and Natixis 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, 2019, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended May 31, 2018, 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

     1.10     1.85     0.80     0.85

Global Growth Fund

     1.30     2.05     1.00     1.05

Select Fund

     1.25     2.00     0.95     1.00

Effective July 1, 2018, the expense limits as a percentage of average daily net assets under the expense limitation agreement for Select Fund are as follows:

 

     Expense Limit as a Percentage of
Average Daily Net Assets
 

Fund

  

Class A

   

Class C

   

Class N

   

Class Y

 

Select Fund

     1.20     1.95     0.90     0.95

This undertaking is in effect until March 31, 2020, may be terminated before then only with the consent of the Fund’s Board of Trustees, and will be reevaluated on an annual basis.

Loomis Sayles and Natixis Advisors shall be permitted to recover expenses they have borne under the expense limitation agreements (whether through waiver of its

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended May 31, 2018, 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

  $ 121,235     $ 89,543     $     $ 31,692       0.60     0.16

Global Growth Fund

    120,101       83,666       3,486       32,949       0.80     0.22

Select Fund

    758,453       60,993       12,167       685,293       0.85     0.77

 

1 

Contractual management fee waivers are subject to possible recovery until November 30, 2019.

2 

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

No expenses were recovered for any of the Funds during the six months ended May 31, 2018 under the terms of the expense limitation agreements.

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

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

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

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

Under the Class C Plans, each Fund pays Natixis Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the

 

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May 31, 2018 (Unaudited)

 

Fund’s Class C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

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

For the six months ended May 31, 2018, 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

   $ 19,041      $ 8,456      $ 25,366  

Global Growth Fund

     2,053        253        758  

Select Fund

     28,554        8,890        26,671  

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

For the six months ended May 31, 2018, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative
Fees

 

Dividend Income Fund

   $ 8,959  

Global Growth Fund

     6,659  

Select Fund

     39,572  

Effective July 1, 2018, each Fund pays Natixis 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

 

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

For the six months ended May 31, 2018, 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

   $ 14,558  

Global Growth Fund

     1,142  

Select Fund

     26,880  

As of May 31, 2018, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):

 

Fund

  

Reimbursements of
Sub-Transfer Agent
Fees

 

Dividend Income Fund

   $ 268  

Global Growth Fund

     44  

Select Fund

     608  

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

 

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e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended May 31, 2018 were as follows:

 

Fund

  

Commissions

 

Dividend Income Fund

   $ 2,732  

Global Growth Fund

     821  

Select Fund

     864  

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $340,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $170,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $12,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2018, the Chairperson of the Board received a retainer fee at the annual rate of $325,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $155,000, the chairperson of the Contract Review Committee and Audit Committee each received an additional retainer fee at the annual rate of $17,500 and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $10,000. All other Trustee fees remained 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 on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Natixis ETF

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

g.  Payment by Affiliates.  During the six months ended May 31, 2018, Loomis Sayles reimbursed Dividend Income Fund $549 in connection with a trading error.

h.  Affiliated Ownership.  As of May 31, 2018, Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) and Natixis and affiliates held shares of the Funds representing the following percentages of the Funds’ net assets:

 

Fund

  

Retirement Plan

   

Natixis

   

Total Affiliated

Ownership

 

Dividend Income Fund

     4.06     Less than 0.01     4.06%  

Global Growth Fund

           28.39%       28.39%  

Select Fund

           Less than 0.01     Less than 0.01

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

i.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to the Funds to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through March 31, 2019 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended May 31, 2018, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:

 

Fund

  

Reimbursement

of Transfer

Agency Expenses

 
    

Class N

 

Dividend Income Fund

   $ 138  

Global Growth Fund

     142  

Select Fund

     76  

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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

For the six months ended May 31, 2018, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

     Transfer Agent Fees and Expenses  

Fund

  

Class A

    

Class C

    

Class N

    

Class Y

 

Dividend Income Fund

   $ 7,243      $ 3,247      $ 138      $ 8,790  

Global Growth Fund

     217        27        142        3,365  

Select Fund

     4,170        1,301        76        27,008  

8.  Line of Credit.  Effective April 12, 2018, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 12, 2018, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund was able borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate did not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.15% per annum, payable on the last business day of each month, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended May 31, 2018, none of the Funds had borrowings under these agreements.

9.  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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

agreements and are included in realized gains on investments on the Statements of Operations. For the six months ended May 31, 2018, amounts rebated under these agreements were as follows:

 

Fund

   Rebates  

Dividend Income Fund

   $ 778  

Effective March 9, 2018, the brokerage commission recapture program was terminated.

10.  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 Select Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

11.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of May 31, 2018, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Funds’ total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:

 

Fund

  

Number of 5%

Non-Affiliated

Account

Holders

    

Percentage of

Non-Affiliated

Ownership

   

Percentage

of Affiliated

Ownership

(Note 6h)

   

Total

Percentage of

Ownership

 

Dividend Income Fund

     3        39.96           39.96

Global Growth Fund

     2        40.46     28.39     68.85

Select Fund

     3        34.25           34.25

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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

 

    
Six Months Ended
May 31, 2018

 
   
Year Ended
November 30, 2017(a)

 

Dividend Income Fund

     Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

     98,573     $ 1,130,884       644,788     $ 7,242,601  

Issued in connection with the reinvestment of distributions

     70,350       789,199       32,753       372,907  

Redeemed

     (304,227     (3,496,945     (604,204     (6,827,947
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (135,304   $ (1,576,862     73,337     $ 787,561  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     45,148     $ 524,292       466,797     $ 5,160,586  

Issued in connection with the reinvestment of distributions

     33,790       378,437       13,559       153,911  

Redeemed

     (280,593     (3,225,727     (268,704     (3,044,582
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (201,655   $ (2,322,998     211,652     $ 2,269,915  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N         

Issued from the sale of shares

         $       88     $ 1,001  

Issued in connection with the reinvestment of distributions

     5       55       1       16  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     5     $ 55       89     $ 1,017  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     71,484     $ 803,916       1,305,162     $ 14,627,024  

Issued in connection with the reinvestment of distributions

     90,743       1,017,774       48,460       552,167  

Redeemed

     (432,803     (4,820,163     (1,044,301     (11,781,367
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     (270,576   $ (2,998,473     309,321     $ 3,397,824  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     (607,530   $ (6,898,278     594,399     $ 6,456,317  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on March 31, 2017 through November 30, 2017 for Class N shares.

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

12.  Capital Shares (continued).

 

    
Six Months Ended
May 31, 2018

 
   
Year Ended
November 30, 2017(a)

 

Global Growth Fund

     Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

     34,064     $ 458,705       110,685     $ 1,346,389  

Issued in connection with the reinvestment of distributions

     3,442       45,503       433       4,494  

Redeemed

     (17,328     (236,448     (15,006     (194,373
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     20,178     $ 267,760       96,112     $ 1,156,510  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C  

Issued from the sale of shares

     11,628     $ 155,285       9,171     $ 113,252  

Issued in connection with the reinvestment of distributions

     355       4,651       49       505  

Redeemed

     (831     (11,339     (1,524     (19,643
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     11,152     $ 148,597       7,696     $ 94,114  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N  

Issued from the sale of shares

     370,192     $ 5,037,806       89     $ 1,001  

Issued in connection with the reinvestment of distributions

     3       41              

Redeemed

     (7,126     (93,892            
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     363,069     $ 4,943,955       89     $ 1,001  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y  

Issued from the sale of shares

     2,500,875     $ 33,637,650       405,138     $ 4,736,808  

Issued in connection with the reinvestment of distributions

     40,764       540,127       23,577       244,734  

Redeemed

     (245,243     (3,330,878     (166,027     (1,951,684
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     2,296,396     $ 30,846,899       262,688     $ 3,029,858  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     2,690,795     $ 36,207,211       366,585     $ 4,281,483  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on March 31, 2017 through November 30, 2017 for Class N shares.

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

12.  Capital Shares (continued).

 

    
Six Months Ended
May 31, 2018

 
   
Year Ended
November 30, 2017(a)

 

Select Fund

     Shares       Amount       Shares       Amount  
Class A  

Issued from the sale of shares

     111,996     $ 1,997,628       198,986     $ 3,285,770  

Issued in connection with the reinvestment of distributions

     91,854       1,591,840       19,215       294,183  

Redeemed

     (77,421     (1,383,768     (353,261     (5,863,901
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     126,429     $ 2,205,700       (135,060   $ (2,283,948
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C  

Issued from the sale of shares

     40,848     $ 691,708       65,289     $ 1,031,341  

Issued in connection with the reinvestment of distributions

     27,460       457,492       7,207       106,591  

Redeemed

     (64,815     (1,117,683     (173,330     (2,729,372
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     3,493     $ 31,517       (100,834   $ (1,591,440
  

 

 

   

 

 

   

 

 

   

 

 

 
Class N  

Issued from the sale of shares

         $       61     $ 1,001  

Issued in connection with the reinvestment of distributions

     6       92              
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     6     $ 92       61     $ 1,001  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y  

Issued from the sale of shares

     2,123,975     $ 39,373,030       1,416,626     $ 23,320,670  

Issued in connection with the reinvestment of distributions

     649,091       11,300,753       114,285       1,756,565  

Redeemed

     (699,580     (12,483,956     (1,657,855     (27,156,158
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     2,073,486     $ 38,189,827       (126,944   $ (2,078,923
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     2,203,414     $ 40,427,136       (362,777   $ (5,953,310
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on March 31, 2017 through November 30, 2017 for Class N shares.

13.  Subsequent Event.  On June 8, 2018, the Board of Trustees approved a plan to liquidate the Dividend Income Fund. Such liquidation will take place on or about August 30, 2018.

 

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LOGO

 

LOGO

 

Semiannual Report

May 31, 2018

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     10  
Financial Statements     29  
Notes to Financial Statements     36  

 

LOGO


Table of Contents

LOOMIS SAYLES SENIOR FLOATING RATE AND FIXED INCOME FUND

 

Managers:   Symbols:
Kevin J. Perry   Class A    LSFAX
John R. Bell   Class C    LSFCX
Michael L. Klawitter, CFA® *   Class N    LSFNX
Loomis, Sayles & Company, L.P.  

Class Y    LSFYX

 

* Michael Klawitter joined the portfolio management team on July 12, 2018.

 

 

Investment Goal

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

 

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Table of Contents

Average Annual Total Returns — May 31, 20184

 

             
                                   Expense Ratios5  
     6 Months     1 Year     5 Years     Life of Class     Gross     Net  
     
Class Y (Inception 9/30/11)1           Class A/C/Y       Class N        
NAV     2.38     4.78     4.45     6.28         0.83     0.80
     
Class A (Inception 9/30/11)                
NAV     2.26       4.53       4.17       6.01             1.08       1.05  
With 3.50% Maximum Sales Charge     -1.33       0.88       3.42       5.44              
     
Class C (Inception 9/30/11)                
NAV     1.89       3.76       3.39       5.23             1.83       1.80  
With CDSC2     0.90       2.77       3.39       5.23              
     
Class N (Inception 3/31/2017)                
NAV     2.30       4.83                   4.83       0.92       0.75  
   
Comparative Performance                
S&P/LSTA Leveraged Loan Index3     2.44       4.20       3.85       5.21       4.30                  

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

 

1 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 The S&P/LSTA Leveraged Loan Index (LLI) covers loan facilities and reflects the market-value-weighted performance of U.S. dollar-denominated institutional leveraged loans.

 

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

 

5 Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 3/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense caps.

 

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ADDITIONAL INFORMATION

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

ADDITIONAL INDEX INFORMATION

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

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

PROXY VOTING INFORMATION

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

QUARTERLY PORTFOLIO SCHEDULES

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

 

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

The first line in the table 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 December 1, 2017 through May 31, 2018. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

 

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Table of Contents
LOOMIS SAYLES SENIOR FLOATING
RATE AND FIXED INCOME FUND
  BEGINNING
ACCOUNT VALUE
12/1/2017
    ENDING
ACCOUNT VALUE
5/31/2018
    EXPENSES PAID
DURING PERIOD*
12/1/2017 – 5/31/2018
 
Class A        
Actual     $1,000.00       $1,022.60       $5.29  
Hypothetical (5% return before expenses)     $1,000.00       $1,019.70       $5.29  
Class C        
Actual     $1,000.00       $1,018.90       $9.06  
Hypothetical (5% return before expenses)     $1,000.00       $1,015.96       $9.05  
Class N        
Actual     $1,000.00       $1,023.00       $3.78  
Hypothetical (5% return before expenses)     $1,000.00       $1,021.19       $3.78  
Class Y        
Actual     $1,000.00       $1,023.80       $4.04  
Hypothetical (5% return before expenses)     $1,000.00       $1,020.94       $4.03  

 

* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

 

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Table of Contents

BOARD APPROVAL OF THE EXISTING

ADVISORY AGREEMENT

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

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

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

 

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Table of Contents

Fund against similarly categorized funds. The portfolio management team for the Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and if the Fund is identified as presenting possible performance concerns it may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter, the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreement for a one-year period at its meeting held in June 2018. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Fund.

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

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

Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmark. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that measured the performance of the Fund on a risk adjusted basis.

The Board noted that, through December 31, 2017, the Fund’s one-, three- and five- year performance, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

    

One-Year

   

Three-Year

   

Five-Year

 

Loomis Sayles Senior Floating Rate and Fixed Income Fund

     9     8     4

 

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

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the performance of the Fund and the Adviser and/or other relevant factors supported the renewal of the Agreement.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory and administrative services as well as the total expense level of the Fund. This information included comparisons (provided both by management and by an independent third party) of the Fund’s advisory fee and total expense level to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Fund has an expense cap in place and they considered the amounts waived or reimbursed by the Adviser for the Fund under the cap.

The Trustees also noted that the Fund’s total advisory fee rate was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including that the Fund’s advisory fee rate was only one basis point above its peer group median.

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

 

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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although the Fund’s advisory fee was not subject to breakpoints, the Fund was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

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

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

 

·  

The effect of recent market and economic events on the performance, asset levels and expense ratios of the Fund.

 

·  

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

 

·  

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

 

·  

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2019.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

Principal
Amount
     Description    Value (†)  
  Senior Loans — 87.4% of Net Assets  
   Aerospace & Defense — 1.4%  
$ 12,253,349      Advanced Integration Technology LP, 2017 Term Loan B, 3-month LIBOR + 4.750%, 6.735%, 3/21/2023(a)    $ 12,253,349  
  10,986,975      Constellis Holdings LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 5.000%, 7.302%, 4/21/2024(b)      11,110,579  
  4,331,235      CPI International, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 7/26/2024(b)      4,342,063  
  4,717,180      Engility Corp., Term Loan B2, 1-month LIBOR + 2.750%, 4.730%, 8/12/2023(b)      4,714,255  
  3,744,335      EXC Holdings III Corp., USD 2017 1st Lien Term Loan, 6-month LIBOR + 3.500%, 5.161%, 12/02/2024(b)      3,773,991  
  11,171,889      MHVC Acquisition Corp., 2017 Term Loan, 3-month LIBOR + 5.250%, 7.560%, 4/29/2024(b)      11,213,783  
  5,667,964      WP CPP Holdings LLC, 2018 Term Loan, 6-month LIBOR + 3.750%, 6.280%, 4/30/2025(b)      5,690,976  
     

 

 

 
     53,098,996  
     

 

 

 
   Automotive — 4.9%  
  11,578,000      Autodata, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.184%, 12/13/2024(b)      11,549,055  
  9,833,348      BBB Industries U.S. Holdings, Inc., Term B Loan (First Lien), 1-month LIBOR + 4.500%, 6.480%, 11/03/2021(b)      9,907,098  
  1,671,000      Bright Bidco B.V., 2018 Term Loan B, 6/30/2024(c)      1,665,152  
  11,379,012      Bright Bidco B.V., 2018 Term Loan B, LIBOR + 3.500%, 5.746%, 6/30/2024(d)      11,339,186  
  17,489,253      Capital Automotive LP, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.990%, 3/24/2025(b)      17,751,592  
  13,948,696      Dayco Products LLC, 2017 Term Loan B, 3-month LIBOR + 5.000%, 7.307%, 5/19/2023(b)      13,983,568  
  738,750      DexKo Global Inc., 2018 USD Incremental Term Loan, 3.500%, 7/24/2024(e)      742,909  
  443,250      DexKo Global Inc., 2018 USD Incremental Term Loan, 3-month LIBOR + 3.500%, 5.802%, 7/24/2024(b)      445,746  
  11,172,000      DexKo Global, Inc., 2018 USD Term Loan, 3-month LIBOR + 3.500%, 5.802%, 7/24/2024(b)      11,266,292  
  12,098,347      Innovative Xcessories & Services LLC, Term Loan B, 1-month LIBOR + 4.750%, 6.700%, 11/29/2022(b)      12,098,347  
  14,142,450      K&N Engineering, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.730%, 10/19/2023(b)      14,071,738  
  11,712,000      L&W, Inc., 2018 Term Loan B, 1-month LIBOR + 4.000%, 5.953%, 5/17/2025(b)      11,682,720  
  9,608,754      Sage Automotive Interiors, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.980%, 10/27/2022(b)      9,656,797  
  12,547,244      Solera LLC, USD Term Loan B, 1-month LIBOR + 2.750%, 4.730%, 3/03/2023(b)      12,578,612  
  9,932,000      Trico Group LLC, 2018 Term Loan, 3-month LIBOR + 6.500%, 8.807%, 2/02/2024(b)      9,981,660  
  14,238,405      Truck Hero, Inc., 2018 1st Lien Term Loan, 4/22/2024(c)      14,256,203  
  9,910,491      U.S. Farathane LLC, 2017 Term Loan B4, 3-month LIBOR + 3.500%, 5.802%, 12/23/2021(b)      9,885,715  
  13,859,091      Wand Intermediate I LP, 2nd Lien Term Loan, 6-month LIBOR + 7.250%, 9.138%, 9/19/2022(b)      13,928,386  
     

 

 

 
     186,790,776  
     

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Brokerage — 0.2%   
$ 9,111,913      Edelman Financial Group (The), 2017 Term Loan B, 6-month LIBOR + 4.250%, 6.732%, 11/11/2024(b)    $ 9,148,908  
     

 

 

 
   Building Materials — 2.8%  
  2,144,625      Atkore International, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 2.750%, 5.060%, 12/22/2023(b)      2,149,601  
  19,711,645      CPG International, Inc., 2017 Term Loan, 6-month LIBOR + 3.750%, 5.593%, 5/03/2024(b)      19,797,982  
  15,675,888      DiversiTech Holdings, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.310%, 6/03/2024(b)      15,626,980  
  5,978,000      Encapsys LLC, 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.230%, 11/07/2024(b)      5,996,711  
  10,664,000      Interior Logic Group, Inc., 2018 Term Loan B, 5/21/2025(c)      10,637,340  
  13,456,000      Janus International Group LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.980%, 2/12/2025(b)      13,313,097  
  7,095,480      Mannington Mills, Inc., Term Loan B, 3-month LIBOR + 3.750%, 6.052%, 10/01/2021(b)      7,130,957  
  10,978,362      Morsco, Inc., Term Loan B, 1-month LIBOR + 7.000%, 8.980%, 10/31/2023(b)      11,088,146  
  4,485,600      VC GB Holdings, Inc., 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.980%, 2/28/2025(b)      4,530,456  
  15,199,117      Wilsonart LLC, 2017 Term Loan B, 3-month LIBOR + 3.250%, 5.560%, 12/19/2023(b)      15,234,379  
     

 

 

 
     105,505,649  
     

 

 

 
   Chemicals — 1.0%  
  1,245,371      ASP Chromaflo Dutch I BV, Term Loan B2, 1-month LIBOR + 3.500%, 5.480%, 11/18/2023(b)      1,250,041  
  3,030,000      ASP Chromaflo Intermediate Holdings, Inc., 2016 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.980%, 11/14/2024(b)      3,022,425  
  957,742      ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1, 1-month LIBOR + 3.500%, 5.480%, 11/18/2023(b)      961,333  
  2,894,711      DuBois Chemicals, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.250%, 5.230%, 3/15/2024(b)      2,905,566  
  9,887,999      Plaskolite, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.811%, 11/03/2022(a)      9,875,640  
  6,768,283      Prince Minerals, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.802%, 3/20/2025(b)      6,812,683  
  13,135,836      Transcendia, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 5/30/2024(b)      13,185,095  
     

 

 

 
     38,012,783  
     

 

 

 
   Construction Machinery — 0.3%  
  3,266,549      Onsite Rental Group Pty Ltd., PIK Term Loan B, 6.100%, 10/26/2023, 144A(f)(g)(h)(i)      2,515,243  
  2,389,195      Onsite Rental Group Pty Ltd., Term Loan B, 1-month LIBOR + 4.500%, 5.500%, 10/26/2022(b)      2,341,412  
  6,595,993      Utility One Source LP, Term Loan B, 1-month LIBOR + 5.500%, 7.480%, 4/18/2023(b)      6,711,423  
     

 

 

 
     11,568,078  
     

 

 

 

 

See accompanying notes to financial statements.

 

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Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Consumer Cyclical Services — 7.9%  
$ 10,411,744      Access CIG LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.730%, 2/27/2025(b)    $ 10,450,892  
  483,039      Access CIG LLC, 2018 2nd Lien Delayed Draw Term Loan, 3.875%, 2/27/2026(e)      484,551  
  8,991,961      Access CIG LLC, 2018 2nd Lien Term Loan, 1-month LIBOR + 7.750%, 9.730%, 2/27/2026(b)      9,020,106  
  1,297,256      Access CIG LLC, 2018 Delayed Draw Term Loan, 0.500%, 2/27/2025(e)      1,302,134  
  14,246,327      Allied Universal Holdco LLC, 2015 Term Loan, 3-month LIBOR + 3.750%, 6.052%, 7/28/2022(b)      14,017,816  
  6,072,991      ASP MCS Acquisition Corp., Term Loan B, 1-month LIBOR + 4.750%, 6.730%, 5/18/2024(b)      6,042,626  
  13,975,225      Boing U.S. Holdco, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.613%, 10/03/2024(b)      14,036,436  
  5,920,667      Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, 3-month LIBOR + 7.500%, 9.863%, 10/03/2025(b)      5,905,865  
  17,046,015      ConvergeOne Holdings Corp., 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.730%, 4/04/2025(b)      17,035,446  
  6,723,613      DG Investment Intermediate Holdings 2, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.302%, 2/03/2025(b)      6,694,231  
  1,890,000      DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan, 3-month LIBOR + 6.750%, 9.052%, 2/02/2026(b)      1,899,450  
  516,277      DG Investment Intermediate Holdings 2, Inc., 2018 Delayed Draw Term Loan, 3.000%, 2/03/2025(e)      514,021  
  204,110      DG Investment Intermediate Holdings 2, Inc., 2018 Delayed Draw Term Loan, 1-month LIBOR + 3.000%, 4.980%, 2/03/2025(b)      203,218  
  19,945,656      DTI Holdco, Inc., 2018 Term Loan B, 1-month LIBOR + 4.750%, 6.730%, 9/30/2023(b)      19,870,859  
  30,333,236      DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.572%, 11/04/2021(a)      30,310,486  
  16,884,362      Duff & Phelps Corp., 2017 Term Loan B, 3-month LIBOR + 3.250%, 5.552%, 2/13/2025(b)      16,863,256  
  5,452,836      Garda World Security Corp., 2017 Term Loan, 3-month LIBOR + 3.500%, 5.506%, 5/24/2024(b)      5,481,790  
  14,107,262      Imagine! Print Solutions, Inc., 2017 Term Loan, 3-month LIBOR + 4.750%, 7.060%, 6/21/2022(b)      12,696,535  
  7,435,365      LegalZoom.com, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.448%, 11/21/2024(b)      7,491,130  
  13,927,579      Mister Car Wash Holdings, Inc., Term Loan B, 6-month LIBOR + 3.250%, 5.703%, 8/20/2021(b)      13,971,172  
  7,796,000      National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.748%, 5/23/2025(b)      7,776,510  
  6,287,000      PricewaterhouseCoopers LLP, 2018 Term Loan, 3-month LIBOR + 3.250%, 5.157%, 5/01/2025(b)      6,318,435  
  3,654,000      Prometric Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.990%, 1/29/2025(b)      3,672,270  
  4,467,000      SMG Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.230%, 1/23/2025(b)      4,480,044  

 

See accompanying notes to financial statements.

 

|  12


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Consumer Cyclical Services — continued  
$ 8,115,029      Southern Graphics, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 12/31/2022(b)    $ 8,118,437  
  5,265,212      Sterling Infosystems, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 6/20/2022(b)      5,238,886  
  4,565,076      STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, 1-month LIBOR + 5.250%, 7.230%, 6/30/2022(b)      4,553,663  
  1,897,000      Stiphout Finance LLC, USD 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.980%, 10/26/2022(b)      1,896,412  
  10,064,615      TruGreen LP, 2017 Term Loan, 1-month LIBOR + 4.000%, 5.929%, 4/13/2023(b)      10,165,261  
  3,059,894      TwentyEighty, Inc., PIK Term Loan B, 4.000%, 3/31/2020(h)(j)(k)      2,937,498  
  2,219,953      TwentyEighty, Inc., PIK Term Loan C, 0.250%, 3/31/2020(h)(j)(k)      2,131,155  
  13,268,047      U.S. Security Associates Holdings, Inc., 2016 Term Loan, 3-month LIBOR + 3.500%, 5.802%, 7/14/2023(b)      13,327,754  
  9,030,285      Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.980%, 12/19/2023(b)      9,030,285  
  23,586      Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, Prime + 3.000%, 7.750%, 12/19/2023(b)      23,586  
  9,568,266      West Corp., 2017 Term Loan, 1-month LIBOR + 4.000%, 5.980%, 10/10/2024(b)      9,549,512  
  3,240,000      West Corp., 2018 Term Loan B1, 1-month LIBOR + 3.500%, 5.480%, 10/10/2024(b)      3,210,484  
  5,361,502      William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.740%, 5/18/2025(b)      5,324,669  
  6,311,113      Xerox Business Services LLC, USD Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 12/07/2023(b)      6,347,907  
     

 

 

 
     298,394,788  
     

 

 

 
   Consumer Products — 5.7%  
  35,996,740      Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 1-month LIBOR + 6.500%, 8.480%, 7/25/2022(b)      33,236,870  
  12,864,259      Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 9/26/2024(b)      11,372,005  
  15,527,147      Augusta Sportswear Group, Inc., Term Loan B, 1-month LIBOR + 4.500%, 6.480%, 10/26/2023(b)(f)(i)      14,207,340  
  7,290,365      Global Appliance, Inc., Term Loan B, 1-month LIBOR + 4.000%, 5.990%, 9/29/2024(b)      7,399,720  
  7,468,021      Highline Aftermarket Acquisition LLC, 2018 Term Loan B, 1-week LIBOR + 3.500%, 5.250%, 4/26/2025(b)      7,477,356  
  4,528,564      Information Resources, Inc., 1st Lien Term Loan, 1/18/2024(c)      4,548,399  
  10,597,962      Information Resources, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.250%, 6.569%, 1/18/2024(b)      10,644,381  
  12,546,302      Inmar Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 5/01/2024(b)      12,601,255  
  12,113,968      Ozark Holdings LLC, Term Loan B, 1-month LIBOR + 3.250%, 5.557%, 7/01/2023(b)      12,174,538  
  4,970,000      Pelican Products, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.407%, 5/01/2025(b)      4,988,638  
  16,434,348      Polyconcept Investments BV, USD 2016 Term Loan B, 1-month LIBOR + 3.750%, 5.730%, 8/16/2023(b)      16,454,891  

 

See accompanying notes to financial statements.

 

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Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Consumer Products — continued  
$ 5,951,030      Radio Systems Corp., Term Loan B, 1-month LIBOR + 2.750%, 4.730%, 5/02/2024(b)    $ 5,970,847  
  4,311,524      Serta Simmons Bedding LLC, 1st Lien Term Loan, LIBOR + 3.500%, 5.724%, 11/08/2023(d)      3,791,985  
  16,335,507      Serta Simmons Bedding LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 10.331%, 11/08/2024(b)      12,343,599  
  9,203,000      SIWF Holdings, Inc., 1st Lien Term Loan, 5/17/2025(c)      9,226,007  
  6,557,337      SRAM LLC, 2018 Term Loan B, 3/15/2024(c)      6,573,731  
  13,115,882      Strategic Partners, Inc., 2016 Term Loan, 1-month LIBOR + 3.750%, 5.730%, 6/30/2023(b)      13,214,251  
  14,692,025      Weight Watchers International, Inc., 2017 Term Loan B, LIBOR + 4.750%, 6.989%, 11/29/2024(d)      14,849,964  
  14,678,826      Wellness Merger Sub, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.750%, 7.052%, 6/30/2024(b)      14,825,614  
     

 

 

 
     215,901,391  
     

 

 

 
   Diversified Manufacturing — 1.3%  
  17,378,362      Cortes NP Acquisition Corp., 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.909%, 11/30/2023(b)      17,139,410  
  16,976,452      Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.552%, 7/19/2024(b)      16,976,452  
  10,526,424      NN, Inc., 2016 Term Loan B, 1-month LIBOR + 3.750%, 5.726%, 10/19/2022(b)      10,513,266  
  6,584,000      Robertshaw U.S. Holding Corp., 2018 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.500%, 2/28/2025(b)      6,596,378  
     

 

 

 
     51,225,506  
     

 

 

 
   Electric — 0.8%  
  7,860,507      Anemoi Acquisition Holdings LLC, Term Loan B, 3-month LIBOR + 4.250%, 6.552%, 6/26/2022(b)      7,899,810  
  7,279,157      APLP Holdings LP, 2016 Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 4/13/2023(b)      7,299,611  
  14,931,562      Mirion Technologies, Inc., Term Loan B, 3-month LIBOR + 4.750%, 7.052%, 3/31/2022(b)      14,884,976  
     

 

 

 
     30,084,397  
     

 

 

 
   Environmental — 0.9%  
  1,485,224      Allflex Holdings III, Inc., New 1st Lien Term Loan, 6-month LIBOR + 3.250%, 5.138%, 7/20/2020(b)      1,493,274  
  6,485,362      EnergySolutions LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 5.773%, 5/09/2025(b)      6,554,301  
  3,338,005      EWT Holdings III Corp., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.302%, 12/20/2024(b)      3,358,868  
  6,339,296      SiteOne Landscape Supply, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.740%, 4/29/2022(b)      6,367,062  
  2,266,610      USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.730%, 8/25/2024(b)      2,273,228  
  12,696,916      Zep, Inc., 2017 1st Lien Term Loan, 2-month LIBOR + 4.000%, 6.056%, 8/12/2024(b)      12,379,493  
     

 

 

 
     32,426,226  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  14


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Financial Other — 2.8%  
$ 1,297,748      AqGen Ascensus, Inc., 2017 1st Lien Delayed Draw Term Loan, 3-month LIBOR + 3.500%, 5.802%, 12/03/2022(b)    $ 1,300,992  
  10,337,400      AqGen Ascensus, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.500%, 5.802%, 12/03/2022(b)      10,363,243  
  11,065,327      DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 7.557%, 3/04/2022(b)      11,106,822  
  7,965,803      Eze Castle Software, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 8.802%, 4/05/2021(b)      7,965,803  
  5,806,525      Grosvenor Capital Management Holdings, LLP, 2018 Term Loan B, 1-month LIBOR + 2.750%, 4.730%, 3/31/2025(b)      5,828,300  
  11,593,288      LifeMiles Ltd., Term Loan B, 3-month LIBOR + 5.500%, 7.821%, 8/18/2022(a)      11,738,205  
  16,454,000      Mayfield Agency Borrower, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.480%, 2/28/2025(b)      16,474,567  
  5,676,772      NAB Holdings LLC, 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.302%, 7/01/2024(b)      5,676,772  
  8,932,821      Resolute Investment Managers, Inc., 2017 1st Lien Term Loan B, 4/30/2022(c)      8,955,153  
  4,112,828      Resolute Investment Managers, Inc., 2017 1st Lien Term Loan B, 3-month LIBOR + 3.250%, 5.552%, 4/30/2022(b)      4,123,110  
  7,170,059      Victory Capital Management Inc., 2018 Term Loan B, 3-month LIBOR + 2.750%, 5.052%, 2/12/2025(b)      7,187,984  
  14,699,678      Wall Street Systems Delaware, Inc., 2017 Term Loan B, 3-month LIBOR + 3.000%, 5.302%, 11/21/2024(b)      14,681,303  
     

 

 

 
     105,402,254  
     

 

 

 
   Food & Beverage — 3.5%  
  11,481,972      AI Aqua Merger Sub, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.250%, 5.230%, 12/13/2023(b)      11,496,324  
  4,750,394      AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, 1-month LIBOR + 3.250%, 5.230%, 12/13/2023(b)      4,744,456  
  4,377,212      Arctic Glacier U.S.A., Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.480%, 3/20/2024(b)      4,406,408  
  2,992,481      Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, 7/07/2024(c)      3,022,406  
  9,889,305      Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, 3-month LIBOR + 3.500%, 5.863%, 7/07/2024(b)      9,988,198  
  3,311,740      CHG PPC Parent LLC, 2018 Term Loan B, 1-month LIBOR + 2.750%, 4.730%, 3/31/2025(b)      3,311,740  
  9,722,028      CPM Holdings, Inc., Term Loan B, 1-month LIBOR + 3.500%, 5.480%, 4/11/2022(b)      9,813,220  
  19,571,119      Give & Go Prepared Foods Corp., 2017 1st Lien Add-On Term Loan, 1-month LIBOR + 4.250%, 6.218%, 7/29/2023(b)      18,788,274  
  1,572,000      Hearthside Food Solutions LLC, 2018 Term Loan B, 5/23/2025(c)      1,564,627  
  9,332,000      Hearthside Food Solutions, LLC, 2018 Term Loan B, 1-month LIBOR + 3.000%, 4.961%, 5/23/2025(b)      9,288,233  
  9,910,029      High Liner Foods, Inc., Refi Term Loan B, 3-month LIBOR + 3.250%, 5.534%, 4/24/2021(a)      9,625,116  
  14,625,931      Proampac PG Borrower LLC, 2016 1st Lien Term Loan, LIBOR + 3.500%, 5.514%, 11/18/2023(d)      14,689,993  
  8,718,000      Sigma Bidco BV, 2018 USD Term Loan B, 2/23/2025(c)      8,700,913  

 

See accompanying notes to financial statements.

 

15  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Food & Beverage — continued  
$ 11,287,340      TKC Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.250%, 6.230%, 2/01/2023(b)    $ 11,343,777  
  10,048,783      UTZ Quality Foods LLC, 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.461%, 11/21/2024(b)      10,107,368  
     

 

 

 
     130,891,053  
     

 

 

 
   Gaming — 0.1%  
  2,038,940      Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, 3-month LIBOR + 3.000%, 5.473%, 12/01/2023(b)      2,054,864  
     

 

 

 
   Health Insurance — 0.7%  
  1,590,000      ExamWorks Group, Inc., 2017 Term Loan, 1-month LIBOR + 3.250%, 5.230%, 7/27/2023(b)      1,599,445  
  2,850,000      Sedgwick Claims Management Services, Inc., 2nd Lien Term Loan, 2/28/2022(c)      2,850,000  
  7,275,984      Sedgwick Claims Management Services, Inc., 2nd Lien Term Loan, LIBOR + 5.750%, 7.805%, 2/28/2022(d)      7,275,984  
  14,031,478      Sedgwick Claims Management Services, Inc., Incremental 2nd Lien Term Loan, 3-month LIBOR + 5.750%, 8.057%, 2/28/2022(b)      14,031,478  
     

 

 

 
     25,756,907  
     

 

 

 
   Healthcare — 4.6%  
  11,694,000      Argon Medical Devices, Inc., 2017 1st Lien Term Loan B, 3-month LIBOR + 3.750%, 6.052%, 1/23/2025(b)      11,767,087  
  11,098,308      Ascend Learning LLC, 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 7/12/2024(b)      11,112,181  
  8,707,861      ATI Holdings Acquisition, Inc., 2016 Term Loan, 1-month LIBOR + 3.500%, 5.428%, 5/10/2023(b)      8,705,684  
  10,906,830      BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 4.250%, 6.230%, 3/18/2024(b)      10,388,756  
  2,340,000      Carestream Dental Equipment, Inc, 2017 1st Lien Term Loan, 9/01/2024(c)      2,337,075  
  12,230,296      Carestream Dental Equipment, Inc, 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.552%, 9/01/2024(b)      12,215,008  
  1,646,530      Concentra, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.660%, 6/01/2022(b)      1,650,647  
  2,350,000      DuPage Medical Group Ltd., 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 8.934%, 8/15/2025(b)      2,355,875  
  11,258,496      Explorer Holdings, Inc., 2016 Term Loan B, 3-month LIBOR + 3.750%, 5.806%, 5/02/2023(b)      11,338,206  
  12,188,743      FHC Health Systems, Inc., 2014 Term Loan, 1-month LIBOR + 4.000%, 5.980%, 12/23/2021(b)      11,335,531  
  2,213,275      GHX Ultimate Parent Corp., 2017 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.302%, 6/28/2024(b)      2,214,669  
  7,516,611      Greatbatch Ltd., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.250%, 5.180%, 10/27/2022(b)      7,546,376  
  17,604,696      HC Group Holdings III, Inc., Term Loan B, 1-month LIBOR + 5.000%, 6.980%, 4/07/2022(b)      17,714,726  
  8,521,469      NMSC Holdings, Inc., 1st Lien Term Loan, 6-month LIBOR + 5.000%, 7.453%, 4/19/2023(b)      8,414,951  

 

See accompanying notes to financial statements.

 

|  16


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Healthcare — continued  
$ 15,477,415      Onex TSG Holdings II Corp., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.980%, 7/31/2022(b)    $ 15,400,028  
  11,562,571      Patterson Medical Holdings, Inc., 1st Lien Term Loan, LIBOR + 4.750%, 7.108%, 8/28/2022(d)      10,955,536  
  14,461,469      Surgery Center Holdings, Inc., 2017 Term Loan B, 2-month LIBOR + 3.250%, 5.350%, 9/02/2024(b)      14,434,426  
  350,940      Tecomet Inc., 2017 Repriced Term Loan, 5/01/2024(c)      352,695  
  7,027,184      Tecomet Inc., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.409%, 5/01/2024(b)      7,062,320  
  17,701      Tecomet Inc., 2017 Repriced Term Loan, Prime + 2.500%, 7.250%, 5/01/2024(b)      17,789  
  5,527,891      U.S. Anesthesia Partners, Inc., 2017 Term Loan, 1-month LIBOR + 3.000%, 4.980%, 6/23/2024(b)      5,542,761  
     

 

 

 
     172,862,327  
     

 

 

 
   Home Construction — 1.1%  
  4,673,714      Fastener Acquisition, Inc., 2018 1st Lien Term Loan, LIBOR + 4.250%, 6.415%, 3/28/2025(d)      4,685,398  
  1,023,000      Hayward Industries, Inc., 1st Lien Term Loan, 8/05/2024(c)      1,028,115  
  13,808,644      Hayward Industries, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 8/05/2024(b)      13,877,688  
  13,239,829      LBM Borrower LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.847%, 8/20/2022(b)      13,289,478  
  8,790,948      Zodiac Pool Solutions LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 6.302%, 12/20/2023(b)      8,779,959  
     

 

 

 
     41,660,638  
     

 

 

 
   Independent Energy — 1.5%  
  17,670,000      California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.698%, 12/31/2022(b)      18,060,154  
  6,160,000      California Resources Corp., Second Out Term Loan, 1-month LIBOR + 10.375%, 12.336%, 12/31/2021(b)      6,903,081  
  8,595,269      Chesapeake Energy Corp., Term Loan, 1-month LIBOR + 7.500%, 9.468%, 8/23/2021(b)      9,023,227  
  23,593,712      Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.934%, 3/01/2024(b)      23,092,346  
  1,622,753      P2 Upstream Acquisition Co., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 6.370%, 10/30/2020(b)      1,610,582  
     

 

 

 
     58,689,390  
     

 

 

 
   Industrial Other — 6.5%  
  13,694,486      ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan, 3-month LIBOR + 3.500%, 5.802%, 9/26/2024(b)      13,762,958  
  636,000      ABG Intermediate Holdings 2 LLC, Delayed Draw Term Loan B-DD, 9/29/2024(e)      639,180  
  10,929,501      Advanced Discovery, 2018 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.934%, 4/16/2025(b)      11,052,458  
  6,341,617      Brickman Group Ltd. LLC, Initial Term Loan (Second Lien), 1-month LIBOR + 6.500%, 8.435%, 12/17/2021(b)      6,369,901  

 

See accompanying notes to financial statements.

 

17  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Industrial Other — continued  
$ 14,666,243      Capri Finance LLC, USD 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.609%, 11/01/2024(b)    $ 14,482,914  
  13,598,647      CIBT Holdings, Inc., 2017 Term Loan, 3-month LIBOR + 3.750%, 6.052%, 6/03/2024(b)      13,632,644  
  4,579,333      Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.953%, 11/22/2021(b)      4,487,746  
  16,091,680      Diamond (BC) B.V., USD Term Loan, LIBOR + 3.000%, 5.097%, 9/06/2024(d)      15,924,005  
  4,128,000      Filtration Group Corp., 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.302%, 3/29/2025(b)      4,146,576  
  18,422,268      Harland Clarke Holdings Corp., Term Loan B7, 3-month LIBOR + 4.750%, 7.052%, 11/03/2023(b)      18,135,986  
  11,586,000      International Textile Group, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.000%, 6.907%, 5/01/2024(b)      11,694,677  
  4,728,000      International Textile Group, Inc., 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.907%, 5/01/2025(b)      4,586,160  
  10,946,232      Laureate Education, Inc., 2017 Term Loan B, 1-month LIBOR + 3.500%, 5.480%, 4/26/2024(b)      10,998,992  
  10,332,000      Loparex Holding B.V., 2018 Term Loan, 1-month LIBOR + 4.250%, 6.587%, 4/11/2025(b)      10,422,405  
  11,057,046      LTI Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.730%, 5/16/2024(b)      11,070,867  
  3,207,000      LTI Holdings, Inc., 2018 Term Loan, 1-month LIBOR + 3.500%, 5.480%, 5/16/2024(b)      3,207,000  
  15,044,530      Merrill Communications LLC, 2015 Term Loan, 3-month LIBOR + 5.250%, 7.609%, 6/01/2022(b)      15,157,363  
  9,973,000      NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B, 3-month LIBOR + 5.500%, 7.856%, 5/11/2023(b)      9,923,135  
  5,097,938      Oasis Outsourcing Holdings, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.230%, 6/30/2023(b)      5,117,055  
  7,044,825      Oxbow Carbon LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 3.750%, 5.730%, 1/04/2023(b)      7,115,273  
  2,009,912      Power Products LLC, 2017 Term Loan B, 12/20/2022(c)      2,018,715  
  13,202,347      Power Products, LLC, 2017 Term Loan B, 3-month LIBOR + 4.000%, 6.362%, 12/20/2022(b)      13,260,173  
  1,754,000      Safe Fleet Holdings LLC, 2018 1st Lien Term Loan, 2/01/2025(c)      1,746,335  
  3,289,000      Safe Fleet Holdings LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.910%, 2/01/2025(b)      3,274,627  
  13,803,570      Sotera Health Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 5/15/2022(b)      13,833,800  
  4,578,027      Unifrax Corp., 2017 USD Term Loan B, 3-month LIBOR + 3.500%, 5.802%, 4/04/2024(b)      4,602,840  
  4,355,000      Waterjet Holdings, Inc., Term Loan, LIBOR + 3.000%, 5.041%, 4/03/2025(d)      4,365,888  
  9,148,137      WireCo WorldGroup, Inc., 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.980%, 9/30/2023(b)      9,205,313  
     

 

 

 
     244,234,986  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  18


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Internet & Data — 3.0%  
$ 7,269,756      CareerBuilder, LLC, Term Loan, 3-month LIBOR + 6.750%, 9.052%, 7/31/2023(b)    $ 7,257,615  
  21,019,867      EIG Investors Corp., 2017 Term Loan, LIBOR + 4.000%, 6.318%, 2/09/2023(d)      21,098,692  
  14,566,533      GTCR Valor Cos., Inc., USD 2017 Term Loan B1, 2-month LIBOR + 3.250%, 5.306%, 6/16/2023(b)      14,650,290  
  19,893,254      MH Sub I LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.684%, 9/13/2024(b)      19,893,254  
  8,830,000      MH Sub I LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 7.500%, 9.434%, 9/15/2025(b)      8,874,150  
  20,548,384      NeuStar, Inc., 2018 Term Loan B4, 1-month LIBOR + 3.500%, 5.480%, 8/08/2024(b)      20,561,329  
  9,840,268      NeuStar, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 10.302%, 8/08/2025(b)      9,717,265  
  13,153,244      Polycom, Inc., 1st Lien Term Loan, 1-month LIBOR + 5.250%, 7.211%, 9/27/2023(a)      13,186,128  
     

 

 

 
     115,238,723  
     

 

 

 
   Leisure — 1.8%  
  12,343,247      CDS U.S. Intermediate Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 6.052%, 7/08/2022(b)      12,290,788  
  3,931,000      CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.250%, 10.552%, 7/10/2023(b)      3,817,984  
  15,683,000      Crown Finance U.S., Inc., 2018 USD Term Loan, 1-month LIBOR + 2.500%, 4.480%, 2/28/2025(b)      15,614,465  
  20,646,588      Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 4.250%, 6.230%, 6/28/2024(b)      20,827,246  
  12,999,276      Leslie’s Poolmart, Inc., 2016 Term Loan, 1-month LIBOR + 3.500%, 5.480%, 8/16/2023(b)      12,966,778  
  2,870,693      Recess Holdings, Inc., 2017 1st Lien Term Loan, 6-month LIBOR + 3.750%, 6.203%, 9/29/2024(b)      2,885,047  
  389,881      Recess Holdings, Inc., 2017 Delayed Draw Term Loan, 3.750%, 9/29/2024(e)      391,830  
     

 

 

 
     68,794,138  
     

 

 

 
   Media Entertainment — 4.5%  
  9,147,846      ALM Media Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.500%, 6.802%, 7/31/2020(b)      8,095,844  
  6,879,864      Alpha Media LLC, 2016 Term Loan, LIBOR + 6.000%, 8.095%, 2/25/2022(d)(f)(i)      6,467,072  
  12,793,164      Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.250%, 5.230%, 10/03/2023(b)      12,801,224  
  6,759,000      Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 6/07/2023(c)      6,050,995  
  13,473,948      Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 1-month LIBOR + 4.250%, 6.184%, 6/07/2023(b)      12,062,552  
  14,187,000      Clarion Events Ltd., 2018 USD Term Loan B, 10/31/2024(c)      13,820,550  
  1,771,569      Extreme Reach, Inc., 1st Lien Term Loan, 1-month LIBOR + 6.250%, 8.240%, 2/07/2020(b)      1,770,099  
  14,278,000      Extreme Reach, Inc., 2nd Lien Term Loan, 1-month LIBOR + 10.000%, 11.948%, 1/24/2021(b)(f)(i)      13,439,168  

 

See accompanying notes to financial statements.

 

19  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Media Entertainment — continued  
$ 14,718,334      Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 1-month LIBOR + 3.000%, 4.976%, 5/31/2021(b)    $ 13,651,255  
  17,214,611      LSC Communications, Inc., 2017 Term Loan B, 1-month LIBOR + 5.500%, 7.480%, 9/30/2022(b)      17,236,130  
  22,205,717      McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, 1-month LIBOR + 4.000%, 5.980%, 5/04/2022(b)      21,595,060  
  19,517,000      Meredith Corp., Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 1/31/2025(b)      19,580,430  
  632,982      Project Sunshine IV PTY Limited, 2017 Term Loan B, 8/21/2022(c)      632,982  
  10,827,508      Project Sunshine IV PTY Limited, 2017 Term Loan B, 1-month LIBOR + 7.000%, 8.980%, 8/21/2022(b)      10,827,508  
  4,513,295      ProQuest LLC, New Term Loan B, 1-month LIBOR + 3.750%, 5.730%, 10/24/2021(b)      4,558,428  
  6,022,170      Sesac Holdco II LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.980%, 2/23/2024(b)      6,003,381  
     

 

 

 
     168,592,678  
     

 

 

 
   Metals & Mining — 1.8%  
  11,596,071      American Rock Salt Co. LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.730%, 3/21/2025(b)      11,661,357  
  8,780,993      AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 3-month LIBOR + 3.000%, 5.302%, 1/29/2025(b)      8,835,874  
  7,696,185      Global Brass & Copper, Inc., 2018 Term Loan B, 5/24/2025(c)      7,696,185  
  16,412,000      GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.423%, 2/12/2025(b)      16,453,030  
  7,846,944      Phoenix Services International LLC, Term Loan, 1-month LIBOR + 3.750%, 5.659%, 3/01/2025(b)      7,915,605  
  14,239,000      U.S. Silica Co., 2018 Term Loan B, 1-week LIBOR + 4.000%, 5.813%, 5/01/2025(b)      14,336,964  
     

 

 

 
     66,899,015  
     

 

 

 
   Midstream — 1.8%  
  22,133,861      BCP Raptor LLC, Term Loan B, 2-month LIBOR + 4.250%, 6.306%, 6/24/2024(b)      21,562,144  
  10,787,000      Brazos Delaware II LLC, Term Loan B, 1-month LIBOR + 4.000%, 5.948%, 5/21/2025(b)      10,760,032  
  1,671,000      EIG Management Company LLC, 2018 Term Loan B, 3-month LIBOR + 3.750%, 6.079%, 2/22/2025(b)      1,683,533  
  17,474,144      Limetree Bay Terminals LLC, 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.961%, 2/15/2024(b)      17,412,985  
  16,436,730      Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.934%, 2/17/2025(b)      16,272,362  
     

 

 

 
     67,691,056  
     

 

 

 
   Oil Field Services — 0.8%  
  10,187,225      Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 4.802%, 3/19/2021(b)      9,840,859  
  19,408,000      Unimin Corp., Term Loan, 4/09/2025(c)      19,408,000  
     

 

 

 
     29,248,859  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  20


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Packaging — 2.2%  
$ 18,620,655      Klockner-Pentaplast of America, Inc., USD 2017 Term Loan B2, 1-month LIBOR + 4.250%, 6.230%, 6/30/2022(b)    $ 17,919,401  
  9,063,743      PLZ Aeroscience Corp., USD Term Loan, LIBOR + 3.500%, 5.762%, 7/31/2022(d)      9,093,925  
  11,829,000      Pro Mach Group, Inc., 2018 Term Loan B, 3-month LIBOR + 3.000%, 5.035%, 3/07/2025(b)      11,778,727  
  11,025,000      Spectrum Holdings III Corp., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.230%, 1/31/2025(b)      11,015,849  
  1,090,000      Spectrum Holdings III Corp., Delayed Draw Term Loan, 1.000%, 1/31/2025(e)      1,089,095  
  17,914,000      Titan Acquisition Ltd., 2018 Term Loan B, 2-month LIBOR + 3.000%, 5.056%, 3/28/2025(b)      17,777,137  
  1,360,123      TricorBraun Holdings, Inc., 1st Lien Delayed Draw Term Loan, 3-month LIBOR + 3.750%, 5.973%, 11/30/2023(b)      1,364,095  
  13,498,706      TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 3.750%, 6.052%, 11/30/2023(b)      13,538,122  
     

 

 

 
     83,576,351  
     

 

 

 
   Pharmaceuticals — 0.8%  
  9,438,793      Akorn, Inc., Term Loan B, 1-month LIBOR + 4.250%, 6.250%, 4/16/2021(b)      9,179,226  
  17,849,370      Endo Luxembourg Finance Co. I S.a.r.l., 2017 Term Loan B, 1-month LIBOR + 4.250%, 6.250%, 4/29/2024(b)      17,642,139  
  5,305,000      Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 5/17/2025(c)      5,313,647  
     

 

 

 
     32,135,012  
     

 

 

 
   Property & Casualty Insurance — 2.3%  
  6,691,384      Alliant Holdings I, Inc., 2018 Term Loan B, 3-month LIBOR + 3.000%, 4.929%, 5/09/2025(b)      6,683,020  
  4,506,884      AmWINS Group, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 8.730%, 1/25/2025(b)      4,546,319  
  7,221,597      Broadstreet Partners, Inc., 2018 Term Loan B, 11/08/2023(c)      7,221,597  
  19,769,262      Confie Seguros Holding II Co., 2016 Term Loan B, LIBOR + 5.250%, 7.556%, 4/19/2022(d)      19,769,262  
  469,000      Cypress Intermediate Holdings III, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 8.730%, 4/27/2025(b)      471,054  
  17,826,278      Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.500%, 12/20/2024(b)      17,861,931  
  1,897,000      USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.302%, 5/16/2024(b)      1,893,054  
  7,931,887      VF Holding Corp., Reprice Term Loan, 1-month LIBOR + 3.250%, 5.230%, 6/30/2023(b)      7,934,346  
  5,600,000      York Risk Services Holding Corp., Term Loan B, 10/01/2021(c)      5,437,600  
  14,741,328      York Risk Services Holding Corp., Term Loan B, 1-month LIBOR + 3.750%, 5.730%, 10/01/2021(b)      14,313,829  
     

 

 

 
     86,132,012  
     

 

 

 
   Restaurants — 2.2%  
  9,652,952      Big Jack Holdings LP, 2018 Term Loan B, 4/05/2024(c)      9,689,151  
  3,309,566      Golden Nugget, Inc., 2017 Incremental Term Loan, 1-month LIBOR + 2.750%, 4.708%, 10/04/2023(a)      3,327,503  

 

See accompanying notes to financial statements.

 

21  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Restaurants — continued  
$ 5,208,000      IRB Holding Corp., 1st Lien Term Loan, LIBOR + 3.250%, 5.215%, 2/05/2025(d)    $ 5,224,926  
  5,303,000      K-Mac Holdings Corp., 2018 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.184%, 3/14/2025(b)      5,326,863  
  573,000      NPC International, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.480%, 4/19/2024(b)      578,375  
  14,425,000      Portillo’s Holdings LLC, 1st Lien Term Loan, 3-month LIBOR + 4.500%, 6.802%, 8/02/2021(b)      14,398,025  
  12,504,000      Portillo’s Holdings LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 10.302%, 8/01/2022(b)      12,504,000  
  21,258,489      Red Lobster Management LLC, Term Loan B, 1-month LIBOR + 5.250%, 7.230%, 7/28/2021(b)      21,152,196  
  7,471,705      Tacala LLC, 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.159%, 1/31/2025(b)      7,509,064  
  2,648,974      TMK Hawk Parent Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.490%, 8/28/2024(b)      2,644,021  
     

 

 

 
     82,354,124  
     

 

 

 
   Retailers — 5.1%  
  16,426,378      Academy Ltd., 2015 Term Loan B, LIBOR + 4.000%, 5.942%, 7/01/2022(d)      12,981,931  
  15,896,475      Array Canada, Inc., Term Loan B, 3-month LIBOR + 5.000%, 7.302%, 2/10/2023(b)      15,916,346  
  14,524,138      Ascena Retail Group, Inc., 2015 Term Loan B, 1-month LIBOR + 4.500%, 6.500%, 8/21/2022(b)      12,636,000  
  9,956,388      At Home Holding III, Inc., Term Loan, 3-month LIBOR + 3.500%, 5.859%, 6/03/2022(b)      9,956,388  
  15,544,018      Bass Pro Group LLC, Term Loan B, 1-month LIBOR + 5.000%, 6.980%, 9/25/2024(b)      15,605,573  
  2,347,000      BDF Acquisition Corp., 1st Lien Term Loan, 2/12/2021(c)      2,329,398  
  15,663,234      BDF Acquisition Corp., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.726%, 2/12/2021(b)      15,545,760  
  875,000      EG Finco Ltd., 2018 USD Term Loan, 2/07/2025(c)      872,086  
  13,135,000      EG Group Ltd., 2018 USD Term Loan B, 2/06/2025(c)      13,091,260  
  3,515,568      Hillman Group, Inc. (The), 2018 Delayed Draw Term Loan, 5/23/2025(c)      3,515,568  
  11,292,432      Hillman Group, Inc. (The), 2018 Term Loan B, 5/23/2025(c)      11,292,432  
  5,332,379      Hudson’s Bay Co., 2015 Term Loan B, 1-month LIBOR + 3.250%, 5.218%, 9/30/2022(b)      4,965,778  
  6,719,741      Jill Acquisition LLC, 2015 Term Loan, 3-month LIBOR + 5.000%, 7.360%, 5/08/2022(b)      6,585,346  
  11,188,958      Men’s Wearhouse, Inc. (The), 2018 Term Loan, 1-month LIBOR + 3.500%, 5.407%, 4/09/2025(b)      11,258,889  
  10,216,068      Neiman Marcus Group Ltd. LLC, 2020 Term Loan, 1-month LIBOR + 3.250%, 5.173%, 10/25/2020(b)      9,036,929  
  10,244,242      PetSmart, Inc., Term Loan B2, 1-month LIBOR + 3.000%, 4.920%, 3/11/2022(b)      7,983,440  
  24,574,031      Staples, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 6.358%, 9/12/2024(b)      24,021,116  
  7,472,966      The Talbots, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.476%, 3/19/2020(b)      7,374,921  

 

See accompanying notes to financial statements.

 

|  22


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Retailers — continued  
$ 8,040,607      The Talbots, Inc., 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 10.480%, 3/19/2021(b)(f)(i)    $ 7,779,287  
     

 

 

 
     192,748,448  
     

 

 

 
   Supermarkets — 0.4%  
  15,189,814      BI-LO Holding LLC, Exit Term Loan B, 5/15/2024(c)      14,683,537  
     

 

 

 
   Technology — 8.0%  
  18,192,169      Almonde, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.807%, 6/13/2024(b)      17,891,998  
  1,900,000      Almonde, Inc., USD 2nd Lien Term Loan, 6/13/2025(c)      1,837,186  
  13,080,000      Almonde, Inc., USD 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 9.557%, 6/13/2025(b)      12,647,575  
  7,100,000      Aptean, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 11.810%, 12/14/2023(b)      7,122,223  
  15,543,990      Aptean, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 4.250%, 6.560%, 12/20/2022(b)      15,547,876  
  11,806,000      DigiCert, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.980%, 10/31/2025(b)      11,599,395  
  9,166,591      DigiCert, Inc., 2017 Term Loan B1, 1-month LIBOR + 4.750%, 6.730%, 10/31/2024(b)      9,143,675  
  18,960,807      Greeneden U.S. Holdings II LLC, 2018 USD Term Loan B, 3-month LIBOR + 3.500%, 5.802%, 12/01/2023(b)      19,061,489  
  548,777      Hyland Software, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.250%, 5.230%, 7/01/2022(b)      552,503  
  14,143,669      Hyland Software, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 8.980%, 7/07/2025(b)      14,373,504  
  7,166,988      Informatica Corp., 2018 USD Term Loan, 1-month LIBOR + 3.250%, 5.230%, 8/05/2022(b)      7,211,781  
  9,289,347      IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 11.058%, 4/01/2022(b)      8,875,228  
  13,003,044      IQOR U.S., Inc., Term Loan B, 3-month LIBOR + 5.000%, 7.308%, 4/01/2021(b)      12,990,041  
  1,109,527      MA FinanceCo. LLC, USD Term Loan B3, 1-month LIBOR + 2.750%, 4.730%, 6/21/2024(b)      1,105,167  
  12,292,000      McAfee LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 10.468%, 9/29/2025(b)      12,464,825  
  2,836,556      Oberthur Technologies S.A., 2016 USD Term Loan B1, 1/10/2024(c)      2,827,933  
  15,120,768      Oberthur Technologies S.A., 2016 USD Term Loan B1, 3-month LIBOR + 3.750%, 6.052%, 1/10/2024(b)      15,074,801  
  9,665,000      Ocean Bidco, Inc., USD Term Loan B, 3-month LIBOR + 5.000%, 7.223%, 3/21/2025(b)      9,713,325  
  6,189,468      Presidio, Inc., 2017 Refinanced Term Loan B, LIBOR + 2.750%, 5.051%, 2/02/2024(d)      6,198,753  
  4,372,000      Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, 5/18/2025(c)      4,376,372  
  14,266,840      Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 4.250%, 6.576%, 5/18/2025(b)      14,281,107  
  11,554,197      Riverbed Technology, Inc., 2016 Term Loan, 1-month LIBOR + 3.250%, 5.240%, 4/24/2022(b)      11,453,098  

 

See accompanying notes to financial statements.

 

23  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Technology — continued  
$ 9,386,255      Rocket Software, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 3.750%, 6.052%, 10/14/2023(b)    $ 9,477,208  
  5,657,835      Rocket Software, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 11.802%, 10/14/2024(b)      5,709,095  
  13,940,075      SciQuest, Inc., 2017 Term Loan, 1-month LIBOR + 4.000%, 5.980%, 12/28/2024(b)      13,905,225  
  7,492,913      Seattle Spinco, Inc., USD Term Loan B3, 1-month LIBOR + 2.750%, 4.730%, 6/21/2024(b)      7,463,465  
  19,007,187      Sirius Computer Solutions, Inc., 2016 Term Loan, 1-month LIBOR + 4.250%, 6.230%, 10/30/2022(b)      19,102,223  
  12,350,740      SurveyMonkey, Inc., 2017 Term Loan, 3-month LIBOR + 4.500%, 6.810%, 4/13/2024(b)      12,304,425  
  17,945,958      Veritas Bermuda Ltd., USD Repriced Term Loan B, 3-month LIBOR + 4.500%, 6.802%, 1/27/2023(b)      16,963,955  
     

 

 

 
     301,275,451  
     

 

 

 
   Transportation Services — 2.4%  
  12,682,890      AI Mistral Holdco Ltd., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 3/09/2024(b)      12,619,476  
  13,351,733      ATS Consolidated, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.659%, 2/28/2025(b)      13,451,871  
  13,115,000      Deliver Buyer, Inc., 2018 Term Loan B, 5/08/2024(c)      13,065,819  
  4,073,000      Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.980%, 6/15/2023(b)      4,134,095  
  17,593,935      Transplace Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.668%, 10/07/2024(b)      17,686,303  
  1,845,395      Uber Technologies, 2018 Term Loan, 4/04/2025(c)      1,856,153  
  8,932,000      Uber Technologies, 2018 Term Loan, 1-month LIBOR + 4.000%, 5.917%, 4/04/2025(b)      8,984,074  
  20,729,133      Uber Technologies, Term Loan B, 1-month LIBOR + 4.000%, 5.980%, 7/13/2023(b)      20,763,750  
     

 

 

 
     92,561,541  
     

 

 

 
   Wireless — 1.5%  
  28,717,391      Asurion LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.980%, 8/04/2025(b)      29,392,250  
  20,545,188      GTT Communications, Inc., 2018 USD Term Loan B, 4/28/2025(c)      20,280,976  
  8,518,642      LSF9 Atlantis Holdings LLC, 2017 Term Loan, 1-month LIBOR + 6.000%, 7.917%, 5/01/2023(b)      8,440,527  
     

 

 

 
     58,113,753  
     

 

 

 
   Wirelines — 0.8%  
  11,498,183      Avaya, Inc., Exit Term Loan B, 1-month LIBOR + 4.750%, 6.684%, 12/15/2024(b)      11,558,893  
  6,579,644      Communications Sales & Leasing, Inc., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.980%, 10/24/2022(b)      6,390,479  

 

See accompanying notes to financial statements.

 

|  24


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Wirelines — continued  
$ 13,489,516      Coral-U.S. Co-Borrower LLC, Term Loan B4, 1-month LIBOR + 3.250%, 5.230%, 1/31/2025(b)    $ 13,558,448  
     

 

 

 
     31,507,820  
     

 

 

 
   Total Senior Loans
(Identified Cost $3,326,241,119)
     3,305,262,435  
     

 

 

 
     
  Bonds and Notes — 7.3%  
   Automotive — 0.6%  
  23,930,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A      23,451,400  
     

 

 

 
   Environmental — 0.5%  
  13,580,000      GFL Environmental, Inc., 5.375%, 3/01/2023, 144A      12,723,102  
  4,860,000      GFL Environmental, Inc., 5.625%, 5/01/2022, 144A      4,726,350  
     

 

 

 
     17,449,452  
     

 

 

 
   Finance Companies — 0.4%  
  14,035,000      iStar, Inc., 6.000%, 4/01/2022      14,035,000  
     

 

 

 
   Healthcare — 0.8%  
  4,225,000      Select Medical Corp., 6.375%, 6/01/2021      4,283,094  
  8,205,000      Tenet Healthcare Corp., 8.125%, 4/01/2022      8,584,481  
  15,130,000      Vizient, Inc., 10.375%, 3/01/2024, 144A      16,643,000  
     

 

 

 
     29,510,575  
     

 

 

 
   Independent Energy — 1.3%  
  10,540,000      Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A      11,356,850  
  10,675,000      Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A      8,083,217  
  11,800,000      MEG Energy Corp., 6.375%, 1/30/2023, 144A      10,649,500  
  4,258,000      Oasis Petroleum, Inc., 6.875%, 3/15/2022      4,321,870  
  13,270,000      SM Energy Co., 6.500%, 1/01/2023      13,469,050  
     

 

 

 
     47,880,487  
     

 

 

 
   Media Entertainment — 0.3%  
  10,900,000      Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020      10,900,000  
     

 

 

 
   Metals & Mining — 0.6%  
  9,000,000      FMG Resources August 2006 Pty Ltd., 5.125%, 3/15/2023, 144A      8,876,250  
  6,410,000      Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022, 144A      6,490,125  
  9,375,000      Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022, 144A      9,300,000  
     

 

 

 
     24,666,375  
     

 

 

 
   Non-Agency Commercial Mortgage-Backed Securities — 0.2%  
  9,606,249      Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 8.845%, 8/15/2019, 144A(b)      9,702,279  
     

 

 

 
   Oil Field Services — 0.1%  
  5,625,000      Petroleum Geo-Services ASA, 7.375%, 12/15/2020, 144A      5,596,875  
     

 

 

 
   Property & Casualty Insurance — 0.4%  
  14,090,000      Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A      14,596,817  
     

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Principal
Amount
     Description    Value (†)  
   Retailers — 0.1%  
$ 3,775,000      Men’s Wearhouse, Inc. (The), 7.000%, 7/01/2022    $ 3,878,813  
     

 

 

 
   Technology — 0.2%  
  12,678,000      Blackboard, Inc., 9.750%, 10/15/2021, 144A      7,923,750  
     

 

 

 
   Transportation Services — 0.4%  
  14,085,000      Hertz Corp. (The), 7.625%, 6/01/2022, 144A      13,768,088  
     

 

 

 
   Wireless — 0.2%  
  7,560,000      Iridium Communications, Inc., 10.250%, 4/15/2023, 144A      8,032,500  
     

 

 

 
   Wirelines — 1.2%  
  17,475,000      Frontier Communications Corp., 8.125%, 10/01/2018      17,693,437  
  42,798,000      Windstream Services LLC/Windstream Finance Corp., 8.750%, 12/15/2024, 144A      26,215,487  
     

 

 

 
     43,908,924  
     

 

 

 
   Total Bonds and Notes
(Identified Cost $284,673,646)
     275,301,335  
     

 

 

 
     
Shares                
  Common Stocks — 0.2%  
   Energy Equipment & Services — 0.1%  
  61,854      Ameriforge Group, Inc.(f)(h)(i)(l)      3,556,605  
     

 

 

 
   Industrial Conglomerates — 0.0%  
  20,609      TwentyEighty, Inc., Class A(f)(h)(i)(l)       
     

 

 

 
   Oil, Gas & Consumable Fuels — 0.1%  
  456,710      Blue Ridge Mountain Resource, Inc.(h)(l)      3,303,383  
     

 

 

 
   Specialty Retail — 0.0%  
  1,790,825      Onsite Rental Group Pty Ltd.(h)(i)(k)(l)(m)       
     

 

 

 
   Total Common Stocks
(Identified Cost $10,440,606)
     6,859,988  
     

 

 

 
     
Principal
Amount
               
  Short-Term Investments — 10.1%  
$ 383,262,017      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 5/31/2018 at 0.900% to be repurchased at $383,271,599 on 6/01/2018 collateralized by $377,185,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $376,372,921; collateralized by $14,850,000 U.S. Treasury Note, 1.875% due 1/31/2022 valued at $14,560,380 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $383,262,017)      383,262,017  
     

 

 

 
     
   Total Investments — 105.0%
(Identified Cost $4,004,617,388)
     3,970,685,775  
   Other assets less liabilities — (5.0)%      (188,637,671
     

 

 

 
   Net Assets — 100.0%    $ 3,782,048,104  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

     
  (†)      See Note 2 of Notes to Financial Statements.  
  (a)      Variable rate security. Rate shown represents the weighted average rate of underlying contracts at May 31, 2018.  
  (b)      Variable rate security. Rate as of May 31, 2018 is disclosed.  
  (c)      Position is unsettled. Contract rate was not determined at May 31, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.  
  (d)      Variable rate security. Rate shown represents the weighted average rate of underlying contracts at May 31, 2018. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.  
  (e)      Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. See Note 2 of Notes to Financial Statements.  
  (f)      Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At May 31, 2018, the value of these securities amounted to $47,964,715 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.  
  (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 principal. For the period ended May 31, 2018, the issuer has not made any interest payments.  
  (h)      Securities subject to restriction on resale. At May 31, 2018, the restricted securities held by the Fund are as follows:  
  
    

Acquisition

Date

   Cost      Value      % of
Net Assets
 
Ameriforge Group, Inc.    August 22, 2017    $ 2,262,602      $ 3,556,605        0.1%  
Blue Ridge Mountain Resource, Inc.    May 13, 2016      8,178,004        3,303,383        0.1%  
Onsite Rental Group Pty Ltd.    November 3, 2017                     
Onsite Rental Group Pty Ltd., PIK Term Loan B    November 3, 2017      2,384,581        2,515,243        0.1%  
TwentyEighty, Inc. Class A    February 7, 2017                     
TwentyEighty, Inc. PIK Term Loan B    February 7, 2017      4,855,279        2,937,498        0.1%  
TwentyEighty, Inc. PIK Term Loan C    February 7, 2017      3,427,257        2,131,155        0.1%  
     
  (i)      Illiquid security.
  (j)      Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended May 31, 2018 interest payments were made in cash and principal.
  (k)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (l)      Non-income producing security.
  (m)      Fair valued by the Fund’s adviser. At May 31, 2018, the value of this security amounted to $0 or 0.0% of net assets. See Note 2 of Notes to Financial Statements.
     
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2018, the value of Rule 144A holdings amounted to $200,650,833 or 5.3% of net assets.
  LIBOR      London Interbank Offered Rate
  PIK      Payment-in-Kind

 

See accompanying notes to financial statements.

 

27  |


Table of Contents

Portfolio of Investments – as of May 31, 2018 (Unaudited)

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

 

Industry Summary at May 31, 2018 (Unaudited)

 

Technology

     8.2

Consumer Cyclical Services

     7.9  

Industrial Other

     6.5  

Consumer Products

     5.7  

Automotive

     5.5  

Healthcare

     5.4  

Retailers

     5.2  

Media Entertainment

     4.8  

Food & Beverage

     3.5  

Internet & Data

     3.0  

Independent Energy

     2.8  

Transportation Services

     2.8  

Building Materials

     2.8  

Financial Other

     2.8  

Property & Casualty Insurance

     2.7  

Metals & Mining

     2.4  

Packaging

     2.2  

Restaurants

     2.2  

Wirelines

     2.0  

Other Investments, less than 2% each

     16.5  

Short-Term Investments

     10.1  
  

 

 

 

Total Investments

     105.0  

Other assets less liabilities

     (5.0
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Table of Contents

Statement of Assets and Liabilities

 

May 31, 2018 (Unaudited)

 

ASSETS

 

Investments at cost

   $ 4,004,617,388  

Net unrealized depreciation

     (33,931,613
  

 

 

 

Investments at value

     3,970,685,775  

Receivable for Fund shares sold

     32,144,110  

Receivable for securities sold

     18,137,839  

Interest receivable

     21,105,979  

Prepaid expenses (Note 7)

     206,962  
  

 

 

 

TOTAL ASSETS

     4,042,280,665  
  

 

 

 

LIABILITIES

 

Payable for securities purchased

     246,408,480  

Unfunded loan commitments (Note 2)

     5,151,203  

Payable for Fund shares redeemed

     5,966,057  

Management fees payable (Note 5)

     1,840,273  

Deferred Trustees’ fees (Note 5)

     134,764  

Administrative fees payable (Note 5)

     139,897  

Payable to distributor (Note 5d)

     17,959  

Other accounts payable and accrued expenses

     573,928  
  

 

 

 

TOTAL LIABILITIES

     260,232,561  
  

 

 

 

NET ASSETS

   $ 3,782,048,104  
  

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 3,942,156,155  

Undistributed net investment income

     789,406  

Accumulated net realized loss on investments

     (126,965,844

Net unrealized depreciation on investments

     (33,931,613
  

 

 

 

NET ASSETS

   $ 3,782,048,104  
  

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Class A shares:

 

Net assets

   $ 572,602,957  
  

 

 

 

Shares of beneficial interest

     58,134,909  
  

 

 

 

Net asset value and redemption price per share

   $ 9.85  
  

 

 

 

Offering price per share (100/96.50 of net asset value) (Note 1)

   $ 10.21  
  

 

 

 

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

  

Net assets

   $ 340,786,562  
  

 

 

 

Shares of beneficial interest

     34,709,237  
  

 

 

 

Net asset value and offering price per share

   $ 9.82  
  

 

 

 

Class N shares:

 

Net assets

   $ 106,400  
  

 

 

 

Shares of beneficial interest

     10,797  
  

 

 

 

Net asset value, offering and redemption price per share

   $ 9.85  
  

 

 

 

Class Y shares:

 

Net assets

   $ 2,868,552,185  
  

 

 

 

Shares of beneficial interest

     291,023,860  
  

 

 

 

Net asset value, offering and redemption price per share

   $ 9.86  
  

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Table of Contents

Statement of Operations

 

For the Six Months Ended May 31, 2018 (Unaudited)

 

INVESTMENT INCOME

 

Interest

   $ 104,535,190  
  

 

 

 

Expenses

 

Management fees (Note 5)

     9,830,475  

Service and distribution fees (Note 5)

     2,270,515  

Administrative fees (Note 5)

     726,714  

Trustees’ fees and expenses (Note 5)

     51,784  

Transfer agent fees and expenses (Notes 5 and 6)

     983,248  

Audit and tax services fees

     38,322  

Custodian fees and expenses

     224,743  

Legal fees

     52,859  

Registration fees

     197,115  

Shareholder reporting expenses

     125,961  

Miscellaneous expenses (Note 7)

     1,049,143  
  

 

 

 

Total expenses

     15,550,879  

Less waiver and/or expense reimbursement (Note 5)

     (173,090
  

 

 

 

Net expenses

     15,377,789  
  

 

 

 

Net investment income

     89,157,401  
  

 

 

 

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS

 

Net realized loss on:

 

Investments

     (8,991,821

Net change in unrealized appreciation (depreciation) on:

 

Investments

     (8,429,386
  

 

 

 

Net realized and unrealized loss on investments

     (17,421,207
  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 71,736,194  
  

 

 

 

 

See accompanying notes to financial statements.

 

|  30


Table of Contents

Statement of Changes in Net Assets

 

     Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
 

FROM OPERATIONS:

 

Net investment income

   $ 89,157,401     $ 143,383,452  

Net realized loss on investments

     (8,991,821     (15,140,236

Net change in unrealized appreciation (depreciation) on investments

     (8,429,386     17,242,608  
  

 

 

   

 

 

 

Net increase in net assets resulting from operations

     71,736,194       145,485,824  
  

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

Net investment income

    

Class A

     (13,608,949     (22,962,420

Class C

     (7,509,782     (14,637,354

Class N

     (2,934     (3,467

Class Y

     (68,675,769     (110,906,925
  

 

 

   

 

 

 

Total distributions

     (89,797,434     (148,510,166
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)

     851,453,619       824,626,113  
  

 

 

   

 

 

 

Net increase in net assets

     833,392,379       821,601,771  

NET ASSETS

 

Beginning of the period

     2,948,655,725       2,127,053,954  
  

 

 

   

 

 

 

End of the period

   $ 3,782,048,104     $ 2,948,655,725  
  

 

 

   

 

 

 

UNDISTRIBUTED NET INVESTMENT INCOME

   $ 789,406     $ 1,429,439  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

31  |


Table of Contents

Financial Highlights

 

For a share outstanding throughout each period.

 

    Class A  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 9.89     $ 9.88     $ 9.69     $ 10.40     $ 10.56     $ 10.56  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.26       0.51       0.56       0.55       0.58       0.56  

Net realized and unrealized gain (loss)

    (0.04     0.03       0.21       (0.68     (0.14     0.10  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.22       0.54       0.77       (0.13     0.44       0.66  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.26     (0.53     (0.58     (0.58     (0.60     (0.60

Net realized capital gains

                                  (0.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.26     (0.53     (0.58     (0.58     (0.60     (0.66
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.85     $ 9.89     $ 9.88     $ 9.69     $ 10.40     $ 10.56  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    2.26 %(c)(d)      5.53 %(c)      8.31 %(c)      (1.33 )%(c)      4.22 %(c)      6.43

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 572,603     $ 450,633     $ 367,850     $ 361,834     $ 317,293     $ 421,127  

Net expenses

    1.05 %(e)(f)      1.05 %(e)      1.05 %(e)      1.07 %(e)(g)      1.10 %(e)(h)      1.10 %(i) 

Gross expenses

    1.06 %(f)      1.08     1.13     1.08 %(g)      1.11 %(h)      1.10 %(i) 

Net investment income

    5.33 %(f)      5.14     5.84     5.45     5.48     5.30

Portfolio turnover rate

    32     87     75     67     107     82

 

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

 

See accompanying notes to financial statements.

 

|  32


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Class C  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 9.86     $ 9.85     $ 9.67     $ 10.38     $ 10.53     $ 10.54  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.22       0.43       0.49       0.48       0.50       0.48  

Net realized and unrealized gain (loss)

    (0.03     0.03       0.20       (0.68     (0.13     0.10  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.19       0.46       0.69       (0.20     0.37       0.58  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.23     (0.45     (0.51     (0.51     (0.52     (0.53

Net realized capital gains

                                  (0.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.23     (0.45     (0.51     (0.51     (0.52     (0.59
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.82     $ 9.86     $ 9.85     $ 9.67     $ 10.38     $ 10.53  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(b)

    1.89 %(c)(d)      4.76 %(c)      7.41 %(c)      (2.06 )%(c)      3.47 %(c)      5.70

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 340,787     $ 318,635     $ 300,811     $ 287,330     $ 215,189     $ 190,618  

Net expenses

    1.80 %(e)(f)      1.80 %(e)      1.80 %(e)      1.82 %(e)(g)      1.85 %(e)(h)      1.85 %(i) 

Gross expenses

    1.81 %(f)      1.83     1.88     1.83 %(g)      1.87 %(h)      1.85 %(i) 

Net investment income

    4.56 %(f)      4.38     5.10     4.71     4.77     4.56

Portfolio turnover rate

    32     87     75     67     107     82

 

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

 

See accompanying notes to financial statements.

 

33  |


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Class N  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Period Ended
November 30,
2017*
 

Net asset value, beginning of the period

  $ 9.90     $ 9.96  
 

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

   

Net investment income(a)

    0.28       0.37  

Net realized and unrealized gain (loss)

    (0.05     (0.05
 

 

 

   

 

 

 

Total from Investment Operations

    0.23       0.32  
 

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

    (0.28     (0.38
 

 

 

   

 

 

 

Total Distributions

    (0.28     (0.38
 

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.85     $ 9.90  
 

 

 

   

 

 

 

Total return(b)(c)

    2.30     3.28

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $ 106     $ 104  

Net expenses(d)(e)

    0.75     0.75

Gross expenses(e)

    1.03     0.92

Net investment income(e)

    5.61     5.63

Portfolio turnover rate

    32     87 %(f) 

 

* From commencement of Class operations on March 31, 2017 through November 30, 2017.
(a) Per share net investment income has been calculated using the average shares outstanding during the period.
(b) Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.
(c) Periods less than one year are not annualized.
(d) The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.
(e) Computed on an annualized basis for periods less than one year.
(f) Represents the Fund’s portfolio turnover rate for the year ended November 30, 2017.

 

See accompanying notes to financial statements.

 

|  34


Table of Contents

Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Class Y  
    Six Months
Ended
May 31,
2018
(Unaudited)
    Year Ended
November 30,
2017
    Year Ended
November 30,
2016
    Year Ended
November 30,
2015
    Year Ended
November 30,
2014
    Year Ended
November 30,
2013
 

Net asset value, beginning of the period

  $ 9.90     $ 9.89     $ 9.70     $ 10.41     $ 10.56     $ 10.57  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.28       0.54       0.59       0.58       0.61       0.59  

Net realized and unrealized gain (loss)

    (0.05     0.02       0.21       (0.68     (0.13     0.09  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.23       0.56       0.80       (0.10     0.48       0.68  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.27     (0.55     (0.61     (0.61     (0.63     (0.63

Net realized capital gains

                                  (0.06
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.27     (0.55     (0.61     (0.61     (0.63     (0.69
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 9.86     $ 9.90     $ 9.89     $ 9.70     $ 10.41     $ 10.56  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

    2.38 %(b)(c)      5.79 %(b)      8.58 %(b)      (1.08 )%(b)      4.49 %(b)      6.68

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 2,868,552     $ 2,179,284     $ 1,458,394     $ 1,293,175     $ 1,022,193     $ 760,972  

Net expenses

    0.80 %(d)(e)      0.80 %(d)      0.80 %(d)      0.82 %(d)(f)      0.85 %(d)(g)      0.85 %(h) 

Gross expenses

    0.81 %(e)      0.83     0.88     0.83 %(f)      0.87 %(g)      0.85 %(h) 

Net investment income

    5.58 %(e)      5.41     6.09     5.69     5.76     5.55

Portfolio turnover rate

    32     87     75     67     107     82

 

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

 

See accompanying notes to financial statements.

 

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Table of Contents

Notes to Financial Statements

 

May 31, 2018 (Unaudited)

 

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

The Fund is a non-diversified investment company.

The Fund offers Class A, Class C, Class N and Class Y shares. Class T shares of the Fund are not currently available for purchase. Class A shares are sold with a maximum front-end sales charge of 3.50%. Class C shares do not pay a front-end sales charge, 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 with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Effective June 1, 2018, Class C shares will automatically convert to Class A shares after 10 years. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the Fund’s prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C and Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

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

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. 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

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

(such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine 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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of May 31, 2018, securities held by the Fund were fair valued as follows:

 

Securities

classified as

fair valued

   

Percentage

of Net

Assets

   

Securities fair

valued by the

Fund’s adviser

   

Percentage

of Net

Assets

 
  $47,964,715       1.3   $ 0       0.0

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. 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.  Federal and Foreign Income Taxes.  The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of May 31, 2018 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

d.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses. 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 Statement of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales and premium amortization. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

 

39  |


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended November 30, 2017 was as follows:

 

2017 Distributions Paid From:

 

Ordinary

Income

  

Long-Term

Capital Gains

    

Total

 
$148,510,166    $   —      $ 148,510,166  

As of November 30, 2017, capital loss carryforwards were as follows:

 

Capital loss carryforward:

  

Short-term:

  

No expiration date

   $ (22,078,683

Long-term:

  

No expiration date

     (94,401,809
  

 

 

 

Total capital loss carryforward

   $ (116,480,492
  

 

 

 

As of May 31, 2018, the cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

Federal tax cost

   $ 4,005,496,422  
  

 

 

 

Gross tax appreciation

   $ 84,779,642  

Gross tax depreciation

     (119,590,289
  

 

 

 

Net tax depreciation

   $ (34,810,647
  

 

 

 

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.

e.  Repurchase Agreements.  The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of May 31, 2018, the Fund 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 Statement of Assets and Liabilities for financial reporting purposes.

f.  Unfunded Loan Commitments.  The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding at the option of the borrower.

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

Unfunded loan commitments represent a future obligation, in full, and are recorded as a liability on the Statement of Assets and Liabilities at par value.

As of May 31, 2018, the Fund had unfunded loan commitments, which could be extended at the option of the borrower, pursuant to loan agreements with the following borrowers:

 

Borrower

 

Type

 

Principal

Amount

   

Value

 

ABG Intermediate Holdings 2 LLC

 

Delayed Draw Term Loan B-DD

  $ 636,000     $ 639,180  

Access CIG LLC

 

2018 2nd Lien Delayed Draw Term Loan

    483,039       484,551  

Access CIG LLC

 

2018 Delayed Draw Term Loan

    1,297,256       1,302,134  

DexKo Global, Inc.

 

2018 USD Incremental Term Loan

    738,750       742,909  

DG Investment Intermediate Holdings 2, Inc

 

2018 Delayed Draw Term Loan

    516,277       514,021  

Recess Holdings, Inc.

 

2017 Delayed Draw Term Loan

    389,881       391,830  

Spectrum Holdings III Corp.

 

Delayed Draw Term Loan

    1,090,000       1,089,095  
   

 

 

   

 

 

 
    $ 5,151,203     $ 5,163,720  
   

 

 

   

 

 

 

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

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

 

   

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

 

   

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

 

   

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

 

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Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

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

The following is a summary of the inputs used to value the Fund’s investments as of May 31, 2018, at value:

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Senior Loans

        

Consumer Cyclical Services

   $   —     $ 293,326,135     $ 5,068,653 (b)    $ 298,394,788  

All Other Senior Loans(a)

           3,006,867,647             3,006,867,647  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Senior Loans

           3,300,193,782       5,068,653       3,305,262,435  
  

 

 

   

 

 

   

 

 

   

 

 

 

Bonds and Notes(a)

           275,301,335             275,301,335  

Common Stocks

        

Specialty Retail

                 (c)       

All Other Common Stocks(a)

           6,859,988             6,859,988  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Common Stocks

           6,859,988             6,859,988  
  

 

 

   

 

 

   

 

 

   

 

 

 

Short-Term Investments

           383,262,017             383,262,017  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $     $ 3,965,617,122     $ 5,068,653     $ 3,970,685,775  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 by the Fund’s adviser using level 3 inputs.

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2017 and/or May 31, 2018:

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of

November 30,

2017

   

Accrued

Discounts

(Premiums)

   

Realized

Gain

(Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Purchases

 

Senior Loans

         

Construction Machinery

  $ 2,384,581     $   —     $   —     $     $  

Consumer Cyclical Services

    3,825,581                   1,064,000       179,072  

Common Stocks

         

Energy Equipment & Services

    2,474,160                          

Industrial Conglomerates

    (a)                         

Oil, Gas & Consumable Fuels

    4,110,390                          

Specialty Retail

    (b)                         
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 12,794,712     $     $     $ 1,064,000     $ 179,072  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investments in Securities

 

Sales

   

Transfers

into Level 3

   

Transfers

out of

Level 3

   

Balance as of

May 31,

2018

   

Change in

Unrealized

Appreciation

(Depreciation)

from

Investments

Still Held at

May 31,

2018

 

Senior Loans

         

Construction Machinery

  $   —     $   —     $ (2,384,581   $     $  

Consumer Cyclical Services

                      5,068,653       1,064,000  

Common Stocks

         

Energy Equipment & Services

                (2,474,160        

Industrial Conglomerates

                (a)             

Oil, Gas & Consumable Fuels

                (4,110,390            

Specialty Retail

                      (b)       
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $     $     $ (8,969,131   $ 5,068,653     $ 1,064,000  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) At November 30, 2017, includes a security fair valued at zero using level 3 inputs. At May 31, 2018, this security was valued at zero using closing bid quotations provided by an independent pricing service and was subsequently transferred to level 2.
(b) Fair valued at zero.

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

A debt security valued at $2,384,581 was transferred from Level 3 to Level 2 during the period ended May 31, 2018. At November 30, 2017, this security was valued at fair value as determined in good faith by the Fund’s adviser using broker-dealer bid prices for which the inputs were unobservable to the Fund. At May 31, 2018 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.

Common stocks valued at $6,584,550 were transferred from Level 3 to Level 2 during the period ended May 31, 2018. At November 30, 2017, these securities were valued at fair value as determined in good faith by the Fund’s adviser using broker-dealer bid prices for which the inputs were unobservable to the Fund. At May 31, 2018, these securities were valued on the basis of closing bid quotations furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

4.  Purchases and Sales of Securities.  For the six months ended May 31, 2018, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $1,771,777,318 and $997,433,361, respectively.

5. Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.60%, calculated daily and payable monthly, based on the Fund’s average daily managed assets, which include borrowings used for leverage.

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until March 31, 2019, may be terminated before then only with the consent of the Fund’s Board of Trustees, and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to this undertaking.

For the six months ended May 31, 2018, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:

 

Expense Limit as a Percentage of

Average Daily Net Assets

 

Class A

  

Class C

    

Class N

    

Class Y

 
1.05%      1.80%        0.75%        0.80%  

 

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Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

For the six months ended May 31, 2018, the management fees and waiver of management fees for the Fund were as follows:

 

Gross

Management

Fees

   

Contractual

Waivers of

Management

Fees1

   

Net

Management

Fees

   

Percentage of

Average Daily

Net Assets

 
     

Gross

   

Net

 
  $9,830,475     $ 172,945     $ 9,657,530       0.60     0.59

 

1

Management fee waiver is subject to possible recovery until November 30, 2019.

No expenses were recovered for the Fund during the six months ended May 31, 2018 under the terms of the expense limitation agreements.

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis Investment Managers, L.P. (“Natixis”), which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

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

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

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

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

 

45  |


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

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

For the six months ended May 31, 2018, the service and distribution fees for the Fund were as follows:

 

Service Fees

     Distribution Fees  

Class A

  

Class C

    

Class C

 

$634,321

     $409,048        $1,227,146  

c.  Administrative Fees.  Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Fund and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, the Fund pays Natixis 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the six months ended May 31, 2018, the administrative fees for the Fund were $726,714.

Effective July 1, 2018, each Fund pays Natixis 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, Loomis Sayles Funds Trusts and Natixis ETF Trust, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

d.  Sub-Transfer Agent Fees.  Natixis Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse Natixis

 

|  46


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended May 31, 2018, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $886,872.

As of May 31, 2018, the Fund owes Natixis Distribution $17,959 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

e.  Commissions.  Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the six months ended May 31, 2018 amounted to $63,223.

f.  Trustees Fees and Expenses.  The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $340,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $170,000. 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 $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $12,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

Prior to January 1, 2018, the Chairperson of the Board received a retainer fee at the annual rate of $325,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $155,000, the chairperson of the Contract Review Committee and Audit Committee each received an

 

47  |


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

additional retainer fee at the annual rate of $17,500 and the chairperson of the Governance Committee received an additional retainer fee at the annual rate of $10,000. All other Trustee fees remained unchanged.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.

g.  Affiliated Ownership.  As of May 31, 2018, Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Fund representing 0.36% of the Fund’s net assets.

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

h.  Reimbursement of Transfer Agent Fees and Expenses.  Natixis Advisors has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through March 31, 2019 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended May 31, 2018, Natixis Advisors reimbursed the Fund $145 for transfer agency expenses related to Class N shares.

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

For the six months ended May 31, 2018, the Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):

 

Transfer Agent Fees and Expenses

 

Class A

  

Class C

    

Class N

    

Class Y

 
$152,221    $ 98,206      $ 145      $ 732,676  

 

|  48


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

7.  Line of Credit.  The 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. The Fund paid the Administrative Agent an upfront fee of $400,000 and an administrative agent fee of $25,000, for a total of $425,000, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.

During the six months ended May 31, 2018, the Fund had no borrowings under this agreement.

8.  Concentration of Risk.  The Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.

The senior loans in which the 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.

Senior loans are generally less liquid than many other debt securities. Transactions in senior loans may settle on a delayed basis, such that the 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.

9.  Concentration of Ownership.  From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of May 31, 2018, based on management’s evaluation of the shareholder

 

49  |


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

account base, the Fund had accounts (including accounts owned by affiliates) 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:

 

Number of 5%

Account Holders

  

Percentage of

Ownership

1    6.54%(a)

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

 

(a) Certain Fund shareholders are invested in the Fund as a result of the Fund’s inclusion in an investment portfolio model, utilized by certain third party intermediaries, developed by an affiliate of the Fund, AlphaSimplex Group (ASG). Without this model or as a result of changes in this model, these shareholder positions in the Fund may not exist or could change in a material amount. ASG has no involvement in the decisions to invest in the models provided.

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

 

    

Six Months Ended

May 31, 2018

 

 

   

Year Ended

November 30, 2017(a)

 

 

       Shares       Amount       Shares       Amount  
Class A         

Issued from the sale of shares

     21,152,765     $ 209,683,044       29,869,396     $ 297,228,483  

Issued in connection with the reinvestment of distributions

     1,045,031       10,336,433       1,710,961       16,967,784  

Redeemed

     (9,615,390     (95,295,719     (23,253,074     (231,277,219
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     12,582,406     $ 124,723,758       8,327,283     $ 82,919,048  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class C         

Issued from the sale of shares

     5,760,117     $ 56,912,197       11,034,436     $ 109,442,465  

Issued in connection with the reinvestment of distributions

     527,581       5,203,774       981,126       9,700,556  

Redeemed

     (3,887,013     (38,401,789     (10,236,275     (101,473,915
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     2,400,685     $ 23,714,182       1,779,287     $ 17,669,106  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

|  50


Table of Contents

Notes to Financial Statements (continued)

 

May 31, 2018 (Unaudited)

 

10.  Capital Shares (continued).

 

    

Six Months Ended

May 31, 2018

 

 

   

Year Ended

November 30, 2017(a)

 

 

       Shares       Amount       Shares       Amount  
Class N         

Issued from the sale of shares

         $       10,151     $ 101,001  

Issued in connection with the reinvestment of distributions

     296       2,934       350       3,467  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     296     $ 2,934       10,501     $ 104,468  
  

 

 

   

 

 

   

 

 

   

 

 

 
Class Y         

Issued from the sale of shares

     105,826,416     $ 1,049,838,657       139,860,450     $ 1,392,541,705  

Issued in connection with the reinvestment of distributions

     5,058,814       50,077,990       8,098,437       80,350,410  

Redeemed

     (40,014,030     (396,903,902     (75,307,409     (748,958,624
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change

     70,871,200     $ 703,012,745       72,651,478     $ 723,933,491  
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) from capital share transactions

     85,854,587     $ 851,453,619       82,768,549     $ 824,626,113  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) From commencement of operations on March 31, 2017 through November 30, 2017 for Class N shares.

 

51  |


Table of Contents

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

  (a)   (1)    Not applicable
  (a)   (2)    Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 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:   July 23, 2018

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:   July 23, 2018
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   July 23, 2018
EX-99.CERT 2 d592214dex99cert.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: July 23, 2018

 

/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: July 23, 2018

 

/s/ Michael C. Kardok

Michael C. Kardok
Treasurer
EX-99.906CERT 3 d592214dex99906cert.htm SECTION 906 CERTIFICATION Section 906 Certification

Exhibit (b)

Natixis Funds Trust II

Section 906 Certification

In connection with the report on Form N-CSR for the period ended May 31, 2018 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: July 23, 2018       Date: July 23, 2018

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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