Unassociated Document

0001410368-12-000049.txt : 20120228 0001410368-12-000049.hdr.sgml : 20120228 20120228161134 ACCESSION NUMBER: 0001410368-12-000049 CONFORMED SUBMISSION TYPE: NSAR-B PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20111231 FILED AS OF DATE: 20120228 DATE AS OF CHANGE: 20120228 EFFECTIVENESS DATE: 20120228 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: NSAR-B SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 12647331 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000008033 Harris Associates Large Cap Value Fund

C000021802 Class A NEFOX

C000021803 Class B NEGBX

C000021804 Class C NECOX

C000021805 Class Y NEOYX

0000052136 S000023548 ASG Global Alternatives Fund

C000069269 Class A GAFAX

C000069270 Class C GAFCX

C000069271 Class Y GAFYX

0000052136 S000023783 Vaughan Nelson Value Opportunity Fund

C000069913 Class A VNVAX

C000069914 Class C VNVCX

C000069915 Class Y VNVYX

0000052136 S000026209 ASG Diversifying Strategies Fund

C000078682 Class A DSFAX

C000078683 Class C DSFCX

C000078684 Class Y DSFYX

0000052136 S000029564 ASG Managed Futures Strategy Fund

C000090725 Class A AMFAX

C000090726 Class C ASFCX

C000090727 Class Y ASFYX

0000052136 S000029565 Westpeak ActiveBeta Equity Fund

C000090728 Class A WABAX

C000090729 Class C WABCX

C000090730 Class Y WABYX

0000052136 S000030110 Loomis Sayles Multi-Asset Real Return Fund

C000092471 Class A MARAX

C000092472 Class C MARCX

C000092473 Class Y MARYX

0000052136 S000030600 Loomis Sayles Absolute Strategies Fund

C000094853 Class A LABAX

C000094854 Class C LABCX

C000094855 Class Y LASYX

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F040500 35366 028 G010500 233081 028 G020500 12357 028 G030500 0 028 G040500 126606 028 H000500 3130 028 A010600 59736 028 A020600 0 028 A030600 0 028 A040600 8692 028 B010600 108427 028 B020600 0 028 B030600 0 028 B040600 16442 028 C010600 77534 028 C020600 0 028 C030600 0 028 C040600 75750 028 D010600 103666 028 D020600 0 028 D030600 0 028 D040600 19036 028 E010600 124534 028 E020600 0 028 E030600 0 028 E040600 20702 028 F010600 112980 028 F020600 15215 028 F030600 0 PAGE 17 028 F040600 73485 028 G010600 586877 028 G020600 15215 028 G030600 0 028 G040600 214107 028 H000600 7815 028 A010700 6333 028 A020700 0 028 A030700 0 028 A040700 561 028 B010700 523 028 B020700 0 028 B030700 0 028 B040700 412 028 C010700 123 028 C020700 0 028 C030700 0 028 C040700 336 028 D010700 61 028 D020700 0 028 D030700 0 028 D040700 40677 028 E010700 0 028 E020700 0 028 E030700 0 028 E040700 495 028 F010700 9 028 F020700 677 028 F030700 0 028 F040700 288 028 G010700 7049 028 G020700 677 028 G030700 0 028 G040700 42769 028 H000700 19 028 A010800 0 028 A020800 0 028 A030800 0 028 A040800 0 028 B010800 0 028 B020800 0 028 B030800 0 028 B040800 0 028 C010800 0 028 C020800 0 028 C030800 0 028 C040800 0 028 D010800 0 028 D020800 0 028 D030800 0 028 D040800 0 PAGE 18 028 E010800 0 028 E020800 0 028 E030800 0 028 E040800 0 028 F010800 0 028 F020800 302 028 F030800 0 028 F040800 0 028 G010800 0 028 G020800 302 028 G030800 0 028 G040800 0 028 H000800 0 028 A010900 36927 028 A020900 0 028 A030900 0 028 A040900 27025 028 B010900 47410 028 B020900 0 028 B030900 0 028 B040900 67263 028 C010900 22869 028 C020900 3137 028 C030900 0 028 C040900 55915 028 D010900 15354 028 D020900 0 028 D030900 0 028 D040900 44960 028 E010900 16611 028 E020900 0 028 E030900 0 028 E040900 23360 028 F010900 23668 028 F020900 4715 028 F030900 0 028 F040900 55262 028 G010900 162839 028 G020900 7852 028 G030900 0 028 G040900 273785 028 H000900 14059 029 000100 Y 029 000300 Y 029 000400 Y 029 000500 Y 029 000600 Y 029 000700 Y 029 000800 N 029 000900 Y 030 A000100 29 PAGE 19 030 B000100 5.75 030 C000100 0.00 030 A000300 20 030 B000300 5.75 030 C000300 0.00 030 A000400 279 030 B000400 5.75 030 C000400 0.00 030 A000500 130 030 B000500 5.75 030 C000500 0.00 030 A000600 340 030 B000600 5.75 030 C000600 0.00 030 A000700 1 030 B000700 4.50 030 C000700 0.00 030 A000800 0 030 B000800 0.00 030 C000800 0.00 030 A000900 491 030 B000900 4.50 030 C000900 0.00 031 A000100 4 031 B000100 0 031 A000300 3 031 B000300 0 031 A000400 36 031 B000400 0 031 A000500 17 031 B000500 0 031 A000600 44 031 B000600 0 031 A000700 0 031 B000700 0 031 A000800 0 031 B000800 0 031 A000900 60 031 B000900 0 032 000100 25 032 000300 17 032 000400 243 032 000500 113 032 000600 296 032 000700 1 032 000800 0 032 000900 431 033 000100 0 033 000300 0 033 000400 0 033 000500 0 PAGE 20 033 000600 0 033 000700 0 033 000800 0 033 000900 0 034 000100 Y 034 000300 Y 034 000400 Y 034 000500 Y 034 000600 Y 034 000700 N 034 000800 N 034 000900 Y 035 000100 5 035 000300 0 035 000400 36 035 000500 15 035 000600 11 035 000700 0 035 000800 0 035 000900 44 036 B000100 0 036 A000300 N 036 B000300 0 036 A000400 N 036 B000400 0 036 A000500 N 036 B000500 0 036 A000600 N 036 B000600 0 036 B000700 0 036 B000800 0 036 A000900 N 036 B000900 0 037 000100 N 037 000300 N 037 000400 N 037 000500 N 037 000600 N 037 000700 N 037 000800 N 037 000900 N 038 000100 0 038 000300 0 038 000400 0 038 000500 0 038 000600 0 038 000700 0 038 000800 0 038 000900 0 039 000100 N 039 000300 N PAGE 21 039 000400 N 039 000500 N 039 000600 N 039 000700 N 039 000800 N 039 000900 N 040 000100 Y 040 000300 Y 040 000400 Y 040 000500 Y 040 000600 Y 040 000700 Y 040 000800 Y 040 000900 Y 041 000100 Y 041 000300 Y 041 000400 Y 041 000500 Y 041 000600 Y 041 000700 Y 041 000800 Y 041 000900 Y 042 A000100 0 042 B000100 0 042 C000100 100 042 D000100 0 042 E000100 0 042 F000100 0 042 G000100 0 042 H000100 0 042 A000300 0 042 B000300 0 042 C000300 100 042 D000300 0 042 E000300 0 042 F000300 0 042 G000300 0 042 H000300 0 042 A000400 0 042 B000400 0 042 C000400 100 042 D000400 0 042 E000400 0 042 F000400 0 042 G000400 0 042 H000400 0 042 A000500 0 042 B000500 0 042 C000500 100 042 D000500 0 042 E000500 0 PAGE 22 042 F000500 0 042 G000500 0 042 H000500 0 042 A000600 0 042 B000600 0 042 C000600 100 042 D000600 0 042 E000600 0 042 F000600 0 042 G000600 0 042 H000600 0 042 A000700 0 042 B000700 0 042 C000700 100 042 D000700 0 042 E000700 0 042 F000700 0 042 G000700 0 042 H000700 0 042 A000800 0 042 B000800 0 042 C000800 100 042 D000800 0 042 E000800 0 042 F000800 0 042 G000800 0 042 H000800 0 042 A000900 0 042 B000900 0 042 C000900 100 042 D000900 0 042 E000900 0 042 F000900 0 042 G000900 0 042 H000900 0 043 000100 397 043 000300 63 043 000400 1534 043 000500 493 043 000600 797 043 000700 8 043 000800 0 043 000900 1121 044 000100 0 044 000300 0 044 000400 0 044 000500 0 044 000600 0 044 000700 0 044 000800 0 044 000900 0 PAGE 23 045 000100 Y 045 000300 Y 045 000400 Y 045 000500 Y 045 000600 Y 045 000700 Y 045 000800 Y 045 000900 Y 046 000100 Y 046 000300 Y 046 000400 Y 046 000500 Y 046 000600 Y 046 000700 N 046 000800 Y 046 000900 N 047 000100 Y 047 000300 Y 047 000400 Y 047 000500 Y 047 000600 Y 047 000700 Y 047 000800 Y 047 000900 Y 048 000100 0.000 048 A010100 200000 048 A020100 0.700 048 B010100 300000 048 B020100 0.650 048 C010100 0 048 C020100 0.000 048 D010100 0 048 D020100 0.000 048 E010100 0 048 E020100 0.000 048 F010100 0 048 F020100 0.000 048 G010100 0 048 G020100 0.000 048 H010100 0 048 H020100 0.000 048 I010100 0 048 I020100 0.000 048 J010100 0 048 J020100 0.000 048 K010100 500000 048 K020100 0.600 048 000300 0.800 048 A010300 0 048 A020300 0.000 048 B010300 0 PAGE 24 048 B020300 0.000 048 C010300 0 048 C020300 0.000 048 D010300 0 048 D020300 0.000 048 E010300 0 048 E020300 0.000 048 F010300 0 048 F020300 0.000 048 G010300 0 048 G020300 0.000 048 H010300 0 048 H020300 0.000 048 I010300 0 048 I020300 0.000 048 J010300 0 048 J020300 0.000 048 K010300 0 048 K020300 0.000 048 000400 1.150 048 A010400 0 048 A020400 0.000 048 B010400 0 048 B020400 0.000 048 C010400 0 048 C020400 0.000 048 D010400 0 048 D020400 0.000 048 E010400 0 048 E020400 0.000 048 F010400 0 048 F020400 0.000 048 G010400 0 048 G020400 0.000 048 H010400 0 048 H020400 0.000 048 I010400 0 048 I020400 0.000 048 J010400 0 048 J020400 0.000 048 K010400 0 048 K020400 0.000 048 000500 1.250 048 A010500 0 048 A020500 0.000 048 B010500 0 048 B020500 0.000 048 C010500 0 048 C020500 0.000 048 D010500 0 048 D020500 0.000 PAGE 25 048 E010500 0 048 E020500 0.000 048 F010500 0 048 F020500 0.000 048 G010500 0 048 G020500 0.000 048 H010500 0 048 H020500 0.000 048 I010500 0 048 I020500 0.000 048 J010500 0 048 J020500 0.000 048 K010500 0 048 K020500 0.000 048 000600 1.250 048 A010600 0 048 A020600 0.000 048 B010600 0 048 B020600 0.000 048 C010600 0 048 C020600 0.000 048 D010600 0 048 D020600 0.000 048 E010600 0 048 E020600 0.000 048 F010600 0 048 F020600 0.000 048 G010600 0 048 G020600 0.000 048 H010600 0 048 H020600 0.000 048 I010600 0 048 I020600 0.000 048 J010600 0 048 J020600 0.000 048 K010600 0 048 K020600 0.000 048 000700 0.750 048 A010700 0 048 A020700 0.000 048 B010700 0 048 B020700 0.000 048 C010700 0 048 C020700 0.000 048 D010700 0 048 D020700 0.000 048 E010700 0 048 E020700 0.000 048 F010700 0 048 F020700 0.000 048 G010700 0 PAGE 26 048 G020700 0.000 048 H010700 0 048 H020700 0.000 048 I010700 0 048 I020700 0.000 048 J010700 0 048 J020700 0.000 048 K010700 0 048 K020700 0.000 048 000800 0.600 048 A010800 0 048 A020800 0.000 048 B010800 0 048 B020800 0.000 048 C010800 0 048 C020800 0.000 048 D010800 0 048 D020800 0.000 048 E010800 0 048 E020800 0.000 048 F010800 0 048 F020800 0.000 048 G010800 0 048 G020800 0.000 048 H010800 0 048 H020800 0.000 048 I010800 0 048 I020800 0.000 048 J010800 0 048 J020800 0.000 048 K010800 0 048 K020800 0.000 048 000900 0.700 048 A010900 0 048 A020900 0.000 048 B010900 0 048 B020900 0.000 048 C010900 0 048 C020900 0.000 048 D010900 0 048 D020900 0.000 048 E010900 0 048 E020900 0.000 048 F010900 0 048 F020900 0.000 048 G010900 0 048 G020900 0.000 048 H010900 0 048 H020900 0.000 048 I010900 0 048 I020900 0.000 PAGE 27 048 J010900 0 048 J020900 0.000 048 K010900 0 048 K020900 0.000 049 000100 N 049 000300 N 049 000400 N 049 000500 N 049 000600 N 049 000700 N 049 000800 N 049 000900 N 050 000100 N 050 000300 N 050 000400 N 050 000500 N 050 000600 N 050 000700 N 050 000800 N 050 000900 N 051 000100 N 051 000300 N 051 000400 N 051 000500 N 051 000600 N 051 000700 N 051 000800 N 051 000900 N 052 000100 N 052 000300 N 052 000400 N 052 000500 N 052 000600 N 052 000700 N 052 000800 N 052 000900 N 053 A000100 N 053 A000300 N 053 A000400 Y 053 B000400 Y 053 C000400 N 053 A000500 Y 053 B000500 Y 053 C000500 N 053 A000600 Y 053 B000600 Y 053 C000600 N 053 A000700 Y 053 B000700 Y 053 C000700 N 053 A000800 Y PAGE 28 053 B000800 Y 053 C000800 N 053 A000900 N 054 A000100 Y 054 B000100 Y 054 C000100 N 054 D000100 N 054 E000100 N 054 F000100 N 054 G000100 N 054 H000100 Y 054 I000100 N 054 J000100 Y 054 K000100 N 054 L000100 N 054 M000100 Y 054 N000100 N 054 O000100 N 054 A000300 Y 054 B000300 Y 054 C000300 N 054 D000300 N 054 E000300 N 054 F000300 N 054 G000300 N 054 H000300 Y 054 I000300 N 054 J000300 Y 054 K000300 N 054 L000300 N 054 M000300 Y 054 N000300 N 054 O000300 N 054 A000400 Y 054 B000400 Y 054 C000400 N 054 D000400 N 054 E000400 N 054 F000400 N 054 G000400 N 054 H000400 Y 054 I000400 N 054 J000400 Y 054 K000400 N 054 L000400 N 054 M000400 Y 054 N000400 N 054 O000400 N 054 A000500 Y 054 B000500 Y 054 C000500 N PAGE 29 054 D000500 N 054 E000500 N 054 F000500 N 054 G000500 N 054 H000500 Y 054 I000500 N 054 J000500 Y 054 K000500 N 054 L000500 N 054 M000500 Y 054 N000500 N 054 O000500 N 054 A000600 Y 054 B000600 Y 054 C000600 N 054 D000600 N 054 E000600 N 054 F000600 N 054 G000600 N 054 H000600 Y 054 I000600 N 054 J000600 Y 054 K000600 N 054 L000600 N 054 M000600 Y 054 N000600 N 054 O000600 N 054 A000700 Y 054 B000700 Y 054 C000700 N 054 D000700 N 054 E000700 N 054 F000700 N 054 G000700 N 054 H000700 Y 054 I000700 N 054 J000700 Y 054 K000700 N 054 L000700 N 054 M000700 Y 054 N000700 N 054 O000700 N 054 A000800 Y 054 B000800 Y 054 C000800 N 054 D000800 N 054 E000800 N 054 F000800 N 054 G000800 N 054 H000800 Y 054 I000800 N PAGE 30 054 J000800 Y 054 K000800 N 054 L000800 N 054 M000800 Y 054 N000800 N 054 O000800 N 054 A000900 Y 054 B000900 Y 054 C000900 N 054 D000900 N 054 E000900 N 054 F000900 N 054 G000900 N 054 H000900 Y 054 I000900 N 054 J000900 Y 054 K000900 N 054 L000900 N 054 M000900 Y 054 N000900 N 054 O000900 N 055 A000100 N 055 B000100 N 055 A000300 Y 055 B000300 N 055 A000400 Y 055 B000400 N 055 A000500 N 055 B000500 N 055 A000600 Y 055 B000600 N 055 A000700 Y 055 B000700 N 055 A000800 N 055 B000800 N 055 A000900 N 055 B000900 N 056 000100 Y 056 000300 Y 056 000400 Y 056 000500 Y 056 000600 Y 056 000700 Y 056 000800 Y 056 000900 Y 057 000100 N 057 000300 N 057 000400 N 057 000500 N 057 000600 N 057 000700 N PAGE 31 057 000800 N 057 000900 N 058 A000100 N 058 A000300 N 058 A000400 N 058 A000500 N 058 A000600 N 058 A000700 N 058 A000800 N 058 A000900 N 059 000100 Y 059 000300 Y 059 000400 Y 059 000500 Y 059 000600 Y 059 000700 Y 059 000800 Y 059 000900 Y 060 A000100 Y 060 B000100 Y 060 A000300 Y 060 B000300 Y 060 A000400 Y 060 B000400 Y 060 A000500 Y 060 B000500 Y 060 A000600 Y 060 B000600 Y 060 A000700 N 060 B000700 N 060 A000800 Y 060 B000800 Y 060 A000900 N 060 B000900 N 061 000100 2500 061 000300 2500 061 000400 2500 061 000500 2500 061 000600 2500 061 000700 2500 061 000800 2500 061 000900 2500 062 A000100 N 062 B000100 0.0 062 C000100 0.0 062 D000100 0.0 062 E000100 0.0 062 F000100 0.0 062 G000100 0.0 062 H000100 0.0 062 I000100 0.0 PAGE 32 062 J000100 0.0 062 K000100 0.0 062 L000100 0.0 062 M000100 0.0 062 N000100 0.0 062 O000100 0.0 062 P000100 0.0 062 Q000100 0.0 062 R000100 0.0 062 A000300 N 062 B000300 0.0 062 C000300 0.0 062 D000300 0.0 062 E000300 0.0 062 F000300 0.0 062 G000300 0.0 062 H000300 0.0 062 I000300 0.0 062 J000300 0.0 062 K000300 0.0 062 L000300 0.0 062 M000300 0.0 062 N000300 0.0 062 O000300 0.0 062 P000300 0.0 062 Q000300 0.0 062 R000300 0.0 062 A000400 Y 062 B000400 0.0 062 C000400 0.0 062 D000400 0.0 062 E000400 0.0 062 F000400 71.7 062 G000400 0.0 062 H000400 0.0 062 I000400 22.3 062 J000400 0.0 062 K000400 0.0 062 L000400 0.0 062 M000400 0.0 062 N000400 0.0 062 O000400 0.0 062 P000400 0.0 062 Q000400 0.0 062 R000400 0.0 062 A000500 Y 062 B000500 0.0 062 C000500 0.0 062 D000500 0.0 062 E000500 0.0 062 F000500 66.8 PAGE 33 062 G000500 0.0 062 H000500 0.0 062 I000500 25.6 062 J000500 0.0 062 K000500 0.0 062 L000500 0.0 062 M000500 0.0 062 N000500 0.0 062 O000500 0.0 062 P000500 0.0 062 Q000500 0.0 062 R000500 0.0 062 A000600 Y 062 B000600 0.0 062 C000600 0.0 062 D000600 0.0 062 E000600 0.0 062 F000600 62.0 062 G000600 0.0 062 H000600 0.0 062 I000600 25.7 062 J000600 0.0 062 K000600 0.0 062 L000600 0.0 062 M000600 0.0 062 N000600 0.0 062 O000600 0.0 062 P000600 0.0 062 Q000600 0.0 062 R000600 0.0 062 A000700 Y 062 B000700 29.5 062 C000700 0.0 062 D000700 3.6 062 E000700 0.0 062 F000700 0.0 062 G000700 0.0 062 H000700 0.0 062 I000700 0.0 062 J000700 0.0 062 K000700 1.3 062 L000700 0.0 062 M000700 0.0 062 N000700 0.0 062 O000700 0.0 062 P000700 38.6 062 Q000700 2.9 062 R000700 18.6 062 A000800 N 062 B000800 0.0 062 C000800 0.0 PAGE 34 062 D000800 0.0 062 E000800 0.0 062 F000800 0.0 062 G000800 0.0 062 H000800 0.0 062 I000800 0.0 062 J000800 0.0 062 K000800 0.0 062 L000800 0.0 062 M000800 0.0 062 N000800 0.0 062 O000800 0.0 062 P000800 0.0 062 Q000800 0.0 062 R000800 0.0 062 A000900 Y 062 B000900 9.5 062 C000900 0.0 062 D000900 7.3 062 E000900 0.0 062 F000900 0.0 062 G000900 0.0 062 H000900 0.0 062 I000900 0.0 062 J000900 0.0 062 K000900 0.3 062 L000900 0.0 062 M000900 0.0 062 N000900 0.0 062 O000900 0.2 062 P000900 57.6 062 Q000900 19.3 062 R000900 6.5 063 A000100 0 063 B000100 0.0 063 A000300 0 063 B000300 0.0 063 A000400 38 063 B000400 0.0 063 A000500 41 063 B000500 0.0 063 A000600 38 063 B000600 0.0 063 A000700 0 063 B000700 11.6 063 A000800 0 063 B000800 0.0 063 A000900 0 063 B000900 8.1 064 A000400 Y 064 B000400 N PAGE 35 064 A000500 Y 064 B000500 N 064 A000600 Y 064 B000600 N 066 A000100 Y 066 B000100 N 066 C000100 N 066 D000100 N 066 E000100 Y 066 F000100 N 066 G000100 N 066 A000300 Y 066 B000300 N 066 C000300 Y 066 D000300 N 066 E000300 N 066 F000300 N 066 G000300 N 066 A000400 N 066 A000500 N 066 A000600 N 066 A000700 Y 066 B000700 N 066 C000700 N 066 D000700 N 066 E000700 N 066 F000700 N 066 G000700 Y 066 A000800 Y 066 B000800 N 066 C000800 N 066 D000800 Y 066 E000800 N 066 F000800 N 066 G000800 N 066 A000900 N 067 000100 N 067 000300 N 067 000400 N 067 000500 N 067 000600 N 067 000700 N 067 000800 N 067 000900 N 068 A000100 N 068 B000100 N 068 A000300 N 068 B000300 N 068 A000400 N 068 B000400 N 068 A000500 N PAGE 36 068 B000500 N 068 A000600 N 068 B000600 N 068 A000700 N 068 B000700 N 068 A000800 N 068 B000800 N 068 A000900 N 068 B000900 N 069 000100 N 069 000300 N 069 000400 N 069 000500 N 069 000600 N 069 000700 N 069 000800 N 069 000900 N 070 A010100 Y 070 A020100 Y 070 B010100 Y 070 B020100 N 070 C010100 Y 070 C020100 N 070 D010100 Y 070 D020100 N 070 E010100 Y 070 E020100 N 070 F010100 Y 070 F020100 N 070 G010100 Y 070 G020100 N 070 H010100 Y 070 H020100 N 070 I010100 N 070 I020100 N 070 J010100 Y 070 J020100 N 070 K010100 Y 070 K020100 N 070 L010100 Y 070 L020100 Y 070 M010100 Y 070 M020100 N 070 N010100 Y 070 N020100 N 070 O010100 Y 070 O020100 N 070 P010100 Y 070 P020100 N 070 Q010100 N 070 Q020100 N PAGE 37 070 R010100 N 070 R020100 N 070 A010300 Y 070 A020300 Y 070 B010300 Y 070 B020300 N 070 C010300 Y 070 C020300 N 070 D010300 Y 070 D020300 N 070 E010300 Y 070 E020300 N 070 F010300 Y 070 F020300 N 070 G010300 Y 070 G020300 N 070 H010300 Y 070 H020300 N 070 I010300 N 070 I020300 N 070 J010300 Y 070 J020300 N 070 K010300 Y 070 K020300 Y 070 L010300 Y 070 L020300 N 070 M010300 Y 070 M020300 N 070 N010300 Y 070 N020300 N 070 O010300 Y 070 O020300 N 070 P010300 Y 070 P020300 N 070 Q010300 N 070 Q020300 N 070 R010300 N 070 R020300 N 070 A010400 Y 070 A020400 N 070 B010400 Y 070 B020400 N 070 C010400 Y 070 C020400 N 070 D010400 Y 070 D020400 N 070 E010400 Y 070 E020400 Y 070 F010400 Y 070 F020400 Y 070 G010400 Y PAGE 38 070 G020400 N 070 H010400 Y 070 H020400 N 070 I010400 Y 070 I020400 Y 070 J010400 Y 070 J020400 N 070 K010400 Y 070 K020400 N 070 L010400 Y 070 L020400 Y 070 M010400 Y 070 M020400 Y 070 N010400 Y 070 N020400 N 070 O010400 Y 070 O020400 N 070 P010400 Y 070 P020400 N 070 Q010400 Y 070 Q020400 N 070 R010400 Y 070 R020400 N 070 A010500 Y 070 A020500 N 070 B010500 Y 070 B020500 N 070 C010500 Y 070 C020500 N 070 D010500 Y 070 D020500 N 070 E010500 Y 070 E020500 Y 070 F010500 Y 070 F020500 Y 070 G010500 Y 070 G020500 N 070 H010500 Y 070 H020500 N 070 I010500 Y 070 I020500 Y 070 J010500 Y 070 J020500 N 070 K010500 Y 070 K020500 N 070 L010500 Y 070 L020500 Y 070 M010500 Y 070 M020500 Y 070 N010500 Y 070 N020500 N PAGE 39 070 O010500 Y 070 O020500 N 070 P010500 Y 070 P020500 N 070 Q010500 Y 070 Q020500 N 070 R010500 Y 070 R020500 N 070 A010600 Y 070 A020600 N 070 B010600 Y 070 B020600 N 070 C010600 Y 070 C020600 N 070 D010600 Y 070 D020600 N 070 E010600 Y 070 E020600 Y 070 F010600 Y 070 F020600 Y 070 G010600 Y 070 G020600 N 070 H010600 Y 070 H020600 N 070 I010600 Y 070 I020600 Y 070 J010600 Y 070 J020600 N 070 K010600 Y 070 K020600 N 070 L010600 Y 070 L020600 Y 070 M010600 Y 070 M020600 Y 070 N010600 Y 070 N020600 N 070 O010600 Y 070 O020600 N 070 P010600 Y 070 P020600 N 070 Q010600 Y 070 Q020600 N 070 R010600 Y 070 R020600 N 070 A010700 Y 070 A020700 Y 070 B010700 Y 070 B020700 Y 070 C010700 Y 070 C020700 N 070 D010700 Y PAGE 40 070 D020700 Y 070 E010700 Y 070 E020700 Y 070 F010700 Y 070 F020700 Y 070 G010700 Y 070 G020700 Y 070 H010700 Y 070 H020700 Y 070 I010700 Y 070 I020700 Y 070 J010700 Y 070 J020700 N 070 K010700 Y 070 K020700 Y 070 L010700 Y 070 L020700 Y 070 M010700 Y 070 M020700 Y 070 N010700 Y 070 N020700 N 070 O010700 Y 070 O020700 N 070 P010700 Y 070 P020700 N 070 Q010700 Y 070 Q020700 N 070 R010700 Y 070 R020700 N 070 A010800 Y 070 A020800 N 070 B010800 Y 070 B020800 N 070 C010800 Y 070 C020800 N 070 D010800 Y 070 D020800 N 070 E010800 Y 070 E020800 N 070 F010800 Y 070 F020800 N 070 G010800 Y 070 G020800 N 070 H010800 Y 070 H020800 N 070 I010800 Y 070 I020800 N 070 J010800 Y 070 J020800 N 070 K010800 Y 070 K020800 N PAGE 41 070 L010800 Y 070 L020800 N 070 M010800 Y 070 M020800 N 070 N010800 N 070 N020800 N 070 O010800 Y 070 O020800 N 070 P010800 Y 070 P020800 N 070 Q010800 N 070 Q020800 N 070 R010800 N 070 R020800 N 070 A010900 Y 070 A020900 Y 070 B010900 Y 070 B020900 Y 070 C010900 Y 070 C020900 N 070 D010900 Y 070 D020900 Y 070 E010900 Y 070 E020900 Y 070 F010900 Y 070 F020900 Y 070 G010900 Y 070 G020900 Y 070 H010900 Y 070 H020900 N 070 I010900 Y 070 I020900 N 070 J010900 Y 070 J020900 Y 070 K010900 Y 070 K020900 N 070 L010900 Y 070 L020900 Y 070 M010900 Y 070 M020900 Y 070 N010900 Y 070 N020900 N 070 O010900 Y 070 O020900 N 070 P010900 Y 070 P020900 N 070 Q010900 Y 070 Q020900 N 070 R010900 Y 070 R020900 N 071 A000100 46635 PAGE 42 071 B000100 57281 071 C000100 131105 071 D000100 36 071 A000300 152786 071 B000300 68100 071 C000300 90957 071 D000300 75 071 A000400 0 071 B000400 0 071 C000400 0 071 D000400 0 071 A000500 0 071 B000500 0 071 C000500 0 071 D000500 0 071 A000600 0 071 B000600 0 071 C000600 0 071 D000600 0 071 A000700 226108 071 B000700 220905 071 C000700 30186 071 D000700 732 071 A000800 4255 071 B000800 4201 071 C000800 5809 071 D000800 72 071 A000900 922291 071 B000900 489673 071 C000900 348148 071 D000900 141 072 A000100 12 072 B000100 0 072 C000100 2517 072 D000100 0 072 E000100 0 072 F000100 943 072 G000100 63 072 H000100 0 072 I000100 227 072 J000100 23 072 K000100 0 072 L000100 17 072 M000100 10 072 N000100 62 072 O000100 0 072 P000100 0 072 Q000100 0 072 R000100 44 072 S000100 2 072 T000100 397 PAGE 43 072 U000100 0 072 V000100 0 072 W000100 23 072 X000100 1810 072 Y000100 0 072 Z000100 707 072AA000100 8671 072BB000100 6217 072CC010100 0 072CC020100 5021 072DD010100 683 072DD020100 69 072EE000100 0 072 A000300 12 072 B000300 0 072 C000300 1285 072 D000300 0 072 E000300 0 072 F000300 752 072 G000300 44 072 H000300 0 072 I000300 81 072 J000300 28 072 K000300 0 072 L000300 16 072 M000300 17 072 N000300 79 072 O000300 0 072 P000300 0 072 Q000300 0 072 R000300 41 072 S000300 1 072 T000300 63 072 U000300 0 072 V000300 0 072 W000300 22 072 X000300 1144 072 Y000300 0 072 Z000300 141 072AA000300 10874 072BB000300 6611 072CC010300 0 072CC020300 8856 072DD010300 0 072DD020300 113 072EE000300 4905 072 A000400 12 072 B000400 2872 072 C000400 0 072 D000400 0 072 E000400 0 PAGE 44 072 F000400 12111 072 G000400 551 072 H000400 0 072 I000400 1040 072 J000400 53 072 K000400 0 072 L000400 116 072 M000400 46 072 N000400 255 072 O000400 0 072 P000400 102 072 Q000400 0 072 R000400 69 072 S000400 17 072 T000400 1534 072 U000400 0 072 V000400 0 072 W000400 43 072 X000400 15939 072 Y000400 85 072 Z000400 -12981 072AA000400 15313 072BB000400 48038 072CC010400 0 072CC020400 3717 072DD010400 0 072DD020400 0 072EE000400 4646 072 A000500 12 072 B000500 874 072 C000500 0 072 D000500 0 072 E000500 0 072 F000500 4288 072 G000500 228 072 H000500 0 072 I000500 351 072 J000500 71 072 K000500 0 072 L000500 46 072 M000500 34 072 N000500 134 072 O000500 0 072 P000500 67 072 Q000500 0 072 R000500 69 072 S000500 7 072 T000500 493 072 U000500 0 072 V000500 0 072 W000500 19 PAGE 45 072 X000500 5807 072 Y000500 273 072 Z000500 -4660 072AA000500 18142 072BB000500 29661 072CC010500 2174 072CC020500 0 072DD010500 5487 072DD020500 11452 072EE000500 0 072 A000600 12 072 B000600 1053 072 C000600 0 072 D000600 0 072 E000600 0 072 F000600 5435 072 G000600 289 072 H000600 0 072 I000600 508 072 J000600 61 072 K000600 0 072 L000600 58 072 M000600 35 072 N000600 173 072 O000600 0 072 P000600 55 072 Q000600 0 072 R000600 63 072 S000600 8 072 T000600 797 072 U000600 0 072 V000600 0 072 W000600 20 072 X000600 7502 072 Y000600 346 072 Z000600 -6103 072AA000600 26835 072BB000600 41174 072CC010600 12028 072CC020600 0 072DD010600 8685 072DD020600 12919 072EE000600 0 072 A000700 12 072 B000700 1407 072 C000700 283 072 D000700 0 072 E000700 0 072 F000700 374 072 G000700 153 072 H000700 0 PAGE 46 072 I000700 9 072 J000700 126 072 K000700 0 072 L000700 5 072 M000700 29 072 N000700 69 072 O000700 0 072 P000700 0 072 Q000700 0 072 R000700 77 072 S000700 5 072 T000700 8 072 U000700 0 072 V000700 0 072 W000700 13 072 X000700 868 072 Y000700 312 072 Z000700 1134 072AA000700 7726 072BB000700 13375 072CC010700 0 072CC020700 359 072DD010700 36 072DD020700 647 072EE000700 117 072 A000800 12 072 B000800 0 072 C000800 108 072 D000800 0 072 E000800 0 072 F000800 35 072 G000800 59 072 H000800 0 072 I000800 0 072 J000800 18 072 K000800 0 072 L000800 3 072 M000800 16 072 N000800 55 072 O000800 0 072 P000800 0 072 Q000800 0 072 R000800 43 072 S000800 0 072 T000800 0 072 U000800 0 072 V000800 0 072 W000800 7 072 X000800 234 072 Y000800 179 072 Z000800 54 PAGE 47 072AA000800 453 072BB000800 248 072CC010800 0 072CC020800 391 072DD010800 0 072DD020800 60 072EE000800 285 072 A000900 12 072 B000900 20653 072 C000900 960 072 D000900 0 072 E000900 0 072 F000900 3229 072 G000900 106 072 H000900 0 072 I000900 290 072 J000900 156 072 K000900 0 072 L000900 39 072 M000900 24 072 N000900 211 072 O000900 0 072 P000900 0 072 Q000900 0 072 R000900 55 072 S000900 7 072 T000900 1121 072 U000900 0 072 V000900 0 072 W000900 21 072 X000900 5259 072 Y000900 0 072 Z000900 16354 072AA000900 21130 072BB000900 33194 072CC010900 0 072CC020900 37945 072DD010900 5469 072DD020900 11587 072EE000900 8 073 A010100 0.0000 073 A020100 0.0000 073 B000100 0.0000 073 C000100 0.0000 073 A010300 0.0000 073 A020300 0.0000 073 B000300 0.5246 073 C000300 0.0000 073 A010400 0.0000 073 A020400 0.0000 073 B000400 0.0619 PAGE 48 073 C000400 0.0000 073 A010500 0.0000 073 A020500 0.0000 073 B000500 0.0000 073 C000500 0.0000 073 A010600 0.0000 073 A020600 0.0000 073 B000600 0.0000 073 C000600 0.0000 073 A010700 0.0000 073 A020700 0.0000 073 B000700 0.0263 073 C000700 0.0000 073 A010800 0.0000 073 A020800 0.0000 073 B000800 0.5642 073 C000800 0.0000 073 A010900 0.0000 073 A020900 0.0000 073 B000900 0.0002 073 C000900 0.0000 074 A000100 67 074 B000100 5164 074 C000100 0 074 D000100 0 074 E000100 0 074 F000100 119951 074 G000100 0 074 H000100 0 074 I000100 0 074 J000100 0 074 K000100 0 074 L000100 175 074 M000100 0 074 N000100 125357 074 O000100 190 074 P000100 439 074 Q000100 0 074 R010100 0 074 R020100 0 074 R030100 0 074 R040100 175 074 S000100 0 074 T000100 124553 074 U010100 7792 074 U020100 1236 074 V010100 0.00 074 V020100 0.00 074 W000100 0.0000 074 X000100 8792 074 Y000100 0 PAGE 49 074 A000300 0 074 B000300 0 074 C000300 0 074 D000300 0 074 E000300 0 074 F000300 128005 074 G000300 0 074 H000300 0 074 I000300 2103 074 J000300 2798 074 K000300 0 074 L000300 960 074 M000300 0 074 N000300 133866 074 O000300 0 074 P000300 136 074 Q000300 0 074 R010300 0 074 R020300 0 074 R030300 0 074 R040300 1181 074 S000300 0 074 T000300 132549 074 U010300 1541 074 U020300 8009 074 V010300 0.00 074 V020300 0.00 074 W000300 0.0000 074 X000300 623 074 Y000300 0 074 A000400 80820 074 B000400 0 074 C000400 1358003 074 D000400 0 074 E000400 0 074 F000400 0 074 G000400 0 074 H000400 0 074 I000400 0 074 J000400 0 074 K000400 0 074 L000400 7827 074 M000400 12284 074 N000400 1458934 074 O000400 0 074 P000400 1428 074 Q000400 0 074 R010400 0 074 R020400 0 074 R030400 0 074 R040400 12701 PAGE 50 074 S000400 0 074 T000400 1444805 074 U010400 27313 074 U020400 112881 074 V010400 0.00 074 V020400 0.00 074 W000400 0.0000 074 X000400 7885 074 Y000400 0 074 A000500 34528 074 B000500 0 074 C000500 373591 074 D000500 0 074 E000500 0 074 F000500 0 074 G000500 0 074 H000500 0 074 I000500 0 074 J000500 0 074 K000500 0 074 L000500 4527 074 M000500 8707 074 N000500 421353 074 O000500 0 074 P000500 470 074 Q000500 0 074 R010500 0 074 R020500 0 074 R030500 0 074 R040500 16398 074 S000500 0 074 T000500 404485 074 U010500 13822 074 U020500 27638 074 V010500 0.00 074 V020500 0.00 074 W000500 0.0000 074 X000500 4711 074 Y000500 0 074 A000600 73817 074 B000600 0 074 C000600 655120 074 D000600 0 074 E000600 0 074 F000600 0 074 G000600 0 074 H000600 0 074 I000600 0 074 J000600 0 074 K000600 0 074 L000600 16510 PAGE 51 074 M000600 19658 074 N000600 765105 074 O000600 0 074 P000600 635 074 Q000600 0 074 R010600 0 074 R020600 0 074 R030600 0 074 R040600 17367 074 S000600 0 074 T000600 747103 074 U010600 30176 074 U020600 42094 074 V010600 0.00 074 V020600 0.00 074 W000600 0.0000 074 X000600 8906 074 Y000600 0 074 A000700 1098 074 B000700 1080 074 C000700 9000 074 D000700 12676 074 E000700 604 074 F000700 3974 074 G000700 0 074 H000700 0 074 I000700 1500 074 J000700 789 074 K000700 7 074 L000700 238 074 M000700 546 074 N000700 31511 074 O000700 0 074 P000700 21 074 Q000700 0 074 R010700 0 074 R020700 0 074 R030700 138 074 R040700 832 074 S000700 0 074 T000700 30520 074 U010700 200 074 U020700 3070 074 V010700 0.00 074 V020700 0.00 074 W000700 0.0000 074 X000700 63 074 Y000700 0 074 A000800 24 074 B000800 0 074 C000800 0 PAGE 52 074 D000800 0 074 E000800 0 074 F000800 5611 074 G000800 0 074 H000800 0 074 I000800 0 074 J000800 0 074 K000800 6 074 L000800 7 074 M000800 0 074 N000800 5648 074 O000800 0 074 P000800 11 074 Q000800 0 074 R010800 0 074 R020800 0 074 R030800 0 074 R040800 47 074 S000800 0 074 T000800 5590 074 U010800 0 074 U020800 536 074 V010800 0.00 074 V020800 0.00 074 W000800 0.0000 074 X000800 9 074 Y000800 0 074 A000900 4702 074 B000900 34959 074 C000900 45998 074 D000900 370990 074 E000900 17384 074 F000900 14034 074 G000900 0 074 H000900 0 074 I000900 1263 074 J000900 1996 074 K000900 0 074 L000900 6543 074 M000900 3075 074 N000900 500944 074 O000900 3263 074 P000900 318 074 Q000900 0 074 R010900 0 074 R020900 0 074 R030900 456 074 R040900 15512 074 S000900 0 074 T000900 481395 074 U010900 13989 PAGE 53 074 U020900 37598 074 V010900 0.00 074 V020900 0.00 074 W000900 0.0000 074 X000900 1436 074 Y000900 0 075 A000100 0 075 B000100 135946 075 A000300 0 075 B000300 94761 075 A000400 0 075 B000400 1060339 075 A000500 0 075 B000500 341591 075 A000600 0 075 B000600 426398 075 A000700 0 075 B000700 49631 075 A000800 0 075 B000800 5801 075 A000900 0 075 B000900 442891 076 000100 0.00 076 000300 0.00 076 000400 0.00 076 000500 0.00 076 000600 0.00 076 000700 0.00 076 000800 0.00 076 000900 0.00 077 A000000 Y 077 B000000 Y 077 C000000 N 077 D000000 Y 077 E000000 N 077 F000000 N 077 G000000 N 077 H000000 N 077 I000000 N 077 J000000 N 077 K000000 N 077 L000000 N 077 M000000 N 077 N000000 N 077 O000000 Y 077 P000000 N 077 Q010000 Y 077 Q020000 N 077 Q030000 N 078 000000 Y 080 A00AA00 NATL. UNION FIRE INSURANCE CO. OF PITTSBURGH PAGE 54 080 B00AA00 CONTINENTAL CASUALTY COMPANY (CNA) 080 C00AA00 42000 081 A00AA00 Y 081 B00AA00 36 082 A00AA00 N 082 B00AA00 0 083 A00AA00 N 083 B00AA00 0 084 A00AA00 N 084 B00AA00 0 085 A00AA00 Y 085 B00AA00 N 086 A010000 0 086 A020000 0 086 B010000 0 086 B020000 0 086 C010000 0 086 C020000 0 086 D010000 0 086 D020000 0 086 E010000 0 086 E020000 0 086 F010000 0 086 F020000 0 SIGNATURE MICHAEL KARDOK TITLE TREASURER EX-99.77D POLICIES 2 exhibit77d.htm EXHIBIT77D Unassociated Document

Exhibit 77D

SUB-ITEM 77D: Policies with Respect to Security Investments

Effective November 18, 2011, with respect the Loomis Sayles Absolute Strategies Fund

The Fund has an absolute return investment objective, which means that it is not managed relative to an index and that it attempts to achieve positive total returns over a full market cycle. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management strategies to mitigate downside risk. The Fund may invest up to 100% of its total assets in below investment-grade fixed-income securities (also known as "junk bonds") and derivatives that have returns related to the returns on below investment-grade fixed-income securities, although it is expected that, under normal market conditions, the Fund's net exposure (i.e., long exposures obtained through direct investments in securities and in derivatives minus short exposures obtained through derivatives) to below investment-grade fixed-income assets generally will not exceed 50% of the Fund's total assets. Under normal market conditions, the Fund also may invest up to 50% of its total assets in investments denominated in non-U.S. currencies and related derivatives, including up to 20% in investments denominated in emerging market currencies and related derivatives. The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments. Currency positions that are intended to hedge the Fund’s non-U.S. currency exposure (i.e., currency positions that are not made for investment purposes) will offset positions in the same currency that are made for investment purposes when calculating the limitation on investments in non-U.S. and emerging market currency investments because the Fund believes that hedging a currency position is likely to negate some or all of the currency risk associated with the original currency position. The Fund does not have limits on the duration of its portfolio, and the Fund’s duration will change over time.

In selecting investments for the Fund, the Adviser develops long-term portfolio themes driven by macro-economic indicators. These include secular global economic trends, demographic trends and labor supply, analysis of global capital flows and assessments of geopolitical factors. The Adviser then develops shorter-term portfolio strategies based on factors including, but not limited to, economic, credit and Federal Reserve cycles, and top-down sector valuations and bottom-up security valuations. The Adviser employs active risk management, with a focus on credit, interest rate and currency risks. Additionally, the portfolio managers will use risk management tools in constructing and optimizing the portfolio and seek to manage risk on an ongoing basis. The portfolio management team expects to actively evaluate each investment idea based upon its return potential, its level of risk and its fit within the team's overall macro strategy when deciding whether to buy or sell investments.

The Fund will pursue its investment goal by obtaining long investment exposures through direct cash investments and derivatives and short investment exposures substantially through derivatives. A “long” investment exposure is an investment that rises in value with a rise in the value of an asset, asset class or index and declines in value with a decline in the value of that asset, asset class or index. A “short” investment exposure is an investment that rises in value with a decline in the value of an asset, asset class or index and declines in value with a rise in the value of that asset, asset class or index. The Fund’s long and short investment exposures may, at times, each reach 100% of the assets invested in the Fund (excluding instruments primarily used for duration management or yield curve management and short-term investments (such as cash and money market instruments)), although these exposures may be higher or lower at any given time.

Fixed-Income Investments. In connection with its principal investment strategies, the Fund may invest in a broad range of U.S. and non-U.S. fixed-income securities, including, but not limited to, corporate bonds, municipal securities, U.S. and non-U.S. government securities (including their agencies, instrumentalities and sponsored entities), securities of supranational entities, emerging market securities, commercial and residential mortgage-backed securities, collateralized mortgage obligations, other mortgage-related securities (such as adjustable rate mortgage securities), asset-backed securities, bank loans, convertible bonds, Rule 144A securities, real estate investment trusts (“REITs”), zero-coupon securities, step coupon securities, pay-in-kind securities, inflation-linked bonds, variable and floating rate securities, private placements and commercial paper.

Non-U.S. Currency Investments. Under normal market conditions, the Fund may engage in a broad range of transactions involving non-U.S. and emerging market currencies, including, but not limited to, purchasing and selling forward currency exchange contracts in non-U.S. or emerging market currencies, investing in non-U.S. currency futures contracts, investing in options on non-U.S. currencies and non-U.S. currency futures, investing in cross-currency instruments (such as swaps), investing directly in non-U.S. currencies and investing in securities denominated in non-U.S. currencies. The Fund may engage in non-U.S. currency transactions for investment or for hedging purposes.

Derivative Investments. For investment and hedging purposes, the Fund may invest substantially in a broad range of derivatives instruments and sometimes the majority of its investment returns will derive from its derivative investments. These derivative instruments include, but are not limited to, futures contracts (such as treasury futures and index futures), forward contracts, options (such as options on futures contracts, options on securities, interest rate/bond options, currency options, options on swaps and OTC options), warrants (such as non-U.S. currency warrants) and swap transactions (such as interest rate swaps, total return swaps and index swaps). In addition, the Fund may invest in credit derivative products that may be used to manage default risk and credit exposure. Examples of such products include, but are not limited to, credit default swap index products (such as LCDX, CMBX and ABX index products), single name credit default swaps, loan credit default swaps and asset-backed credit default swaps. Derivative instruments (such as those listed above) can be used to acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. The Fund’s strategy may be highly dependent on the use of derivatives, and to the extent that they become unavailable or unattractive the Fund may be unable to fully implement its investment strategy.

The Fund is non-diversified, which means that it is not limited to a percentage of assets that it may invest in any one issuer.

The Fund expects to engage in active and frequent trading of securities and other instruments. Effects of frequent trading may include high transaction costs, which may lower the Fund’s return, and realization of greater short-term capital gains, distributions of which are taxable to shareholders who are individuals as ordinary income. Trading costs and tax effects associated with frequent trading may adversely affect the Fund’s performance.

The percentage limitations set forth herein are not investment restrictions and the Fund may exceed these limits from time to time. In addition, when calculating these exposures, the Fund may use the market value, the notional value, an adjusted notional value or some other measure of the value of a derivative in order to reflect what the Adviser believes to be the most accurate assessment of the Fund's real economic exposure. The total notional value of the Fund's derivative instruments may significantly exceed the total value of the Fund's assets.

Effective November 18, 2011, with respect to the Loomis Sayles Multi-Asset Real Return Fund

The Fund will pursue its investment goal primarily through exposure to investments in fixed-income securities, equity securities, currencies and commodity-linked instruments. The Fund expects that its exposure to these asset classes will often be obtained substantially through the use of derivative instruments. The Fund is designed for investors seeking "real returns" (i.e., total returns that exceed the rate of inflation over a full market cycle regardless of market conditions). Although the Fund seeks positive total returns over time, the Fund’s investment returns may be volatile over short periods of time. The Fund may outperform the overall securities market during periods of flat or negative market performance and may underperform during periods of strong market performance. There can be no assurance that the Fund’s returns over time or during any period will be positive or that the Fund will provide returns in excess of inflation over time or during any particular period. The Fund does not have limits on the duration of its portfolio, and the Fund’s duration will change over time.

In selecting investments for the Fund, the Adviser seeks to draw on its macroeconomic research in global inflationary cycles to identify and to implement investment opportunities that it believes will outpace inflation in a variety of inflationary environments. Using a global asset allocation analysis, the portfolio managers seek to identify the relative return potential of various asset classes. This analysis is intended to provide the foundation for weighting the asset classes as a whole to develop a portfolio with superior risk and return characteristics in the view of the Adviser. The Adviser expects to use a bottom-up investment process to generate investment ideas consistent with the expectations for the asset classes. This will utilize the Adviser’s robust research resources, which include, but are not limited to, fundamental and quantitative capabilities. Additionally, the portfolio managers will use risk management tools to construct the portfolio and manage risk and volatility on an ongoing basis with an objective of targeting a relatively stable level of annualized volatility for the Fund's overall portfolio. The portfolio management team expects to actively evaluate each investment idea based upon its return potential, its level of risk and its fit within the team’s overall macro strategy when deciding whether to buy or sell investments.

Fixed-Income Investments. Under normal market conditions, the Fund expects to invest at least 50% of its net assets in fixed-income securities and derivatives that have returns related to the returns on fixed-income securities. The Fund may invest in a broad range of U.S. and non-U.S. fixed-income securities, including, but not limited to, corporate bonds, municipal securities, U.S. and non-U.S. government securities (including their agencies, instrumentalities and sponsored entities), securities of supranational entities, partnership securities, commercial and residential mortgage-backed securities, other mortgage-related securities (such as adjustable rate mortgage securities), asset-backed securities, bank loans, depositary receipts, convertible bonds, Rule 144A securities, real estate investment trusts (“REITs”), zero-coupon securities, step coupon securities, stripped securities, pay-in-kind securities, inflation-linked bonds, variable and floating rate securities, when-issued securities, private placements, privatizations, hybrid instruments, structured investments, repurchase agreements and commercial paper. The Fund may invest in securities of any maturity, market sector or credit quality, including below investment-grade fixed-income securities (also known as “junk bonds”). Below investment-grade fixed-income securities are below investment-grade quality (i.e., none of the three major rating agencies (Moody’s Investors Service, Inc. (“Moody’s”), Fitch Investors Service, Inc. (“Fitch”) or Standard & Poor’s Ratings Group (“S&P”)) have rated the securities in one of their top four ratings categories) or, if the security is unrated, the Adviser has determined it to be of comparable quality.

Equity Investments. Although the Fund expects that in normal market conditions it will have net long equity exposures, in the Adviser’s sole discretion the Fund may have net short equity exposures of up to 35% of the Fund’s total assets and gross short equity exposures of up to 70% of the Fund’s total assets. For these purposes, a short equity position is a position that will decline in value with a rise of the equity markets. A gross short equity position represents the total of all short positions without regard to any offsetting long positions. A net short equity position is the total of all short positions offset by any long positions (e.g., a direct investment in a stock). The Adviser may have net short equity exposures for investment or hedging purposes, including but not limited to macro hedges to protect the Fund’s entire portfolio or more targeted hedges to neutralize specific components of the Fund’s equity market exposure. The Fund may invest in a broad range of U.S. and non-U.S. equity securities, including, but not limited to, common and preferred stocks, convertible preferred stocks, depositary receipts, warrants, rights, Rule 144A securities, private placements, privatizations, hybrid instruments, equity-linked securities and other equity interests. The Fund may invest in securities of issuers of any market capitalization. In addition to direct investment in securities and other instruments, the Fund may invest in other funds, including exchange-traded funds (“ETFs”). The Fund may invest in REITs and U.S. and non-U.S. real estate companies.

Non-U.S. Currency Investments. Under normal market conditions, the Fund expects to invest up to 30% of its total assets in investments in non-U.S. currencies, securities denominated in non-U.S. currencies and related derivative transactions. The Fund may engage in a broad range of transactions involving non-U.S. currencies, including, but not limited to, purchasing and selling forward currency exchange contracts in non-U.S. currencies, investing in non-U.S. currency futures contracts, investing in options on non-U.S. currencies and non-U.S. currency futures, cross-hedging between two or more currencies, investing directly in non-U.S. currencies and investing in securities denominated in non-U.S. currencies, including securities of emerging market issuers. The Fund may engage in non-U.S. currency transactions for investment or for hedging purposes. Currency positions that are intended to hedge the Fund’s non-U.S. currency exposure (i.e., currency positions that are not made for investment purposes) will offset positions in the same currency that are made for investment purposes when calculating the 30% limitation in investments in non-U.S. currency investments because the Fund believes that hedging a currency position is likely to negate some or all of the currency risk associated with the original currency position.

Commodity Investments. Under normal market conditions, the Fund expects that up to 25% of its total assets will be invested in commodity-linked instruments. Commodities are assets that have tangible properties, such as oil, metals, and agricultural products. A "commodity-linked instrument" is an instrument whose value is linked to the price movement of a commodity, a commodity index, or a commodity option or futures contract. An investment in a commodity-linked instrument does not generally provide a claim to the tangible underlying commodity. The Fund may invest in a broad range of commodity-linked instruments, including, but not limited to, commodity-linked derivatives (such as commodity-linked swaps, futures, options or options on futures), commodity-linked debt (including leveraged or unleveraged notes that are derivative debt instruments with principal and/or coupon payments linked to the performance of commodities) or commodity-linked ETFs (i.e., ETFs that have their value derived from the price movement of an underlying commodity). The Fund also may invest in equity and fixed-income securities of issuers in commodity-related industries. These investments will not be counted toward the 25% limitation on investments in commodity-linked instruments, but rather will be considered investments in equity securities or fixed-income securities, as appropriate. The Fund expects to obtain its investment exposure to commodity-linked instruments in whole or in significant part indirectly by investing in a wholly-owned subsidiary organized under the laws of the Cayman Islands (the "Commodity Subsidiary"), which is advised by the Adviser and will invest primarily in commodity-linked instruments and fixed-income securities and other investments that serve as collateral for its derivative positions. The Fund may invest up to 25% of its total assets in the Commodity Subsidiary.

Derivative Investments. The Fund may invest substantially in a broad range of derivative instruments for both hedging and investment purposes, including, but not limited to, futures contracts (such as futures that provide for physical delivery, treasury futures, single stock futures, and index futures), forward contracts, options (such as options on futures contracts, options on securities, options on securities indices, interest rate/bond options, currency options, options on swaps and exchange-traded and over-the-counter options), warrants (such as index warrants), swap transactions (such as interest rate swaps, total return swaps, index swaps and equity swaps), structured notes, foreign currency transactions, commodity-linked derivatives and credit default swaps. Derivative instruments (such as those listed above) can be used to acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. The Fund’s strategy may be highly dependent on the use of derivatives, and to the extent that they become unavailable or unattractive the Fund may be unable to fully implement its investment strategy.

The Fund is non-diversified, which means that it is not limited to a percentage of assets that it may invest in any one issuer.

EX-99.77O RULE 10F-3 3 exhibit77oi.htm EXHIBIT77OI Unassociated Document

Exhibit 77O(i)

RULE 10f-3 REPORTING FORM

Name of Adviser/Subadviser: Loomis, Sayles & Company, L.P.

Name of Fund: See Attached Exhibit

Total Net Assets of Fund: See Attached Exhibit

Issuer: US Airways Group

Underwriter(s): See Attached

Affiliated Underwriter in the Syndicate: Natixis Securities North America

Date of Purchase: 6/21/11

Date of Offering: 6/21/11

Amount of Purchase1: $43,146,000

Purchase Price: $100

Commission or Spread: None

Check that all the following conditions have been met (any exceptions should be discussed prior to commitment):

The securities are (i) part of an issue registered under the Securities Act of 1933 (the “1933 Act”) that is being offered to the public, (ii) part of an issue of government securities as defined under the Investment Company Act of 1940, (iii)“municipal securities” as defined under the Securities Exchange Act of 1934, (iv) sold in an offering conducted under the laws of a country other than the United States subject to certain requirements, or (v) exempt from registration under Rules 144A of the 1933 Act.

If the securities meet conditions (i), (ii), (iv) or (v):

the issuer of such securities has been in continuous operation for not less than three years (including operations of predecessors).

If the securities meet conditions (iii):

the issuer of such securities has received an investment grade rating from a nationally recognized statistical rating organization or if the issuer of the municipal securities or entity supplying the revenues from which the issue is to be paid has been in continuous operation for less than three years (including any predecessors), it has received one of the three highest ratings from at least one such rating service

X	The securities were purchased prior to the end of the first day of which any sales were made and the purchase price did not exceed the offering price (or fourth day before termination, if a rights offering).

X	The underwriting was a firm commitment.

X	The commission, spread or profit was reasonable and fair compared to that being received by others for underwriting similar securities during a comparable period of time.

The amount of the securities purchased by the Fund, aggregated with purchases by any other investment company advised by the Fund’s investment adviser or sub-adviser, and any purchases by another account with respect to which the investment adviser or sub-adviser exercised such investment discretion with respect to the purchase did not exceed 25% of the principal amount of the offering.2

X	No underwriter which is an affiliate of the Fund’s adviser or sub-adviser was a direct or indirect participant in, or benefited directly or indirectly from the purchase.

X	The purchase was not part of a group sale (or part of the institutional pot), or otherwise allocated to the account of an officer, director, member of an advisory board, investment adviser or employee of the Fund or affiliated person thereof.

Signed by: /s/ Jan Sharp

Date: 6/21/11

EXHIBIT - 6/21/11 US AIR OFFERING

Fund	Fund Name	Fund Assets	Purchase Amount	Price
M474N9	LS Absolute Strategies Fund	$618,394,518.51	1,980,000	100
3540N1	LS Multi-Asset Real Return Fund	$69,253,728.53	230,000	100

1 Include all purchases made by two or more funds which have the same investment adviser or sub-adviser.

2 Special counting rules apply for Rule 144A offerings.

EX-99.77O RULE 10F-3 4 exhibit77oii.htm EXHIBIT77OII Unassociated Document

Exhibit 77O(ii)

RULE 10f-3 REPORTING FORM

Name of Adviser/Subadviser: Loomis, Sayles & Company, L.P.

Name of Fund: LS Multi-Asset Real Return Fund (3540N1)

Total Net Assets of Fund: $75,285,599.45

Issuer: Morgan Stanley

Underwriter(s): See Attached

Affiliated Underwriter in the Syndicate: Natixis Bleichroeder

Date of Purchase: 7/21/11

Date of Offering: 7/21/11

Amount of Purchase1: $699,790

Purchase Price: $99.97

Commission or Spread: 1%

Check that all the following conditions have been met (any exceptions should be discussed prior to commitment):

If the securities meet conditions (i), (ii), (iv) or (v):

the issuer of such securities has been in continuous operation for not less than three years (including operations of predecessors).

If the securities meet conditions (iii):

X	The securities were purchased prior to the end of the first day of which any sales were made and the purchase price did not exceed the offering price (or fourth day before termination, if a rights offering).

X	The underwriting was a firm commitment.

X	The commission, spread or profit was reasonable and fair compared to that being received by others for underwriting similar securities during a comparable period of time.

X	No underwriter which is an affiliate of the Fund’s adviser or sub-adviser was a direct or indirect participant in, or benefited directly or indirectly from the purchase.

X	The purchase was not part of a group sale (or part of the institutional pot), or otherwise allocated to the account of an officer, director, member of an advisory board, investment adviser or employee of the Fund or affiliated person thereof.

Signed by: /s/ Jan Sharp

Date: 7/22/11

1 Include all purchases made by two or more funds which have the same investment adviser or sub-adviser.

2 Special counting rules apply for Rule 144A offerings.

EX-99.77Q1 OTHR EXHB 5 exhibit77q1bi.htm EXHIBIT77Q1BI Unassociated Document

Exhibit 77Q1(b)(i)

SUB-ITEM 77Q1(b): Copies of the text of any proposal described in answer to sub-item 77D

Changes to Investment Strategy

It was voted that the proposed changes to the investment strategies for the Loomis Sayles Absolute Strategies Fund and the Loomis Sayles Multi-Asset Real Return Fund as presented at the meeting of the Board of Trustees of Natixis Funds Trust II be approved.

EX-99.77B ACCT LTTR 6 ntfiiaudit.txt NFTIIAUDIT Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of Natixis Funds Trust II: In planning and performing our audit of the financial statements of Harris Associates Large Cap Value Fund, Vaughan Nelson Value Opportunity Fund, ASG Global Alternatives Fund, ASG Diversifying Strategies Fund, ASG Managed Futures Strategy Fund, Loomis Sayles Absolute Strategies Fund, Loomis Sayles Multi-Asset Real Return Fund, and Westpeak Active Beta Fund, each a series of Natixis Funds Trust II (the ?Funds?) as of and for the year ended December 31, 2011, in accordance with the standards of the Public Company Accounting Oversight Board (United States), we considered the Funds' internal control over financial reporting, including controls over safeguarding securities, as a basis for designing our auditing procedures for the purpose of expressing our opinion on the financial statements and to comply with the requirements of Form N-SAR, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we do not express an opinion on the effectiveness of the Funds' internal control over financial reporting. The management of the Funds is responsible for establishing and maintaining effective internal control over financial reporting. In fulfilling this responsibility, estimates and judgments by management are required to assess the expected benefits and related costs of controls. A fund's internal control over financial reporting is a process designed 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. A fund's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the funds; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the funds are being made only in accordance with authorizations of management and trustees of the funds; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of a fund's assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. A deficiency in internal control over financial reporting exists when the design or operation of a control does not allow management or employees, in the normal course of performing their assigned functions, to prevent or detect misstatements on a timely basis. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the Fund's annual or interim financial statements will not be prevented or detected on a timely basis. Our consideration of the Funds' internal control over financial reporting was for the limited purpose described in the first paragraph and would not necessarily disclose all deficiencies in internal control over financial reporting that might be material weaknesses under standards established by the Public Company Accounting Oversight Board (United States). However, we noted no deficiencies in the Funds' internal control over financial reporting and its operation, including controls over safeguarding securities, that we consider to be material weaknesses as defined above as of December 31, 2011. This report is intended solely for the information and use of management and the Board of Trustees of Natixis Funds Trust II and the Securities and Exchange Commission and is not intended to be and should not be used by anyone other than these specified parties. /s/ PricewaterhouseCoopers LLP Boston, Massachusetts February 23, 2012 3