-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CnBIK5Ho3hOFmsvITphDsGYJPg9EoLqPURn2qg2jtrdXVS7L0Cu/tVI1uGqHPKnm 2Zfvq8wsxh2ZBLxWJh6Gjw== /in/edgar/work/20000526/0000912057-00-026554/0000912057-00-026554.txt : 20000919 0000912057-00-026554.hdr.sgml : 20000919 ACCESSION NUMBER: 0000912057-00-026554 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000331 FILED AS OF DATE: 20000526 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS CENTRAL INDEX KEY: 0000872649 STANDARD INDUSTRIAL CLASSIFICATION: [ ] IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-06241 FILM NUMBER: 644674 BUSINESS ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 BUSINESS PHONE: 6173103609 MAIL ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 N-30D 1 N-30D BOND FUND GLOBAL BOND FUND HIGH YIELD FUND INTERMEDIATE MATURITY BOND FUND INVESTMENT GRADE BOND FUND MUNICIPAL BOND FUND SHORT-TERM BOND FUND U.S. GOVERNMENT SECURITIES FUND FIXED INCOME - -------------------------------------------------------------------------------- [LOGO] LOOMIS * SAYLES FUNDS SEMI-ANNUAL REPORT MARCH 31, 2000 TABLE OF CONTENTS Corporate Overview 1 Letter from the President 2 Economic and Market Overview 4 Institutional Class Total Return vs. Lipper Category and Lipper Category Index 8 Fund and Manager Reviews 10 Portfolio of Investments 26 Statements of Assets and Liabilities 68 Statements of Operations 70 Statements of Changes in Net Assets 72 Financial Highlights 80 Notes to Financial Statements 96 CORPORATE OVERVIEW LOOMIS SAYLES FUNDS Loomis Sayles Funds is a Boston-based family of predominantly no-load mutual funds advised by Loomis, Sayles & Company, L.P. At Loomis Sayles Funds, we follow a simple strategy--we pay close attention to what we hear from our clients and the marketplace, then work to deliver high-quality products and services that exceed expectations. Our "listening harder" creed lets us design products and services that truly answer our clients' needs. We offer a broad range of no-load funds to complement your investment objectives and strategies. We believe we run one of the most responsive support organizations in the business, providing timely information and insightful solutions. Beyond that, we're structured to take advantage of our institutional heritage. The research department at Loomis, Sayles & Company, L.P. provides our portfolio managers with the fundamental research they need to make sound investment decisions. Our portfolio managers not only manage mutual funds, they manage large institutional accounts that demand and appreciate the style consistency that follows from our disciplined investment approach. FOR INFORMATION ABOUT: - - Establishing an account - - Account procedures and status - - Exchanges - - Shareholder services PHONE 800-626-9390 FOR ALL OTHER INFORMATION ABOUT THE FUNDS PHONE 800-633-3330 To request any of the following, press or say the number 1--Automated Account Balances, Last Transaction, and Distribution Information 2--Speak to a Customer Service Representative regarding an Existing Account 3--Net Asset Values and Yields 4--Speak to a Marketing Representative 5--Advisory and Broker/Dealer Services 6--Institutional and High Net Worth Operations, Trading and Client Services AS ALWAYS, WE ARE INTERESTED IN YOUR COMMENTS ABOUT THE JOB WE ARE DOING AND IN ANSWERING ANY QUESTIONS YOU MAY HAVE. FOR MORE COMPLETE INFORMATION ABOUT ANY OF THE LOOMIS SAYLES FUNDS, INCLUDING CHARGES AND EXPENSES, PLEASE CALL LOOMIS SAYLES DISTRIBUTORS, L.P. FOR A PROSPECTUS AT 800-633-3330 MONDAY THROUGH FRIDAY, 8:45 A.M. TO 4:45 P.M. EST. READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY. LOOMIS SAYLES FIXED INCOME FUNDS 1 LETTER FROM THE PRESIDENT [PHOTO] DANIEL J. FUSS PRESIDENT AND PORTFOLIO MANAGER DEAR SHAREHOLDERS, The last six months ended March 31, 2000 showed continued strength in the U.S. stock market and changing conditions in the U.S. bond market. The broad bond market finished 1999 on a disappointing note, with rising interest rates and negative returns for most sectors. While short-term rates continued to climb into 2000, the higher-quality, longer-term sectors rebounded somewhat during the first three months of 2000, led in large part by a bounce-back in the U.S. Treasury sector. At Loomis Sayles, our domestic bond funds successfully persevered through the challenging bond market climate of the past six months. Spreads remained wide throughout the period, which presented us with excellent long-term buying opportunities. Because our expertise is in researching and selecting attractive bonds, we were very comfortable with this environment. The worst may be over for the bond market, and we're probably already off the bottom. But, because short-term rates may continue to rise for a while, barring a stock market drop, the market shouldn't get away from us on the upside. It's a good time to be gradually buying discount, reasonable credits with fairly long maturities. It's also important to get extra value by emphasizing non-market-related factors. We have to remain cautious with corporate bonds, though, because it's a very competitive market. All in all, it's a better-than-average time to be in the market, particularly if focused on long, discount, non-U.S. Treasury securities. In the equity arena, growth stocks across all capitalization ranges remained on a strong upward course, led by the powerful, high-flying technology sector. A couple of rallies among value stocks were short-lived, and the growth-stock sector emerged as the unrivaled style leader for the period. The Loomis Sayles growth-oriented stock funds benefited nicely from this trend and posted attractive six-month returns. Nevertheless, we continue to believe that value stocks remain good long-term investments, and we have been able to take advantage of good buying opportunities within this sector. As we look ahead, the levels of debt in the economies of the major countries remain a valid concern. As short-term interest rates move up, this may serve as a depressant on the financial markets and a slowing mechanism for the economies. Nevertheless, this one factor alone doesn't seem to be enough to put an end to the economic expansion. In fact, unless the central banks go overboard, we believe that there really is no visible factor threatening to clobber the economies. There are many factors, though, that appear to be dampeners of economic growth, particularly in North America: relatively full employment, rising short-term interest rates and the resulting slowing of private-sector borrowing, and some deterioration in consumer sentiment. Put together, these factors could and should slow the level of economic expansion to something more in line with normal growth. The magnitude of stock-market leverage also is an important and growing concern in the U.S., Europe and Japan. The Federal Reserve Board has said it won't raise margin requirements, but a market that trends sharply downwards could feed on itself. Those investing in volatile instruments with borrowed money eventually will have to face up to it, and this really could put a damper on the stock market and the economy. Stock market valuations in the U.S., and to a lesser degree in Europe, also remain a concern given the extraordinary returns in the past five years. These are huge markets, and a return to more normalized performance could be disappointing in the future. If this does occur, though, I suspect it will be a gradual process. Sincerely, /s/ Daniel J. Fuss Daniel J. Fuss President Loomis Sayles Funds LOOMIS SAYLES FIXED INCOME FUNDS 3 ECONOMIC AND MARKET OVERVIEW LOOMIS SAYLES ECONOMIC AND MARKET OVERVIEW SEMI-ANNUAL REPORT FOR THE PERIOD ENDED MARCH 31, 2000 STOCK MARKET REVIEW The broad-based stock market continued its amazing run during 1999, posting its fifth-consecutive year of returns in excess of 20% (as measured by the S&P 500 Index). Much of last year's performance was concentrated in the fourth quarter, when the S&P 500 Index was up 14.9%, primarily on strong technology sector returns. The upward trend continued into 2000, but volatility among the soaring technology sector in the final few weeks of the first quarter slowed down the market. The S&P 500 ended the first quarter with a return of 2.3% and posted a 17.6% return for the six-month period ended March 31, 2000. Two distinguishing characteristics of the period were the continued dominance of growth over value and the outperformance of small-cap stocks versus their larger counterparts. After a very strong fourth quarter 1999, in which the Russell 2000 Growth Index returned an astounding 33.4%, small-cap stocks were up 7.1% in the first quarter of 2000. For the entire six-month period, the Russell 2000 Growth Index was up 45.75%, outpacing the larger S&P 500 Index by 28 percentage points. Once again, the technology and telecommunications sectors fueled the market's drive across all capitalization ranges, and the sectors' strength was the primary reason that growth stocks maintained "favored" status over value stocks. Even within the value sector, technology and communications companies were the performance leaders. Among the more notable events of the period, the January 10, 2000 merger announcement between America Online and Time Warner gave the markets a big boost. In addition, the technology-heavy Nasdaq Index shattered several records during the period. But, a downward trend emerged in the final weeks of March, reinforcing the volatility inherent among technology stocks and igniting a leadership battle between "old economy" and "new economy" companies. A study by Pegasus Research published in BARRON'S stated that 51 of 207 surveyed internet firms were "likely to run out of funds soon", including such high-profile names as music vendor CDNow and Peapod, the online grocer which saw its value drop by 56% in one day when its CEO suddenly resigned and investors pulled $120 million in financing. Across the board, international stocks also enjoyed a strong fourth quarter, which capped off a year that saw the EAFE (Europe, Australasia, Far East) Index outperforming the S&P 500 Index for the first full year since 1994. But EAFE retreated during the first quarter of 2000, as Japan's recovery hit a roadblock, bringing the rest of developed Asia down with it. Performance was stronger throughout the period among the emerging markets, particularly oil exporting nations such as Mexico and Venezuela. BOND MARKET REVIEW It was almost as if there were two different bond markets over the last six months. In the fourth quarter of 1999 there was a noticeable trend of investors willing to take on some credit risk. In the battle between rising interest rates and strengthening credits, strengthening credits emerged the winner, and high-yield bonds were the leading performers. Government bonds, which are only sensitive to interest-rate movements, finished the quarter on a negative note. The first quarter of 2000 saw a reversal of this activity. A flight to quality emerged, as investors showed little concern for interest rate hikes alone. Instead, they acted on the notion that for lower-rated credits, higher interest rates would make it more costly to raise capital. The bond market also was bolstered in the first quarter of 2000 by the U.S. Treasury department's announcement that it was buying back long-term debt. This created huge demand for long-term Treasuries and led to an inverted yield curve, with rates peaking at about the 10-year range. At the beginning of the quarter, the two-year Treasury yielded 6.24% and the 30-year Treasury was at 6.48%. By the end of March, the yield on the two-year Treasury was up to 6.49%, while the yield on the 30-year Treasury had fallen to 5.84%. For the entire six-month period, government bonds outperformed all other fixed-income securities with a return of 2.7%, as measured by the Lehman Brothers Government Bond Index. Mortgage-backed securities were up 1.8%, according to the Lehman Brothers Fixed Rate Mortgage-Backed Index, and investment-grade corporate securities, as measured by Lehman Brothers Government/Corporate Bond Index, were up 1.5%. High-yield bonds, as measured by the Lehman Brothers High Yield Bond Index, finished the six-month period down 0.7%. U.S. AND GLOBAL ECONOMIC REVIEW Continuing in its proactive battle against inflationary signs, the Federal Reserve Board implemented three separate quarter-point interest rate increases during the six-month period. The last increase, on March 21, 2000, came on the heels of news that the annual growth rate in the fourth-quarter of 1999 was an astounding 6.9%-about twice the rate that Alan Greenspan would like to see. Inflation remained relatively dormant during the period. Labor costs have gone up slightly, but most of this seems to be offset by increased efficiency due to technological advances. Clearly, the Federal Reserve's efforts have not phased the economy or investors as much as Chairman Greenspan might like. For example, growth-oriented companies-investor favorites for the last several years-have basically been immune to the rate increases. When these companies have needed cash, all they have had to do is sell more stock, and there has been no shortage of buyers. As such, the general consensus is that the Federal Reserve will raise interest rates several more times. LOOMIS SAYLES FIXED INCOME FUNDS 5 ECONOMIC AND MARKET OVERVIEW (CONTINUED) Outside the U.S., we believe economic conditions generally remain favorable throughout Europe, although the Euro recently weakened to a record low against the U.S. dollar. Most European countries have shown robust GDP growth. In particular, France, which is Europe's second-largest economy, grew at an annualized rate of 3.6% in the fourth quarter of 1999. Germany, Europe's largest and most influential economy, showed a 3.3% annualized GDP in the fourth quarter. The outlook for Germany remains especially positive, as the ruling coalition has implemented encouraging budgetary and tax reforms designed to support more of a free-market economy than a government-subsidized economy. In Japan, GDP plunged 5.5% (annualized) in the fourth quarter, representing the country's third-largest decline since GDP data were first collected in 1960. This was the second decline in as many quarters. Two economic "shocks" contributed to the fourth quarter's plunge: the completion of the government's final fiscal stimulus package and the strong appreciation of the yen. The outlook for Japan remains uncertain, as the government struggles to implement a plan to put economic growth back on track. [THIS PAGE INTENTIONALLY LEFT BLANK] LOOMIS SAYLES FIXED INCOME FUNDS 7 INSTITUTIONAL CLASS
TOTAL RETURN(1) VS. LIPPER CATEGORY AND LIPPER CATEGORY INDEX(2) FOR THE PERIODS ENDED MARCH 31, 2000 - -------------------------------------------------------------------------------------------------------------------- Modified Actual 6 Months* 1 Year 3 Years 5 Years Inception(3) Inception(4) - -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES BOND FUND % 6.99 5.16 8.82 11.75 12.09 11.98 Lipper Corporate Debt Funds BBB-Rated Average % 1.88 0.57 5.57 7.13 8.17 NA Rank NA 5/143 3/88 1/56 1/23 NA Percentile NA 4 4 2 5 NA Lipper Corporate Debt Funds BBB-Rated Index % 2.15 0.94 5.83 7.08 7.61 NA LOOMIS SAYLES GLOBAL BOND FUND % -1.17 -0.93 5.38 11.33 8.44 8.39 Lipper Global Income Funds Average % 0.62 -0.47 2.99 5.66 5.97 NA Rank NA 49/131 15/114 4/83 1/24 NA Percentile NA 38 14 5 4 NA Lipper Global Income Funds Index % 0.19 -0.83 3.15 5.98 6.14 NA LOOMIS SAYLES HIGH YIELD FUND % 11.70 16.34 8.41 NA 7.63 7.90 Lipper High Current Yield Funds Average % 1.27 0.06 4.32 NA 4.93 NA Rank NA 2/349 8/189 NA 17/166 NA Percentile NA 1 5 NA 11 NA Lipper High Yield Funds Index % 1.13 0.00 5.12 NA 5.53 NA LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND % 3.12 4.19 5.40 NA NA 4.95 Lipper Intermediate Investment Grade Debt Funds Average % 1.61 0.99 5.72 NA NA 5.08 Rank NA 8/284 130/203 NA NA 99/188 Percentile NA 3 65 NA NA 53 Lipper Intermediate Investment Grade Debt Funds Index % 1.77 1.38 6.00 NA NA 5.36
NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. (1) TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. TOTAL RETURN SHOWN FOR PERIODS OF ONE YEAR OR LESS REPRESENTS CUMULATIVE TOTAL RETURN. TOTAL RETURN FOR PERIODS GREATER THAN ONE YEAR REPRESENTS AVERAGE ANNUAL TOTAL RETURN. TOTAL RETURNS SHOWN REFLECT, IF ANY, THE EFFECT OF FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS. ABSENT SUCH FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS, TOTAL RETURN WOULD HAVE BEEN LOWER. (2) THE LIPPER CATEGORY TOTAL RETURN REPRESENTS THE AVERAGE TOTAL RETURN FOR ALL FUNDS IN EACH FUND'S CORRESPONDING INVESTMENT CATEGORY AS DETERMINED BY LIPPER INC. THE LIPPER CATEGORY INDEX TOTAL RETURN REPRESENTS THE AVERAGE TOTAL RETURN OF 30 FUNDS IN EACH FUND'S CORRESPONDING INVESTMENT CATEGORY AS DETERMINED BY LIPPER INC. RANKINGS ARE BASED ON THE TOTAL RETUN OF EACH FUND FOR THE PERIOD RELATIVE TO THE TOTAL RETURN OF ALL FUNDS IN THAT FUND'S CORRESPONDING INVESTMENT CATEGORY. SOURCE: LIPPER INC. * NOT ANNUALIZED.
- -------------------------------------------------------------------------------------------------------------------- Modified Actual 6 Months* 1 Year 3 Years 5 Years Inception(3) Inception(4) - -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES INVESTMENT GRADE BOND FUND % 5.41 5.89 8.97 NA NA 8.06 Lipper Corporate Debt Funds BBB-Rated Average % 1.88 0.57 5.57 NA NA 4.95 Rank NA 3/143 2/88 NA NA 2/84 Percentile NA 3 3 NA NA 3 Lipper Corporate Debt Funds BBB-Rated Index % 2.15 0.94 5.83 NA NA 5.15 LOOMIS SAYLES MUNICIPAL BOND FUND % 1.91 -1.46 5.02 5.41 6.37 6.41 Lipper General Municipal Debt Funds Average % 1.21 -2.40 4.22 4.95 6.13 NA Rank NA 77/270 29/221 44/179 26/90 NA Percentile NA 29 13 25 29 NA Lipper General Municipal Debt Funds Index % 1.37 -1.93 4.59 5.27 6.25 NA LOOMIS SAYLES SHORT-TERM BOND FUND % 1.88 3.66 5.71 5.87 5.52 5.52 Lipper Short Investment Grade Debt Funds Average % 1.93 3.27 5.17 5.64 5.14 NA Rank NA 32/112 15/100 20/70 7/30 NA Percentile NA 29 15 29 23 NA Lipper Short Investment Grade Debt Funds Index % 1.98 3.40 5.30 5.79 5.28 NA LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND % 4.41 3.06 8.47 7.99 8.78 8.79 Lipper General U.S. Government Bond Funds Average % 1.86 0.75 5.77 6.11 6.50 NA Rank NA 4/185 6/160 5/126 1/55 NA Percentile NA 3 4 4 2 NA Lipper General U.S. Government Bond Funds Index % 1.86 0.86 5.76 6.06 6.19 NA
(3) FOR THOSE FUNDS WITH INCEPTION DATES OTHER THAN MONTH-END, MODIFIED INCEPTION REFLECTS THE NEAREST LIPPER REPORTING PERIOD FOLLOWING ACTUAL INCEPTION. LIPPER PERFORMANCE IS REPORTED AS OF MONTH END. (4) ACTUAL INCEPTION DATES: BOND FUND MAY 16, 1991 GLOBAL BOND FUND MAY 10, 1991 HIGH YIELD FUND SEPTEMBER 11, 1996 INTERMEDIATE MATURITY BOND FUND DECEMBER 31, 1996 INVESTMENT GRADE BOND FUND DECEMBER 31, 1996 MUNICIPAL BOND FUND MAY 29, 1991 SHORT-TERM BOND FUND AUGUST 3, 1992 U.S. GOVERNMENT SECURITIES FUND MAY 21, 1991 LOOMIS SAYLES FIXED INCOME FUNDS 9 FUND AND MANAGER REVIEW [PHOTO] DANIEL J. FUSS [PHOTO] KATHLEEN C. GAFFNEY LOOMIS SAYLES BOND FUND KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in debt securities, although up to 20% of total assets may be in preferred stocks. FUND INCEPTION DATE 5/16/91 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 5/16/91, Retail: 1/2/97, Admin: 1/2/98 EXPENSE RATIO Institutional: 0.75%, Retail: 1.00%, Admin: 1.25% TOTAL NET ASSETS (ALL CLASSES) $1,733.4 MM - ------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional, Retail and Admin classes of the Bond Fund returned 6.99%, 6.88% and 6.68%, respectively, compared to the 2.27% return for the Fund's benchmark, the Lehman Brothers Government/Corporate Bond Index. The average corporate debt fund BBB-rated, as measured by Lipper Inc., posted a total return of 1.88% for the same period. PORTFOLIO REVIEW The Fund successfully persevered two challenging bond market climates over the past six-month period. The final three months of 1999 capped off a year that produced rising interest rates and negative returns for most major bond market sectors. Then, in the first three months of 2000, a flight to quality ensued as long-term U.S. Treasuries outperformed all other bond market sectors, primarily due to the U.S. Treasury Department's announcement that it would start buying back longer-term bonds. Nevertheless, the Fund is designed to gain extra value by emphasizing non-market-related factors. Throughout the six-month period, despite the volatility and uncertainty in the bond market, the Fund enjoyed solid returns from its exposure to emerging markets, Canadian bonds and convertible securities. As of March 31, 2000, the Fund held 19% of its assets in emerging markets, 19% in Canadian bonds and 16% in convertible securities. Emerging markets closed out 1999 with a stellar rebound that continued into the new year. Asian markets benefited from a reformed Indonesian government, an upgraded Korea and Malaysia and a strong restructuring in Thailand. In Latin America, a strong U.S. economy and rising oil prices contributed to investors' confidence and optimism. These markets were bolstered further by Mexico's upgrade to investment-grade status and Brazil's ability to sustain strong economic numbers. Additionally, as the stock market remained strong throughout the period, convertible securities showed excellent performance, particularly in the high-flying technology sector. In Canada, a record supply of new issuance helped Canadian credits continue to provide positive returns for the Fund. PORTFOLIO POSITIONING As spreads remain wide, we continue to believe that the bond market offers many good value opportunities. We will maintain an opportunistic approach toward convertible securities and emerging market bonds. We also will rely on our credit research efforts to attempt to uncover good value opportunities in the high-yield sector. /s/ Daniel J. Fuss /s/ Kathleen C. Gaffney Daniel J. Fuss Kathleen C. Gaffney
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - --------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years 5 Years Inception(a) - --------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES BOND FUND (INSTITUTIONAL) 6.99 5.16 8.82 11.75 11.98 LOOMIS SAYLES BOND FUND (RETAIL) 6.88 4.97 8.55 11.47 11.71 LOOMIS SAYLES BOND FUND (ADMIN) 6.68 4.71 8.28 11.18 11.43 Lipper Corporate Debt Funds BBB-Rated Index(b) 2.15 0.94 5.83 7.08 7.61 Lehman Brothers Government/Corporate Bond Index(c) 2.27 1.70 6.79 7.13 7.54
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000 - ------------------------------------------------------------------------------- [GRAPH]
Lipper Corporate Lehman Brothers Loomis Sayles Debt Funds BBB- Government/Corporate Bond Fund(d) Rated Index Bond Index 5/31/91 $10,000 $10,000 $10,000 6/30/91 $9,849 $9,975 $9,989 7/31/91 $10,090 $10,084 $10,114 8/31/91 $10,502 $10,327 $10,348 9/30/91 $10,522 $10,551 $10,564 10/31/91 $10,815 $10,648 $10,658 11/30/91 $10,702 $10,734 $10,764 12/31/91 $10,931 $11,137 $11,127 1/31/92 $11,102 $11,001 $10,962 2/29/92 $11,380 $11,062 $11,021 3/31/92 $11,294 $11,025 $10,960 4/30/92 $11,456 $11,083 $11,026 5/31/92 $11,794 $11,308 $11,240 6/30/92 $11,838 $11,473 $11,404 7/31/92 $12,222 $11,789 $11,696 8/31/92 $12,333 $11,897 $11,801 9/30/92 $12,399 $12,041 $11,962 10/31/92 $12,255 $11,830 $11,779 11/30/92 $12,380 $11,843 $11,770 12/31/92 $12,493 $12,040 $11,971 1/31/93 $12,927 $12,303 $12,231 2/28/93 $13,180 $12,593 $12,485 3/31/93 $13,446 $12,671 $12,528 4/30/93 $13,650 $12,766 $12,624 5/31/93 $13,871 $12,796 $12,617 6/30/93 $14,164 $13,084 $12,904 7/31/93 $14,508 $13,206 $12,986 8/31/93 $14,770 $13,513 $13,284 9/30/93 $14,795 $13,553 $13,331 10/31/93 $15,018 $13,647 $13,385 11/30/93 $15,081 $13,490 $13,234 12/31/93 $15,289 $13,581 $13,282 1/31/94 $15,873 $13,816 $13,492 2/28/94 $15,604 $13,515 $13,198 3/31/94 $15,040 $13,130 $12,875 4/30/94 $14,703 $12,971 $12,769 5/31/94 $14,648 $12,938 $12,745 6/30/94 $14,607 $12,885 $12,715 7/31/94 $14,830 $13,105 $12,969 8/31/94 $15,052 $13,157 $12,975 9/30/94 $14,872 $12,975 $12,778 10/31/94 $14,803 $12,934 $12,764 11/30/94 $14,605 $12,899 $12,741 12/31/94 $14,647 $12,954 $12,825 1/31/95 $14,953 $13,173 $13,072 2/28/95 $15,390 $13,474 $13,375 3/31/95 $15,725 $13,580 $13,464 4/30/95 $16,300 $13,824 $13,652 5/31/95 $17,174 $14,420 $14,224 6/30/95 $17,411 $14,529 $14,338 7/31/95 $17,362 $14,495 $14,283 8/31/95 $17,723 $14,708 $14,465 9/30/95 $18,160 $14,880 $14,612 10/31/95 $18,340 $15,079 $14,827 11/30/95 $18,890 $15,326 $15,071 12/31/95 $19,328 $15,579 $15,293 1/31/96 $19,721 $15,705 $15,388 2/29/96 $19,124 $15,375 $15,062 3/31/96 $19,139 $15,261 $14,935 4/30/96 $18,984 $15,164 $14,833 5/31/96 $19,192 $15,153 $14,808 6/30/96 $19,448 $15,327 $15,006 7/31/96 $19,438 $15,365 $15,041 8/31/96 $19,600 $15,357 $15,004 9/30/96 $20,209 $15,665 $15,270 10/31/96 $20,884 $16,041 $15,627 11/30/96 $21,696 $16,398 $15,915 12/31/96 $21,318 $16,240 $15,737 1/31/97 $21,300 $16,291 $15,756 2/28/97 $21,610 $16,384 $15,789 3/31/97 $21,266 $16,131 $15,601 4/30/97 $21,543 $16,369 $15,830 5/31/97 $22,017 $16,557 $15,977 6/30/97 $22,508 $16,804 $16,169 7/31/97 $23,666 $17,385 $16,664 8/31/97 $23,148 $17,155 $16,477 9/30/97 $23,898 $17,456 $16,736 10/31/97 $23,818 $17,634 $17,004 11/30/97 $23,945 $17,720 $17,093 12/31/97 $24,024 $17,910 $17,273 1/31/98 $24,323 $18,138 $17,516 2/28/98 $24,585 $18,132 $17,481 3/31/98 $24,941 $18,224 $17,534 4/30/98 $25,036 $18,302 $17,623 5/31/98 $25,036 $18,458 $17,812 6/30/98 $25,055 $18,594 $17,993 7/31/98 $24,788 $18,579 $18,008 8/31/98 $23,007 $18,444 $18,359 9/30/98 $23,801 $18,825 $18,884 10/31/98 $23,731 $18,592 $18,751 11/30/98 $25,182 $18,936 $18,863 12/31/98 $25,152 $18,983 $18,909 1/31/99 $25,615 $19,148 $19,043 2/28/99 $25,152 $18,734 $18,591 3/31/99 $26,057 $18,943 $18,683 4/30/99 $26,955 $19,079 $18,729 5/31/99 $26,333 $18,821 $18,536 6/30/99 $26,161 $18,722 $18,478 7/31/99 $25,764 $18,628 $18,427 8/31/99 $25,524 $18,559 $18,412 9/30/99 $25,611 $18,719 $18,578 10/31/99 $25,631 $18,755 $18,627 11/30/99 $25,876 $18,801 $18,616 12/31/99 $26,284 $18,770 $18,503 1/31/00 $26,238 $18,715 $18,498 2/29/00 $27,037 $18,946 $18,730 3/31/00 $27,402 $19,120 $19,000
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. High yield securities are subject to a high degree of market and credit risk. In addition, the secondary market for these securities may lack liquidity which, in turn, may adversely affect the value of these securities and that of the fund. NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS MAY 16, 1991. SINCE LIPPER CORPORATE DEBT FUNDS BBB-RATED INDEX AND LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM MAY 31, 1991. INCEPTION DATE OF THE RETAIL AND ADMIN CLASSES OF SHARES ARE DECEMBER 31, 1996 AND JANUARY 2, 1998, RESPECTIVELY. PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE RETAIL CLASS (DECEMBER 31, 1996) AND ADMIN CLASS (JANUARY 2, 1998) REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF MANAGEMENT AND 12b-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES. (b): THE LIPPER CORPORATE DEBT FUNDS BBB-RATED INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE CORPORATE DEBT FUNDS BBB-RATED INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c): LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX IS AN UNMANAGED COMPOSITE OF APPROXIMATELY 5,300 CORPORATE AND GOVERNMENT ISSUES WITH AT LEAST $100 MILLION OUTSTANDING FOR GOVERNMENT ISSUES AND $25 MILLION FOR CORPORATES, AND GREATER THAN 1 YEAR MATURITY. THE INDEX RETURNS HAVE NOT BEEN LOWERED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. (d): CUMULATIVE PERFORMANCE IS SHOWN FOR THE INSTITUTIONAL CLASS OF SHARES. PERFORMANCE OF THE RETAIL AND ADMIN CLASSES OF SHARES WOULD, DUE TO THE HIGHER FEES PAID BY THE RETAIL AND ADMIN CLASSES OF SHARES, BE LOWER. LOOMIS SAYLES FIXED INCOME FUNDS 11 FUND AND MANAGER REVIEW [PHOTO] E. JOHN DEBEER LOOMIS SAYLES GLOBAL BOND FUND KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests primarily in investment grade fixed income obligations (including convertibles) denominated in various currencies, including U.S. dollars or multicurrency units. FUND INCEPTION DATE 5/10/91 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 5/10/91, Retail: 1/2/97 EXPENSE RATIO Institutional: 0.90%, Retail: 1.15% TOTAL NET ASSETS (ALL CLASSES) $45.1 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional and Retail classes of the Global Bond Fund returned -1.17% and -1.25%, respectively, compared to the -1.17% return for the Fund's benchmark, the Salomon Brothers World Government Bond Index. The average global income fund, as measured by Lipper Inc., posted a total return of 0.62% for the same period. PORTFOLIO REVIEW Currency valuations played a large role in the Fund's performance during the six-month period. We felt that the yen was overvalued, so our Asian exposure was concentrated in dollar-denominated Asian credits. As such, the portfolio missed out on the yen's relative strength during the fourth quarter of 1999. Another key negative factor influencing the Fund's performance was the strength of the U.S. dollar. The euro, which represented approximately 40% of the portfolio during the period, declined relative to the U.S. dollar. Nevertheless, a partial hedge against the euro helped limit the effects of this decline. Also, the Australian dollar, which represented close to 9% of the portfolio, declined relative to the U.S. dollar. On the bright side, emerging markets bonds of Argentina, Peru, Thailand and Malaysia, which represented nearly 13% of the portfolio, performed well and enhanced Fund performance. In addition, our specific bond selections throughout all markets contributed positively to performance. PORTFOLIO POSITIONING We continue to look for attractive opportunities throughout Europe, Asia and the emerging markets. We believe that Asian growth should support strong improvements in Asian credits. In Europe, corporate bond offerings are growing in size, availability, diversity and liquidity, and our credit research allows us to attempt to seek out good value ahead of the competition. We also remain confident that the euro will strengthen and eventually become a second reserve currency alongside the U.S. dollar, which would benefit the Fund. /s/ E. John DeBeer E. John DeBeer
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - --------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years 5 Years Inception(a) - --------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES GLOBAL BOND FUND (INSTITUTIONAL) -1.17 -0.93 5.38 11.33 8.39 LOOMIS SAYLES GLOBAL BOND FUND (RETAIL) -1.25 -1.17 5.09 11.15 8.29 Lipper Global Income Funds Index(b) 0.19 -0.83 3.15 5.98 6.14 Salomon Brothers World Government Bond Index(c) -1.17 -0.25 4.96 4.27 7.75
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [GRAPH]
Loomis Sayles Lipper Global Salomon Brothers Global Bond Income Funds World Government Fund(d) Index Bond Index 5/31/91 $10,000 $10,000 $10,000 6/30/91 $9,560 $9,829 $9,895 7/31/91 $9,860 $9,979 $10,107 8/31/91 $10,000 $10,125 $10,302 9/30/91 $10,530 $10,453 $10,706 10/31/91 $10,581 $10,566 $10,818 11/30/91 $10,822 $10,577 $10,987 12/31/91 $11,687 $10,940 $11,558 1/31/92 $11,266 $10,759 $11,353 2/29/92 $11,174 $10,808 $11,290 3/31/92 $11,112 $10,750 $11,170 4/30/92 $11,215 $10,832 $11,250 5/31/92 $11,604 $11,059 $11,595 6/30/92 $12,045 $11,225 $11,920 7/31/92 $12,351 $11,418 $12,197 8/31/92 $12,222 $11,492 $12,539 9/30/92 $11,846 $11,356 $12,664 10/31/92 $11,995 $11,338 $12,321 11/30/92 $11,732 $11,224 $12,125 12/31/92 $11,786 $11,325 $12,197 1/31/93 $11,809 $11,476 $12,410 2/28/93 $12,060 $11,740 $12,654 3/31/93 $12,357 $11,860 $12,849 4/30/93 $12,735 $12,005 $13,120 5/31/93 $12,816 $12,136 $13,252 6/30/93 $12,388 $12,292 $13,223 7/31/93 $12,249 $12,435 $13,263 8/31/93 $12,900 $12,733 $13,660 9/30/93 $13,190 $12,724 $13,822 10/31/93 $13,422 $12,896 $13,798 11/30/93 $13,294 $12,812 $13,699 12/31/93 $13,508 $13,095 $13,816 1/31/94 $13,765 $13,256 $13,927 2/28/94 $13,362 $12,810 $13,836 3/31/94 $13,007 $12,411 $13,816 4/30/94 $12,922 $12,315 $13,832 5/31/94 $12,638 $12,226 $13,711 6/30/94 $12,192 $12,122 $13,909 7/31/94 $12,268 $12,220 $14,019 8/31/94 $12,218 $12,222 $13,971 9/30/94 $12,155 $12,255 $14,072 10/31/94 $12,193 $12,374 $14,298 11/30/94 $12,343 $12,320 $14,101 12/31/94 $12,331 $12,152 $14,140 1/31/95 $12,256 $12,169 $14,437 2/28/95 $12,230 $12,340 $14,806 3/31/95 $11,967 $12,660 $15,686 4/30/95 $12,507 $12,965 $15,976 5/31/95 $13,260 $13,394 $16,426 6/30/95 $13,109 $13,383 $16,522 7/31/95 $13,461 $13,484 $16,561 8/31/95 $13,900 $13,435 $15,992 9/30/95 $14,177 $13,660 $16,349 10/31/95 $14,340 $13,786 $16,471 11/30/95 $14,943 $14,022 $16,657 12/31/95 $15,279 $14,308 $16,832 1/31/96 $15,641 $14,476 $16,624 2/29/96 $15,319 $14,223 $16,539 3/31/96 $15,400 $14,234 $16,516 4/30/96 $15,695 $14,356 $16,450 5/31/96 $15,789 $14,397 $16,454 6/30/96 $16,151 $14,537 $16,583 7/31/96 $16,124 $14,686 $16,901 8/31/96 $16,298 $14,820 $16,967 9/30/96 $16,792 $15,101 $17,036 10/31/96 $17,197 $15,407 $17,355 11/30/96 $17,736 $15,782 $17,583 12/31/96 $17,574 $15,742 $17,441 1/31/97 $17,360 $15,608 $16,975 2/28/97 $17,645 $15,619 $16,848 3/31/97 $17,488 $15,425 $16,720 4/30/97 $17,403 $15,470 $16,573 5/31/97 $17,801 $15,692 $17,023 6/30/97 $18,200 $15,882 $17,226 7/31/97 $18,399 $16,016 $17,092 8/31/97 $18,186 $15,934 $17,082 9/30/97 $18,556 $16,274 $17,446 10/31/97 $18,300 $16,257 $17,808 11/30/97 $18,243 $16,258 $17,535 12/31/97 $17,979 $16,312 $17,482 1/31/98 $18,374 $16,432 $17,652 2/28/98 $18,724 $16,573 $17,795 3/31/98 $18,511 $16,643 $17,619 4/30/98 $18,754 $16,775 $17,901 5/31/98 $18,694 $16,756 $17,943 6/30/98 $18,314 $16,705 $17,969 7/31/98 $18,481 $16,778 $17,993 8/31/98 $17,387 $16,176 $18,483 9/30/98 $18,131 $16,839 $19,466 10/31/98 $19,165 $16,983 $20,042 11/30/98 $19,955 $17,162 $19,759 12/31/98 $19,883 $17,344 $20,157 1/31/99 $20,278 $17,381 $19,972 2/28/99 $19,998 $16,935 $19,330 3/31/99 $20,655 $17,070 $19,379 4/30/99 $21,461 $17,225 $19,371 5/31/99 $20,935 $16,881 $19,045 6/30/99 $20,705 $16,722 $18,711 7/31/99 $20,803 $16,781 $19,170 8/31/99 $20,557 $16,746 $19,259 9/30/99 $20,705 $16,898 $19,559 10/31/99 $20,623 $16,875 $19,549 11/30/99 $20,477 $16,788 $19,345 12/31/99 $20,643 $16,868 $19,297 1/31/00 $20,121 $16,591 $18,886 2/29/00 $20,229 $16,729 $18,750 3/31/00 $20,463 $16,929 $19,331
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. High yield securities are subject to a high degree of market and credit risk. In addition, the secondary market for these securities may lack liquidity which, in turn, may adversely affect the value of these securities and that of the fund. NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a) INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS MAY 10, 1991. SINCE LIPPER GLOBAL INCOME FUNDS INDEX AND SALOMON BROTHERS WORLD GOVERNMENT BOND INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM MAY 31, 1991. INCEPTION DATE OF THE RETAIL CLASS OF SHARES IS DECEMBER 31, 1996. PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE RETAIL CLASS (DECEMBER 31, 1996) REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF MANAGEMENT AND 12b-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES. (b) THE LIPPER GLOBAL INCOME FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE GLOBAL INCOME FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c) SALOMON BROTHERS WORLD GOVERNMENT BOND INDEX IS A CAPITALIZATION-WEIGHTED UNMANAGED INDEX WHICH TRACKS THE PERFORMANCE OF 14 GOVERNMENT BOND MARKETS. THE INDEX RETURNS HAVE NOT BEEN REDUCED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. (d) CUMULATIVE PERFORMANCE IS SHOWN FOR THE INSTITUTIONAL CLASS OF SHARES. PERFORMANCE OF THE RETAIL CLASS OF SHARES WOULD, DUE TO THE HIGHER FEES PAID BY THE RETAIL CLASS OF SHARES, BE LOWER. LOOMIS SAYLES FIXED INCOME FUNDS 13 FUND AND MANAGER REVIEW [PHOTO] DANIEL J. FUSS [PHOTO] KATHLEEN C. GAFFNEY LOOMIS SAYLES HIGH YIELD FUND KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in debt securities, although up to 20% of total assets may be in preferred stocks and up to 10% in common stocks. The Fund normally invests at least 65% of its assets in fixed income securities of below investment grade quality. FUND INCEPTION DATE 9/11/96 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 9/11/96 EXPENSE RATIO Institutional: 0.75% TOTAL NET ASSETS $23.4 MM - ------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional class of the High Yield Fund returned 11.70%, compared to the -0.74% return for the Fund's benchmark, the Merrill Lynch High Yield Master Index. The average high current yield fund, as measured by Lipper Inc., posted a total return of 1.27% for the same period. PORTFOLIO REVIEW In general, high-yield bonds experienced a difficult six-month period. In the fourth quarter of 1999, a combination of Y2K-related uncertainty, inflation fears and interest-rate fluctuations contributed to falling bond prices and rising yields. In the first quarter of 2000, rising interest rates continued to weigh on the market, as did a flight to quality, a record number of credit defaults and low trading volume. Nevertheless, the Loomis Sayles High Yield Fund bucked the trend and posted a solid six-month return by continuing to stress a bottom-up approach and diversifying across numerous sectors and issues. In addition, we generally structure the Fund so that market-related factors have little impact on performance. As such, the Fund had low interest-rate sensitivity, a high coupon and yield, and a relatively short maturity. The Fund's outperformance for the period was due to the recovery of emerging markets and the strength of convertible securities. As of March 31, 2000, the Fund held 36% of its assets in emerging markets and 25% in convertible securities. The return of liquidity to many of the smaller, lesser-known bonds the Fund holds, as well as some successful issue and sector selections, also contributed to the Fund's positive return. PORTFOLIO POSITIONING We believe that the economic scenario remains positive for high-yield bonds, with a robust economy, low inflation and wide spreads. The Fund remains well diversified across 19 countries, 37 industries and 153 issues that focus on long-term capital appreciation and current income. In addition, we believe that it also has excellent call protection and moderate upgrade potential. /s/ Daniel J. Fuss /s/ Kathleen C. Gaffney Daniel J. Fuss Kathleen C. Gaffney
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - ------------------------------------------------------------------------------------------------ Since 6 Months 1 Year 3 Years Inception(a) - ------------------------------------------------------------------------------------------------ LOOMIS SAYLES HIGH YIELD FUND (INSTITUTIONAL) 11.70 16.34 8.41 7.90 Lipper High Current Yield Funds Index(b) 1.13 0.00 5.12 5.53 Merrill Lynch High Yield Master Index(c) -0.74 -1.33 4.90 5.66
CUMULATIVE PERFORMANCE-SEPTEMBER 30, 1996 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [GRAPH]
Lipper High Merrill Lynch Loomis Sayles Current Yield High Yield High Yield Fund Funds Index Master Index 9/30/96 $10,000 $10,000 $10,000 10/31/96 $9,931 $10,048 $10,110 11/30/96 $10,148 $10,221 $10,314 12/31/96 $10,173 $10,347 $10,393 1/31/97 $10,193 $10,449 $10,473 2/28/97 $10,213 $10,625 $10,620 3/31/97 $10,153 $10,395 $10,502 4/30/97 $10,212 $10,483 $10,622 5/31/97 $10,489 $10,761 $10,836 6/30/97 $10,756 $10,945 $11,001 7/31/97 $11,265 $11,237 $11,265 8/31/97 $11,276 $11,262 $11,245 9/30/97 $11,663 $11,535 $11,431 10/31/97 $11,354 $11,490 $11,507 11/30/97 $11,482 $11,573 $11,616 12/31/97 $11,333 $11,710 $11,726 1/31/98 $11,400 $11,937 $11,901 2/28/98 $11,725 $12,050 $11,950 3/31/98 $12,083 $12,224 $12,053 4/30/98 $12,029 $12,263 $12,110 5/31/98 $11,766 $12,249 $12,195 6/30/98 $11,515 $12,271 $12,255 7/31/98 $11,384 $12,354 $12,325 8/31/98 $9,674 $11,413 $11,793 9/30/98 $9,568 $11,344 $11,817 10/31/98 $9,753 $11,087 $11,622 11/30/98 $10,533 $11,738 $12,152 12/31/98 $10,290 $11,701 $12,156 1/31/99 $10,583 $11,913 $12,276 2/28/99 $10,609 $11,865 $12,182 3/31/99 $11,119 $12,074 $12,287 4/30/99 $11,844 $12,387 $12,480 5/31/99 $11,556 $12,151 $12,393 6/30/99 $11,817 $12,153 $12,370 7/31/99 $11,715 $12,157 $12,388 8/31/99 $11,527 $12,034 $12,267 9/30/99 $11,581 $11,940 $12,215 10/31/99 $11,854 $11,905 $12,144 11/30/99 $12,148 $12,115 $12,283 12/31/99 $12,450 $12,261 $12,347 1/31/00 $12,465 $12,201 $12,286 2/29/00 $12,850 $12,287 $12,296 3/31/00 $12,935 $12,075 $12,124
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. High yield securities are subject to a high degree of market and credit risk. In addition, the secondary market for these securities may lack liquidity which, in turn, may adversely affect the value of these securities and that of the fund. Note: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a) INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS SEPTEMBER 11, 1996. SINCE LIPPER HIGH CURRENT YIELD FUNDS INDEX AND MERRILL LYNCH HIGH YIELD MASTER INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM SEPTEMBER 30, 1996. (b) THE LIPPER HIGH CURRENT YIELD FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE HIGH CURRENT YIELD FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c) MERRILL LYNCH HIGH YIELD MASTER INDEX IS AN UNMANAGED INDEX CONSISTING OF FIXED-RATE, COUPON-BEARING BONDS WITH AN OUTSTANDING PAR WHICH IS GREATER THAN OR EQUAL TO $50 MILLION, A MATURITY RANGE GREATER THAN OR EQUAL TO ONE YEAR AND MUST BE LESS THAN BBB/Baa3 RATED BUT NOT IN DEFAULT. THE INDEX RETURNS HAVE NOT BEEN REDUCED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. LOOMIS SAYLES FIXED INCOME FUNDS 15 FUND AND MANAGER REVIEW [PHOTO] ANTHONY J. WILKINS LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in investment grade debt securities, with a dollar-weighted average maturity between three and ten years. FUND INCEPTION DATE 12/31/96 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 1/2/97, Retail: 1/2/97 EXPENSE RATIO Institutional: 0.55%, Retail: 0.80% TOTAL NET ASSETS (ALL CLASSES) $13.8 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional and Retail classes of the Intermediate Maturity Bond Fund returned 3.12% and 3.01%, respectively, compared to the 1.56% return for the Fund's benchmark, the Lehman Brothers Government/Corporate Intermediate Bond Index. The average intermediate investment grade debt fund, as measured by Lipper Inc., posted a total return of 1.61% for the same period. PORTFOLIO REVIEW Short-term interest rates continued to increase during the six-month period, as the Federal Reserve Board maintained its pre-emptive inflation-fighting course. Long-term rates increased during the first half of the period, then sharply declined in the second half. The yield on the 30-year U.S. Treasury reached its 1999 peak in December, ending the year at 6.48%. Early in the fourth quarter of 1999, high-yield bonds fell behind their high-grade counterparts. But as the flight to quality subsided and with corporate spreads tightening, investors swapped out of Treasuries and turned toward more market-related issues in the lagging bond market. Market sentiment and performance shifted with the start of the new year. Treasuries regained favor with investors and outperformed all other bond market sectors during the first quarter of 2000. The catalyst was the U.S. Treasury department, which announced that it would start buying back its long-term debt. This contributed to a widening of corporate spreads and an inverted yield curve. While the Fed continued to raise short-term rates, the yield on the 30-year Treasury fell to 5.83%. Despite the spread widening, investment-grade credits were able to realize positive gains, but high-yield markets lagged. The Fund's overweighting in Yankee bonds contributed positively to performance throughout the period. Higher oil prices also led to strong returns among the Fund's oil and gas holdings. In addition, an overweighting in the financials sector during the first quarter of 2000, particularly among banking and REITs (real estate investment trusts), contributed to the Fund's relatively strong performance. PORTFOLIO POSITIONING Our approach continues to focus on identifying undervalued credits to create a flexible balance between high current income and the potential for capital appreciation. Our maturity and quality guidelines are designed to create a shorter-maturity, higher-quality portfolio that provides above-average yield and call protection. The Fund's duration remains slightly longer than the benchmark's to capture yield advantages. /s/ Anthony J. Wilkins Anthony J. Wilkins
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - ------------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years Inception(a) - ------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (INSTITUTIONAL) 3.12 4.19 5.40 4.95 LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (RETAIL) 3.01 3.92 5.17 4.70 Lipper Intermediate Investment Grade Debt Funds Index(b) 1.77 1.38 6.00 5.36 Lehman Brothers Government/Corporate Intermediate Bond Index(c) 1.56 2.09 6.07 5.55
CUMULATIVE PERFORMANCE-DECEMBER 31, 1996 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [GRAPH[
Loomis Sayles Lipper Intermediate Lehman Brothers Intermediate Maturity Investment Grade Government/Corporate Bond Fund(d) Debt Funds Index Intermediate Bond Index 12/31/96 $10,000 $10,000 $10,000 1/31/97 $10,060 $10,031 $10,039 2/28/97 $10,080 $10,056 $10,058 3/31/97 $9,990 $9,948 $9,989 4/30/97 $10,106 $10,084 $10,106 5/31/97 $10,228 $10,174 $10,190 6/30/97 $10,340 $10,294 $10,283 7/31/97 $10,574 $10,566 $10,492 8/31/97 $10,502 $10,470 $10,439 9/30/97 $10,625 $10,621 $10,561 10/31/97 $10,586 $10,749 $10,678 11/30/97 $10,607 $10,780 $10,701 12/31/97 $10,643 $10,878 $10,787 1/31/98 $10,759 $11,023 $10,928 2/28/98 $10,812 $11,007 $10,920 3/31/98 $10,918 $11,047 $10,955 4/30/98 $10,969 $11,099 $11,010 5/31/98 $11,023 $11,199 $11,091 6/30/98 $11,034 $11,288 $11,161 7/31/98 $11,059 $11,311 $11,201 8/31/98 $10,895 $11,465 $11,377 9/30/98 $11,016 $11,722 $11,663 10/31/98 $10,969 $11,627 $11,651 11/30/98 $11,080 $11,685 $11,650 12/31/98 $11,068 $11,735 $11,697 1/31/99 $11,125 $11,808 $11,761 2/28/99 $11,033 $11,597 $11,588 3/31/99 $11,228 $11,688 $11,675 4/30/99 $11,409 $11,727 $11,711 5/31/99 $11,281 $11,608 $11,621 6/30/99 $11,304 $11,569 $11,629 7/31/99 $11,273 $11,528 $11,618 8/31/99 $11,202 $11,516 $11,627 9/30/99 $11,344 $11,642 $11,736 10/31/99 $11,388 $11,660 $11,766 11/30/99 $11,449 $11,674 $11,781 12/31/99 $11,502 $11,620 $11,742 1/31/00 $11,465 $11,579 $11,699 2/29/00 $11,563 $11,704 $11,796 3/31/00 $11,698 $11,849 $11,919
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE INSTITUTIONAL AND RETAIL CLASSES OF SHARES IS DECEMBER 31, 1996. (b): THE LIPPER INTERMEDIATE INVESTMENT GRADE DEBT FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE INTERMEDIATE INVESTMENT GRADE DEBT FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c): LEHMAN BROTHERS GOVERNMENT/CORPORATE INTERMEDIATE BOND INDEX IS AN UNMANAGED INDEX CONSISTING OF THOSE BONDS HELD WITHIN THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX WHICH HAVE AN AVERAGE MATURITY OF 1-10 YEARS. THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX CONSISTS OF APPROXIMATELY 5,300 CORPORATE AND GOVERNMENT ISSUES WITH AT LEAST $100 MILLION OUTSTANDING FOR GOVERNMENT ISSUES AND $25 MILLION FOR CORPORATES, AND GREATER THAN 1 YEAR MATURITY. THE INDEX RETURNS HAVE NOT BEEN LOWERED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. (d): CUMULATIVE PERFORMANCE IS SHOWN FOR THE INSTITUTIONAL CLASS OF SHARES. PERFORMANCE OF THE RETAIL CLASS OF SHARES WOULD, DUE TO THE HIGHER FEES PAID BY THE RETAIL CLASS OF SHARES, BE LOWER. LOOMIS SAYLES FIXED INCOME FUNDS 17 FUND AND MANAGER REVIEW [PHOTO] DANIEL J. FUSS LOOMIS SAYLES INVESTMENT GRADE BOND FUND KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in investment grade debt securities, including convertibles, although up to 20% of assets may be in preferred stocks. FUND INCEPTION DATE 12/31/96 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 1/2/97, Retail: 1/2/97, J: 5/24/99 EXPENSE RATIO Institutional: 0.55%, Retail: 0.80%, J: 1.30% TOTAL NET ASSETS (ALL CLASSES) $22.3 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional, Retail and J classes of the Investment Grade Bond Fund returned 5.41%, 5.28% and 5.01% (before deducting the maximum 3.50% front end sales charge), respectively, compared to the 2.27% return for the Fund's benchmark, the Lehman Brothers Government/Corporate Bond Index. The average corporate debt fund BBB-rated, as measured by Lipper Inc., posted a total return of 1.88% for the same period. PORTFOLIO REVIEW Market sentiment during the six-month period reflected investor concerns over the approach of Y2K and rising interest rates. In addition, a yield-curve inversion unfolded in the first quarter of 2000. Short-term rates continued to increase, due to the Federal Reserve Board's tightening course, and long-term rates declined after the U.S. Treasury announced it was buying back its long-term debt. This led to a very strong quarter for Treasuries and a difficult quarter for investment-grade corporate bonds, as investors scrambled to assess the relative value of non-government debt. Despite all of these factors, the Fund performed well by continuing to stress a bottom-up approach, diversifying across numerous sectors, and concentrating on convertible bonds, Yankee securities and emerging market debt. Emerging markets rallied throughout the period. In Asian markets, a reformed Indonesian government, an upgraded Korea and Malaysia and a restructuring of Thailand contributed to strong investor sentiment. Latin American markets benefited from a strong U.S. economy and rising oil prices. Additionally, Mexico was upgraded to "investment-grade" status, and Brazil continued to post strong economic numbers. The Fund also was positively affected by the return of liquidity to many of the smaller, lesser-known bonds in the portfolio and by successful issue and sector selections. For example, Canadian bonds continued to offer strong performance, and the energy sector remained a top performer due to rising oil prices. PORTFOLIO POSITIONING We continue to maintain the Fund's long-term investment strategy of buying longer, discounted corporate bonds for the added yield and call protection they provide. The Fund remains well diversified across 16 countries, 38 industries and 137 issues that focus on long-term capital appreciation and current income. We believe that the Fund has excellent call protection and moderate upgrade potential. /s/ Daniel J. Fuss Daniel J. Fuss
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - ---------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years Inception(a) - ---------------------------------------------------------------------------------------------------------- LOOMIS SAYLES INVESTMENT GRADE BOND FUND (INSTITUTIONAL) 5.41 5.89 8.97 8.06 LOOMIS SAYLES INVESTMENT GRADE BOND FUND (RETAIL) 5.28 5.67 8.71 7.79 LOOMIS SAYLES INVESTMENT GRADE BOND FUND (J CLASS)(b) 1.35 1.54 7.45 6.67 Lipper Corporate Debt Funds BBB-Rated Index(c) 2.15 0.94 5.83 5.15 Lehman Brothers Government/Corporate Bond Index(d) 2.27 1.70 6.79 5.97
CUMULATIVE PERFORMANCE-DECEMBER 31, 1996 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [GRAPH}
Loomis Sayles Lipper Corporate Lehman Brothers Investment Grade Debt Funds BBB- Government/Corporate Bond Fund(e) Rated Index Bond Index 12/31/96 $10,000 $10,000 $10,000 1/31/97 $9,950 $10,032 $10,012 2/28/97 $10,150 $10,089 $10,033 3/31/97 $9,940 $9,933 $9,914 4/30/97 $10,133 $10,080 $10,059 5/31/97 $10,325 $10,195 $10,153 6/30/97 $10,599 $10,347 $10,274 7/31/97 $11,281 $10,705 $10,589 8/31/97 $10,972 $10,563 $10,470 9/30/97 $11,281 $10,749 $10,635 10/31/97 $11,443 $10,858 $10,805 11/30/97 $11,422 $10,911 $10,862 12/31/97 $11,451 $11,029 $10,976 1/31/98 $11,570 $11,169 $11,130 2/28/98 $11,602 $11,165 $11,108 3/31/98 $11,743 $11,222 $11,142 4/30/98 $11,785 $11,270 $11,198 5/31/98 $11,862 $11,365 $11,318 6/30/98 $11,851 $11,450 $11,434 7/31/98 $11,700 $11,441 $11,443 8/31/98 $11,199 $11,358 $11,666 9/30/98 $11,455 $11,592 $12,000 10/31/98 $11,347 $11,449 $11,915 11/30/98 $11,723 $11,660 $11,986 12/31/98 $11,829 $11,689 $12,016 1/31/99 $12,018 $11,791 $12,101 2/28/99 $11,876 $11,536 $11,813 3/31/99 $12,148 $11,665 $11,872 4/30/99 $12,433 $11,748 $11,901 5/31/99 $12,337 $11,590 $11,779 6/30/99 $12,289 $11,529 $11,742 7/31/99 $12,078 $11,471 $11,709 8/31/99 $12,035 $11,428 $11,700 9/30/99 $12,203 $11,526 $11,805 10/31/99 $12,202 $11,549 $11,836 11/30/99 $12,252 $11,577 $11,829 12/31/99 $12,293 $11,558 $11,757 1/31/00 $12,281 $11,524 $11,754 2/29/00 $12,673 $11,666 $11,902 3/31/00 $12,864 $11,774 $12,074
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE INSTITUTIONAL AND RETAIL CLASSES OF SHARES IS DECEMBER 31, 1996. INCEPTION DATE OF THE J CLASS IS MAY 24, 1999. PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE J CLASS (MAY 24, 1999) REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF MANAGEMENT AND 12b-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES. (b): PERFORMANCE FOR J CLASS SHARES INCLUDES THE EFFECT OF THE MAXIMUM 3.50% FRONT END SALES CHARGE. (c): THE LIPPER CORPORATE DEBT FUNDS BBB-RATED INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE CORPORATE DEBT FUNDS BBB-RATED INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (d): LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX IS AN UNMANAGED INDEX CONSISTING OF APPROXIMATELY 5,300 CORPORATE AND GOVERNMENT ISSUES WITH AT LEAST $100 MILLION OUTSTANDING FOR GOVERNMENT ISSUES AND $25 MILLION FOR CORPORATES, AND GREATER THAN 1 YEAR MATURITY. THE INDEX RETURNS HAVE NOT BEEN LOWERED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. (e): CUMULATIVE PERFORMANCE IS SHOWN FOR THE INSTITUTIONAL CLASS OF SHARES. PERFORMANCE OF THE RETAIL AND J CLASSES OF SHARES WOULD, DUE TO THE HIGHER FEES PAID BY THE RETAIL AND J CLASSES OF SHARES, BE LOWER. J CLASS OF SHARES ARE NOT OFFERED FOR SALE IN THE UNITED STATES AND ARE NOT ELIGIBLE FOR SALE TO U.S. INVESTORS. LOOMIS SAYLES FIXED INCOME FUNDS 19 FUND AND MANAGER REVIEW LOOMIS SAYLES MUNICIPAL BOND FUND [PHOTO] MARTHA F. HODGMAN KEY FUND FACTS OBJECTIVE Current income STRATEGY Invests in fixed income securities the income of which is exempt from federal income tax. FUND INCEPTION DATE 5/29/91 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 5/29/91 EXPENSE RATIO Institutional: 0.50% TOTAL NET ASSETS $8.3 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional class of the Municipal Bond Fund returned 1.91%, compared to the 2.12% return for the Fund's benchmark, the Lehman Brothers Municipal Bond Index. The average general municipal debt fund, as measured by Lipper Inc., posted a total return of 1.21% for the same period. PORTFOLIO REVIEW Municipal market conditions flip-flopped over the six-month period. During the last quarter of 1999, with rising interest rates and slow demand, municipal bonds weakened, especially at the long end of the yield curve. In the first quarter of 2000, much of that damage was reversed after municipal bonds rallied along with the U.S. Treasury market. The sector also improved due to a diminished supply of municipal bonds. With a strong economy and good balance sheets for municipalities, there was little need to tap the bond market. Buyers had fewer bonds to choose from, and even poorly structured issues began to see renewed demand. In the fourth quarter of 1999, the Fund's strongest performers were very short-maturity bonds, and the weakest were long discount issues. But, in the first quarter of 2000, long discount bonds were the best performers, and short-term bonds underperformed. The municipal yield curve remained positively sloped, while the Treasury yield curve inverted during the first quarter of 2000. Because of this, some traditional municipal investors found the taxable market more attractive, thus further diminishing the demand for short-term municipal bonds. PORTFOLIO POSITIONING Our strategy of investing in undervalued issues and trying to keep portfolio turnover low remains unchanged. Looking ahead, we believe the relationship between supply and demand likely will be the primary driver of performance. Demand has been weak, due to low relative yields on municipal bonds and stiff competition from the stock market for investors' attention. Municipals have performed fairly well this year because of the lack of new issues. Should municipalities make a strong return to the market, prices could decline as yields would be forced upward to attract investors. On the other hand, a stock market correction could fuel demand in the municipal market, which should improve performance. /s/Martha F. Hodgman Martha F. Hodgman
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - -------------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years 5 Years Inception(a) - -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES MUNICIPAL BOND FUND (INSTITUTIONAL) 1.91 -1.46 5.02 5.41 6.41 Lipper General Municipal Debt Funds Index(b) 1.37 -1.93 4.59 5.27 6.25 Lehman Brothers Municipal Bond Index(c) 2.12 -0.08 5.52 6.07 6.79
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [CHART]
Loomis Sayles Lipper General Lehman Brothers Municipal Bond Municipal Debt Municipal Fund Funds Index Bond Index 5/31/91 $10,000 $10,000 $10,000 6/30/91 $10,011 $ 9,971 $ 9,990 7/31/91 $10,131 $10,097 $10,112 8/31/91 $10,300 $10,228 $10,245 9/30/91 $10,418 $10,366 $10,379 10/31/91 $10,528 $10,463 $10,472 11/30/91 $10,521 $10,476 $10,501 12/31/91 $10,780 $10,727 $10,726 1/31/92 $10,764 $10,721 $10,751 2/29/92 $10,797 $10,736 $10,755 3/31/92 $10,777 $10,741 $10,759 4/30/92 $10,877 $10,843 $10,854 5/31/92 $11,058 $10,993 $10,982 6/30/92 $11,237 $11,200 $11,165 7/31/92 $11,707 $11,593 $11,501 8/31/92 $11,500 $11,407 $11,389 9/30/92 $11,541 $11,453 $11,463 10/31/92 $11,315 $11,251 $11,351 11/30/92 $11,668 $11,537 $11,554 12/31/92 $11,791 $11,682 $11,672 1/31/93 $11,922 $11,820 $11,808 2/28/93 $12,367 $12,293 $12,235 3/31/93 $12,176 $12,152 $12,105 4/30/93 $12,344 $12,280 $12,227 5/31/93 $12,413 $12,345 $12,296 6/30/93 $12,625 $12,563 $12,502 7/31/93 $12,594 $12,556 $12,518 8/31/93 $12,895 $12,838 $12,779 9/30/93 $13,065 $12,986 $12,924 10/31/93 $13,080 $13,007 $12,949 11/30/93 $12,915 $12,876 $12,835 12/31/93 $13,149 $13,134 $13,106 1/31/94 $13,311 $13,279 $13,256 2/28/94 $12,971 $12,954 $12,912 3/31/94 $12,422 $12,412 $12,386 4/30/94 $12,493 $12,453 $12,492 5/31/94 $12,647 $12,563 $12,600 6/30/94 $12,581 $12,484 $12,523 7/31/94 $12,829 $12,699 $12,752 8/31/94 $12,833 $12,739 $12,796 9/30/94 $12,614 $12,542 $12,609 10/31/94 $12,359 $12,302 $12,385 11/30/94 $12,139 $12,049 $12,161 12/31/94 $12,441 $12,342 $12,428 1/31/95 $12,804 $12,717 $12,784 2/28/95 $13,180 $13,096 $13,155 3/31/95 $13,256 $13,217 $13,397 4/30/95 $13,260 $13,217 $13,322 5/31/95 $13,664 $13,639 $13,747 6/30/95 $13,499 $13,486 $13,627 7/31/95 $13,614 $13,574 $13,756 8/31/95 $13,742 $13,729 $13,931 9/30/95 $13,834 $13,815 $14,019 10/31/95 $14,049 $14,034 $14,223 11/30/95 $14,340 $14,314 $14,459 12/31/95 $14,499 $14,478 $14,598 1/31/96 $14,616 $14,548 $14,708 2/29/96 $14,469 $14,442 $14,609 3/31/96 $14,232 $14,221 $14,422 4/30/96 $14,160 $14,161 $14,381 5/31/96 $14,164 $14,170 $14,376 6/30/96 $14,283 $14,301 $14,532 7/31/96 $14,455 $14,424 $14,664 8/31/96 $14,421 $14,417 $14,661 9/30/96 $14,603 $14,637 $14,865 10/31/96 $14,777 $14,800 $15,033 11/30/96 $15,070 $15,049 $15,309 12/31/96 $14,983 $14,996 $15,244 1/31/97 $14,992 $14,994 $15,273 2/28/97 $15,121 $15,126 $15,413 3/31/97 $14,902 $14,939 $15,208 4/30/97 $15,032 $15,067 $15,335 5/31/97 $15,283 $15,284 $15,566 6/30/97 $15,442 $15,465 $15,732 7/31/97 $15,950 $15,929 $16,167 8/31/97 $15,726 $15,747 $16,016 9/30/97 $15,956 $15,945 $16,206 10/31/97 $16,034 $16,051 $16,310 11/30/97 $16,153 $16,143 $16,406 12/31/97 $16,456 $16,404 $16,645 1/31/98 $16,618 $16,562 $16,817 2/28/98 $16,598 $16,562 $16,822 3/31/98 $16,577 $16,579 $16,837 4/30/98 $16,455 $16,478 $16,761 5/31/98 $16,762 $16,746 $17,026 6/30/98 $16,812 $16,806 $17,094 7/31/98 $16,848 $16,839 $17,136 8/31/98 $17,172 $17,101 $17,401 9/30/98 $17,431 $17,304 $17,618 10/31/98 $17,349 $17,241 $17,618 11/30/98 $17,398 $17,299 $17,679 12/31/98 $17,471 $17,329 $17,724 1/31/99 $17,715 $17,518 $17,935 2/28/99 $17,556 $17,420 $17,857 3/31/99 $17,516 $17,127 $17,881 4/30/99 $17,583 $17,475 $17,926 5/31/99 $17,406 $17,351 $17,822 6/30/99 $17,060 $17,076 $17,565 7/31/99 $17,173 $17,107 $17,629 8/31/99 $16,994 $16,903 $17,488 9/30/99 $16,936 $16,859 $17,495 10/31/99 $16,739 $16,625 $17,306 11/30/99 $16,944 $16,783 $17,490 12/31/99 $16,776 $16,623 $17,359 1/31/00 $16,638 $16,490 $17,284 2/29/00 $16,890 $16,723 $17,485 3/31/00 $17,256 $17,090 $17,867
NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE LOOMIS SAYLES MUNICIPAL BOND FUND IS MAY 29, 1991. SINCE LIPPER GENERAL MUNICIPAL DEBT FUNDS INDEX AND LEHMAN BROTHERS MUNICIPAL BOND INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM MAY 31, 1991. (b): THE LIPPER GENERAL MUNICIPAL DEBT FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE GENERAL MUNICIPAL DEBT FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c): LEHMAN BROTHERS MUNICIPAL BOND INDEX IS AN UNMANAGED INDEX COMPUTED FROM PRICES ON APPROXIMATELY 21,000 BONDS CONSISTING OF ROUGHLY 30% REVENUE BONDS, 30% GOVERNMENT OBLIGATIONS BONDS, 27% INSURED AND 13% PREREFUNDED BONDS. THE INDEX RETURNS HAVE NOT BEEN REDUCED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. LOOMIS SAYLES FIXED INCOME FUNDS 21 FUND AND MANAGER REVIEW LOOMIS SAYLES SHORT-TERM BOND FUND [PHOTO] JOHN HYLL KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in debt securities (including convertibles), although up to 20% may be invested in non-convertible preferred stocks. FUND INCEPTION DATE 8/3/92 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 8/3/92, Retail: 1/2/97 EXPENSE RATIO Institutional: 0.37%, Retail: 0.61% TOTAL NET ASSETS (ALL CLASSES) $36.2 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional and Retail classes of the Short-Term Bond Fund returned 1.88% and 1.86%, respectively, compared to the 1.89% return for the Fund's benchmark, the Lehman Brothers 1-3 Year Government/Corporate Bond Index. The average short investment grade debt fund, as measured by Lipper Inc., posted a total return of 1.93% for the same period. PORTFOLIO REVIEW The five-year U.S. Treasury went from being the worst performer during the fourth quarter of 1999 to a strong performer during the first quarter of 2000. While interest rates continued to rise, securities maturing in five years and beyond rallied in the first quarter of 2000. The catalyst was the U.S. Treasury department, which announced a buyback program of its long-term debt. This triggered an inverted yield curve in which bonds with maturities of five years and longer generally declined in yield. The Fund's yield curve positioning reflected approximately 16% invested in maturities of less than one year and 12% of the Fund invested in maturities greater than five years contributed nicely to performance. In general, corporate bond returns were mixed during the period, as spreads tightened in the fourth quarter of 1999 and widened in the first quarter of 2000. As spreads widened, we took advantage of cheaper valuations and increased the Fund's allocation to corporate bonds from 48% on December 31, 1999, to 51% on March 31, 2000. The Fund also realized generally positive results from mortgage and agency holdings. PORTFOLIO POSITIONING We plan to maintain overweighted positions in corporate and mortgage-backed securities and a longer average maturity relative to the benchmark. Given the very wide yield spreads and inverted yield curve, we believe the Fund is positioned to take advantage of a narrowing of yield spreads and the return to a more normally-shaped yield curve. /s/John Hyll John Hyll
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - -------------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years 5 Years Inception(a) - -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES SHORT-TERM BOND FUND (INSTITUTIONAL) 1.88 3.66 5.71 5.87 5.52 LOOMIS SAYLES SHORT-TERM BOND FUND (RETAIL) 1.86 3.40 5.42 5.70 5.40 Lipper Short Investment Grade Debt Funds Index(b) 1.98 3.40 5.30 5.79 5.28 Lehman Brothers 1-3 Year Government/Corporate Bond Index(c) 1.89 3.72 5.79 6.11 5.42
CUMULATIVE PERFORMANCE-AUGUST 31, 1992 TO MARCH 31, 2000 - -------------------------------------------------------------------------------- [CHART]
Loomis Sayles Lipper Short Lehman Brothers Short-Term Bond Investment Grade 1-3 Year Government/ Fund(d) Debt Funds Index Corporate Bond Index 8/31/92 $10,000 $10,000 $10,000 9/30/92 $10,103 $10,066 $10,095 10/31/92 $10,020 $10,011 $10,034 11/30/92 $ 9,984 $10,024 $10,020 12/31/92 $10,052 $10,100 $10,115 1/31/93 $10,181 $10,219 $10,223 2/28/93 $10,334 $10,330 $10,307 3/31/93 $10,377 $10,380 $10,340 4/30/93 $10,442 $10,435 $10,405 5/31/93 $10,443 $10,454 $10,381 6/30/93 $10,519 $10,544 $10,460 7/31/93 $10,542 $10,603 $10,484 8/31/93 $10,639 $10,699 $10,572 9/30/93 $10,669 $10,734 $10,606 10/31/93 $10,721 $10,788 $10,630 11/30/93 $10,720 $10,793 $10,633 12/31/93 $10,751 $10,863 $10,677 1/31/94 $10,825 $10,934 $10,745 2/28/94 $10,759 $10,873 $10,680 3/31/94 $10,702 $10,790 $10,624 4/30/94 $10,670 $10,748 $10,584 5/31/94 $10,686 $10,760 $10,599 6/30/94 $10,729 $10,769 $10,626 7/31/94 $10,840 $10,831 $10,723 8/31/94 $10,894 $10,888 $10,759 9/30/94 $10,884 $10,873 $10,736 10/31/94 $10,916 $10,891 $10,760 11/30/94 $10,926 $10,872 $10,715 12/31/94 $10,943 $10,846 $10,735 1/31/95 $11,064 $10,957 $10,883 2/28/95 $11,221 $11,087 $11,033 3/31/95 $11,298 $11,148 $11,096 4/30/95 $11,384 $11,244 $11,195 5/31/95 $11,575 $11,449 $11,384 6/30/95 $11,650 $11,520 $11,453 7/31/95 $11,666 $11,557 $11,499 8/31/95 $11,752 $11,634 $11,569 9/30/95 $11,814 $11,690 $11,626 10/31/95 $11,899 $11,800 $11,723 11/30/95 $12,021 $11,900 $11,823 12/31/95 $12,103 $11,982 $11,913 1/31/96 $12,232 $12,090 $12,015 2/29/96 $12,149 $12,046 $11,969 3/31/96 $12,117 $11,992 $11,961 4/30/96 $12,122 $12,001 $11,973 5/31/96 $12,093 $12,025 $12,000 6/30/96 $12,215 $12,111 $12,088 7/31/96 $12,237 $12,161 $12,135 8/31/96 $12,259 $12,204 $12,180 9/30/96 $12,409 $12,321 $12,291 10/31/96 $12,473 $12,453 $12,294 11/30/96 $12,700 $12,557 $12,523 12/31/96 $12,670 $12,582 $12,525 1/31/97 $12,723 $12,626 $12,586 2/28/97 $12,763 $12,669 $12,617 3/31/97 $12,725 $12,656 $12,607 4/30/97 $12,833 $12,757 $12,711 5/31/97 $12,928 $12,843 $12,799 6/30/97 $13,035 $12,932 $12,889 7/31/97 $13,221 $13,079 $13,032 8/31/97 $13,208 $13,089 $13,044 9/30/97 $13,345 $13,191 $13,141 10/31/97 $13,455 $13,272 $13,239 11/30/97 $13,501 $13,305 $13,272 12/31/97 $13,575 $13,385 $13,360 1/31/98 $13,741 $13,501 $13,489 2/28/98 $13,736 $13,519 $13,500 3/31/98 $13,791 $13,575 $13,552 4/30/98 $13,845 $13,638 $13,619 5/31/98 $13,929 $13,711 $13,694 6/30/98 $14,012 $13,773 $13,764 7/31/98 $14,067 $13,834 $13,828 8/31/98 $14,224 $13,928 $13,987 9/30/98 $14,496 $14,075 $14,175 10/31/98 $14,405 $14,056 $14,237 11/30/98 $14,431 $14,093 $14,234 12/31/98 $14,479 $14,153 $14,289 1/31/99 $14,524 $14,225 $14,350 2/28/99 $14,359 $14,178 $14,290 3/31/99 $14,499 $14,288 $14,391 4/30/99 $14,578 $14,340 $14,440 5/31/99 $14,523 $14,321 $14,429 6/30/99 $14,572 $14,348 $14,471 7/31/99 $14,591 $14,364 $14,513 8/31/99 $14,626 $14,392 $14,551 9/30/99 $14,753 $14,488 $14,649 10/31/99 $14,783 $14,519 $14,692 11/30/99 $14,844 $14,567 $14,725 12/31/99 $14,766 $14,598 $14,740 1/31/00 $14,831 $14,604 $14,740 2/29/00 $14,961 $14,699 $14,842 3/31/00 $15,030 $14,775 $14,926
Foreign investments involve special risks including greater economic, political and currency fluctuation risks, which may be even greater in emerging markets. In addition, foreign countries may have different accounting standards than those of the U.S., which may adversely affect the value of the fund. Small and mid-cap stocks may be more volatile and subject to wider value fluctuations than larger, more established companies. The secondary market of small and mid-cap stocks may be less liquid, or harder to sell, which could also adversely impact the fund's value NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS AUGUST 3, 1992. SINCE LIPPER SHORT INVESTMENT GRADE DEBT FUNDS INDEX AND LEHMAN BROTHERS 1-3 YEAR GOVERNMENT/CORPORATE BOND INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM AUGUST 31, 1992. INCEPTION DATE OF THE RETAIL CLASS OF SHARES IS DECEMBER 31, 1996. PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE RETAIL CLASS (DECEMBER 31, 1996) REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF MANAGEMENT AND 12B-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES. (b): THE LIPPER SHORT INVESTMENT GRADE DEBT FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE SHORT INVESTMENT GRADE DEBT FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c): LEHMAN BROTHERS 1-3 YEAR GOVERNMENT/CORPORATE BOND INDEX IS AN UNMANAGED INDEX CONSISTING OF FIXED RATE DEBT ISSUES RATED INVESTMENT GRADE OR HIGHER. ALL ISSUES HAVE AT LEAST ONE YEAR TO THREE YEARS TO MATURITY AND AN OUTSTANDING PAR VALUE OF AT LEAST $100 MILLION FOR U.S. GOVERNMENT ISSUES. THE INDEX RETURNS HAVE NOT BEEN REDUCED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. (d): CUMULATIVE PERFORMANCE IS SHOWN FOR THE INSTITUTIONAL CLASS OF SHARES. PERFORMANCE OF THE RETAIL CLASS OF SHARES WOULD, DUE TO THE HIGHER FEES PAID BY THE RETAIL CLASS OF SHARES, BE LOWER. LOOMIS SAYLES FIXED INCOME FUNDS 23 FUND AND MANAGER REVIEW LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND [PHOTO] KENT P. NEWMARK KEY FUND FACTS OBJECTIVE High total investment return STRATEGY Invests in securities issued or guaranteed by the U.S. Government or its authorities, agencies or instrumentalities. FUND INCEPTION DATE 5/21/91 COMMENCEMENT OF OPERATIONS OF CLASS Institutional: 5/21/91 EXPENSE RATIO Institutional: 0.50% TOTAL NET ASSETS (ALL CLASSES) $13.7 MM - -------------------------------------------------------------------------------- PERFORMANCE For the six-month period ended March 31, 2000, the Institutional class of the U.S. Government Securities Fund returned 4.41%, compared to the 2.70% return for the Fund's benchmark, the Lehman Brothers Government Bond Index. The average general U.S. government debt fund, as measured by Lipper Analytical Services, posted a total return of 1.86% for the same period. PORTFOLIO REVIEW Long-term U.S. Treasury bonds went from poor performers to top performers in the course of the six-month period. During the fourth quarter of 1999, yields on long-term Treasuries rose considerably, finishing the year at 6.48%. Longer Treasuries represented a significant portion of the Fund, and rising yields on these bonds, combined with the Fund's extended duration during the period, contributed to the Fund's fourth-quarter underperformance. Treasuries staged a strong rally in the first quarter of 2000, after the U.S. Treasury Department made a surprise announcement that it was instituting a buyback program of longer-term debt. At the same time, short-term rates continued to rise as the Federal Reserve Board maintained its tightening course. The result was an inverted yield curve, along with strong Fund performance. We attempted to take advantage of the yield-curve anomaly by selling 30-year Treasuries and purchasing 10-year securities. In addition, as long-term rates declined, the Fund's longer duration aided performance relative to the peer group. Government mortgage-backed securities, which constituted approximately 30% of the portfolio during the six-month period, outperformed Treasuries in the fourth quarter of 1999 and underperformed widely in the first quarter of 2000. PORTFOLIO POSITIONING The Fund ended the period with a duration of 8.44 years, far longer than most Fund competitors. While this positioning was a negative factor throughout 1999, it has served the Fund well so far in 2000. Looking ahead, we will continue to look for opportunities to benefit from moves in the yield curve and supply/demand forces in the U.S. Treasury market. /s/Kent P. Newmark Kent P. Newmark
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000 - -------------------------------------------------------------------------------------------------------------------- Since 6 Months 1 Year 3 Years 5 Years Inception(a) - -------------------------------------------------------------------------------------------------------------------- LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND (INSTITUTIONAL) 4.41 3.06 8.47 7.99 8.79 Lipper General U.S. Government Funds Index(b) 1.86 0.86 5.76 6.06 6.19 Lehman Brothers Government Bond Index(c) 2.70 2.50 7.04 7.16 7.45
[CHART] CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000 - --------------------------------------------------------------------------------
Loomis Sayles Lipper General Lehman Brothers U.S. Government U.S. Government Government Securities Fund Funds Index Bond Index 5/31/91 $10,000 $10,000 $10,000 6/30/91 $ 9,970 $ 9,975 $ 9,986 7/31/91 $10,120 $10,111 $10,104 8/31/91 $10,399 $10,334 $10,339 9/30/91 $10,688 $10,544 $10,555 10/31/91 $10,769 $10,637 $10,648 11/30/91 $10,880 $10,707 $10,755 12/31/91 $11,494 $11,073 $11,121 1/31/92 $11,099 $10,883 $10,948 2/29/92 $11,259 $10,942 $10,991 3/31/92 $11,110 $10,875 $10,926 4/30/92 $11,057 $10,934 $10,995 5/31/92 $11,393 $11,129 $11,198 6/30/92 $11,588 $11,275 $11,359 7/31/92 $12,034 $11,503 $11,645 8/31/92 $12,144 $11,598 $11,753 9/30/92 $12,397 $11,716 $11,920 10/31/92 $12,098 $11,562 $11,748 11/30/92 $12,143 $11,570 $11,730 12/31/92 $12,500 $11,749 $11,925 1/31/93 $12,788 $11,943 $12,178 2/28/93 $13,206 $12,121 $12,422 3/31/93 $13,218 $12,164 $12,464 4/30/93 $13,322 $12,239 $12,559 5/31/93 $13,347 $12,247 $12,546 6/30/93 $13,832 $12,472 $12,824 7/31/93 $14,042 $12,540 $12,902 8/31/93 $14,547 $12,752 $13,190 9/30/93 $14,597 $12,766 $13,241 10/31/93 $14,620 $12,799 $13,291 11/30/93 $14,408 $12,660 $13,145 12/31/93 $14,465 $12,726 $13,196 1/31/94 $14,836 $12,891 $13,376 2/28/94 $14,314 $12,649 $13,093 3/31/94 $13,710 $12,329 $12,799 4/30/94 $13,487 $12,187 $12,698 5/31/94 $13,403 $12,141 $12,682 6/30/94 $13,333 $12,089 $12,653 7/31/94 $13,732 $12,290 $12,885 8/31/94 $13,718 $12,292 $12,888 9/30/94 $13,320 $12,106 $12,706 10/31/94 $13,251 $12,070 $12,696 11/30/94 $13,309 $12,038 $12,673 12/31/94 $13,561 $12,123 $12,750 1/31/95 $13,914 $12,336 $12,988 2/28/95 $14,223 $12,612 $13,267 3/31/95 $14,326 $12,670 $13,350 4/30/95 $14,519 $12,827 $13,525 5/31/95 $15,252 $13,292 $14,070 6/30/95 $15,371 $13,373 $14,178 7/31/95 $15,306 $13,325 $14,126 8/31/95 $15,610 $13,481 $14,292 9/30/95 $15,838 $13,607 $14,430 10/31/95 $16,067 $13,787 $14,650 11/30/95 $16,360 $13,982 $14,878 12/31/95 $16,685 $14,177 $15,089 1/31/96 $16,700 $14,249 $15,181 2/29/96 $16,120 $13,957 $14,872 3/31/96 $15,901 $13,839 $14,748 4/30/96 $15,699 $13,744 $14,654 5/31/96 $15,618 $13,693 $14,629 6/30/96 $15,906 $13,852 $14,818 7/31/96 $15,945 $13,879 $14,855 8/31/96 $15,750 $13,842 $14,822 9/30/96 $16,188 $14,075 $15,068 10/31/96 $16,776 $14,380 $15,399 11/30/96 $17,237 $14,633 $15,667 12/31/96 $16,905 $14,482 $15,507 1/31/97 $16,854 $14,513 $15,524 2/28/97 $16,854 $14,544 $15,546 3/31/97 $16,486 $14,372 $15,381 4/30/97 $16,893 $14,585 $15,603 5/31/97 $17,081 $14,706 $15,738 6/30/97 $17,354 $14,880 $15,914 7/31/97 $18,161 $15,291 $16,366 8/31/97 $17,849 $15,131 $16,204 9/30/97 $18,248 $15,362 $16,448 10/31/97 $18,613 $15,588 $16,732 11/30/97 $18,824 $15,644 $16,818 12/31/97 $19,058 $15,803 $16,994 1/31/98 $19,343 $16,003 $17,248 2/28/98 $19,272 $15,972 $17,201 3/31/98 $19,308 $16,012 $17,250 4/30/98 $19,432 $16,074 $17,328 5/31/98 $19,666 $16,224 $17,506 6/30/98 $19,901 $16,382 $17,705 7/31/98 $19,929 $16,386 $17,732 8/31/98 $20,387 $16,707 $18,193 9/30/98 $20,881 $17,085 $18,684 10/31/98 $20,723 $16,958 $18,620 11/30/98 $20,871 $16,996 $18,626 12/31/98 $20,827 $17,042 $18,668 1/31/99 $21,015 $17,140 $18,776 2/28/99 $20,414 $16,770 $18,330 3/31/99 $20,414 $16,856 $18,402 4/30/99 $20,520 $16,900 $18,444 5/31/99 $20,272 $16,714 $18,282 6/30/99 $20,082 $16,628 $18,245 7/31/99 $19,976 $16,533 $18,218 8/31/99 $19,918 $16,488 $18,215 9/30/99 $20,151 $16,690 $18,386 10/31/99 $20,224 $16,716 $18,395 11/30/99 $20,126 $16,702 $18,370 12/31/99 $19,899 $16,589 $18,251 1/31/00 $19,999 $16,538 $18,277 2/29/00 $20,479 $16,748 $18,537 3/31/00 $21,039 $17,000 $18,862
NOTE: PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. TOTAL RETURN ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE RANKINGS, WOULD BE LOWER. (a): INCEPTION DATE OF THE LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND IS MAY 21, 1991. SINCE LIPPER GENERAL U.S. GOVERNMENT FUNDS INDEX AND LEHMAN BROTHERS GOVERNMENT BOND INDEX PERFORMANCE DATA IS NOT AVAILABLE COINCIDENT WITH THIS DATE, COMPARATIVE PERFORMANCE IS PRESENTED FROM MAY 31, 1991. (b): THE LIPPER GENERAL U.S. GOVERNMENT FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED INDEX OF TYPICALLY THE 30 LARGEST MUTUAL FUNDS WITHIN THE GENERAL U.S. GOVERNMENT FUNDS INVESTMENT OBJECTIVE. RETURNS ARE ADJUSTED FOR THE REINVESTMENT OF CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS. (c): LEHMAN BROTHERS GOVERNMENT BOND INDEX IS AN UNMANAGED INDEX COMPOSED OF ALL PUBLICLY ISSUED, NONCONVERTIBLE, DOMESTIC DEBT OF THE U.S. GOVERNMENT OR ANY OF ITS AGENCIES, QUASI-FEDERAL CORPORATIONS, OR CORPORATE DEBT GUARANTEED BY THE U.S. GOVERNMENT. THE INDEX RETURNS HAVE NOT BEEN REDUCED FOR ONGOING MANAGEMENT AND OPERATING EXPENSES APPLICABLE TO MUTUAL FUND INVESTMENTS. 25 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-93.1% OF NET ASSETS NON-CONVERTIBLE BONDS--76.8% AEROSPACE/DEFENSE--1.5% Lockheed Martin Corp., 7.750%, 5/01/26 USD 2,500,000 $ 2,334,150 Loral Corp., 7.000%, 9/15/23 3,020,000 2,589,016 Raytheon Co., 6.400%, 12/15/18 17,000,000 14,055,600 Raytheon Co., 7.000%, 11/01/28 3,450,000 2,970,415 Raytheon Co., 7.200%, 8/15/27 5,000,000 4,427,000 -------------- 26,376,181 -------------- AIRLINES--0.2% Delta Air Lines, Inc., 8.300%, 12/15/29 2,500,000 2,276,675 NWA Trust, 9.360%, 3/10/06 632,700 666,680 -------------- 2,943,355 -------------- AUTO & RELATED--1.1% Dana Corp., 7.000%, 3/01/29 3,250,000 2,780,083 Delphi Automotive Systems Corp., 7.125%, 5/01/29 3,900,000 3,369,639 TRW, Inc., 6.650%, 1/15/28 3,350,000 2,698,760 TRW, Inc., 7.750%, 6/01/29 10,500,000 9,720,070 -------------- 18,568,552 -------------- BANKS/SAVINGS & LOANS--0.4% First Union Institutional Trust, 7.850%, 1/01/27 2,000,000 1,857,440 Keycorp Capital II, 6.875%, 3/17/29 5,000,000 4,315,000 -------------- 6,172,440 -------------- BROADCASTING--0.2% CBS, Inc., 7.125%, 11/01/23 1,435,000 1,296,035 Fox Family Worldwide, Inc., Zero Coupon Bond, 11/01/07 (step to 10.250% on 11/01/02)# 4,975,000 3,034,750 -------------- 4,330,785 -------------- BUILDING MATERIALS--0.3% Owens Corning, 7.500%, 8/01/18 5,925,000 4,958,159 -------------- CANADIAN--18.7% Canadian Government, Zero Coupon Bond, 6/01/22 CAD 11,050,000 2,200,479 Canadian Government, Zero Coupon Bond, 6/01/25 301,510,000 52,782,695 Clearnet Communications, Inc., Zero Coupon Bond, 8/13/07 (step to 11.750% on 8/13/02)# 38,000,000 18,662,761 Clearnet Communications, Inc., Zero Coupon Bond, 5/15/08 (step to 10.400% on 5/15/03)# 4,160,000 1,777,839 Clearnet Communications, Inc., Zero Coupon Bond, 2/15/09 (step to 10.750% on 2/15/04)# 2,400,000 942,960 Hydro Quebec, Zero Coupon Bond, 8/15/20 35,000,000 6,526,900 Microcell Telecommunications, Inc., Zero Coupon Bond, 10/15/07 (step to 11.125% on 10/15/02)# 5,000,000 2,369,464 Milit-Air, Inc., 5.750%, 6/30/19 6,950,000 4,533,704
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED CANADIAN--CONTINUED New Brunswick FM Project, Zero Coupon Bond, 11/30/27 (step to 6.470% on 5/30/03) 144A# CAD 10,000,000 $ 5,540,100 Ontario Hydro, Zero Coupon Bond, 11/27/20 1,507,000 291,937 Ontario Hydro, Zero Coupon Bond, 10/15/21 114,125,000 21,026,690 Province of Alberta, 5.394%, 6/14/13 15,559,500 10,201,755 Province of Alberta, 5.400%, 6/15/10 5,000,000 3,299,018 Province of Alberta, 5.930%, 9/16/16 26,224,650 17,744,367 Province of British Columbia, Zero Coupon Bond, 8/23/13 25,000,000 7,445,632 Province of British Columbia, Zero Coupon Bond, 6/09/14 10,000,000 2,831,018 Province of British Columbia, Zero Coupon Bond, 9/05/20 54,528,000 10,606,039 Province of British Columbia, Zero Coupon Bond, 6/09/22 96,208,000 16,778,622 Province of British Columbia, Zero Coupon Bond, 8/19/22 31,387,000 5,407,672 Province of British Columbia, Zero Coupon Bond, 9/08/23 37,950,000 6,126,934 Province of British Columbia, Zero Coupon Bond, 8/23/24 122,250,000 18,606,943 Province of British Columbia, Zero Coupon Bond, 11/19/27 41,600,000 5,223,979 Province of Manitoba, Zero Coupon Bond, 7/22/13 2,500,000 740,479 Province of Manitoba, Zero Coupon Bond, 3/05/31 36,929,000 3,800,957 Province of Manitoba, 6.500%, 9/22/17 34,300,000 23,613,390 Province of Manitoba, 7.750%, 12/22/25 39,245,000 31,810,700 Province of Newfoundland, 6.150%, 4/17/28 2,500,000 1,638,291 Province of Ontario, Zero Coupon Bond, 7/13/22 13,000,000 2,313,162 Province of Ontario, Zero Coupon Bond, 6/02/27 167,775,000 22,957,102 Province of Ontario, Zero Coupon Bond, 3/08/29 18,600,000 2,323,670 Province of Ontario (Certificate of Deposit), Zero Coupon Bond, 12/02/25 7,650,000 1,127,554 Province of Saskatchewan, Zero Coupon Bond, 4/10/14 27,000,000 7,770,491 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 2,350,000 414,342 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 36,780,000 5,270,765 -------------- 324,708,411 -------------- CHEMICALS--SPECIALTY--0.2% Methanex Corp., 7.750%, 8/15/05 USD 5,000,000 3,200,000 -------------- COMMUNICATIONS--0.3% Century Communications Corp., 8.375%, 11/15/17 5,000,000 4,100,000 Charter Communications Holdings, Zero Coupon Bond, 4/01/11 (step to 9.920% on 4/04/04) 1,000,000 550,000 -------------- 4,650,000 -------------- COMPUTER HARDWARE--1.0% Seagate Technology, Inc., 7.370%, 3/01/07 6,000,000 5,218,020 Seagate Technology, Inc., 7.450%, 3/01/37 5,237,000 4,190,281 Seagate Technology, Inc., 7.875%, 3/01/17 10,250,000 7,696,315 -------------- 17,104,616 --------------
27 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED COMPUTER SERVICES--0.3% Rhythms NetConnections, Inc., Series B, Zero Coupon Bond, 5/15/08 (step to 13.50% on 5/15/03) USD 9,000,000 $ 4,410,000 -------------- ELECTRONIC COMPONENTS--0.9% Westinghouse Electric Corp., 7.875%, 9/01/23 15,350,000 15,021,357 Zenith Electronics Corp., 8.190%, 11/01/09 1,161,000 417,960 -------------- 15,439,317 -------------- ELECTRONIC COMPONENTS--SEMICONDUCTORS--0.2% Micron Technology, Inc., 6.500%, 9/30/05 144A 3,000,000 2,490,000 Pioneer Standard Electronics, Inc., 8.500%, 8/01/06 1,000,000 956,847 -------------- 3,446,847 -------------- ENTERTAINMENT--3.8% Boston Celtics Ltd., 6.000%, 6/30/38 1,230,000 654,975 Time Warner Entertainment Co., 6.875%, 6/15/18 8,710,000 7,916,519 Time Warner Entertainment Co., 6.950%, 1/15/28 38,900,000 34,727,197 Time Warner Entertainment Co., 7.570%, 2/01/24 17,170,000 16,511,702 Time Warner, Inc., 6.625%, 5/15/29 7,500,000 6,391,200 -------------- 66,201,593 -------------- FINANCIAL SERVICES--2.1% Merey Sweeny LP, 8.850%, 12/18/19 144A 5,000,000 4,921,150 Security Capital Group, Inc., 7.700%, 6/15/28 16,725,000 13,813,010 US West Capital Funding, Inc., 6.500%, 11/15/18 2,000,000 1,734,000 US West Capital Funding, Inc., 6.875%, 7/15/28 18,550,000 16,354,979 -------------- 36,823,139 -------------- FOOD & BEVERAGE--1.9% Borden, Inc., 7.875%, 2/15/23 5,500,000 4,395,820 ConAgra, Inc., 7.000%, 10/01/28 23,375,000 20,475,799 Pepsi Bottling Group, Inc., 7.000%, 3/01/29 8,500,000 7,682,113 -------------- 32,553,732 -------------- FOREIGN GOVERNMENT/AGENCY--6.4% Escom, 11.000%, 6/01/08 ZAR 43,250,000 5,525,856 Republic of Argentina, 6.000%, 3/31/23 USD 1,000,000 702,550 Republic of Brazil, 10.125%, 5/15/27 36,181,000 29,487,515 Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 42,401,616 31,750,330 Republic of Ecuador, 7.1875%, 2/27/15++ ^ 2,386,918 660,890 Republic of Panama, 4.250%, 7/17/14 (step to 4.500% on 7/17/00) 950,000 760,000 Republic of Peru, 3.750%, 3/07/17 (step to 4.000% on 3/07/01) 6,000,000 3,675,000 Republic of South Africa, 12.000%, 2/28/05 ZAR 20,000,000 2,896,362 Republic of South Africa, 12.500%, 12/21/06 42,450,000 6,098,222
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED FOREIGN GOVERNMENT/AGENCY--CONTINUED Republic of South Africa, 13.500%, 9/15/15 ZAR 64,350,000 $ 9,446,550 Republic of Venezuela, 9.250%, 9/15/27 USD 31,350,000 20,691,000 -------------- 111,694,275 -------------- FOREIGN ISSUER--10.5% APP China Group Ltd., 14.000%, 3/15/10 4,800,000 4,152,000 Bangko Sentral Pilipinas, 8.600%, 6/15/27 2,500,000 1,956,675 Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 44,185,000 34,795,687 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 10,500,000 8,574,510 Compania de Alimentos Fargo SA, 13.250%, 8/01/08 3,000,000 2,670,000 Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 7,850,000 6,515,500 Hyundai Semiconductor, 8.625%, 5/15/07 144A 500,000 452,241 Indah Kiat Finance Mauritius Ltd., 10.000%, 7/01/07 500,000 350,000 Industrial Finance Corp. of Thailand, 7.375%, 1/14/07 144A 1,500,000 1,419,795 Korea Electric Power Corp., 7.400%, 4/01/16 11,486,537 10,450,566 Multicanal SA, 10.500%, 4/15/18 4,000,000 3,360,000 PDVSA Finance Ltd., 7.400%, 8/15/16 3,000,000 2,291,757 PDVSA Finance Ltd., 7.500%, 11/15/28 1,000,000 710,650 Perez Companc SA, 8.125%, 7/15/07 144A 3,590,000 3,123,300 Petroleos Mexicanos, 8.625%, 12/01/23 144A 3,100,000 2,852,000 Petroleos Mexicanos, 9.250%, 3/30/18 2,500,000 2,431,250 Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 12,360,000 8,837,400 Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 16,250,000 9,587,500 Pindo Deli Finance Mauritius Ltd., 11.750%, 10/01/17 2,200,000 1,518,000 Pycsa Panama SA, 10.280%, 12/15/12 144A 1,958,000 1,174,800 Quezon Power Philippines Co., 8.860%, 6/15/17 7,875,000 6,112,969 Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 12,500,000 9,750,000 Siam Commercial Bank Public Co. Ltd., 7.500%, 3/15/06 144A 7,000,000 5,880,000 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 10,525,000 8,926,968 TFM SA de CV, Zero Coupon Bond, 6/15/09 (step to 11.750% on 6/15/02)# 5,650,000 3,955,000 Thai Farmers Bank Plc, 8.250%, 8/21/16 144A 18,140,000 14,285,250 Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04 17,200,000 12,814,000 Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 144A 12,575,000 10,563,000 Transener SA, 9.250%, 4/01/08 144A 2,250,000 2,064,375 -------------- 181,575,193 -------------- FOREST & PAPER PRODUCTS--0.3% Georgia-Pacific Group, 7.375%, 12/01/25 5,400,000 4,866,156 -------------- GOVERNMENT AGENCIES--5.1% Federal Home Loan Mortgage Corp., 5.750%, 12/15/25 5,276,200 4,718,875 Federal Home Loan Mortgage Corp., 6.000%, 4/15/28 5,000,000 4,445,300
29 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED GOVERNMENT AGENCIES--CONTINUED Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 103,925,000 $ 28,316,556 Federal National Mortgage Association, 6.000%, 7/01/29 USD 4,842,725 4,409,882 Federal National Mortgage Association, 6.250%, 5/15/29 23,000,000 20,735,880 Federal National Mortgage Association, 6.375%, 8/15/07 AUD 10,000,000 5,833,441 Federal National Mortgage Association, 6.625%, 9/15/09 USD 20,000,000 19,234,400 -------------- 87,694,334 -------------- HEALTH CARE--PRODUCTS--0.5% Bausch & Lomb, Inc., 7.125%, 8/01/28 10,200,000 8,629,710 -------------- HEALTH CARE--SERVICES--0.9% Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 6,300,000 4,898,250 Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 4,000,000 3,260,000 Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 1,965,000 1,591,650 Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 1,300,000 1,075,750 Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 5,000,000 4,006,250 -------------- 14,831,900 -------------- HOME BUILDERS--0.3% Pulte Corp., 7.300%, 10/24/05 1,000,000 922,230 Pulte Corp., 7.625%, 10/15/17 5,000,000 3,981,250 -------------- 4,903,480 -------------- OIL & GAS--2.8% Anadarko Petroleum Corp., 6.625%, 1/15/28 3,000,000 2,533,830 Chesapeake Energy Corp., 8.500%, 3/15/12 3,575,000 2,886,812 Global Marine, Inc., 7.000%, 6/01/28 1,000,000 861,100 Hvide Marine, Inc., 12.500%, 6/30/07 144A 5,425,000 4,882,500 Pennzoil-Quaker State Co., 7.375%, 4/01/29 2,421,000 1,754,039 Pioneer Natural Resources Co., 6.500%, 1/15/08 1,000,000 861,260 Pioneer Natural Resources Co., 7.200%, 1/15/28 2,000,000 1,480,000 Seagull Energy Corp., 7.500%, 9/15/27 3,850,000 3,137,750 Tennessee Gas Pipeline Co., 7.000%, 10/15/28 8,000,000 7,083,920 Union Pacific Resources Group, Inc., 7.150%, 5/15/28 11,500,000 10,148,175 Union Pacific Resources Group, Inc., 7.500%, 10/15/26 10,400,000 9,602,216 Union Pacific Resources Group, Inc., 7.950%, 4/15/29 3,950,000 3,766,246 -------------- 48,997,848 -------------- OIL & GAS DRILLING EQUIPMENT--0.9% R & B Falcon Corp., 6.750%, 4/15/05 2,500,000 2,162,500 R & B Falcon Corp., Series B, 7.375%, 4/15/18 18,000,000 13,770,000 -------------- 15,932,500 -------------- OIL & GAS EXPLORATION--0.3% Anadarko Petroleum Corp., 7.200%, 3/15/29 4,935,000 4,426,843 --------------
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED RAIL--TRANSPORT--0.1% Missouri Pacific Railroad Co., 5.000%, 1/01/45 USD 2,876,000 $ 1,466,760 -------------- REAL ESTATE INVESTMENT TRUSTS--3.3% AMB Property Corp., 7.500%, 6/30/18 7,500,000 6,632,475 CarrAmerica Realty Corp., 6.875%, 3/01/08 1,500,000 1,355,400 EOP Operating LP, 7.500%, 4/19/29 3,500,000 3,038,455 First Industrial, 7.500%, 12/01/17 6,500,000 5,578,235 First Industrial, 7.600%, 7/15/28 18,750,000 15,857,250 Highwoods Realty LP, 7.500%, 4/15/18 3,750,000 3,185,400 Meditrust Corp., 7.000%, 8/15/07 5,000,000 2,925,000 Security Capital Industrial Trust, 7.625%, 7/01/17 2,125,000 1,896,138 Spieker Properties, Inc., 7.500%, 10/01/27 1,173,000 986,739 Susa Partnership LP, 7.450%, 7/01/18 6,500,000 5,566,730 Susa Partnership LP, 7.500%, 12/01/27 7,905,000 6,582,968 Susa Partnership LP, 8.200%, 6/01/17 760,000 702,726 Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 5,000,000 3,557,050 -------------- 57,864,566 -------------- RETAIL--GENERAL--1.3% Dillon Read Structured Finance Corp., 7.430%, 8/15/18 2,000,000 1,694,380 Dillon Read Structured Finance Corp., 7.600%, 8/15/07 188,572 176,115 Dillon Read Structured Finance Corp., 8.550%, 8/15/19 500,000 431,705 Dillon Read Structured Finance Corp., Series A, 6.660%, 8/15/10 2,255,466 2,009,192 J.C. Penney Co., Inc., 6.875%, 10/15/15 500,000 350,965 J.C. Penney Co., Inc., 7.125%, 11/15/23 3,000,000 2,151,600 J.C. Penney Co., Inc., 7.950%, 4/01/17 1,000,000 772,140 K Mart Corp., 7.950%, 2/01/23 14,365,000 12,940,567 Woolworth Corp., 8.500%, 1/15/22 4,475,000 2,808,062 -------------- 23,334,726 -------------- STEEL--0.0% Geneva Steel Co., 9.500%, 1/15/04 ^ 3,500,000 665,000 -------------- SUPRANATIONAL--3.0% International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 152,375,000 43,176,797 International Bank for Reconstruction & Development, 8.000%, 5/23/07 19,000,000 9,541,897 -------------- 52,718,694 -------------- TAXABLE MUNICIPAL--0.1% Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16 USD 5,000,000 1,478,800 --------------
31 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED TELECOMMUNICATIONS--3.8% Intermedia Communications, Inc., Zero Coupon Bond, 3/01/09 (step to 12.250% on 3/01/04)# USD 10,000,000 $ 6,000,000 McCaw International Ltd., Zero Coupon Bond, 4/15/07 (step to 13.000% on 4/15/02)# 2,250,000 1,620,000 Nextel Communications, Inc., Zero Coupon Bond, 10/31/07 (step to 9.750% on 10/31/02)# 8,880,000 6,082,800 Nextel International, Inc., Zero Coupon Bond, 4/15/08 (step to 12.125% on 4/15/03)# 23,650,000 14,663,000 Nextlink Communications, Inc., Zero Coupon Bond, 4/15/08 (step to 9.450% on 4/15/03)# 5,000,000 2,950,000 Nextlink Communications, Inc., Zero Coupon Bond, 6/01/09 (step to 12.250% on 6/01/04)# 5,000,000 2,825,000 RCN Corp., Zero Coupon Bond, 10/15/07 (step to 11.125% on 10/15/02)# 8,350,000 5,344,000 RCN Corp., Zero Coupon Bond, 2/15/08 (step to 9.800% on 2/15/03)# 5,170,000 3,076,150 RCN Corp., Zero Coupon Bond, 7/01/08 (step to 11.000% on 7/01/03)# 15,650,000 9,155,250 Teligent, Inc., Zero Coupon Bond, 3/01/08 (step to 11.500% on 3/01/03)# 28,375,000 15,038,750 -------------- 66,754,950 -------------- TEXTILE & APPAREL--0.6% Burlington Industries, Inc., 7.250%, 8/01/27 9,000,000 6,075,000 Fruit of the Loom, Inc., 7.000%, 3/15/11 500,000 150,000 Fruit of the Loom, Inc., 7.375%, 11/15/23 ^ 3,000,000 1,170,000 Kellwood Co., 7.625%, 10/15/17 2,500,000 2,210,800 Phillips Van Heusen Corp., 7.750%, 11/15/23 1,000,000 772,500 -------------- 10,378,300 -------------- TOBACCO--2.3% Philip Morris Cos., Inc., 7.750%, 1/15/27 49,235,000 40,662,202 -------------- TRANSPORTATION--0.0% American President Cos. Ltd., 8.000%, 1/15/24 1,425,000 840,750 -------------- UTILITIES--1.2% AES Corp., 8.875%, 11/01/27 5,000,000 3,850,000 Boston Edison Co., 7.800%, 3/15/23 1,000,000 937,996 Commonwealth Edison Co., 4.750%, 12/01/11 838,000 648,696 KN Capital Trust, 7.630%, 4/15/28 15,750,000 13,947,223 Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 847,330 -------------- 20,231,245 -------------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $1,399,412,873) 1,331,835,359 --------------
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED CONVERTIBLE BONDS--16.3% AUTO & RELATED--0.5% Exide Corp., 2.900%, 12/15/05 144A USD 5,625,000 $ 3,234,375 Magna International, Inc. Class A, 4.875%, 2/15/05 6,035,000 5,197,644 -------------- 8,432,019 -------------- CANADIAN--0.2% Rogers Communications, Inc., 2.000%, 11/26/05 3,000,000 3,067,500 -------------- COMPUTERS--0.6% Cray Research, Inc., 6.125%, 2/01/11 635,000 384,175 Hutchinson Technology, Inc., 6.000%, 3/15/05 2,400,000 1,857,000 Maxtor Corp., 5.750%, 3/01/12 6,950,000 4,865,000 Quantum Corp. - DLT & Storage Systems, 7.000%, 8/01/04 881,000 709,205 Silicon Graphics, Inc., 5.250%, 9/01/04 1,275,000 953,063 Telxon Corp., 5.750%, 1/01/03 225,000 191,531 Western Digital, Zero Coupon Bond, 2/18/18 4,150,000 798,875 -------------- 9,758,849 -------------- DIVERSIFIED OPERATIONS--1.6% Ogden Corp., 5.750%, 10/20/02 1,750,000 1,460,476 Thermo Electron Corp., 4.250%, 1/01/03 144A 28,325,000 25,775,750 -------------- 27,236,226 -------------- ELECTRONIC COMPONENTS--0.4% EDO Corp., 7.000%, 12/15/11 934,000 735,525 Kent Electronics Corp., 4.500%, 9/01/04 6,975,000 6,190,313 -------------- 6,925,838 -------------- ELECTRONIC COMPONENTS--SEMICONDUCTORS--0.2% Cirrus Logic, Inc., 6.000%, 12/15/03 1,600,000 1,440,000 Lam Research Corp., 5.000%, 9/01/02 453,000 761,606 Park Electrochemical Corp., 5.500%, 3/01/06 1,000,000 826,250 Richardson Electronics Ltd., 7.250%, 12/15/06 450,000 331,875 -------------- 3,359,731 -------------- ELECTRONIC MEASURING INSTRUMENTS--0.0% Thermedics, Inc., Zero Coupon Bond, 6/01/03 950,000 665,000 -------------- ENVIRONMENTAL SERVICES--0.3% Thermo TerraTech, Inc., 4.625%, 5/01/03 400,000 354,000 Thermo TerraTech, Inc., 4.625%, 5/01/03 144A 5,020,000 4,442,700 -------------- 4,796,700 -------------- FINANCIAL SERVICES--0.6% Bell Atlantic Financial Services, 5.750%, 4/01/03 10,450,000 10,639,667 --------------
33 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED FOREIGN ISSUER--2.3% APP Finance VII Mauritius Ltd., Zero Coupon Bond, 11/18/12 USD 7,000,000 $ 1,312,500 APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 8,125,000 6,398,437 APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 8,070,000 6,355,125 Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 14,700,000 7,938,000 Banpu Public Co., 2.750%, 4/10/03 1,080,000 1,155,600 Burns, Philp, 5.500%, 4/30/04 4,480,000 2,688,000 Empresas ICA Sociedad, 5.000%, 3/15/04 3,700,000 2,183,000 Loxley Public Co. Ltd., 2.500%, 4/04/01 ^ 7,700,000 2,233,000 Sappi BVI Finance, 7.500%, 8/01/02 2,850,000 2,736,000 Siam Commercial Bank Public Co. Ltd., 3.250%, 1/24/04 3,075,000 1,645,125 Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 1,930,000 1,346,175 Ssangyong Oil Refining Co., Inc., 3.750%, 12/31/08 455,000 526,663 Total Access Communication Public Co. Ltd., 2.000%, 5/31/06 3,400,000 3,825,000 -------------- 40,342,625 -------------- FREIGHT TRANSPORTATION--0.1% Builders Transportation, Inc., 8.000%, 8/15/05 ^ 1,000,000 1,250 Preston Corp., 7.000%, 5/01/11 750,000 562,500 Worldway Corp., 6.250%, 4/15/11 1,288,000 1,043,280 -------------- 1,607,030 -------------- HEALTH CARE--BIOTECHNOLOGY--0.1% Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 1,750,000 1,085,000 -------------- HEALTH CARE--DRUGS--0.4% Dura Pharmaceuticals, Inc., 3.500%, 7/15/02 2,540,000 2,047,875 Glycomed, Inc., 7.500%, 1/01/03 1,148,100 1,057,102 NABI, Inc., 6.500%, 2/01/03 3,750,000 3,042,187 -------------- 6,147,164 -------------- HEALTH CARE--PRODUCTS--0.1% Centocor, Inc., 4.750%, 2/15/05 1,750,000 1,938,125 -------------- HEALTH CARE--SERVICES--0.2% Healthsouth Corp., 3.250%, 4/01/03 3,000,000 2,325,000 Medical Care International, Inc., 6.750%, 10/01/06 1,500,000 1,267,500 -------------- 3,592,500 -------------- HOME BUILDERS--0.0% Schuler Homes, Inc., 6.500%, 1/15/03 750,000 615,000 -------------- INSURANCE--4.2% Loews Corp., 3.125%, 9/15/07 80,700,000 72,125,625 -------------- MACHINERY--0.0% Intevac, Inc., 6.500%, 3/01/04 1,250,000 637,500 --------------
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED MANUFACTURING--0.1% FMC Corp., 6.750%, 1/16/05 USD 1,325,000 $ 1,126,250 Hexcel Corp., 7.000%, 8/01/11 1,775,000 1,136,000 -------------- 2,262,250 -------------- MULTI-INDUSTRY--0.4% Thermo Instrument Systems, Inc., 4.500%, 10/15/03 144A 7,243,000 6,627,345 -------------- OFFICE EQUIPMENT--0.5% Xerox Corp., 0.570%, 4/21/18 16,800,000 9,156,000 -------------- OIL & GAS--2.5% Baker Hughes, Inc., Zero Coupon Bond, 5/05/08 45,772,000 34,100,140 Diamond Offshore Drilling, Inc., 3.750%, 2/15/07 5,175,000 6,028,875 Key Energy Group, Inc., 5.000%, 9/15/04 2,950,000 2,201,438 Noram Energy Corp., 6.000%, 3/15/12 447,500 379,256 -------------- 42,709,709 -------------- PUBLISHING--0.1% Scholastic Corp., 5.000%, 8/15/05 144A 2,550,000 2,438,438 -------------- REAL ESTATE INVESTMENT TRUSTS--0.5% Federal Realty Investors Trust, 5.250%, 10/28/03 2,250,000 1,912,500 Rockefeller Properties, Zero Coupon Bond, 12/31/00 7,000,000 5,740,000 Sizeler Property Investors, Inc., 8.000%, 7/15/03 1,175,000 1,075,125 -------------- 8,727,625 -------------- RESTAURANTS--0.1% Einstein/Noah Bagel Corp., 7.250%, 6/01/04 2,880,000 1,152,000 -------------- RETAIL--SPECIALTY--0.0% Bell Sports Corp., 4.250%, 11/15/00 96,000 84,480 CML Group, Inc., 5.500%, 1/15/03 ^ 1,224,000 771 Jacobson Stores, Inc., 6.750%, 12/15/11 540,000 368,550 -------------- 453,801 -------------- TELECOMMUNICATIONS--0.3% Broadband Technologies, Inc., 5.000%, 5/15/01 9,800,000 5,390,000 -------------- TEXTILE & APPAREL--0.0% Dixie Yarns, Inc., 7.000%, 5/15/12 265,000 180,200 Fieldcrest Cannon, Inc., 6.000%, 3/15/12 890,000 204,700 -------------- 384,900 -------------- TOTAL CONVERTIBLE BONDS (Identified Cost $289,347,682) 282,274,167 -------------- TOTAL BONDS AND NOTES (Identified Cost $1,688,760,555) 1,614,109,526 --------------
35 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE + - ----------------------------------------------------------------------------------------------- COMMON STOCKS--0.1% OF NET ASSETS OIL & GAS--0.0% Hvide Marine, Inc.* 45,939 $ 602,949 -------------- RESTAURANTS--0.1% Advantica Restaurant Group, Inc. * 646,448 969,672 -------------- TOTAL COMMON STOCKS (Identified Cost $12,248,663) 1,572,621 -------------- PREFERRED STOCKS-3.2% OF NET ASSETS AEROSPACE/DEFENSE--0.2% Coltec Capital Trust, 5.250% 88,500 3,219,187 -------------- AUTO & RELATED--0.0% Federal-Mogul Financing Trust, 7.000% 27,500 797,500 -------------- BUILDING MATERIALS--0.2% Owens Corning, 6.500% 73,500 2,590,875 -------------- CHEMICALS--MAJOR--0.0% E.I. du Pont DeNemours & Co., $3.50 3,775 200,075 -------------- CONTAINERS--0.0% Owens-Illinois, Inc., 4.750% 29,500 798,344 -------------- FREIGHT TRANSPORTATION--0.0% Arkansas Best Corp., $2.875 16,670 625,125 -------------- METALS--0.2% Bethlehem Steel Corp., $3.50 99,050 2,575,300 -------------- OIL & GAS--0.4% Chesapeake Energy Corp., 7.000% 55,000 2,048,750 EVI, Inc., Conv., 5.000% 109,500 5,297,063 -------------- 7,345,813 -------------- OIL & GAS DRILLING EQUIPMENT--0.2% R & B Falcon Corp., 13.875% PIK 3,112 3,423,192 -------------- REAL ESTATE INVESTMENT TRUSTS--0.8% AMB Property Corp., 8.50% 18,500 408,156 Archstone Communities Trust, Series C, 8.625% 6,900 138,431 Camden Property Trust, $2.25 13,500 299,531 CarrAmerica Realty Corp., Series B, 8.570% 101,200 1,922,800 CarrAmerica Realty Corp., Series C 8.55% 27,550 525,172 Developers Diversified Realty Corp., 9.440% 28,200 613,350 Developers Diversified Realty Corp., 9.500% 45,500 989,625 Duke-Weeks Realty Corp., Series F, 8.000% 8,103 155,983 Equity Office Properties Trust, Series C, 8.625% 29,300 631,781 Equity Residential Properties Trust, 7.250% 69,200 1,366,700 Equity Residential Properties Trust, Series L, 7.625% 72,068 1,315,241 First Industrial Realty Trust, Inc., Series D, 7.950% 30,200 547,375
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE + - ----------------------------------------------------------------------------------------------- PREFERRED STOCKS-CONTINUED REAL ESTATE INVESTMENT TRUSTS--CONTINUED First Industrial Realty Trust, Inc., Series E, 7.900% 153,000 $ 2,811,375 Highwoods Properties, Inc., Series B, 8.000% 37,400 647,487 Highwoods Properties, Inc., Series D, 8.000% 6,800 120,700 Liberty Property Trust, Series A, 8.800% 5,300 106,331 ProLogis Trust, Series D, 7.92% 18,500 344,563 ProLogis Trust, Series E, 8.75% 10,000 216,250 Public Storage, Inc., Series K, 8.250% 18,750 404,297 Public Storage, Inc., Series L, 8.250% 35,000 748,125 Shurgard Storage Centers, Inc., Series C, 8.700% 3,400 69,063 Spieker Properties, Inc., 8.000% 6,600 136,538 -------------- 14,518,874 -------------- TELECOMMUNICATIONS--1.1% Adelphia Business Solutions, Inc., Series B, 12.875% PIK 17,429 16,870,838 Nextel Communications, Inc., 11.125% PIK 1,546 1,468,700 -------------- 18,339,538 -------------- UTILITIES--0.1% Central Maine Power Co., 3.500% 2,230 92,266 Connecticut Light & Power Co., $1.90 2,925 62,888 Entergy Louisiana, Inc., 4.160% 2,600 128,700 Jersey Central Power & Light Co., 4.000% 2,020 111,100 MDU Resources Group, Inc., 5.100% 144A 3,790 329,730 Minnesota Power & Light Co., 5.000% 200 12,000 Niagara Mohawk Power Corp., 4.850% 5,000 285,000 Northern States Power Co., $3.60 1,100 50,600 PECO Energy Co., $3.80 300 16,050 Public Service Co., 4.000% 360 19,440 -------------- 1,107,774 -------------- TOTAL PREFERRED STOCKS (Identified Cost $53,991,532) 55,541,597 -------------- WARRANTS-0.1% OF NET ASSETS OIL & GAS--0.0% Hvide Marine, Inc., expiring 06/30/07 144A * 30,619 137,785 Hvide Marine, Inc., expiring 12/15/03 * 4,212 8,424 -------------- 146,209 -------------- OIL & GAS DRILLING EQUIPMENT--0.1% R & B Falcon Corp., expiring 5/01/09 144A * 2,800 980,000 -------------- RETAIL--GENERAL--0.0% Penn Traffic Co., expiring 6/07/05 * 1 1 -------------- TOTAL WARRANTS (Identified Cost $483,928) 1,126,210 --------------
37 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT-1.9% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $32,855,000 on 4/03/00 collateralized by $27,055,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $33,500,448 USD 32,842,000 $ 32,842,000 -------------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $32,842,000) 32,842,000 -------------- TOTAL INVESTMENTS--98.4% (IDENTIFIED COST $1,788,326,678) @ 1,705,191,954 Cash and Other Assets, Less Liabilities--1.6% 28,256,975 -------------- NET ASSETS--100% $1,733,448,929 -------------- --------------
+ See Note 1. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. 144A Securities 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. PIK All or a portion of income may be received as additional securities. ++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate (LIBOR) plus .8125%. ^ Security in default * Non-income producing security @ At March 31, 2000, the net unrealized depreciation on investments based on cost of $1,788,326,678 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $76,042,017 and $159,176,741, respectively, resulting in net unrealized depreciation of $83,134,724. KEY TO ABBREVIATIONS: AUD: Australian Dollar CAD: Canadian Dollar NZD: New Zealand Dollar USD: United States Dollar ZAR: South African Rand See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES GLOBAL BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-90.7% OF NET ASSETS ARGENTINA--1.1% Republic of Argentina, 6.000%, 3/31/23 USD 700,000 $ 490,000 -------------- AUSTRALIA--8.7% New South Wales Trust, 6.500%, 5/01/06 AUD 1,900,000 1,134,677 News America Holdings, Inc., 8.625%, 2/07/14 1,240,000 751,025 Queensland Treasury, 6.000%, 7/14/09 760,000 435,029 Queensland Treasury, 8.000%, 9/14/07 1,600,000 1,039,325 South Australia Government Finance Authority, Zero Coupon Bond, 12/21/15 2,750,000 567,317 -------------- 3,927,373 -------------- CANADA--4.4% Government of Canada, 8.750%, 12/01/05 CAD 700,000 543,484 Magna International, Inc. Class A, 4.875%, 2/15/05 USD 600,000 516,750 Province of Ontario, 5.700%, 12/01/08 CAD 1,425,000 941,408 -------------- 2,001,642 -------------- FINLAND--2.6% Republic of Finland, 6.000%, 4/25/08 EUR 1,177,315 1,173,562 -------------- GERMANY--26.4% Bayerische Vereinsbank, 6.000%, 1/23/06 1,022,583 1,009,445 Deutsche Ausgleichsbank, 4.000%, 7/04/09 1,850,000 1,613,722 Deutsche Finance BV, 7.500%, 2/10/03 2,300,000 1,188,138 Deutsche Telekom AG, 5.250%, 5/20/08 1,369,196 1,255,875 Eurohypo AG--Europaeische Hypothekenbank der Deutschen Bank, 4.000%, 2/01/07 950,000 834,029 Federal Republic of Germany, 4.250%, 2/18/05 760,000 707,639 Federal Republic of Germany, 4.500%, 8/19/02 800,000 764,778 Federal Republic of Germany, 4.750%, 7/04/28 2,000,000 1,671,492 Kreditanstalt Wierdarauf, 6.000%, 2/09/06 1,062,421 1,054,766 Mannesmann Finance BV, 4.750%, 5/27/09 (step to 4.75% on 5/9/00)# 1,250,000 1,068,594 Westdt Landesbank, 5.250%, 10/14/05 766,937 732,583 -------------- 11,901,061 -------------- IRELAND--6.2% Republic of Ireland, 3.500%, 10/18/05 1,335,000 1,179,819 Republic of Ireland, 4.600%, 4/18/16 1,875,000 1,608,450 -------------- 2,788,269 -------------- JAPAN--3.1% MBL International Finance (Bermuda), 3.000%, 11/30/02 +++ USD 300,000 337,500 MBL International Finance (Bermuda), 3.000%, 11/30/02 +++ 950,000 1,068,750 -------------- 1,406,250 --------------
39 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED MALAYSIA--4.5% Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 2,375,000 $ 2,014,399 -------------- NETHERLANDS--2.0% Dutch Government, 5.750%, 9/15/02 EUR 907,560 888,956 -------------- NEW ZEALAND--4.8% Government of New Zealand, 6.000%, 11/15/11 NZD 1,375,000 631,509 Government of New Zealand, 7.000%, 7/15/09 1,820,000 903,175 Government of New Zealand, 8.000%, 11/15/06 1,200,000 625,871 -------------- 2,160,555 -------------- PERU--0.6% Republic of Peru, 3.750%, 3/07/17 (step to 4.000% on 3/07/01)# USD 450,000 275,625 -------------- PHILIPPINES--6.0% Bangko Sentral Pilipinas, 8.600%, 6/15/27 1,300,000 1,033,258 FLI Capital Cayman, 6.250%, 2/01/02 900,000 981,000 MBIA, Inc., Zero Coupon Bond, 12/18/01 800,000 686,000 -------------- 2,700,258 -------------- SOUTH AFRICA--8.0% Escom, 11.000%, 6/01/08 ZAR 6,000,000 766,593 Republic of South Africa, 8.500%, 6/23/17 USD 1,400,000 1,298,500 Republic of South Africa, 13.500%, 9/15/15 ZAR 4,600,000 679,371 Sappi BVI Finance, 7.500%, 8/01/02 USD 900,000 864,000 -------------- 3,608,464 -------------- SOUTH KOREA--0.5% Samsung Electronics Co. Ltd., 5.375%, 12/16/01 EUR 500,000 242,068 -------------- SUPRANATIONAL--0.9% International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 1,500,000 425,038 -------------- THAILAND--6.7% Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 USD 2,800,000 1,512,000 Loxley Public Co. Ltd., 2.500%, 4/04/01 ^ 700,000 203,000 Thai Farmers Bank Plc, 8.250%, 8/21/16 144A 1,650,000 1,299,375 -------------- 3,014,375 -------------- UNITED KINGDOM--1.6% Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08 (step to 11.625% on 6/01/03)# EUR 1,700,000 725,993 -------------- UNITED STATES--2.6% Federal National Mortgage Association, 6.375%, 8/15/07 AUD 525,000 306,256 Household Finance Corp., 5.125%, 6/24/09 EUR 430,000 380,263 United States Treasury Notes, 5.625%, 5/15/08 USD 500,000 480,390 -------------- 1,166,909 -------------- TOTAL BONDS AND NOTES (Identified Cost $44,851,343) 40,910,797 --------------
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2000 (UNAUDITED) SHARES VALUE + - ------------------------------------------------------------------------------------------- PREFERRED STOCKS - 2.2% OF NET ASSETS JAPAN--2.2% Sanwa International Ltd. (Bermuda) 99,000,000 $ 966,476 ----------- TOTAL PREFERRED STOCKS (Identified Cost $954,267) 966,476 ----------- FACE AMOUNT - ------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT-5.1% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $2,301,911 on 4/03/00 collateralized by $1,900,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $2,352,647 USD 2,301,000 2,301,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,301,000) 2,301,000 ----------- TOTAL INVESTMENTS--98.0% (IDENTIFIED COST $48,106,610) @ 44,178,273 Cash and Other Assets, Less Liabilities--2.0% 914,660 ----------- NET ASSETS--100% $45,092,933 ===========
+ See Note 1. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. +++ Convertible Bond 144A Securities 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. ^ Security in default @ At March 31, 2000, the net unrealized depreciation on investments based on cost of $48,106,610 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,622,089 and $5,550,426, respectively, resulting in net unrealized depreciation of $3,928,337. KEY TO ABBREVIATIONS: AUD: Australian Dollar CAD: Canadian Dollar EUR: Euro NZD: New Zealand Dollar USD: United States Dollar ZAR: South African Rand 41 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2000 (UNAUDITED)
Ten Largest Sector Holdings at March 31, 2000 as a Percentage of Net Assets Foreign Government/Agency 41.7% Banking & Finance 22.6% Financial Services 11.9% Utilities 4.5% Telecommunications 4.4% Government Agencies 3.0% Media & Entertainment 1.7% Auto & Related 1.1% Supranational 0.9% Electronic Components 0.5%
See accompanying notes to financial statements.
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-85.8% OF NET ASSETS NON-CONVERTIBLE BONDS--61.1% CANADIAN--4.2% Call-Net Enterprises, Inc., Zero Coupon Bond, 5/15/09 (step to 10.800% on 5/15/04)# USD 250,000 $ 101,875 Clearnet Communications, Inc., Zero Coupon Bond, 8/13/07 (step to 11.750% on 8/13/02)# CAD 300,000 147,338 Clearnet Communications, Inc., Zero Coupon Bond, 5/15/08 (step to 10.400% on 5/15/03)# 300,000 128,209 Clearnet Communications, Inc., Zero Coupon Bond, 2/15/09 (step to 10.750% on 2/15/04)# 350,000 137,515 Microcell Telecommunications, Inc., Zero Coupon Bond, 10/15/07 (step to 11.125% on 10/15/02)# 985,000 466,785 ----------- 981,722 ----------- COMPUTER HARDWARE--0.2% Seagate Technology, Inc., 7.875%, 3/01/17 USD 50,000 37,543 ----------- COMPUTER SERVICES--0.3% Rhythms NetConnections, Inc., Series B, Zero Coupon Bond, 5/15/08 (step to 13.50% on 5/15/03)# 150,000 73,500 ----------- ELECTRONIC COMPONENTS--0.3% Zenith Electronics Corp., 8.190%, 11/01/09 169,000 60,840 ----------- ENTERTAINMENT--0.6% Boston Celtics Ltd., 6.000%, 6/30/38 263,000 140,048 ----------- FOOD & BEVERAGE--0.8% Borden, Inc., 7.875%, 2/15/23 250,000 199,810 ----------- FOREIGN GOVERNMENT/AGENCY--12.7% City of Buenos Aires, 10.500%, 5/28/04 144A ARS 150,000 133,500 Escom, 11.000%, 6/01/08 ZAR 1,275,000 162,901 Ivory Coast, Inc., 2.000%, 3/31/18 (step to 2.500% on 3/31/05) ^ USD 500,000 87,500 Ivory Coast, Inc., 2.000%, 3/31/18 (step to 3.000% on 3/31/08) ^ 962,500 196,157 Republic of Argentina, 8.875%, 3/01/29 375,000 270,225 Republic of Argentina, 11.750%, 2/12/07 200,000 188,093 Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 1,122,218 840,317 Republic of Ecuador, 7.1875%, 2/27/15 ++ ^ 174,653 48,358 Republic of Panama, 4.250%, 7/17/14 (step to 4.500% on 7/17/00)# 250,000 200,000 Republic of Panama, 8.875%, 9/30/27 125,000 110,781 Republic of Peru, 3.750%, 3/07/17 (step to 4.000% on 3/07/01)# 500,000 306,250 Republic of South Africa, 12.500%, 12/21/06 ZAR 1,000,000 143,657 Republic of Venezuela, 9.250%, 9/15/27 USD 425,000 280,500 ----------- 2,968,239 ----------- 43 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES- CONTINUED FOREIGN ISSUER--18.7% Bangko Sentral Pilipinas, 8.600%, 6/15/27 USD 350,000 $ 278,185 Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 500,000 393,750 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 100,000 81,662 Compania de Alimentos Fargo SA, 13.250%, 8/01/08 100,000 89,000 Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08 (step to 11.625% on 6/01/03)# EUR 250,000 106,764 Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 USD 350,000 290,500 Indah Kiat Finance Mauritius Ltd., 10.000%, 7/01/07 300,000 210,000 Korea Electric Power Corp., 7.400%, 4/01/16 227,907 207,352 Multicanal SA, 10.500%, 2/01/07 125,000 117,500 Multicanal SA, 10.500%, 4/15/18 250,000 210,000 Murrin Murrin Holdings Property Ltd., 9.375%, 8/31/07 50,000 43,000 Philippine Long Distance Telephone Co., 8.350%, 3/06/17 200,000 155,516 Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 450,000 321,750 Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 410,000 241,900 Pycsa Panama SA, 10.280%, 12/15/12 144A 97,900 58,740 Quezon Power Philippines Co., 8.860%, 6/15/17 550,000 426,937 Siam Commercial Bank Public Co. Ltd., 7.500%, 3/15/06 144A 100,000 84,000 Tata Electric Co., 8.500%, 8/19/17 144A 200,000 176,612 TFM SA de CV, Zero Coupon Bond, 6/15/09 (step to 11.750% on 6/15/02)# 250,000 175,000 Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04 400,000 298,000 Total Access Communication Public Co. Ltd., 7.625%, 11/04/01 144A 100,000 90,000 Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 144A 400,000 336,000 ----------- 4,392,168 ----------- HEALTH CARE--SERVICES--2.9% Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 75,000 58,313 Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 250,000 200,312 Columbia/HCA Healthcare Corp., 7.750%, 7/15/36 500,000 414,525 ----------- 673,150 ----------- OIL & GAS--3.3% Chesapeake Energy Corp., 8.500%, 3/15/12 250,000 201,875 Chesapeake Energy Corp., Series B, 7.875%, 3/15/04 100,000 89,000 Hvide Marine, Inc., 12.500%, 6/30/07 144A 125,000 112,500 Pioneer Natural Resources Co., 7.200%, 1/15/28 350,000 259,000 Seagull Energy Corp., 7.500%, 9/15/27 125,000 101,875 ----------- 764,250 ----------- OIL & GAS DRILLING EQUIPMENT--1.6% R & B Falcon Corp., Series B, 7.375%, 4/15/18 500,000 382,500 ----------- LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES - CONTINUED RAIL--TRANSPORT--0.1% Missouri Pacific Railroad Co., 4.750%, 1/01/20 USD 30,000 $ 18,300 ----------- REAL ESTATE INVESTMENT TRUSTS--1.4% Meditrust Corp., 7.000%, 8/15/07 100,000 58,500 Meditrust Corp., 7.375%, 7/15/00 100,000 98,000 Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 250,000 177,852 ----------- 334,352 ----------- RETAIL--GENERAL--2.2% Dillon Read Structured Finance Corp., 7.430%, 8/15/18 300,000 254,157 Woolworth Corp., 8.500%, 1/15/22 400,000 251,000 ----------- 505,157 ----------- RETAIL--SPECIALTY--0.4% Musicland Group, Inc., Series B, 9.875%, 3/15/08 100,000 87,000 ----------- STEEL--0.1% Geneva Steel Co., 9.500%, 1/15/04 ^ 150,000 28,500 ----------- TELECOMMUNICATIONS--8.0% Level 3 Communications, Inc., Zero Coupon Bond, 12/01/08 (step to 10.500% on 12/01/03)# 250,000 144,375 Level 3 Communications, Inc., Zero Coupon Bond, 3/15/10 (step to 12.875% on 3/15/05)# 144A 350,000 174,125 Nextel Communications, Inc., Zero Coupon Bond, 10/31/07 (step to 9.750% on 10/31/02)# 100,000 68,500 Nextel Communications, Inc., Zero Coupon Bond, 2/15/08 (step to 9.950% on 2/15/03)# 100,000 67,500 Nextlink Communications, Inc., Zero Coupon Bond, 4/15/08 (step to 9.450% on 4/15/03)# 100,000 59,000 NTL Communications Corp., 11.500%, 11/15/09 144A EUR 250,000 137,490 RCN Corp., Zero Coupon Bond, 10/15/07 (step to 11.125% on 10/15/02)# USD 375,000 240,000 RCN Corp., Zero Coupon Bond, 2/15/08 (step to 9.800% on 2/15/03)# 550,000 327,250 RCN Corp., Zero Coupon Bond, 7/01/08 (step to 11.000% on 7/01/03)# 100,000 58,500 TeleCorp PCS, Inc., Zero Coupon Bond, 4/15/09 (step to 11.625% on 4/15/04)# 500,000 307,500 Teligent, Inc., Zero Coupon Bond, 3/01/08 (step to 11.500% on 3/01/03)# 400,000 212,000 Triton Communications LLC, Zero Coupon Bond, 5/01/08 (step to 11.000% on 5/01/03)# 100,000 68,750 ----------- 1,864,990 ----------- TEXTILE & APPAREL--1.7% Fruit of the Loom, Inc., 7.375%, 11/15/23 ^ 250,000 97,500 Phillips Van Heusen Corp., 7.750%, 11/15/23 250,000 193,125 45 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES - CONTINUED TEXTILE & APPAREL--CONTINUED Pillowtex Corp., Series B, 9.000%, 12/15/07 USD 350,000 $ 120,750 ----------- 411,375 ----------- TRANSPORTATION--0.5% American President Cos. Ltd., 8.000%, 1/15/24 200,000 118,000 ----------- UTILITIES--1.1% AES Corp., 8.875%, 11/01/27 350,000 269,500 ----------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $14,885,741) 14,310,944 ----------- CONVERTIBLE BONDS--24.7% AUTO & RELATED--1.0% Exide Corp., 2.900%, 12/15/05 144A 425,000 244,375 ----------- CANADIAN--0.8% Rogers Communications, Inc., 2.000%, 11/26/05 190,000 194,275 ----------- COMPUTERS--4.0% Cray Research, Inc., 6.125%, 2/01/11 113,000 68,365 HMT Technology Corp., 5.750%, 1/15/04 75,000 34,500 Hutchinson Technology, Inc., 6.000%, 3/15/05 100,000 77,375 Ingram Micro, Inc., Zero Coupon Bond, 6/09/18 50,000 17,375 Maxtor Corp., 5.750%, 3/01/12 500,000 350,000 Quantum Corp.--DLT & Storage Systems, 7.000%, 8/01/04 125,000 100,625 S3, Inc., 5.750%, 10/01/03 200,000 226,750 Telxon Corp., 5.750%, 1/01/03 50,000 42,562 Western Digital, Zero Coupon Bond, 2/18/18 150,000 28,875 ----------- 946,427 ----------- ELECTRONIC COMPONENTS--1.4% EDO Corp., 7.000%, 12/15/11 50,000 39,375 Kent Electronics Corp., 4.500%, 9/01/04 325,000 288,437 ----------- 327,812 ----------- ELECTRONIC COMPONENTS--SEMICONDUCTORS--2.2% Cirrus Logic, Inc., 6.000%, 12/15/03 250,000 225,000 Park Electrochemical Corp., 5.500%, 3/01/06 300,000 247,875 Richardson Electronics Ltd., 7.250%, 12/15/06 50,000 36,875 ----------- 509,750 ----------- FOREIGN ISSUER--3.5% APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 125,000 98,437 APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 200,000 157,500 Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 225,000 121,500 Burns, Philp, 5.500%, 4/30/04 50,000 30,000 Empresas ICA Sociedad, 5.000%, 3/15/04 80,000 47,200 Loxley Public Co. Ltd., 2.500%, 4/04/01 ^ 100,000 29,000 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES - CONTINUED FOREIGN ISSUER--CONTINUED Sappi BVI Finance, 7.500%, 8/01/02 USD 125,000 $ 120,000 Siam Commercial Bank Public Co. Ltd., 3.250%, 1/24/04 250,000 133,750 Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 125,000 87,188 ----------- 824,575 ----------- FREIGHT TRANSPORTATION--0.2% Builders Transportation, Inc., 8.000%, 8/15/05 ^ 75,000 94 Worldway Corp., 6.250%, 4/15/11 55,000 44,550 ----------- 44,644 ----------- HEALTH CARE--BIOTECHNOLOGY--0.3% Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 100,000 62,000 ----------- HEALTH CARE--DRUGS--2.8% Dura Pharmaceuticals, Inc., 3.500%, 7/15/02 450,000 362,813 Glycomed, Inc., 7.500%, 1/01/03 200,000 184,148 NABI, Inc., 6.500%, 2/01/03 125,000 101,406 ----------- 648,367 ----------- HEALTH CARE--PRODUCTS--0.5% Centocor, Inc., 4.750%, 2/15/05 100,000 110,750 ----------- HEALTH CARE--SERVICES--0.5% PhyCor, Inc., 4.500%, 2/15/03 150,000 62,063 Tenet Healthcare Corp., 6.000%, 12/01/05 75,000 62,250 ----------- 124,313 ----------- HOME BUILDERS--0.2% Schuler Homes, Inc., 6.500%, 1/15/03 70,000 57,400 ----------- HOTELS--0.3% Hilton Hotels Corp., 5.000%, 5/15/06 100,000 75,750 ----------- INDUSTRIAL EQUIPMENT--0.3% MascoTech, Inc., 4.500%, 12/15/03 100,000 73,875 ----------- INSURANCE--1.9% Loews Corp., 3.125%, 9/15/07 500,000 446,875 ----------- MACHINERY--0.1% Intevac, Inc., 6.500%, 3/01/04 25,000 12,750 ----------- MANUFACTURING--1.4% Hexcel Corp., 7.000%, 8/01/03 350,000 239,750 Hexcel Corp., 7.000%, 8/01/11 125,000 80,000 ----------- 319,750 ----------- OIL & GAS--2.5% Key Energy Group, Inc., 5.000%, 9/15/04 550,000 410,437 Pogo Producing Co., 5.500%, 6/15/06 100,000 86,500 47 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES - CONTINUED OIL & GAS--CONTINUED Pride International, Inc., Zero Coupon Bond, 4/24/18 USD 200,000 $ 76,250 ----------- 573,187 ----------- REAL ESTATE INVESTMENT TRUSTS--0.1% Sizeler Property Investors, Inc., 8.000%, 7/15/03 15,000 13,725 ----------- RESTAURANTS--0.1% Einstein/Noah Bagel Corp., 7.250%, 6/01/04 50,000 20,000 ----------- RETAIL--SPECIALTY--0.4% CML Group, Inc., 5.500%, 1/15/03 ^ 100,000 63 Jacobson Stores, Inc., 6.750%, 12/15/11 150,000 102,375 ----------- 102,438 ----------- TELECOMMUNICATIONS--0.2% Broadband Technologies, Inc., 5.000%, 5/15/01 100,000 55,000 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $5,988,330) 5,788,038 ----------- TOTAL BONDS AND NOTES (Identified Cost $20,874,071) 20,098,982 ----------- SHARES - ------------------------------------------------------------------------------------- COMMON STOCKS-3.8% OF NET ASSETS FOREIGN ISSUER--1.0% Sappi Ltd. ADR 29,500 234,156 ----------- OIL & GAS--1.0% Chesapeake Energy Corp. * 16,000 52,000 Hvide Marine, Inc. * 13,066 171,491 ----------- 223,491 ----------- REAL ESTATE INVESTMENT TRUSTS--0.8% Associated Estates Realty Corp. 15,500 124,969 Developers Diversified Realty Corp. 4,825 66,947 ----------- 191,916 ----------- RESTAURANTS--0.0% Advantica Restaurant Group, Inc. * 7,197 10,796 ----------- UTILITIES--0.5% Wisconsin Energy Corp. 6,000 119,625 ----------- UTILITIES--ELECTRIC--0.5% Texas Utilities Co. 4,000 118,750 ----------- TOTAL COMMON STOCKS (Identified Cost $1,196,935) 898,734 ----------- LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) SHARES VALUE + - ------------------------------------------------------------------------------------- PREFERRED STOCKS-5.8% OF NET ASSETS AUTO & RELATED--0.3% Federal-Mogul Financing Trust, 7.000% 2,500 $ 72,500 ----------- BUILDING MATERIALS--0.6% Owens Corning, 6.500% 4,000 141,000 ----------- CONTAINERS--0.1% Owens-Illinois, Inc., 4.750% 1,000 27,062 ----------- FINANCIAL SERVICES--0.4% Hercules Trust I, 6.50% * 150 87,150 ----------- FOREIGN ISSUER--0.3% Philippine Long Distance Telephone Co., $3.50, GDS 1,000 41,625 Siam Commercial Bank Public Co. Ltd., 5.250% 144A * 20,000 16,003 ----------- 57,628 ----------- OIL & GAS--1.2% Chesapeake Energy Corp., 7.000% 7,250 270,063 ----------- OIL & GAS DRILLING EQUIPMENT--0.5% R & B Falcon Corp., 13.875% PIK 111 122,257 ----------- REAL ESTATE INVESTMENT TRUSTS--0.6% AMB Property Corp., 8.50% 4,700 103,694 JDN Reality Corp., Series A, 9.375% 2,000 34,375 ----------- 138,069 ----------- TELECOMMUNICATIONS--1.5% Adelphia Business Solutions, Inc., Series B, 12.875% PIK 264 255,137 Nextel Communications, Inc., 11.125% PIK 111 105,450 ----------- 360,587 ----------- UTILITIES--0.3% Central Maine Power Co., 3.500% 1,460 60,407 Entergy Gulf States, Inc., 4.400% 270 13,770 ----------- 74,177 ----------- TOTAL PREFERRED STOCKS (Identified Cost $1,213,056) 1,350,493 ----------- WARRANTS--0.2% OF NET ASSETS FINANCIAL SERVICES--0.0% Siam Commercial Bank Public Co. Ltd., expiring 5/10/02 * 20,000 5,423 ----------- OIL & GAS--0.0% Hvide Marine, Inc., expiring 06/30/07 144A * 706 3,177 ----------- 49 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES HIGH YIELD FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) SHARES VALUE + - ------------------------------------------------------------------------------------- WARRANTS-CONTINUED OIL & GAS DRILLING EQUIPMENT--0.2% R & B Falcon Corp., expiring 5/01/09 144A * 100 $ 35,000 ----------- TOTAL WARRANTS (Identified Cost $15,986) 43,600 ----------- FACE AMOUNT - ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT-2.8% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $661,262 on 4/03/00 collateralized by $545,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $674,838 USD 661,000 661,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $661,000) 661,000 ----------- TOTAL INVESTMENTS--98.4% (IDENTIFIED COST $23,961,048) @ 23,052,809 Cash and Other Assets, Less Liabilities--1.6% 364,215 ----------- NET ASSETS--100% $23,417,024 ===========
+ See Note 1. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. 144A Securities 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 PIK All or a portion of income may be received as additional securities. ++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate (LIBOR) plus .8125%. ^ Security in default. * Non-income producing security. @ At March 31, 2000, the net unrealized depreciation on investments based on cost of $23,961,048 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $1,306,412 and $2,214,651, respectively, resulting in net unrealized depreciation of $908,239. KEY TO ABBREVIATIONS: ADR: American Depositary Receipts ARS: Argentina Peso CAD: Canadian Dollar EUR: Euro GDS: Global Depositary Shares USD: United States Dollar ZAR: South African Rand See accompanying notes to financial statements.
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-97.0% OF NET ASSETS NON-CONVERTIBLE BONDS-95.4% AEROSPACE/DEFENSE--3.3% Lockheed Martin Corp., 7.700%, 6/15/08 USD 200,000 $ 194,272 Raytheon Co., 6.150%, 11/01/08 150,000 132,905 Raytheon Co., 6.550%, 3/15/10 150,000 135,000 ----------- 462,177 ----------- AUTO & RELATED--4.1% Cummins Engine Co., Inc., 6.250%, 3/01/03 250,000 240,297 Dana Corp., 6.250%, 3/01/04 150,000 143,433 Delphi Automotive Systems Corp., 6.125%, 5/01/04 100,000 94,220 TRW, Inc., 6.625%, 6/01/04 100,000 94,509 ----------- 572,459 ----------- BANKS/SAVINGS & LOANS--2.5% Capital One Bank, 5.950%, 2/15/01 200,000 196,832 Capital One Bank, 6.375%, 2/15/03 100,000 95,890 NationsBank Corp., 7.000%, 9/15/01 55,000 54,891 ----------- 347,613 ----------- BEVERAGES--1.4% Whitman Corp., 6.000%, 5/01/04 200,000 188,870 ----------- BROADCASTING--1.6% Comcast Cable Communications, 6.200%, 11/15/08 250,000 225,435 ----------- CANADIAN--1.8% MacMillan Bloedel Ltd., 6.750%, 2/15/06 150,000 143,523 Province of Alberta, 5.400%, 6/15/10 CAD 150,000 98,971 ----------- 242,494 ----------- CHEMICALS--MAJOR--1.1% Rohm & Haas Co., 6.950%, 7/15/04 USD 150,000 148,086 ----------- COMPUTER HARDWARE--2.3% Dell Computer Corp., 6.550%, 4/15/08 250,000 232,617 Sun Microsystems, Inc., 7.350%, 8/15/04 90,000 89,770 ----------- 322,387 ----------- DATA PROCESSING SERVICES--1.4% Ceridian Corp., 7.250%, 6/01/04 200,000 194,960 ----------- ENTERTAINMENT--1.1% Time Warner Entertainment Co., 7.750%, 6/15/05 155,000 156,065 ----------- FINANCIAL SERVICES--17.5% Associates Corporation of North America, 6.250%, 11/01/08 250,000 228,235 Associates Manufactured Housing, 6.475%, 3/15/28 50,000 49,477 CIT Group, Inc., 5.800%, 2/26/01 230,000 227,084 Duke Capital Corp., 7.250%, 10/01/04 100,000 98,794 Finova Capital Corp., 7.250%, 11/08/04 200,000 194,070 51 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED FINANCIAL SERVICES--CONTINUED Ford Motor Credit Co., 5.800%, 1/12/09 USD 450,000 $ 398,655 Ford Motor Credit Co. Class B, 7.370%, 7/15/04 300,000 300,813 Green Tree Financial Corp., 6.950%, 3/15/27 196,133 192,631 Household Finance Corp., 5.875%, 9/25/04 350,000 328,314 OSCC Home Equity Loan Trust, 6.025%, 6/15/08 126,731 122,604 Vanderbilt Mortgage & Finance, Inc., 6.545%, 4/07/18 300,000 289,011 ----------- 2,429,688 ----------- FOREIGN GOVERNMENT/AGENCY--2.7% Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 181,981 136,267 Republic of South Africa, 8.375%, 10/17/06 250,000 240,625 ----------- 376,892 ----------- FOREIGN ISSUER--10.2% Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 150,000 124,500 Gruma SA de CV, 7.625%, 10/15/07 200,000 177,750 Korea Development Bank, 6.750%, 12/01/05 100,000 94,094 Korea Electric Power Corp., 7.750%, 4/01/13 150,000 139,913 PDVSDA Finance Ltd., 6.450%, 2/15/04 250,000 227,930 Pemex Finance Ltd., 9.140%, 8/15/04 100,000 102,048 Perez Companc SA, 8.125%, 7/15/07 144A 250,000 217,500 Tenaga Nasional Berhad, 7.625%, 4/29/07 144A 125,000 119,116 Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 144A 220,000 184,800 YPF SA, 7.000%, 10/26/02 17,892 17,488 ----------- 1,405,139 ----------- FOREST & PAPER PRODUCTS--0.7% Temple-Inland, Inc., 6.750%, 3/01/09 100,000 92,999 ----------- GOVERNMENT AGENCIES--8.4% Federal Home Loan Mortgage Corp., 5.000%, 1/15/04 50,000 46,610 Federal Home Loan Mortgage Corp., 5.125%, 10/15/08 370,000 321,841 Federal Home Loan Mortgage Corp., 6.250%, 7/15/04 350,000 339,227 Federal Home Loan Mortgage Corp., 6.250%, 10/15/07 55,000 53,659 Federal National Mortgage Association, 5.500%, 4/25/06 216,134 212,892 Federal National Mortgage Association, 6.000%, 5/25/08 108,649 106,510 Federal National Mortgage Association, 6.500%, 8/15/16 79,548 79,249 ----------- 1,159,988 ----------- HEALTH CARE--PRODUCTS--1.7% Bausch & Lomb, Inc., 6.500%, 8/01/05 250,000 233,688 ----------- OIL & GAS--2.9% Kinder Morgan, Inc., 6.650%, 3/01/05 200,000 190,060 Pioneer Natural Resources Co., 6.500%, 1/15/08 250,000 215,315 ----------- 405,375 ----------- LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED OIL & GAS DRILLING EQUIPMENT--2.2% R & B Falcon Corp., 6.750%, 4/15/05 USD 350,000 $ 302,750 RAIL--TRANSPORT--1.3% Burlington Northern Santa Fe Corp., 6.125%, 3/15/09 200,000 180,156 REAL ESTATE INVESTMENT TRUSTS--12.4% American Health Properties, Inc., 7.050%, 1/15/02 65,000 62,871 American Health Properties, Inc., 7.500%, 1/15/07 275,000 242,435 Excel Realty Trust, Inc., 6.875%, 10/15/04 165,000 156,727 First Industrial, 7.000%, 12/01/06 250,000 229,107 Highwoods Realty LP, 6.750%, 12/01/03 350,000 327,698 Oasis Residential, Inc., 6.750%, 11/15/01 350,000 342,062 Trinet Corporate Realty Trust, Inc., 6.750%, 3/01/13 335,000 300,740 Trinet Corporate Realty Trust, Inc., 7.300%, 5/15/01 55,000 53,332 ----------- 1,714,972 ----------- RETAIL--GENERAL--1.2% J.C. Penney Co., Inc., 7.600%, 4/01/07 200,000 170,288 ----------- SECURITIES--4.2% Bear Stearns Cos., Inc., 6.125%, 2/01/03 250,000 241,037 Lehman Brothers Holdings, Inc., 6.125%, 2/01/01 60,000 59,325 Lehman Brothers Holdings, Inc., 7.125%, 9/15/03 100,000 98,418 Morgan Stanley Dean Witter & Co., 5.625%, 1/20/04 200,000 188,618 ----------- 587,398 ----------- TELECOMMUNICATIONS--4.7% Cox Communications, Inc., 6.500%, 11/15/02 165,000 160,231 Intermedia Communications, Inc., 8.600%, 6/01/08 125,000 110,000 Sprint Capital Corp., 5.875%, 5/01/04 100,000 94,594 TCI Communications, Inc., 6.875%, 2/15/06 290,000 282,782 ----------- 647,607 ----------- TEXTILE & APPAREL--1.3% Tommy Hilfiger Corp., 6.500%, 6/01/03 200,000 184,354 ----------- TOBACCO--0.5% Philip Morris Cos., Inc., 7.250%, 9/15/01 65,000 64,330 ----------- TRUCKING & LEASING--1.5% Amerco, 7.490%, 9/18/01 200,000 200,896 ----------- UTILITIES--1.4% Texas Utilities Co., 5.940%, 4/15/00 200,000 196,138 ----------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $13,643,297) 13,213,204 ----------- 53 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED CONVERTIBLE BONDS--1.6% AUTO & RELATED--0.8% Magna International, Inc. Class A, 4.875%, 2/15/05 USD 125,000 $ 107,187 ----------- DIVERSIFIED OPERATIONS--0.8% Thermo Electron Corp., 4.250%, 1/01/03 144A 125,000 113,750 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $221,793) 220,937 ----------- TOTAL BONDS AND NOTES (Identified Cost $13,865,090) 13,434,141 ----------- SHORT-TERM INVESTMENT-2.9% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $397,157 on 4/03/00 collateralized by $330,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $408,618 397,000 397,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $397,000) 397,000 ----------- TOTAL INVESTMENTS--99.9% (IDENTIFIED COST $14,262,090) @ 13,831,141 Cash and Other Assets, Less Liabilities--0.1% 15,998 ----------- NET ASSETS--100% $13,847,139 ===========
+ See Note 1. PIK All or a portion of income may be received as additional securities 144A Securities 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 March 31, 2000, the net unrealized depreciation on investments based on cost of $14,262,090 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $80,519 and $511,468, respectively, resulting in net unrealized depreciation of $430,949. KEY TO ABBREVIATIONS: CAD: Canadian Dollar USD: United States Dollar See accompanying notes to financial statements.
LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-94.4% OF NET ASSETS NON-CONVERTIBLE BONDS-82.2% AEROSPACE/DEFENSE--4.5% Lockheed Martin Corp., 7.750%, 5/01/26 USD 325,000 $ 303,440 Raytheon Co., 6.400%, 12/15/18 700,000 578,760 Raytheon Co., 7.375%, 7/15/25 145,000 125,074 ----------- 1,007,274 ----------- AUTO & RELATED--8.2% Cummins Engine Co., Inc., 7.125%, 3/01/28 250,000 219,272 Delphi Automotive Systems Corp., 7.125%, 5/01/29 800,000 691,208 Ford Motor Co., 6.375%, 2/01/29 750,000 632,527 TRW, Inc., 6.650%, 1/15/28 225,000 181,260 TRW, Inc., 7.750%, 6/01/29 100,000 92,572 ----------- 1,816,839 ----------- BANKS/SAVINGS & LOANS--1.5% Key Bank NA, 6.950%, 2/01/28 100,000 90,603 Keycorp Capital III, 7.750%, 7/15/29 250,000 230,345 ----------- 320,948 ----------- BUILDING & CONSTRUCTION--1.0% Lennar Corp., 7.625%, 3/01/09 250,000 228,883 ----------- BUILDING MATERIALS--0.9% Owens Corning, 7.500%, 8/01/18 250,000 209,205 ----------- CANADIAN--15.8% Canadian Government, Zero Coupon Bond, 6/01/21 CAD 150,000 30,563 Canadian Government, Zero Coupon Bond, 6/01/25 5,290,000 926,074 MacMillan Bloedel Ltd., 7.700%, 2/15/26 USD 100,000 96,951 New Brunswick FM Project, Zero Coupon Bond, 11/30/27 (step to 6.470% on 5/30/03) 144A# CAD 75,000 41,551 Ontario Hydro, 8.900%, 8/18/22 55,000 49,224 Province of Alberta, 5.394%, 6/14/13 235,750 154,572 Province of Alberta, 5.930%, 9/16/16 45,450 30,753 Province of British Columbia, Zero Coupon Bond, 6/09/22 250,000 43,600 Province of British Columbia, Zero Coupon Bond, 8/19/22 605,000 104,236 Province of British Columbia, Zero Coupon Bond, 8/23/24 4,850,000 738,189 Province of Manitoba, Zero Coupon Bond, 3/05/31 1,100,000 113,219 Province of Manitoba, 6.500%, 9/22/17 25,000 17,211 Province of Manitoba, 7.750%, 12/22/25 55,000 44,581 Province of Nova Scotia, 6.600%, 6/01/27 500,000 346,983 Province of Ontario, Zero Coupon Bond, 6/02/27 4,700,000 643,113 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 2/04/22 650,000 114,605 Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond, 5/30/25 215,000 30,811 ----------- 3,526,236 ----------- 55 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED COMPUTER HARDWARE--0.9% Seagate Technology, Inc., 7.450%, 3/01/37 USD 175,000 $ 140,023 Seagate Technology, Inc., 7.875%, 3/01/17 75,000 56,314 ----------- 196,337 ----------- ENTERTAINMENT--3.2% Time Warner, Inc., 6.625%, 5/15/29 840,000 715,814 ----------- FINANCIAL SERVICES--6.0% Household Finance Corp., 5.875%, 2/01/09 625,000 549,100 Merey Sweeny LP, 8.850%, 12/18/19 144A 100,000 98,423 Security Capital Group, Inc., 7.700%, 6/15/28 225,000 185,825 US West Capital Funding, Inc., 6.375%, 7/15/08 250,000 230,975 US West Capital Funding, Inc., 6.875%, 7/15/28 300,000 264,501 ----------- 1,328,824 ----------- FOOD & BEVERAGE--1.2% Pepsi Bottling Group, Inc., 7.000%, 3/01/29 300,000 271,133 ----------- FOREIGN GOVERNMENT/AGENCY--5.4% Republic of Brazil, 10.125%, 5/15/27 10,000 8,150 Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 788,586 590,493 Republic of Peru, 3.750%, 3/07/17 (step to 4.000% on 3/07/01) # 300,000 183,750 Republic of South Africa, 8.500%, 6/23/17 200,000 185,500 Republic of South Africa, 12.500%, 12/21/06 ZAR 400,000 57,462 Republic of South Africa, 13.000%, 8/31/10 125,000 18,032 Republic of South Africa, 13.500%, 9/15/15 150,000 22,020 Republic of Venezuela, 9.250%, 9/15/27 USD 200,000 132,000 ----------- 1,197,407 ----------- FOREIGN ISSUER--12.5% Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 50,000 39,375 Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 50,000 40,831 Embotelladora Andina SA, 7.625%, 10/01/27 125,000 107,265 Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27 500,000 445,685 Enersis SA, 7.400%, 12/01/16 200,000 177,748 Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 150,000 124,500 Korea Electric Power Corp., 7.750%, 4/01/13 150,000 139,912 PDVSA Finance Ltd., 7.400%, 8/15/16 100,000 76,392 PDVSA Finance Ltd., 7.500%, 11/15/28 50,000 35,532 Pemex Finance Ltd., 10.610%, 8/15/17 250,000 294,530 Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 200,000 156,000 Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 100,000 71,500 Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 100,000 59,000 Quezon Power Philippines Co., 8.860%, 6/15/17 50,000 38,813 Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 100,000 78,000 Telekom Malaysia Berhad, 7.875%, 8/01/25 144A 500,000 453,500 Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 400,000 339,267 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED FOREIGN ISSUER--CONTINUED Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 144A USD 25,000 $ 21,000 Transgas De Occidente SA, 9.790%, 11/01/10 144A 97,433 84,524 ----------- 2,783,374 ----------- FOREST & PAPER PRODUCTS--0.4% Westvaco Corp., 7.000%, 8/15/23 100,000 86,401 ----------- GOVERNMENT AGENCIES--2.2% Federal National Mortgage Association, Zero Coupon Bond, 10/29/07 NZD 200,000 54,494 Federal National Mortgage Association, 6.000%, 7/01/29 USD 484,272 440,988 ----------- 495,482 ----------- HEALTH CARE--PRODUCTS--0.6% Bausch & Lomb, Inc., 7.125%, 8/01/28 150,000 126,908 ----------- HOME BUILDERS--0.1% Pulte Corp., 7.625%, 10/15/17 25,000 19,906 ----------- OIL & GAS--8.7% Anadarko Petroleum Corp., 6.625%, 1/15/28 250,000 211,153 Ensco International, Inc., 6.750%, 11/15/07 250,000 233,110 Ensco International, Inc., 7.200%, 11/15/27 250,000 218,917 Global Marine, Inc., 7.000%, 6/01/28 250,000 215,275 Kerr-McGee Corp., 7.125%, 10/15/27 200,000 175,102 Pennzoil-Quaker State Co., 7.375%, 4/01/29 250,000 181,128 Pioneer Natural Resources Co., 7.200%, 1/15/28 40,000 29,600 Seagull Energy Corp., 7.500%, 9/15/27 180,000 146,700 Union Pacific Resources Group, Inc., 7.150%, 5/15/28 600,000 529,470 ----------- 1,940,455 ----------- OIL & GAS DRILLING EQUIPMENT--0.3% R & B Falcon Corp., Series B, 7.375%, 4/15/18 100,000 76,500 ----------- RAIL--TRANSPORT--0.7% Louisville & Nashville Railroad Co., 2.875%, 4/01/03 4,000 3,471 Louisville & Nashville Railroad Co., 3.375%, 4/01/03 12,000 10,784 Missouri Pacific Railroad Co., 4.250%, 1/01/05 39,000 33,493 Missouri Pacific Railroad Co., 4.750%, 1/01/20 46,000 28,060 Missouri Pacific Railroad Co., 4.750%, 1/01/30 86,000 52,460 Missouri Pacific Railroad Co., 5.000%, 1/01/45 50,000 25,500 ----------- 153,768 ----------- REAL ESTATE INVESTMENT TRUSTS--2.6% First Industrial, 7.500%, 12/01/17 100,000 85,819 First Industrial, 7.600%, 7/15/28 150,000 126,858 Highwoods Realty LP, 7.500%, 4/15/18 50,000 42,472 Security Capital Industrial Trust, 7.625%, 7/01/17 75,000 66,923 Susa Partnership LP, 7.500%, 12/01/27 125,000 104,095 Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 200,000 142,282 ----------- 568,449 ----------- 57 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED SECURITIES--1.0% Lehman Brothers Inc., 6.500%, 4/15/08 USD 250,000 $ 230,875 ----------- SUPRANATIONAL--0.9% International Bank for Reconstruction & Development, Zero Coupon Bond, 8/20/07 NZD 585,000 165,765 International Bank for Reconstruction & Development, 8.000%, 5/23/07 45,000 22,599 ----------- 188,364 ----------- TELECOMMUNICATIONS--1.6% Sprint Capital Corp., 6.375%, 5/01/09 USD 250,000 230,505 Sprint Capital Corp., 6.875%, 11/15/28 150,000 134,516 ----------- 365,021 ----------- TEXTILE & APPAREL--0.1% Kellwood Co., 7.625%, 10/15/17 25,000 22,108 ----------- TOBACCO--1.9% Philip Morris Cos., Inc., 7.750%, 1/15/27 500,000 412,940 ----------- TOTAL NON-CON VERTIBLE BONDS (Identified Cost $18,541,942) 18,289,451 ----------- CONVERTIBLE BONDS-12.2% AUTO & RELATED--0.6% Magna International, Inc. Class A, 4.875%, 2/15/05 150,000 129,188 ----------- COMPUTERS--0.0% Maxtor Corp., 5.750%, 3/01/12 10,000 7,000 ----------- DIVERSIFIED OPERATIONS--2.3% Thermo Electron Corp., 4.250%, 1/01/03 144A 550,000 500,500 ----------- ELECTRONIC COMPONENTS--0.2% Kent Electronics Corp., 4.500%, 9/01/04 50,000 44,375 ----------- ELECTRONIC MEASURING INSTRUMENTS--0.3% Thermedics, Inc., Zero Coupon Bond, 6/01/03 100,000 70,000 ----------- ENVIRONMENTAL SERVICES--0.4% Thermo TerraTech, Inc., 4.625%, 5/01/03 144A 110,000 97,350 ----------- FINANCIAL SERVICES--0.5% Bell Atlantic Financial Services, 5.750%, 4/01/03 100,000 101,815 ----------- FOREIGN ISSUER--0.5% Burns, Philp, 5.500%, 4/30/04 20,000 12,000 Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 30,000 20,925 Telekom Malaysia Berhad, 4.000%, 10/03/04 50,000 45,625 Total Access Communication Public Co. Ltd., 2.000%, 5/31/06 30,000 33,750 ----------- 112,300 ----------- LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED HEALTH CARE--SERVICES--0.5% Healthsouth Corp., 3.250%, 4/01/03 USD 150,000 $ 116,250 ----------- INDUSTRIAL EQUIPMENT--0.3% MascoTech, Inc., 4.500%, 12/15/03 75,000 55,406 ----------- INSURANCE--2.4% Loews Corp., 3.125%, 9/15/07 590,000 527,312 ----------- MULTI-INDUSTRY--1.0% Thermo Instrument Systems, Inc., 4.500%, 10/15/03 144A 250,000 228,750 ----------- OFFICE EQUIPMENT--1.2% Xerox Corp., 0.570%, 4/21/18 500,000 272,500 ----------- OIL & GAS--1.8% Baker Hughes, Inc., Zero Coupon Bond, 5/05/08 400,000 298,000 Diamond Offshore Drilling, Inc., 3.750%, 2/15/07 50,000 58,250 Noram Energy Corp., 6.000%, 3/15/12 60,000 50,850 ----------- 407,100 ----------- PUBLISHING--0.2% Scholastic Corp., 5.000%, 8/15/05 144A 50,000 47,813 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $2,692,695) 2,717,659 ----------- TOTAL BONDS AND NOTES (Identified Cost $21,234,637) 21,007,110 ----------- SHARES - ------------------------------------------------------------------------------------- PREFERRED STOCKS-2.0% OF NET ASSETS AEROSPACE/DEFENSE--0.2% Coltec Capital Trust, 5.250% 1,000 36,375 ----------- OIL & GAS--0.6% EVI, Inc., Conv., 5.000% 3,000 145,125 ----------- REAL ESTATE INVESTMENT TRUSTS--1.0% Camden Property Trust, $2.25 250 5,547 CarrAmerica Realty Corp., Series C 8.550% 500 9,531 CarrAmerica Realty Corp., Series D 8.450% 200 3,800 Equity Residential Properties Trust, 7.250% 6,050 119,487 Equity Residential Properties Trust, Series L, 7.625% 1,200 21,900 First Industrial Realty Trust, Inc., Series D, 7.950% 1,000 18,125 First Industrial Realty Trust, Inc., Series E, 7.900% 2,000 36,750 ProLogis Trust, Series D, 7.920% 900 16,763 ----------- 231,903 ----------- 59 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) SHARES VALUE + - ------------------------------------------------------------------------------------- PREFERRED STOCKS-CONTINUED UTILITIES--0.2% Duquesne Light Co., 4.000% 810 $ 22,275 New York State Electric & Gas Corp., 3.750% 100 4,700 Northern States Power Co., $3.60 200 9,200 Pacific Gas & Electric Corp., Series C, 5.00% 100 1,612 PG&E Corp., 4.50% 100 1,600 Southern California Edison Co., 4.780% 100 1,413 Wisconsin Power & Light Co., 4.500% 10 600 ----------- 41,400 ----------- TOTAL PREFERRED STOCKS (Identified Cost $434,128) 454,803 ----------- FACE AMOUNT - ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT-0.8% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $189,075 on 4/03/00 collateralized by $160,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $198,118 USD 189,000 189,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $189,000) 189,000 ----------- TOTAL INVESTMENTS--97.2% (IDENTIFIED COST $21,857,765) @ 21,650,913 Cash and Other Assets, Less Liabilities--2.8% 613,389 ----------- NET ASSETS--100% $22,264,302 ===========
+ See Note 1. 144A Securities 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. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. PIK All or a portion of income may be received as additional securities. @ At March 31, 2000 the net unrealized depreciation on investments based on cost of 21,857,765 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $695,393 and $902,245, respectively, resulting in net unrealized depreciation of $206,852. KEY TO ABBREVIATIONS: CAD: Canadian Dollar NZD: New Zealand Dollar USD: United States Dollar ZAR: South African Rand See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES-97.3% OF NET ASSETS ARIZONA--1.9% Phoenix Street & Highway User, 6.250%, 7/01/11 $150,000 $ 156,713 ------------ CALIFORNIA--8.2% Foothill Eastern Transportation Corridor, Zero Coupon Bond, 1/01/23 500,000 133,190 Foothill Eastern Transportation Corridor, 6.000%, 1/01/16 250,000 270,487 Fresno Sewer Revenue, (AMBAC Insured), 6.250%, 9/01/14 250,000 278,813 ------------ 682,490 ------------ FLORIDA--3.3% Florida State Board of Education, Capital Outlay, 5.000%, 6/01/19 300,000 274,698 ------------ HAWAII--3.2% Hawaii State, (MBIA Insured), 4.750%, 4/01/18 300,000 264,180 ------------ ILLINOIS--2.2% Illinois Development Finance Authority Pollution Control, 7.250%, 6/01/11 25,000 25,783 Illinois State Sales Tax Revenue, 6.375%, 6/15/14 150,000 158,895 ------------ 184,678 ------------ KENTUCKY--3.0% Kentucky State Property & Building Commission Revenue, 4.500%, 5/01/03 250,000 247,160 ------------ MASSACHUSETTS--7.0% Massachusetts State College Building Authority, (MBIA Insured), 5.125%, 5/01/19 250,000 232,352 Massachusetts State Consolidated Loan, Series C, 4.500%, 9/01/04 100,000 98,464 Massachusetts State Water Pollution, Series A, 5.250%, 8/01/04 250,000 254,435 ------------ 585,251 ------------ MICHIGAN--5.6% Detroit, Michigan, (MBIA Insured), 5.000%, 4/01/06 250,000 250,127 Michigan State Trunk Line, Refunding Series A (MBIA Insured), 4.750%, 11/01/20 250,000 217,055 ------------ 467,182 ------------ NEW JERSEY--8.8% New Jersey Building Authority State Building, 5.750%, 6/15/09 250,000 262,172 New Jersey State Transportation Authority, Series A, 5.250%, 6/15/08 250,000 253,473 New Jersey State Turnpike Authority, 6.500%, 1/01/08 200,000 215,598 ------------ 731,243 ------------ NEW YORK--21.7% Long Island Power Authority New York, (FSA Insured), 5.000%, 12/01/18 250,000 229,493 New York City Housing Development Corp., 5.625%, 5/01/12 145,000 144,427 New York City Transitional Finance Authority, 5.000%, 8/15/13 200,000 192,254 New York State Certificates of Participation, 5.650%, 8/01/02 160,000 162,603 New York State Dormitory Authority, 5.100%, 2/15/12 250,000 235,810 New York State Dormitory Authority, 6.500%, 5/15/05 250,000 265,470 61 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES-CONTINUED NEW YORK--CONTINUED New York State Environmental Pollution Control, 5.150%, 6/15/13 $125,000 $ 123,063 New York State, General Obligation, 5.250%, 7/15/10 200,000 200,384 Tsasc Inc., 5.125%, 7/15/09 250,000 244,117 ------------ 1,797,621 ------------ NORTH CAROLINA--1.3% North Carolina Eastern Municipal Power, Refunding Series C, 5.375%, 1/01/05 110,000 108,655 ------------ PENNSYLVANIA--2.7% Philadelphia Pennsylvania, General Obligation (FGIC Insured), 4.750%, 5/15/16 250,000 223,695 ------------ PUERTO RICO--2.9% Puerto Rico Electric Power Authority, 6.125%, 7/01/09 225,000 241,645 ------------ RHODE ISLAND--3.0% Rhode Island Convention Center Authority, (MBIA Insured), 5.000%, 5/15/10 250,000 246,475 ------------ SOUTH CAROLINA--2.8% Georgetown County Pollution Control, Refunding Project Series A, 5.125%, 2/01/12 250,000 230,140 ------------ TENNESSEE--3.7% Metropolitan Nashville Airport, (FGIC Insured), 6.600%, 7/01/15 30,000 31,203 Shelby County, General Obligation Series A, 4.750%, 5/01/15 300,000 273,675 ------------ 304,878 ------------ TEXAS--4.6% San Antonio Electric & Gas Revenue, Refunding Series A, 5.000%, 2/01/18 250,000 228,975 University Texas University Revenue, Financing Systems Series B, 5.700%, 8/15/20 150,000 149,272 ------------ 378,247 ------------ VIRGINIA--6.2% Pocahontas Parkway Associates Virginia Toll, 5.000%, 8/15/11 300,000 265,299 Southeastern Public Service Authority Virginia, (MBIA Insured), 5.150%, 7/01/09 250,000 250,435 ------------ 515,734 ------------ WASHINGTON--2.4% Snohomish County, Washington Public Distribution Utility 1, Refunding, 5.000%, 12/01/05 200,000 200,280 ------------ WISCONSIN--2.8% Wisconsin State Transportation Revenue, Unrefunded Series B, 5.500%, 7/01/22, 5.500%, 7/01/22 250,000 236,198 ------------ TOTAL MUNICIPAL BONDS AND NOTES (Identified Cost $8,223,169) 8,077,163 ------------ LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENT-1.7% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $139,055 on 4/03/00 collateralized by $115,000 U.S. Treasury Bond, 8.500% due 2/15/20 with a value of $145,210 $139,000 $ 139,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $139,000) 139,000 ------------ TOTAL INVESTMENTS--99.0% (IDENTIFIED COST $8,362,169) @ 8,216,163 Cash and Other Assets, Less Liabilities--1.0% 85,959 ------------ NET ASSETS--100% $ 8,302,122 ============
+ See Note 1. @ At March 31, 2000, the net unrealized depreciation on investments based on cost of $ 8,362,169 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $ 138,703 and $284,709, respectively, resulting in net unrealized depreciation of $ 146,006. KEY TO ABBREVIATIONS: AMBAC: American Municipal Bond Assurance Corporation FGIC: Federal Guaranty Insurance Corporation FSA: Financial Security Assurance MBIA: Municipal Bond Insurance Association See accompanying notes to financial statements. 63 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES SHORT-TERM BOND FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------------- BONDS AND NOTES-95.1% OF NET ASSETS AIRLINES--1.0% Northwest Airlines Corp., 8.375%, 3/15/04 $400,000 $ 378,996 ------------ BROADCASTING--2.7% Adelphia Communications Corp., Series B, 9.250%, 10/01/02 1,000,000 990,000 ------------ CHEMICALS--2.8% ICI Wilmington, Inc., 8.750%, 5/01/01 1,000,000 1,010,910 ------------ DIVERSIFIED OPERATIONS--2.7% Textron, Inc., 6.750%, 9/15/02 1,000,000 984,990 ------------ FINANCIAL SERVICES--6.8% Associates Corp. of North America, 5.750%, 11/01/03 770,000 734,903 BankBoston Home Equity Loan Trust, 6.140%, 1/25/19 550,000 509,476 Fleetwood Credit Grantor Trust, 6.900%, 3/15/12 198,640 196,502 Ford Motor Credit Co., 6.125%, 4/28/03 710,000 684,433 Sears Roebuck Acceptance Corp., 6.950%, 5/15/02 340,000 337,192 ------------ 2,462,506 ------------ FOREIGN ISSUER--3.2% Alestra SA de RL de CV, 12.125%, 5/15/06 600,000 600,000 PDVSA Finance Ltd., 6.650%, 2/15/06 645,000 557,808 ------------ 1,157,808 ------------ FOREST & PAPER PRODUCTS--1.0% Fort James Corp., 6.625%, 9/15/04 360,000 345,474 ------------ GOVERNMENT AGENCIES--18.2% Federal Home Loan Mortgage Corp., 5.750%, 6/15/01 2,100,000 2,075,388 Federal Home Loan Mortgage Corp., 6.000%, 2/01/13 370,754 349,317 Federal Home Loan Mortgage Corp., 6.500%, 5/15/08 355,264 346,158 Federal National Mortgage Association, 5.650%, 6/12/00 2,300,000 2,296,412 Federal National Mortgage Association, 6.000%, 3/01/13 922,743 872,084 Federal National Mortgage Association, 6.000%, 4/01/13 663,569 627,139 ------------ 6,566,498 ------------ MANUFACTURING--2.6% FMC Corp., 7.125%, 11/25/02 975,000 954,923 ------------ MORTGAGE RELATED--1.8% Residential Funding Mortgage, Inc., 6.750%, 12/25/14 688,584 662,280 ------------ OIL & GAS--6.8% Nabors Industries, Inc., 6.800%, 4/15/04 1,000,000 970,040 Occidental Petroleum Corp., 6.400%, 4/01/03 500,000 486,045 Tosco Corp., 7.625%, 5/15/06 1,000,000 990,260 ------------ 2,446,345 ------------ OIL & GAS EXPLORATION--0.8% Parker & Parsley Petroleum Co., 8.875%, 4/15/05 275,000 275,619 ------------ LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES SHORT-TERM BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------------- BONDS AND NOTES-CONTINUED PACKAGING--2.8% Stone Container Corp., 12.250%, 4/01/02 $1,000,000 $ 1,007,500 ------------ REAL ESTATE INVESTMENT TRUSTS--4.7% Host Marriot Corp., Series A, 7.875%, 8/01/05 600,000 526,500 Meditrust Corp., 7.375%, 7/15/00 1,000,000 980,000 Oasis Residential, Inc., 7.000%, 11/15/03 200,000 191,952 ------------ 1,698,452 ------------ RESTAURANTS--1.8% Tricon Global Restaurants, Inc., 7.450%, 5/15/05 680,000 652,854 ------------ RETAIL--GENERAL--1.1% Dillard's, Inc., 6.430%, 8/01/04 410,000 380,881 ------------ SECURITIES--2.7% Morgan Stanley Dean Witter & Co., 7.125%, 1/15/03 1,000,000 993,430 ------------ TELECOMMUNICATIONS--4.2% A T & T Corp., 6.800%, 2/01/01 1,000,000 996,380 Sprint Spectrum LP, Zero Coupon Bond, 8/15/06 (step to 12.500% on 8/15/01) # 560,000 535,971 ------------ 1,532,351 ------------ TEXTILE & APPAREL--0.8% Tommy Hilfiger Corp., 6.500%, 6/01/03 300,000 276,531 ------------ TRUCKING & LEASING--1.1% Amerco, 7.850%, 5/15/03 420,000 402,536 ------------ U.S. GOVERNMENT--22.8% U.S. Treasury Notes, 6.250%, 2/28/02 4,000,000 3,981,240 U.S. Treasury Notes, 6.250%, 8/31/02 3,570,000 3,550,472 U.S. Treasury Strips, Zero Coupon Bond, 11/15/01 800,000 721,184 ------------ 8,252,896 ------------ WASTE MANAGEMENT--2.7% Waste Management, Inc., 6.000%, 5/15/01 1,000,000 962,250 ------------ TOTAL BONDS AND NOTES (Identified Cost $35,114,591) 34,396,030 ------------ 65 LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES SHORT-TERM BOND FUND (CONTINUED) PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED) FACE AMOUNT VALUE + - ----------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT-10.3% OF NET ASSETS Repurchase Agreement with State Street Bank and Trust Co., dated 3/31/00 at 4.750% to be repurchased at $3,744,482 on 4/03/00 collateralized by $3,085,000 U.S. Treasury Bond, 8.000% due 11/15/21 with a value of $3,819,955 $3,743,000 $ 3,743,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $3,743,000) 3,743,000 ------------ TOTAL INVESTMENTS--105.4% (IDENTIFIED COST $38,857,591) @ 38,139,030 Liabilities, Less Cash and Other Assets--(5.4%) (1,960,439) ------------ NET ASSETS--100% $36,178,591 ============
+ See Note 1. # Step Bond: Coupon is zero or below market rate for an initial period and then increases at a specified date and rate. @ At March 31, 2000, the unrealized depreciation on investments based on cost of $38,857,591 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $22,684 and $741,245, respectively, resulting in net unrealized depreciation of $718,561. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE AMOUNT VALUE + - ------------------------------------------------------------------------------------------------------ BONDS AND NOTES-98.4% OF NET ASSETS GOVERNMENT AGENCIES--32.9% Federal National Mortgage Association, 6.250%, 5/15/29 $ 500,000 $ 450,780 Government National Mortgage Association, 6.500%, 5/15/28 1,911,472 1,803,952 Government National Mortgage Association, 7.000%, 1/15/28 831,200 805,483 Government National Mortgage Association, 7.500%, 9/15/27 1,452,303 1,441,861 ------------ 4,502,076 ------------ U.S. GOVERNMENT--65.5% U.S. Treasury Bonds, 6.000%, 2/15/26 1,000,000 988,120 U.S. Treasury Bonds, 7.250%, 5/15/16 4,150,000 4,585,750 U.S. Treasury Bonds, 7.500%, 11/15/24 1,200,000 1,408,500 U.S. Treasury Notes, 6.000%, 8/15/09 2,000,000 1,974,680 ------------ 8,957,050 ------------ TOTAL BONDS AND NOTES (Identified Cost $13,473,177) 13,459,126 ------------ TOTAL INVESTMENTS--98.4% (IDENTIFIED COST $13,473,177) @ 13,459,126 Cash and Other Assets, Less Liabilities--1.6% 223,731 ------------ NET ASSETS--100% $13,682,857 ============
+ See Note 1. @ At March 31, 2000, the unrealized depreciation on investments based on cost of $13,473,177 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost and aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value were $201,273 and $215,324, respectively, resulting in net unrealized depreciation of $14,051. See accompanying notes to financial statements. 67 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2000 (UNAUDITED)
GLOBAL BOND BOND FUND FUND - ----------------------------------------------------------------------------------------------------------- ASSETS Investments at value $1,705,191,954 $44,178,273 Cash 97 84 Receivable for: Fund shares sold 6,663,153 76,664 Securities sold 2,727,619 0 Dividends and interest 26,015,419 910,306 Due from the adviser (Note 3) 37 226 Other assets (Note 1I) 0 0 -------------- ----------- 1,740,598,279 45,165,553 -------------- ----------- LIABILITIES Payable for: Securities purchased 5,097,713 0 Fund shares redeemed 1,344,267 450 Forward foreign currency exchange contracts (Note 1D) 0 25,856 Dividends declared 9,459 0 Accrued expenses: Management fees (Note 3) 28,349 739 Trustees' fees (Note 3A) 1,138 1,139 Administrative fees 62,271 2,025 Other (Note 3) 606,153 42,411 -------------- ----------- 7,149,350 72,620 -------------- ----------- NET ASSETS $1,733,448,929 $45,092,933 ============== =========== Net Assets consist of: Capital paid in $1,808,471,855 $48,211,969 Undistributed (or Distribution in excess of) net investment income 32,092,156 695,781 Accumulated net realized gain (loss) (23,942,483) 176,020 Unrealized appreciation (depreciation) on: Investments * (83,134,724) (3,928,337) Foreign currency translations (37,875) (62,500) -------------- ----------- NET ASSETS $1,733,448,929 $45,092,933 ============== =========== INSTITUTIONAL CLASS: Net assets $1,660,667,985 $34,841,257 Shares of beneficial interest outstanding, no par value 138,234,914 3,063,112 Net asset value and redemption price per Institutional share** $ 12.01 $ 11.37 RETAIL CLASS: Net assets $ 70,274,450 $10,251,676 Shares of beneficial interest outstanding, no par value 5,855,815 902,156 Net asset value and redemption price per Retail share $ 12.00 $ 11.36 ADMIN CLASS: Net assets $ 2,506,494 -- Shares of beneficial interest outstanding, no par value 208,979 -- Net asset value and redemption price per Admin share $ 11.99 -- J CLASS: Net assets -- -- Shares of beneficial interest outstanding, no par value -- -- Net asset value and redemption price per J share -- -- Maximum offering price per share (net asset value/96.50%) -- -- Identified cost of investments $1,788,326,678 $48,106,610 ============== =========== * NET OF CAPITAL GAIN WITHHOLDING TAXES OF $1,189 FOR THE HIGH YIELD FUND. ** THE REDEMPTION PRICE PER SHARE FOR THE INSTITUTIONAL CLASS OF THE HIGH YIELD FUND FOR SHARES HELD LESS THAN ONE YEAR IS EQUAL TO NET ASSET VALUE LESS 2% OF THE AMOUNT REDEEMED. (SEE NOTE 1H). SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. HIGH INTERMEDIATE INVESTMENT YIELD MATURITY BOND GRADE BOND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------------- ASSETS Investments at value $23,052,809 $13,831,141 $21,650,913 Cash 95 710 251 Receivable for: Fund shares sold 0 0 193,371 Securities sold 308,784 0 0 Dividends and interest 423,432 246,759 387,615 Due from the adviser (Note 3) 350 401 70,454 Other assets (Note 1I) 2,604 60 0 ----------- ----------- ----------- 23,788,074 14,079,071 22,302,604 ----------- ----------- ----------- LIABILITIES Payable for: Securities purchased 294,144 197,536 0 Fund shares redeemed 21,478 0 4,044 Forward foreign currency exchange contracts (Note 1D) 0 0 0 Dividends declared 0 0 0 Accrued expenses: Management fees (Note 3) 385 151 241 Trustees' fees (Note 3A) 1,139 1,135 1,116 Administrative fees 738 961 1,449 Other (Note 3) 53,166 32,149 31,452 ----------- ----------- ----------- 371,050 231,932 38,302 ----------- ----------- ----------- NET ASSETS $23,417,024 $13,847,139 $22,264,302 =========== =========== =========== Net Assets consist of: Capital paid in $24,121,908 $14,325,583 $22,483,001 Undistributed (or Distribution in excess of) net investment income 567,962 201,779 126,597 Accumulated net realized gain (loss) (362,997) (249,317) (138,359) Unrealized appreciation (depreciation) on: Investments * (909,428) (430,949) (206,852) Foreign currency translations (421) 43 (85) ----------- ----------- ----------- NET ASSETS $23,417,024 $13,847,139 $22,264,302 =========== =========== =========== INSTITUTIONAL CLASS: Net assets $23,417,024 $11,870,613 $ 2,592,602 Shares of beneficial interest outstanding, no par value 2,581,577 1,246,784 256,269 Net asset value and redemption price per Institutional share** $ 9.07 $ 9.52 $ 10.12 RETAIL CLASS: Net assets -- $ 1,976,526 $ 2,857,002 Shares of beneficial interest outstanding, no par value -- 207,840 282,526 Net asset value and redemption price per Retail share -- $ 9.51 $ 10.11 ADMIN CLASS: Net assets -- -- -- Shares of beneficial interest outstanding, no par value -- -- -- Net asset value and redemption price per Admin share -- -- -- J CLASS: Net assets -- -- $16,814,698 Shares of beneficial interest outstanding, no par value -- -- 1,663,450 Net asset value and redemption price per J share -- -- $ 10.11 Maximum offering price per share (net asset value/96.50%) -- -- $ 10.48 Identified cost of investments $23,961,048 $14,262,090 $21,857,765 =========== =========== =========== U.S. MUNICIPAL SHORT-TERM GOVERNMENT BOND BOND SECURITIES FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------------- ASSETS Investments at value $8,216,163 $38,139,030 $13,459,126 Cash 776 95 53,556 Receivable for: Fund shares sold 0 77 0 Securities sold 0 0 0 Dividends and interest 121,385 594,202 207,021 Due from the adviser (Note 3) 294 243 275 Other assets (Note 1I) 0 0 0 ---------- ----------- ----------- 8,338,618 38,733,647 13,719,978 ---------- ----------- ----------- LIABILITIES Payable for: Securities purchased 0 2,503,176 0 Fund shares redeemed 0 0 35 Forward foreign currency exchange contracts (Note 1D) 0 0 0 Dividends declared 9,719 17,152 0 Accrued expenses: Management fees (Note 3) 68 245 112 Trustees' fees (Note 3A) 1,135 1,149 1,152 Administrative fees 911 2,261 953 Other (Note 3) 24,663 31,073 34,869 ---------- ----------- ----------- 36,496 2,555,056 37,121 ---------- ----------- ----------- NET ASSETS $8,302,122 $36,178,591 $13,682,857 ========== =========== =========== Net Assets consist of: Capital paid in $8,505,587 $37,620,996 $14,284,003 Undistributed (or Distribution in excess of) net investment income 12,106 8,047 229,872 Accumulated net realized gain (loss) (69,565) (731,891) (816,967) Unrealized appreciation (depreciation) on: Investments * (146,006) (718,561) (14,051) Foreign currency translations 0 0 0 ---------- ----------- ----------- NET ASSETS $8,302,122 $36,178,591 $13,682,857 ========== =========== =========== INSTITUTIONAL CLASS: Net assets $8,302,122 $35,584,686 $13,682,857 Shares of beneficial interest outstanding, no par value 763,469 3,794,979 1,300,705 Net asset value and redemption price per Institutional share** $ 10.87 $ 9.38 $ 10.52 RETAIL CLASS: Net assets -- $ 593,905 -- Shares of beneficial interest outstanding, no par value -- 63,349 -- Net asset value and redemption price per Retail share -- $ 9.38 -- ADMIN CLASS: Net assets -- -- -- Shares of beneficial interest outstanding, no par value -- -- -- Net asset value and redemption price per Admin share -- -- -- J CLASS: Net assets -- -- -- Shares of beneficial interest outstanding, no par value -- -- -- Net asset value and redemption price per J share -- -- -- Maximum offering price per share (net asset value/96.50%) -- -- -- Identified cost of investments $8,362,169 $38,857,591 $13,473,177 ========== =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 69 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 2000 (UNAUDITED)
GLOBAL BOND BOND FUND FUND - ----------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends* $ 1,937,416 $ 0 Interest 70,111,036 1,566,684 ------------ ----------- 72,048,452 1,566,684 ------------ ----------- Expenses Management fees (Note 3) 4,865,663 127,041 12b-1 fees (Retail Class) 77,071 10,423 12b-1 fees (Admin Class) 2,784 0 12b-1 fees (J Class) 0 0 Trustees' fees and expenses (Note 3A) 2,022 2,022 Administrative fees 339,958 12,375 Custodian and accounting fees 223,432 37,541 Transfer agent fees (Institutional Class) (Note 3) 441,991 14,420 Transfer agent fees (Retail Class) (Note 3) 27,606 10,163 Transfer agent fees (Admin Class) 9,653 0 Transfer agent fees (J Class) (Note 3) 0 0 Audit and tax services fees 27,121 15,659 Registration fees 56,273 10,881 Amortization of organization expenses (Note 1I): Institutional Class 0 0 Other expenses 105,543 8,804 ------------ ----------- Total expenses 6,179,117 249,329 Less expenses waived and reimbursed by the investment adviser (Note 3) (16,638) (48,345) ------------ ----------- Net expenses 6,162,479 200,984 ------------ ----------- Net investment income 65,885,973 1,365,700 ------------ ----------- NET REALIZED GAIN (LOSS) ON: Investments (21,450,898) 242,812 Foreign currency transactions (16,784) (56,833) ------------ ----------- Total net realized gain (loss) (21,467,682) 185,979 ------------ ----------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments** 66,551,087 (1,985,844) Foreign currency translations (46,919) (21,039) ------------ ----------- Total net change in unrealized appreciation (depreciation) 66,504,168 (2,006,883) ------------ ----------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) 45,036,486 (1,820,904) ------------ ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $110,922,459 $ (455,204) ============ =========== * NET OF FOREIGN WITHHOLDING TAXES OF $309 FOR THE HIGH YIELD FUND. ** NET OF CHANGE IN CAPITAL GAIN WITHHOLDING TAXES OF $535 FOR THE HIGH YIELD FUND. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. HIGH INTERMEDIATE INVESTMENT YIELD MATURITY BOND GRADE BOND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends* $ 69,392 $ 0 $ 14,761 Interest 1,188,001 435,909 845,103 ---------- -------- ---------- 1,257,393 435,909 859,864 ---------- -------- ---------- Expenses Management fees (Note 3) 66,216 23,796 42,974 12b-1 fees (Retail Class) 0 2,330 3,385 12b-1 fees (Admin Class) 0 0 0 12b-1 fees (J Class) 0 0 61,328 Trustees' fees and expenses (Note 3A) 2,021 2,022 2,021 Administrative fees 5,891 4,865 15,121 Custodian and accounting fees 27,583 30,675 38,148 Transfer agent fees (Institutional Class) (Note 3) 14,822 12,522 12,248 Transfer agent fees (Retail Class) (Note 3) 0 9,649 9,658 Transfer agent fees (Admin Class) 0 0 0 Transfer agent fees (J Class) (Note 3) 0 0 3,704 Audit and tax services fees 13,518 9,177 9,177 Registration fees 8,869 9,001 9,245 Amortization of organization expenses (Note 1I): Institutional Class 853 0 0 Other expenses 9,485 7,055 83,669 ---------- -------- ---------- Total expenses 149,258 111,092 290,678 Less expenses waived and reimbursed by the investment adviser (Note 3) (66,488) (76,043) (166,875) ---------- -------- ---------- Net expenses 82,770 35,049 123,803 ---------- -------- ---------- Net investment income 1,174,623 400,860 736,061 ---------- -------- ---------- NET REALIZED GAIN (LOSS) ON: Investments (172,841) (16,037) (42,810) Foreign currency transactions (5) 0 59 ---------- -------- ---------- Total net realized gain (loss) (172,846) (16,037) (42,751) ---------- -------- ---------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments** 1,414,157 17,934 393,558 Foreign currency translations (531) 27 (214) ---------- -------- ---------- Total net change in unrealized appreciation (depreciation) 1,413,626 17,961 393,344 ---------- -------- ---------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) 1,240,780 1,924 350,593 ---------- -------- ---------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $2,415,403 $402,784 $1,086,654 ========== ======== ========== U.S. MUNICIPAL SHORT-TERM GOVERNMENT BOND BOND SECURITIES FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends* $ 0 $ 0 $ 0 Interest 230,294 1,083,550 521,141 -------- ---------- -------- 230,294 1,083,550 521,141 -------- ---------- -------- Expenses Management fees (Note 3) 13,264 39,589 23,014 12b-1 fees (Retail Class) 0 868 0 12b-1 fees (Admin Class) 0 0 0 12b-1 fees (J Class) 0 0 0 Trustees' fees and expenses (Note 3A) 2,021 2,022 2,021 Administrative fees 2,164 9,512 3,147 Custodian and accounting fees 22,638 27,512 19,073 Transfer agent fees (Institutional Class) (Note 3) 12,723 14,517 14,377 Transfer agent fees (Retail Class) (Note 3) 0 9,526 0 Transfer agent fees (Admin Class) 0 0 0 Transfer agent fees (J Class) (Note 3) 0 0 0 Audit and tax services fees 8,515 9,675 9,293 Registration fees 6,834 10,279 6,959 Amortization of organization expenses (Note 1I): Institutional Class 0 0 0 Other expenses 6,884 7,315 9,149 -------- ---------- -------- Total expenses 75,043 130,815 87,033 Less expenses waived and reimbursed by the investment adviser (Note 3) (52,936) (71,255) (48,677) -------- ---------- -------- Net expenses 22,107 59,560 38,356 -------- ---------- -------- Net investment income 208,187 1,023,990 482,785 -------- ---------- -------- NET REALIZED GAIN (LOSS) ON: Investments (67,072) (187,182) (384,165) Foreign currency transactions 0 0 0 -------- ---------- -------- Total net realized gain (loss) (67,072) (187,182) (384,165) -------- ---------- -------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments** 10,919 (255,592) 519,145 Foreign currency translations 0 0 0 -------- ---------- -------- Total net change in unrealized appreciation (depreciation) 10,919 (255,592) 519,145 -------- ---------- -------- Total net realized gain (loss) and change in unrealized appreciation (depreciation) (56,153) (442,774) 134,980 -------- ---------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $152,034 $ 581,216 $617,765 ======== ========== ========
* NET OF FOREIGN WITHHOLDING TAXES OF $309 FOR THE HIGH YIELD FUND. ** NET OF CHANGE IN CAPITAL GAIN WITHHOLDING TAXES OF $535 FOR THE HIGH YIELD FUND. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 71 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 65,885,973 $ 128,881,830 Net realized gain (loss) (21,467,682) 18,870,044 Change in unrealized appreciation (depreciation) 66,504,168 (35,325,692) -------------- -------------- Increase (decrease) in net assets from operations 110,922,459 112,426,182 -------------- -------------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (63,125,228) (122,784,914) Net realized gain on investments 0 (61,875,293) Retail Class Net investment income (2,305,994) (4,275,392) Net realized gain on investments 0 (2,285,658) Admin Class Net Investment Income (79,152) (90,938) Net realized gain on investments 0 (52,035) -------------- -------------- (65,510,374) (191,364,230) -------------- -------------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 89,165,129 167,959,892 -------------- -------------- Total increase (decrease) in net assets 134,577,214 89,021,844 NET ASSETS Beginning of the period 1,598,871,715 1,509,849,871 -------------- -------------- End of the period $1,733,448,929 $1,598,871,715 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 32,092,156 $ 31,716,557 ============== ==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS GLOBAL BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 1,365,700 $ 2,515,205 Net realized gain (loss) 185,979 883,182 Change in unrealized appreciation (depreciation) (2,006,883) 1,728,984 ----------- ----------- Increase (decrease) in net assets from operations (455,204) 5,127,371 ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (1,914,609) (1,752,877) Net realized gain on investments (1,173,369) (736,862) Retail Class Net investment income (425,871) (288,728) Net realized gain on investments (265,483) (127,023) ----------- ----------- (3,779,332) (2,905,490) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 8,068,036 2,802,005 ----------- ----------- Total increase (decrease) in net assets 3,833,500 5,023,886 NET ASSETS Beginning of the period 41,259,433 36,235,547 ----------- ----------- End of the period $45,092,933 $41,259,433 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 695,781 $ 1,670,561 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 73 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS HIGH YIELD FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 1,174,623 $ 2,102,109 Net realized gain (loss) (172,846) (187,724) Change in unrealized appreciation (depreciation) 1,413,626 1,138,430 ----------- ----------- Increase (decrease) in net assets from operations 2,415,403 3,052,815 ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net Investment income (1,205,588) (1,560,761) Net realized gain on investments (2,459) (238,840) Retail Class Net investment income 0 (270,450) Net realized gain on investments 0 (125,847) ----------- ----------- (1,208,047) (2,195,898) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 2,059,570 8,611,790 ----------- ----------- Redemption Fees (Note 1H) 518 36,460 ----------- ----------- Total increase (decrease) in net assets 3,267,444 9,505,167 NET ASSETS Beginning of the period 20,149,580 10,644,413 ----------- ----------- End of the period $23,417,024 $20,149,580 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 567,962 $ 598,927 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS INTERMEDIATE MATURITY BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 400,860 $ 696,954 Net realized gain (loss) (16,037) (219,936) Change in unrealized appreciation (depreciation) 17,961 (188,090) ----------- ----------- Increase (decrease) in net assets from operations 402,784 288,928 ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (316,846) (636,123) Net realized gain on investments 0 (77,718) RETAIL CLASS Net investment income (61,493) (60,288) Net realized gain on investments 0 (6,918) ----------- ----------- (378,339) (781,047) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 3,064,965 1,985,972 ----------- ----------- Total increase (decrease) in net assets 3,089,410 1,493,853 NET ASSETS Beginning of the period 10,757,729 9,263,876 ----------- ----------- End of the period $13,847,139 $10,757,729 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 201,779 $ 179,258 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 75 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS INVESTMENT GRADE BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 736,061 $ 651,731 Net realized gain (loss) (42,751) (29,646) Change in unrealized appreciation (depreciation) 393,344 (410,003) ----------- ----------- Increase (decrease) in net assets from operations 1,086,654 212,082 ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (88,910) (194,834) Net realized gain on investments 0 (69,604) RETAIL CLASS Net investment income (95,287) (158,241) Net realized gain on investments 0 (64,811) J Class Net investment income (539,290) (258,512) ----------- ----------- (723,487) (746,002) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 606,074 17,308,327 ----------- ----------- Total increase (decrease) in net assets 969,241 16,774,407 NET ASSETS Beginning of the period 21,295,061 4,520,654 ----------- ----------- End of the period $22,264,302 $21,295,061 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 126,597 $ 114,023 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS MUNICIPAL BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 208,187 $ 464,723 Net realized gain (loss) (67,072) 31,069 Change in unrealized appreciation (depreciation) 10,919 (784,422) ----------- ----------- Increase (decrease) in net assets from operations 152,034 (288,630) ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (208,187) (464,723) Net realized gain on investments (8,414) (163,734) ----------- ----------- (216,601) (628,457) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions (1,455,836) 683,252 ----------- ----------- Total increase (decrease) in net assets (1,520,403) (233,835) NET ASSETS Beginning of the period 9,822,525 10,056,360 ----------- ----------- End of the period $ 8,302,122 $ 9,822,525 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 12,106 $ 12,106 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 77 LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS SHORT-TERM BOND FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 1,023,990 $ 1,772,846 Net realized gain (loss) (187,182) (142,500) Change in unrealized appreciation (depreciation) (255,592) (1,150,808) ----------- ----------- Increase (decrease) in net assets from operations 581,216 479,538 ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (1,002,457) (1,735,033) RETAIL CLASS Net investment income (21,533) (37,813) ----------- ----------- (1,023,990) (1,772,846) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions 8,985,791 867,559 ----------- ----------- Total increase (decrease) in net assets 8,543,017 (425,749) NET ASSETS Beginning of the period 27,635,574 28,061,323 ----------- ----------- End of the period $36,178,591 $27,635,574 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 8,047 $ 8,047 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. LOOMIS SAYLES FIXED INCOME FUNDS STATEMENTS OF CHANGES IN NET ASSETS U.S. GOVERNMENT SECURITIES FUND
SIX MONTHS ENDED YEAR MARCH 31, ENDED 2000 SEPTEMBER 30, (UNAUDITED) 1999 - --------------------------------------------------------------------------------- FROM OPERATIONS Net investment income $ 482,785 $ 1,137,504 Net realized gain (loss) (384,165) (28,225) Change in unrealized appreciation (depreciation) 519,145 (1,901,732) ----------- ----------- Increase (decrease) in net assets from operations 617,765 (792,453) ----------- ----------- FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income (467,089) (1,273,767) ----------- ----------- (467,089) (1,273,767) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS (NOTE 6) Increase (decrease) in net assets derived from capital share transactions (2,609,275) (11,038,231) ----------- ----------- Total increase (decrease) in net assets (2,458,599) (13,104,451) NET ASSETS Beginning of the period 16,141,456 29,245,907 ----------- ----------- End of the period $13,682,857 $16,141,456 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME End of the period $ 229,872 $ 214,176 =========== ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 79 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS BOND FUND
INSTITUTIONAL CLASS ---------------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, ---------------------------------------------------------------- (UNAUDITED) 1999 1998 1997 - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 11.70 $ 12.30 $ 12.83 $ 12.38 ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS- Net investment income (loss) 0.47 0.98 0.69 0.86 Net realized and unrealized gain (loss) on investments 0.32 (0.06) (0.78) 0.67 ---------- ---------- ---------- ---------- Total from investment operations 0.79 0.92 (0.09) 1.53 ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS- Dividends from net investment income (0.48) (1.00) (0.44) (0.86) Distributions from net realized capital gains 0.00 (0.52) 0.00 (0.22) ---------- ---------- ---------- ---------- Total distributions (0.48) (1.52) (0.44) (1.08) ---------- ---------- ---------- ---------- Net asset value, end of period $ 12.01 $ 11.70 $ 12.30 $ 12.83 ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total return (%)(a) 7.0 7.6 (0.9) 12.7 Net assets, end of period (000) $1,660,668 $1,541,834 $1,455,312 $1,261,910 Ratios to average net assets: Net expenses (%)(b)(c) 0.75 0.75 0.75 0.75 Gross expenses (%)(c) 0.75 0.75 0.76 0.77 Net investment income (loss) (%)(c) 8.13 8.15 7.34 7.36 Portfolio turnover (%) 15 33 24 41
* FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER 31, 1997. ** FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1998 THROUGH SEPTEMBER 30, 1998. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
INSTITUTIONAL CLASS RETAIL CLASS ---------------------- --------------------------------------------------------- SIX MONTHS NINE MONTHS YEAR ENDED ENDED YEAR ENDED ENDED PERIOD ENDED DECEMBER 31, MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, --------------------- -------------- ------------- ------------- ----------- 1996 1995 (UNAUDITED) 1999 1998 1997* - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 12.29 $ 10.05 $ 11.69 $ 12.29 $ 12.82 $ 12.38 -------- -------- ------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.86 0.82 0.45 0.96 0.66 0.84(d) Net realized and unrealized gain (loss) on investments 0.35 2.32 0.33 (0.08) (0.77) 0.65 -------- -------- ------- ------- ------- ------- Total from investment operations 1.21 3.14 0.78 0.88 (0.11) 1.49 -------- -------- ------- ------- ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.86) (0.82) (0.47) (0.96) (0.42) (0.83) Distributions from net realized capital gains (0.26) (0.08) 0.00 (0.52) 0.00 (0.22) -------- -------- ------- ------- ------- ------- Total distributions (1.12) (0.90) (0.47) (1.48) (0.42) (1.05) -------- -------- ------- ------- ------- ------- Net asset value, end of period $ 12.38 $ 12.29 $ 12.00 $ 11.69 $ 12.29 $ 12.82 ======== ======== ======= ======= ======= ======= Total return (%)(a) 10.3 32.0 6.9 7.3 (1.1) 12.4 Net assets, end of period (000) $541,244 $255,710 $70,274 $55,490 $53,908 $33,240 Ratios to average net assets: Net expenses (%)(b)(c) 0.75 0.79 1.00 1.00 1.00 1.00 Gross expenses (%)(c) 0.75 0.79 1.03 1.04 1.06 1.20 Net investment income (loss) (%)(c) 7.93 8.34 7.90 7.90 7.13 7.09 Portfolio turnover (%) 42 35 15 33 24 41 ADMIN CLASS ---------------------------------------------------- SIX MONTHS ENDED YEAR ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, --------------- -------------- ------------- (UNAUDITED) 1999 1998** - ------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $11.69 $12.28 $12.83 ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.41 0.92(d) 0.47 Net realized and unrealized gain (loss) on investments 0.34 (0.06) (0.62) ------ ------ ------ Total from investment operations 0.75 0.86 (0.15) ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.45) (0.93) (0.40) Distributions from net realized capital gains 0.00 (0.52) 0.00 ------ ------ ------ Total distributions (0.45) (1.45) (0.40) ------ ------ ------ Net asset value, end of period $11.99 $11.69 $12.28 ====== ====== ====== Total return (%)(a) 6.7 7.1 (1.3) Net assets, end of period (000) $2,506 $1,548 $ 630 Ratios to average net assets: Net expenses (%)(b)(c) 1.25 1.25 1.25 Gross expenses (%)(c) 1.81 2.38 6.32 Net investment income (loss) (%)(c) 7.64 7.66 7.45 Portfolio turnover (%) 15 33 24
81 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS GLOBAL BOND FUND
INSTITUTIONAL CLASS ------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, -------------- ------------- ------------ (UNAUDITED) 1999 1998 - ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.60 $ 11.93 $ 11.83 ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.35 0.79 0.53 Net realized and unrealized gain (loss) on investments (0.48) 0.87 (0.43) ------- ------- ------- Total from investment operations (0.13) 1.66 0.10 ------- ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.67) (0.70) 0.00 Distributions in excess of net investment income 0.00 0.00 0.00 Distributions from net realized capital gains (0.43) (0.29) 0.00 ------- ------- ------- Total distributions (1.10) (0.99) 0.00 ------- ------- ------- Net asset value, end of period $ 11.37 $ 12.60 $ 11.93 ======= ======= ======= Total return (%)(a) (1.2) 14.2 0.9 Net assets, end of period (000) $34,841 $34,154 $29,860 Ratios to average net assets: Net expenses (%)(b)(c) 0.90 0.90 0.90 Gross expenses (%)(c) 1.10 1.10 1.18 Net investment income (loss) (%)(c) 6.50 6.32 6.00 Portfolio turnover (%) 7 42 28
* FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER 31, 1997. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
INSTITUTIONAL CLASS ------------------------------------------ YEAR ENDED DECEMBER 31, ------------------------------------------ 1997 1996 1995 - ------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.35 $ 11.39 $ 9.82 ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.71 0.44 1.04 Net realized and unrealized gain (loss) on investments (0.42) 1.27 1.31 ------- ------- ------- Total from investment operations 0.29 1.71 2.35 ------- ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.69) (0.75) (0.78) Distributions in excess of net investment income (0.12) 0.00 0.00 Distributions from net realized capital gains 0.00 0.00 0.00 ------- ------- ------- Total distributions (0.81) (0.75) (0.78) ------- ------- ------- Net asset value, end of period $ 11.83 $ 12.35 $ 11.39 ======= ======= ======= Total return (%)(a) 2.3 15.0 23.9 Net assets, end of period (000) $28,401 $26,513 $10,304 Ratios to average net assets: Net expenses (%)(b)(c) 0.90 1.50 1.50 Gross expenses (%)(c) 1.22 1.77 1.69 Net investment income (loss) (%)(c) 5.88 6.37 8.17 Portfolio turnover (%) 75 131 148 RETAIL CLASS ---------------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, -------------- ------------- ------------- ------------- (UNAUDITED) 1999 1998 1997* - -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 12.57 $11.91 $11.83 $12.35 ------- ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.30 0.76(d) 0.44 0.63(d) Net realized and unrealized gain (loss) on investments (0.44) 0.86 (0.36) (0.37) ------- ------ ------ ------ Total from investment operations (0.14) 1.62 0.08 0.26 ------- ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.64) (0.67) 0.00 (0.69) Distributions in excess of net investment income 0.00 0.00 0.00 (0.09) Distributions from net realized capital gains (0.43) (0.29) 0.00 0.00 ------- ------ ------ ------ Total distributions (1.07) (0.96) 0.00 (0.78) ------- ------ ------ ------ Net asset value, end of period $ 11.36 $12.57 $11.91 $11.83 ======= ====== ====== ====== Total return (%)(a) (1.3) 13.8 0.7 2.0 Net assets, end of period (000) $10,252 $7,106 $6,376 $4,694 Ratios to average net assets: Net expenses (%)(b)(c) 1.15 1.15 1.15 1.15 Gross expenses (%)(c) 1.51 1.61 1.78 2.44 Net investment income (loss) (%)(c) 6.26 6.08 5.77 5.60 Portfolio turnover (%) 7 42 28 75
83 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS HIGH YIELD FUND
INSTITUTIONAL CLASS ----------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, -------------- ------------- (UNAUDITED) 1999 - -------------------------------------------------------------------------------- Net asset value, beginning of period $ 8.61 $ 8.17 ------- ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.47 0.91 Net realized and unrealized gain (loss) on investments 0.49 0.68 ------- ------- Total from investment operations 0.96 1.59 ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.50) (0.96) Distributions from net realized capital gains 0.00(e) (0.21) ------- ------- Total distributions (0.50) (1.17) ------- ------- Redemption fees 0.00(e) 0.02 ------- ------- Net asset value, end of period $ 9.07 $ 8.61 ======= ======= Total return (%)(a) 11.7 21.0 Net assets, end of period (000) $23,417 $20,150 Ratios to average net assets: Net expenses (%)(b)(c) 0.75 0.75 Gross expenses (%)(c) 1.35 1.81 Net investment income (loss) (%)(c) 10.64 11.61 Portfolio turnover (%) 20 24
* COMMENCEMENT OF FUND OPERATIONS ON SEPTEMBER 11, 1996. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. (e) AMOUNT IS LESS THAN $0.01 PER SHARE.
INSTITUTIONAL CLASS ----------------------------------------------- NINE MONTHS ENDED YEAR ENDED PERIOD ENDED SEPTEMBER 30, DECEMBER 31, DECEMBER 31, ------------- ------------ ------------ 1998 1997 1996* - ------------------------------------------------------------------------------------------------ Net asset value, beginning of period $10.12 $10.11 $10.00 ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.78(d) 0.83 0.20 Net realized and unrealized gain (loss) on investments (2.28) 0.27 0.11 ------ ------ ------ Total from investment operations (1.50) 1.10 0.31 ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.46) (0.86) (0.20) Distributions from net realized capital gains 0.00 (0.26) 0.00 ------ ------ ------ Total distributions (0.46) (1.12) (0.20) ------ ------ ------ Redemption fees 0.01 0.03 0.00 ------ ------ ------ Net asset value, end of period $ 8.17 $10.12 $10.11 ====== ====== ====== Total return (%)(a) (15.6) 11.4 3.1 Net assets, end of period (000) $6,624 $5,266 $1,939 Ratios to average net assets: Net expenses (%)(b)(c) 0.75 0.75 0.75 Gross expenses (%)(c) 2.42 3.81 12.06 Net investment income (loss) (%)(c) 10.54 8.96 8.85 Portfolio turnover (%) 33 68 0
85 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS INTERMEDIATE MATURITY BOND FUND
INSTITUTIONAL CLASS ----------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, -------------- ------------- (UNAUDITED) 1999 - ------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.56 $10.06 ------- ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.31 0.67 Net realized and unrealized gain (loss) on investments (0.02) (0.38) ------- ------ Total from investment operations 0.29 0.29 ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.33) (0.70) Distributions in excess of net investment income 0.00 0.00 Distributions from net realized capital gains 0.00 (0.09) ------- ------ Total distributions (0.33) (0.79) ------- ------ Net asset value, end of period $ 9.52 $ 9.56 ======= ====== Total return (%)(a) 3.1 3.0 Net assets, end of period (000) $11,871 $8,978 Ratios to average net assets: Net expenses (%)(b)(c) 0.55 0.55 Gross expenses (%)(c) 1.70 1.92 Net investment income (loss) (%)(c) 6.78 6.98 Portfolio turnover (%) 14 16 * FROM COMMENCEMENT OF FUND OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER 31, 1997. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. INSTITUTIONAL CLASS ------------------------------ NINE MONTHS ENDED PERIOD ENDED SEPTEMBER 30, DECEMBER 31, ------------- ------------ 1998 1997* - ------------------------------------------------------------------------------------------ Net asset value, beginning of period $10.03 $10.00 ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.51(d) 0.64(d) Net realized and unrealized gain (loss) on investments (0.16) 0.00 ------ ------ Total from investment operations 0.35 0.64 ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.32) (0.56) Distributions in excess of net investment income 0.00 (0.03) Distributions from net realized capital gains 0.00 (0.02) ------ ------ Total distributions (0.32) (0.61) ------ ------ Net asset value, end of period $10.06 $10.03 ====== ====== Total return (%)(a) 3.5 6.4 Net assets, end of period (000) $8,601 $6,305 Ratios to average net assets: Net expenses (%)(b)(c) 0.55 0.55 Gross expenses (%)(c) 2.27 3.66 Net investment income (loss) (%)(c) 6.71 6.38 Portfolio turnover (%) 32 119 RETAIL CLASS ---------------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, --------------- ------------- ------------- ------------ (UNAUDITED) 1999 1998 1997* - ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.55 $10.06 $10.03 $10.00 ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.31 0.64 0.49(d) 0.64(d) Net realized and unrealized gain (loss) on investments (0.03) (0.38) (0.15) (0.02) ------ ------ ------ ------ Total from investment operations 0.28 0.26 0.34 0.62 ------ ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.32) (0.68) (0.31) (0.54) Distributions in excess of net investment income 0.00 0.00 0.00 (0.03) Distributions from net realized capital gains 0.00 (0.09) 0.00 (0.02) ------ ------ ------ ------ Total distributions (0.32) (0.77) (0.31) (0.59) ------ ------ ------ ------ Net asset value, end of period $ 9.51 $ 9.55 $10.06 $10.03 ====== ====== ====== ======= Total return (%)(a) 3.0 2.6 3.4 6.2 Net assets, end of period (000) $1,977 $1,780 $ 663 $ 423 Ratios to average net assets: Net expenses (%)(b)(c) 0.80 0.80 0.80 0.80 Gross expenses (%)(c) 2.75 3.86 5.64 14.56 Net investment income (loss) (%)(c) 6.52 6.76 6.47 6.13 Portfolio turnover (%) 14 16 32 119
87 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS INVESTMENT GRADE BOND FUND
INSTITUTIONAL CLASS ------------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, -------------- ------------ ------------ ------------ (UNAUDITED) 1999 1998 1997* - ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.96 $10.28 $10.59 $10.00 ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.36 0.76 0.52 0.65 Net realized and unrealized gain (loss) on investments 0.16 (0.12) (0.50) 0.77 ------ ------ ------ ------ Total from investment operations 0.52 0.64 0.02 1.42 ------ ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.36) (0.70) (0.33) (0.63) Distributions in excess of net investment income 0.00 0.00 0.00 (0.08) Distributions from net realized capital gains 0.00 (0.26) 0.00 (0.12) ------ ------ ------ ------ Total distributions (0.36) (0.96) (0.33) (0.83) ------ ------ ------ ------ Net asset value, end of period $10.12 $ 9.96 $10.28 $10.59 ====== ====== ====== ====== Total return (%)(a) 5.4 6.5 0.0 14.5 Net assets, end of period (000) $2,593 $2,427 $2,778 $2,445 Ratios to average net assets: Net expenses (%)(b)(c) 0.55 0.55 0.55 0.55 Gross expenses (%)(c) 2.75 2.87 4.19 7.59 Net investment income (loss) (%)(c) 7.45 6.83 6.68 6.74 Portfolio turnover (%) 12 42 48 112 * FROM COMMENCEMENT OF FUND OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER 31, 1997. ** FROM COMMENCEMENT OF CLASS OPERATIONS ON MAY 24, 1999 THROUGH SEPTEMBER 30, 1999. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. (d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. (e) TOTAL RETURN DOES NOT INCLUDE THE EFFECT OF ANY FRONT END SALES CHARGES FOR THE J CLASS. RETAIL CLASS ------------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, -------------- ------------- ------------- ------------ (UNAUDITED) 1999 1998 1997* - ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.95 $10.27 $10.59 $10.00 ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.35 0.64 0.48 0.62(d) Net realized and unrealized gain (loss) on investments 0.16 (0.03) (0.49) 0.78 ------ ------ ------ ------ Total from investment operations 0.51 0.61 (0.01) 1.40 ------ ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.35) (0.67) (0.31) (0.62) Distributions in excess of net investment income 0.00 0.00 0.00 (0.07) Distributions from net realized capital gains 0.00 (0.26) 0.00 (0.12) ------ ------ ------ ------ Total distributions (0.35) (0.93) (0.31) (0.81) ------ ------ ------ ------ Net asset value, end of period $10.11 $ 9.95 $10.27 $10.59 ====== ====== ====== ====== Total return (%)(a) 5.3 6.2 (0.2) 14.3 Net assets, end of period (000) $2,857 $2,561 $1,743 $ 862 Ratios to average net assets: Net expenses (%)(b)(c) 0.80 0.80 0.80 0.80 Gross expenses (%)(c) 2.85 3.20 5.25 10.95 Net investment income (loss) (%)(c) 7.21 6.60 6.43 6.51 Portfolio turnover (%) 12 42 48 112 J CLASS ------------------------------- SIX MONTHS ENDED PERIOD ENDED MARCH 31, 2000 SEPTEMBER 30, -------------- ------------- (UNAUDITED) 1999** - -------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.95 $ 10.29 ------ ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.33 0.21 Net realized and unrealized gain (loss) on investments 0.16 (0.36) ------ ------- Total from investment operations 0.49 (0.15) ------ ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.33) (0.19) Distributions in excess of net investment income 0.00 0.00 Distributions from net realized capital gains 0.00 0.00 ------ ------- Total distributions (0.33) (0.19) ------ ------- Net asset value, end of period $ 10.11 $ 9.95 ======= ======= Total return (%)(a) 5.0(e) (1.5)(e) Net assets, end of period (000) $16,815 $16,307 Ratios to average net assets: Net expenses (%)(b)(c) 1.30 1.30 Gross expenses (%)(c) 2.67 2.16 Net investment income (loss) (%)(c) 6.70 6.11 Portfolio turnover (%) 12 42
89 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS MUNICIPAL BOND FUND
INSTITUTIONAL CLASS -------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, -------------- ------------- ------------- (UNAUDITED) 1999 1998 - -------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $10.93 $11.96 $ 11.70 ------ ------ ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.26 0.52 0.40 Net realized and unrealized gain (loss) on investments (0.06) (0.84) 0.27 ------ ------ ------- Total from investment operations 0.20 (0.32) 0.67 ------ ------ ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.25) (0.52) (0.40) Distributions from net realized capital gains (0.01) (0.19) (0.01) ------ ------ ------- Total distributions (0.26) (0.71) (0.41) ------ ------ ------- Net asset value, end of period $10.87 $10.93 $ 11.96 ====== ====== ======= Total return (%)(a) 1.9 (2.8) 5.9 Net assets, end of period (000) $8,302 $9,823 $10,056 Ratios to average net assets: Net expenses (%)(b)(c) 0.50 0.54 0.60 Gross expenses (%)(c) 1.70 1.63 1.70 Net investment income (loss) (%)(c) 4.71 4.54 4.62 Portfolio turnover (%) 15 38 30 (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. INSTITUTIONAL CLASS -------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------- 1997 1996 1995 - ------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $11.29 $11.53 $10.41 ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.56 0.52 0.52 Net realized and unrealized gain (loss) on investments 0.51 (0.15) 1.16 ------ ------ ------ Total from investment operations 1.07 0.37 1.68 ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.56) (0.52) (0.52) Distributions from net realized capital gains (0.10) (0.09) (0.04) ------ ------ ------ Total distributions (0.66) (0.61) (0.56) ------ ------ ------ Net asset value, end of period $11.70 $11.29 $11.53 ====== ====== ====== Total return (%)(a) 9.8 3.3 16.5 Net assets, end of period (000) $8,752 $8,701 $7,961 Ratios to average net assets: Net expenses (%)(b)(c) 0.60 1.00 1.00 Gross expenses (%)(c) 1.80 2.31 2.02 Net investment income (loss) (%)(c) 4.90 4.61 4.72 Portfolio turnover (%) 50 38 41
91 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS SHORT-TERM BOND FUND
INSTITUTIONAL CLASS ------------------------------------------ SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, -------------- ------------- ------------- (UNAUDITED) 1999 1998 - --------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.51 $ 9.96 $ 9.75 ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.30 0.62 0.44 Net realized and unrealized gain (loss) on investments (0.12) (0.45) 0.21 ------ ------ ------ Total from investment operations 0.18 0.17 0.65 ------ ------ ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.31) (0.62) (0.44) ------ ------ ------ Net asset value, end of period $ 9.38 $ 9.51 $ 9.96 ====== ====== ====== Total return (%)(a) 1.9 1.8 6.8 Net assets, end of period (000) $35,585 $26,849 $27,288 Ratios to average net assets: Net expenses (%)(b)(c) 0.37 0.27 0.50 Gross expenses (%)(c) 0.76 0.87 0.83 Net investment income (loss) (%)(c) 6.47 6.38 5.94 Portfolio turnover (%) 39 81 47 * FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER 31, 1997. (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. INSTITUTIONAL CLASS RETAIL CLASS --------------------------- ------------------------------------------------------- SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED PERIOD ENDED YEAR ENDED DECEMBER 31, MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31, -------------------------- -------------- ------------- ------------- ------------ 1997 1996 1995 (UNAUDITED) 1999 1998 1997* - -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 9.70 $ 9.81 $ 9.46 $ 9.50 $ 9.96 $ 9.75 $ 9.70 ------ ------- ------- ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.61 0.55 0.63 0.29 0.59 0.42 0.59 Net realized and unrealized gain (loss) on investments 0.06 (0.11) 0.35 (0.12) (0.46) 0.21 0.06 ------ ------- ------ ------ ------ ----- ---- Total from investment operations 0.67 0.44 0.98 0.17 0.13 0.63 0.65 ------ ------- ------ ----- ----- ----- ---- LESS DISTRIBUTIONS-- Dividends from net investment income (0.62) (0.55) (0.63) (0.29) (0.59) (0.42) (0.60) ------ ------ ------ ------ ------ ------ ------ Net asset value, end of period $ 9.75 $ 9.70 $ 9.81 $ 9.38 $ 9.50 $ 9.96 $ 9.75 ======= ======= ======= ====== ====== ====== ====== Total return (%)(a) 7.1 4.7 10.6 1.9 1.4 6.6 6.9 Net assets, end of period (000) $18,792 $18,229 $26,039 $ 594 $ 786 $ 773 $ 285 Ratios to average net assets: Net expenses (%)(b)(c) 0.50 1.00 1.00 0.61 0.52 0.75 0.75 Gross expenses (%)(c) 1.19 1.17 1.03 3.67 4.21 6.00 17.77 Net investment income (loss) (%)(c) 6.34 5.69 6.46 6.20 6.14 5.66 6.04 Portfolio turnover (%) 91 120 214 39 81 47 91
93 LOOMIS SAYLES FIXED INCOME FUNDS FINANCIAL HIGHLIGHTS U.S. GOVERNMENT SECURITIES FUND
INSTITUTIONAL CLASS ------------------------------------------ SIX MONTHS NINE MONTHS ENDED YEAR ENDED ENDED MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, -------------- ------------- ------------- (UNAUDITED) 1999 1998 - --------------------------------------------------------------------------------------- Net asset value, beginning of period $ 10.38 $ 11.41 $ 10.70 ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.34 0.65 0.43 Net realized and unrealized gain (loss) on investments 0.10 (1.03) 0.58 ------- ------- ------- Total from investment operations 0.44 (0.38) 1.01 ------- ------- ------- LESS DISTRIBUTIONS-- Dividends from net investment income (0.30) (0.65) (0.30) ------- ------- ------- Net asset value, end of period $ 10.52 $ 10.38 $ 11.41 ======= ======= ======= Total return (%)(a) 4.4 (3.5) 9.6 Net assets, end of period (000) $13,683 $16,141 $29,246 Ratios to average net assets: Net expenses (%)(b)(c) 0.50 0.52 0.60 Gross expenses (%)(c) 1.13 1.03 0.97 Net investment income (loss) (%)(c) 6.29 5.75 5.61 Portfolio turnover (%) 32 75 84 (a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED. (b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD HAVE BEEN HIGHER. (c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR. INSTITUTIONAL CLASS --------------------------------- YEAR ENDED DECEMBER 31, --------------------------------- 1997 1996 1995 - ------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 10.08 $ 10.64 $ 9.22 ------- ------- ------ INCOME FROM INVESTMENT OPERATIONS-- Net investment income (loss) 0.63 0.68 0.66 Net realized and unrealized gain (loss) on investments 0.61 (0.57) 1.42 ------- ------- ------ Total from investment operations 1.24 0.11 2.08 ------- ------- ------ LESS DISTRIBUTIONS-- Dividends from net investment income (0.62) (0.67) (0.66) ------- ------- ------ Net asset value, end of period $ 10.70 $ 10.08 $ 10.64 ======= ======= ======= Total return (%)(a) 12.7 1.3 23.0 Net assets, end of period (000) $17,668 $14,192 $19,499 Ratios to average net assets: Net expenses (%)(b)(c) 0.60 1.00 1.00 Gross expenses (%)(c) 1.23 1.19 1.22 Net investment income (loss) (%)(c) 6.29 6.23 6.47 Portfolio turnover (%) 156 137 169
95 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) 1. The Loomis Sayles Funds is comprised of predominantly no-load mutual funds (the "Funds"). Each Fund is a series of Loomis Sayles Funds (the "Trust"). The Trust is a diversified, open-end management investment company registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act") and organized as a Massachusetts business trust on February 20, 1991. The Trust is authorized to issue an unlimited number of full and fractional shares of beneficial interest in multiple series. Each Fund is separately managed and has its own investment objective and policies. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the investment adviser of each Fund. The Trust consists of the following Funds:
FIXED INCOME FUNDS EQUITY FUNDS - ------------------ ------------ Loomis Sayles Bond Fund Loomis Sayles Aggressive Growth Fund Loomis Sayles Global Bond Fund Loomis Sayles Core Value Fund Loomis Sayles High Yield Fund Loomis Sayles Emerging Markets Fund Loomis Sayles Intermediate Maturity Bond Fund Loomis Sayles Global Technology Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles Growth Fund Loomis Sayles Municipal Bond Fund Loomis Sayles International Equity Fund Loomis Sayles Short-Term Bond Fund Loomis Sayles Mid-Cap Value Fund Loomis Sayles U.S. Government Securities Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Small Cap Value Fund Loomis Sayles Worldwide Fund
The Fixed Income Funds (excluding the High Yield Fund, the Municipal Bond and U.S. Government Securities Funds, which only offer Institutional Class shares) offer Institutional and Retail Class shares. The Bond Fund offers Admin Class shares and the Investment Grade Bond Fund offers J Class shares. Each class of shares has an equal pro rata interest in the assets of the relevant fund and general voting privileges. Institutional, Retail, Admin and J Classes differ with respect to distribution and certain other class-specific expenses and expense reductions. Retail Class and Admin Class shares are subject to distribution fees at an annual rate of 0.25% of the respective Class' average net assets, pursuant to distribution plans adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940. The Admin Class shares are subject to a service fee at an annual rate of 0.25% of the Fund's average net assets attributable to the Admin Class. The J Class shares are subject to a service fee at an annual rate of 0.25% and a distribution fee at the annual rate of 0.50% of the respective Class' average net assets, pursuant to a service and distribution plan adopted under Rule 12b-1. Retail, Admin and J Class shares have exclusive voting rights with respect to their distribution plans. Purchases of the J Class shares are subject to a maximum sales charge of 3.50% (the "public offering price"). The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fixed Income Funds: A. SECURITY VALUATION -- Long-term debt securities for which quotations are readily available are valued by a pricing service, as approved by the Board of Trustees, which generally uses the most recent bid prices in the principal market in which such securities are normally traded. Municipal debt securities are valued by a pricing service, as approved by the Board of Trustees, which generally uses a computerized matrix system or dealer supplied quotations that consider market transactions for comparable securities. Equity securities for which quotations are readily available are valued at their last sale price on the exchange where primarily traded or, if there is no reported sale during the day, at the closing bid price. Short-term securities with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Other securities for which quotations are not readily available (including restricted securities, if any) are valued primarily using dealer supplied quotations or at their fair values as determined in good faith under the general supervision of the Board of Trustees. B. REPURCHASE AGREEMENTS -- The Funds may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the Funds take possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Funds to resell, the obligation at an agreed-upon price and time. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Funds' holding period. The Funds, through their custodian, receive delivery of the underlying securities collateralizing repurchase agreements. It is the Funds' policy that the market value of the collateral be at least equal to 102% of the repurchase price. These securities are marked-to-market daily. Loomis Sayles is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters into insolvency proceedings, realization of the collateral by the Funds may be delayed or limited. C. FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS -- The books and records of each of the Funds (including those Funds that invest in foreign securities) are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars is translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities are translated at contractual currency exchange rates established at the time of the trade. Income and expenses are translated at prevailing exchange rates on the respective dates of such transactions. The results of operations resulting from changes in foreign exchange rates on investments are not isolated from fluctuations arising from changes in market prices of securities held. All such fluctuations are included with net realized and unrealized gain or loss on investments. 97 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) Net realized and unrealized gains and losses on foreign currency transactions represent foreign exchange gains and losses from the sale of holdings of foreign currencies, foreign currency gains and losses between trade dates and settlement dates on investment securities transactions, sales and maturities of forward foreign currency exchange contracts, and the difference between the amounts of daily interest accruals on the books of the Funds and the amounts actually received resulting from changes in exchange rates on the payable date. Certain funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms. The U.S. dollar value of foreign currency exchange contracts is determined using contractual currency exchange rates established at the time of each trade. Each Fund (except the Municipal Bond and U.S. Government Securities Funds) may purchase securities of foreign issuers. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of appropriation. Moreover, the markets for securities of many foreign companies and foreign governments and their markets may be less liquid and the prices of such securities may be more volatile than those of securities of comparable U.S. companies and the U.S. government. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each Fund that may invest in foreign securities may enter into forward foreign currency exchange contracts to protect securities against changes in future foreign exchange rates. A forward foreign currency exchange contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward currency exchange rate and the change in market value is recorded as unrealized appreciation (depreciation) on foreign currency translations in the Funds' Statements of Assets and Liabilities. Realized gain or loss is recognized when the contract is closed equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and recorded as realized gain (loss) on foreign currency transactions in the Funds' Statements of Operations. LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) Risks may arise upon entering into forward foreign currency exchange contracts from the potential inability of the counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. At March 31, 2000, the Global Bond Fund had the following open forward foreign currency exchange contracts:
LOCAL AGGREGATE UNREALIZED DELIVERY CURRENCY FACE TOTAL APPRECIATION DATE AMOUNT AMOUNT VALUE (DEPRECIATION) ------- ---------- --------- -------- -------------- Japanese Yen (sell) 6/15/00 23,460,000 $220,158 $231,443 $(11,285) Japanese Yen (sell) 6/15/00 17,145,000 160,429 169,143 (8,714) Japanese Yen (sell) 6/15/00 8,865,000 82,642 87,457 (4,815) Japanese Yen (sell) 6/15/00 5,880,000 54,129 58,009 (3,880) Japanese Yen (sell) 6/15/00 45,000,000 446,783 443,945 2,838 -------- $(25,856) ========
E. SECURITY TRANSACTIONS, RELATED INVESTMENT INCOME AND EXPENSES -- Security transactions are accounted for on the trade date (the date the buy or sell is executed). Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Interest income is increased by the accretion of discount. Discounts on zero coupon bonds, original issue discount bonds, step bonds and payment in kind bonds are accreted according to the effective interest method. Interest income on the Municipal Bond Fund is decreased by the amortization of premium. Premiums are amortized using the yield to maturity method. In determining net gain or loss on securities sold, the cost of securities has been determined on the identified cost basis. Most expenses of the Trust can be directly attributed to a particular fund. Expenses which cannot be directly attributed are apportioned among the Funds based on relative net assets. Investment income, realized and unrealized gains and losses, and the common expenses of the fund 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. Each class of shares differs in its respective distribution and certain other class specific fees and expense reductions. F. FEDERAL INCOME TAXES -- Each Fund is a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders all of its net investment income and any net realized capital gains. Accordingly, no provision for federal income tax or excise tax has been made. G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Municipal Bond Fund and Short-Term Bond Fund declare dividends daily to shareholders of record at the time and pay dividends monthly. The Investment Grade Bond Fund declares and pays its net investment income to shareholders monthly. The Bond, High Yield, Intermediate Maturity Bond, and U.S. Government Securities Funds declare and pay 99 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) their net investment income quarterly. The Global Bond Fund declares and pays its net investment income to shareholders annually. Distributions from net realized capital gains are declared and paid on an annual basis by all of the Funds. Income and capital gain distributions are determined in accordance with Federal income tax regulations which may differ from generally accepted accounting principles. These differences, which may result in reclassifications to the Fund's capital accounts to reflect income and gains available for distribution, are primarily due to differing book and tax treatments for litigation proceeds, foreign currency transactions, capital loss carryforwards, non-deductible organization costs, deferred losses due to wash sales, excise tax regulations and net operating losses. Some of these classifications may include temporary book and tax basis differences that will reverse in subsequent periods. Dividends from net investment income are determined on a class level. Capital gains are determined on a Fund level. H. REDEMPTION FEES -- Shares held in the High Yield Fund less than one year are subject to a redemption fee equal to 2% of the amount redeemed. For the six months ended March 31, 2000, the redemption fees amounted to $518 for the Institutional Class. I. ORGANIZATION EXPENSE AND DEFERRED REGISTRATION COSTS -- Organization costs incurred by the High Yield Fund are being amortized over 60 months. 2. PURCHASES AND SALES OF SECURITIES -- (excluding short-term investments) for each Fund for the period ended March 31, 2000 were as follows:
PURCHASES --------------------------------- U.S. GOVERNMENT OTHER --------------- ----- Bond Fund ................................. $46,278,668 $237,484,588 Global Bond Fund .......................... 0 6,772,989 High Yield Fund ........................... 0 5,201,704 Intermediate Maturity Bond Fund ........... 962,120 3,940,887 Investment Grade Bond Fund ................ 0 3,235,947 Municipal Bond Fund ....................... 440,679 875,946 Short-Term Bond Fund ...................... 13,904,750 6,068,529 U.S. Government Securities Fund ........... 4,831,794 0 SALES --------------------------------- U.S. GOVERNMENT OTHER --------------- ----- Bond Fund ................................. $98,965,562 $140,366,468 Global Bond Fund .......................... 0 2,885,258 High Yield Fund ........................... 0 4,116,076 Intermediate Maturity Bond Fund ........... 1,393,032 272,058 Investment Grade Bond Fund ................ 1,724,652 891,391 Municipal Bond Fund ....................... 99,336 2,254,376 Short-Term Bond Fund ...................... 8,507,843 2,707,414 U.S. Government Securities Fund ........... 7,055,974 0
LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) 3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the period ended March 31, 2000, the Funds incurred management fees payable to Loomis Sayles. Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles' general partner is indirectly owned by Nvest, L.P., a publicly-traded limited partnership whose general partner is indirectly owned by Metropolitan Life Insurance Company. Metropolitan Life Insurance Company is a wholly owned subsidiary of MetLife, Inc., a publicly traded company. Separate management agreements for each Fund in effect during the period ended March 31, 2000 provided for fees at the following annual percentage rate of each Fund's average daily net assets indicated below. Loomis Sayles has contractually agreed, until February 1, 2001, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of each Fund to the following percentage rate of the Fund's average daily net assets:
MAXIMUM EXPENSE RATIOS ------------------------------------------ MANAGEMENT INSTITUTIONAL RETAIL ADMIN J FUND FEES CLASS CLASS CLASS CLASS - ---- ---------- ------------- ------ ------ ----- Bond Fund .................. 0.60% 0.75% 1.00% 1.25% -- Global Bond Fund ........... 0.60% 0.90% 1.15% -- -- High Yield Fund ............ 0.60% 0.75% -- -- -- Intermediate Maturity Bond Fund ............... 0.40% 0.55% 0.80% -- -- Investment Grade Bond Fund ............... 0.40% 0.55% 0.80% -- 1.30% Municipal Bond Fund (1) ................ 0.30% 0.50% -- -- -- Short-Term Bond Fund (2) ................ 0.25% 0.50% 0.75% -- -- U.S. Government Securities Fund ......... 0.30% 0.50% -- -- --
(1) Since February 1, 1999, and continuing through February 1, 2001, the Municipal Bond Fund reduced its management fees from 0.40%. (2) Effective January 1, 2000, the Short-Term Bond Fund increased its management fees and the Fund's expense limitation for the Institutional and Retail Classes. From October 27, 1998 through December 31, 1999, Loomis Sayles waived the management fee, and the expense limitations were 0.25% and 0.50% for the Institutional and Retail Classes, respectively. The Institutional Class, Retail Class and J Class of shares of the Funds may pay Loomis Sayles Distributors, L.P. (the "Distributor"), a subsidiary of the investment adviser, sub-accounting and/or servicing fees with respect to omnibus Fund shareholder accounts in amounts that will not cause the Funds' respective classes to exceed their voluntary expense limitations and that do not exceed the amounts that the Funds' transfer agent would charge if the beneficial owners of the omnibus accounts held Fund shares 101 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) directly. As of March 31, 2000, the following amount was paid under this arrangement: Bond Fund Institutional Share class $265,656. A. TRUSTEES FEES AND EXPENSES -- The Trust does not pay any compensation directly to its officers or trustees who are directors, officers or employees of Loomis Sayles, The New England or their affiliates. Each independent trustee is compensated by the Trust on behalf of each Fund at the rate of $1,250 per Fund per year, plus travel expenses for each meeting attended. B. SHAREHOLDERS -- At March 31, 2000, Loomis Sayles Distributors, LP held 19,327 shares of the U.S. Government Securities Fund. In addition, Loomis Sayles Funded Pension Plan and the Loomis Sayles & Company, L.P. Employees' Defined Contribution Retirement Plans held shares of beneficial interest in the Funds as follows:
DEFINED PENSION CONTRIBUTION PLAN PLANS --------- ------------ Bond Fund..................................... 1,050,834 1,036,141 Global Bond Fund.............................. 730,224 273,875 High Yield Fund............................... 393,107 623,321 Intermediate Maturity Bond Fund............... 555,499 212,717 Investment Grade Bond Fund.................... 0 135,509 Short-Term Bond Fund.......................... 3,370 363,698 U.S. Government Securities Fund............... 177,186 230,481
4. CREDIT RISK -- The Bond Fund may invest up to 35%, the High Yield Fund will normally invest at least 65%, the Global Bond and Short-Term Bond Funds each may invest up to 20%, the Intermediate Maturity Bond and the Investment Grade Bond Funds each may invest up to 10%, and the Municipal Bond Fund may invest up to 25% of its assets in securities offering high current income, which generally will be in the lower rating categories of recognized rating agencies. These securities are regarded as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligations and will generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. 5. LINE OF CREDIT -- The Trust has entered into an agreement which enables each Fund to borrow under a $25 million unsecured line of credit with several banks. Borrowings will be made solely to temporarily finance the repurchase of capital shares. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the Federal Funds rate plus 0.455%. In addition, a commitment fee of 0.08% per annum, payable at the end of each calendar quarter, is accrued by the Trust and apportioned among the Funds based on each Fund's average daily unused portion of the line of credit. During the six months ended March 31, 2000, the Funds had no borrowings under the agreement. LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED) 6. CAPITAL SHARE TRANSACTIONS -- The tables below summarize the transactions in Fund shares for the periods indicated:
LOOMIS SAYLES BOND FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 31,994,308 $ 372,391,950 45,186,642 $ 546,081,627 Issued in connection with the reinvestment of distributions ............. 4,728,685 54,098,177 11,973,285 144,036,419 Redeemed ..................... (30,258,594) (351,084,915) (43,681,014) (527,470,996) ----------- -------------- ----------- --------------- Net change ................... 6,464,399 $ 75,405,212 13,478,913 $ 162,647,050 =========== ============== =========== =============== RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 2,025,228 $ 23,555,115 2,061,328 $ 24,858,182 Issued in connection with the reinvestment of distributions ............. 183,566 2,100,530 503,055 6,047,054 Redeemed ..................... (1,098,511) (12,774,828) (2,205,035) (26,569,909) ----------- -------------- ----------- --------------- Net change ................... 1,110,283 $ 12,880,817 359,348 $ 4,335,327 =========== ============== =========== =============== ADMIN CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------ ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 107,944 $ 1,251,859 192,735$ 2,291,952 Issued in connection with the reinvestment of distributions ............. 6,910 79,150 11,891 142,967 Redeemed ..................... (38,328) (451,909) (123,431) (1,457,404) ----------- -------------- ----------- --------------- Net change ................... 76,526 $ 879,100 81,195 $ 977,515 =========== ============== =========== ===============
103 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 340,938 $ 3,959,493 374,228 $ 4,678,699 Issued in connection with the reinvestment of distributions ............. 246,308 2,903,411 192,759 2,349,727 Redeemed ..................... (235,020) (2,727,765) (358,078) (4,539,678) ----------- -------------- ----------- --------------- Net change ................... 352,226 $ 4,135,139 208,909 $ 2,488,748 =========== ============== =========== =============== RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 413,554 $ 4,818,052 288,336 $ 3,620,204 Issued in connection with the reinvestment of distributions ............. 54,410 640,845 32,073 390,975 Redeemed ..................... (130,954) (1,526,000) (290,413) (3,697,922) ----------- -------------- ----------- --------------- Net change ................... 337,010 $ 3,932,897 29,996 $ 313,257 =========== ============== =========== ===============
LOOMIS SAYLES HIGH YIELD FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares ................. 600,113 $ 5,257,547 1,586,791 $ 13,266,474 Issued in connection with the reinvestment of distributions ............. 124,031 1,052,185 195,150 1,638,247 Redeemed ..................... (483,302) (4,250,162) (252,091) (2,173,082) ----------- -------------- ----------- --------------- Net change ................... 240,842 $ 2,059,570 1,529,850 $ 12,731,639 =========== ============== =========== ===============
LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE MATURITY FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 340,096 $ 3,177,482 113,016 $ 1,094,638 Issued in connection with the reinvestment of distributions............. 31,604 295,808 67,894 658,132 Redeemed..................... (64,543) (609,425) (95,859) (927,086) ----------- -------------- ----------- --------------- Net change................... 307,157 $ 2,863,865 85,051 $ 825,684 =========== ============== =========== =============== RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares 27,798 $ 261,399 122,742 $ 1,181,866 Issued in connection with the reinvestment of distributions.............. 5,223 48,864 6,033 58,346 Redeemed...................... (11,610) (109,163) (8,249) (79,924) ----------- -------------- ----------- --------------- Net change.................... 21,411 $ 201,100 120,526 $ 1,160,288 =========== ============== =========== ===============
LOOMIS SAYLES INVESTMENT GRADE BOND FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares..................... 41,197 $ 407,636 132,615 $ 1,341,490 Issued in connection with the reinvestment of distributions.............. 6,276 61,757 21,477 216,240 Redeemed...................... (34,881) (345,542) (180,728) (1,824,504) ----------- -------------- ----------- --------------- Net change.................... 12,592 $ 123,851 (26,636) $ (266,774) =========== ============== =========== =============== RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 38,277 $ 377,702 185,638 $ 1,869,371 Issued in connection with the reinvestment of distributions............. 4,687 46,140 17,707 178,049 Redeemed..................... (17,948) (179,014) (115,588) (1,161,421) ----------- -------------- ----------- --------------- Net change................... 25,016 $ 244,828 87,757 $ 885,999 =========== ============== =========== =============== J CLASS SHARES SHARES AMOUNT SHARES* AMOUNT - -------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 205,500 $ 2,031,056 1,788,840 $ 18,214,195 Issued in connection with the reinvestment of distributions............. 0 0 0 0 Redeemed..................... (181,390) (1,793,661) (149,500) (1,525,093) ----------- -------------- ----------- --------------- Net change................... 24,110 $ 237,395 1,639,340 $ 16,689,102 =========== ============== =========== ===============
*FROM MAY 24, 1999 (COMMENCEMENT OF CLASS OPERATIONS). 105 LOOMIS SAYLES FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- MARCH 31, 2000 (UNAUDITED)
LOOMIS SAYLES MUNICIPAL BOND FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 33,308 $ 357,720 112,105 $ 1,290,401 Issued in connection with the reinvestment of distributions............. 14,024 150,590 38,193 440,141 Redeemed..................... (182,789) (1,964,146) (92,039) (1,047,290) ----------- -------------- ----------- --------------- Net change................... (135,457) $ (1,455,836) 58,259 $ 683,252 =========== ============== =========== ===============
LOOMIS SAYLES SHORT-TERM BOND FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 2,017,505 $ 19,004,047 1,171,829 $ 11,357,676 Issued in connection with the reinvestment of distributions............. 92,919 874,040 160,415 1,547,434 Redeemed..................... (1,140,180) (10,710,214) (1,247,202) (12,080,617) ----------- -------------- ----------- --------------- Net change................... 970,244 $ 9,167,873 85,042 $ 824,493 =========== ============== =========== =============== RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - ------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 4,903 $ 46,041 61,280 $ 594,618 Issued in connection with the reinvestment of distributions............. 2,175 20,473 3,749 36,056 Redeemed..................... (26,465) (248,596) (59,909) (587,608) ----------- -------------- ----------- --------------- Net change................... (19,387) $ (182,082) 5,120 $ 43,066 =========== ============== =========== ===============
LOOMIS SAYLES U.S GOVERNMENT SECURITIES FUND --------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MARCH 31, 2000 SEPTEMBER 30, 1999 ---------------------------- ------------------------------- INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT - -------------------------- ----------- -------------- ----------- --------------- Issued from the sale of shares.................... 200,712 $ 2,041,109 688,401 $ 7,460,731 Issued in connection with the reinvestment of distributions............. 42,371 430,073 108,431 1,186,786 Redeemed..................... (497,556) (5,080,457) (1,804,315) (19,685,748) ----------- -------------- ----------- --------------- Net change................... (254,473) $ (2,609,275) (1,007,483) $ (11,038,231) =========== ============== =========== ===============
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