-----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, EfmTM8pTHZLE6+3O7ZU63Eppo7uUi3P+k0+kRt9/xziweuYpTm8vAk9ndqgIZA/i fA6MXns096sKNZdrlHDkGg== 0000950156-97-000800.txt : 19970912 0000950156-97-000800.hdr.sgml : 19970912 ACCESSION NUMBER: 0000950156-97-000800 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970909 SROS: NONE 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: 97677421 BUSINESS ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 6174822450 MAIL ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 N-30D 1 LOOMIS SAYLES FIXED INCOME SEMI [Photo of Daniel J. Fuss] LOOMIS SAYLES FIXED INCOME FUNDS SEMI-ANNUAL REPORT JUNE 30, 1997 A FAMILY OF NO-LOAD FUNDS ONE FINANCIAL CENTER BOSTON, MASSACHUSETTS 02111 (617) 482-2450 - ------------------------------------------------------------------------------- LOOMIS SAYLES FUNDS - ------------------------------------------------------------------------------- [Photo of Daniel J. Fuss] DANIEL J. FUSS DEAR SHAREHOLDERS: Let's talk about peace, oceans, teenagers, hockey players and crocodiles. THE WORLD IS AT PEACE The world is a peaceful place and that is good for investing money. While there are many local wars, there is no large-scale war, hot or cold, on the horizon. Because of that, it is a little easier for the national governments to balance their budgets. Also, there are some significant changes occurring in worldwide population distribution, as we collectively age. Out of this, a new political order is evolving that is fundamentally good for investing money. THERE'S AN OCEAN OF LIQUIDITY The global economy is chugging along, but not at a pace that can use up the ocean of liquidity that exists in the world today. Normally, at this phase of the economic cycle, signs of inflation start to occur. None of those signs are evident now, so it doesn't look like this ocean will dry up anytime soon. THE ECONOMY IS ABOUT TO BECOME A TEENAGER This phenomenon has placed the Federal Reserve and other central banks in a position similar to parents with a child about to become a teenager. Those parents know what is to come; the central banks know too what's coming. However, the economic evidence isn't apparent to all. It's only the point in the cycle that tells the central banks to prepare for the worst. But the banks really don't have the political and popular support to raise interest rates to help dry up some of this excess liquidity. Therefore, they wait. AND THE HOCKEY PLAYERS ARE CAUSING MISCHIEF Meanwhile in the markets, the hockey players are going full tilt. Environments like this, with ample liquidity and few serious worries, lead to all sorts of mischief. The hockey players are finding many ways to add incremental return. Many are borrowing a lot of money and putting it into the market. The most prominent example of this is the so-called "yen/dollar carry trade", where people borrow short term funds in yen and invest in longer term dollar denominated assets. Another variation is extending the "collateralized bond obligation" format to high yield bonds. Another risk is the possible outcome from the so-called "virtual hedging" techniques, where plans are made to sell stocks when the market declines past a certain point. None of these strategies are intrinsically bad, but they do introduce more risk into the market. All of this push for yield and return has narrowed the valuation differences in most markets. That is, there isn't that much to choose between one type of investment and another. This has caused certain areas of the market to get quite pricey relative to where they used to be. Nevertheless, it is a peaceful time and perhaps some of these valuations aren't so extreme after all. MEANWHILE, THE CROCODILES LAY IN WAIT A really powerful "market message" statement would be nice for this letter. I don't have one. However, I am reminded of an old Malaysian saying, "just because the river is quiet does not mean the crocodiles have left." There are definitely crocodiles out there. Whether or not they will surface remains to be seen. We're keeping a sharp eye out for them. Until they do, it remains a good time to invest. Thanks for investing with us. Sincerely, /s/ Daniel J. Fuss Daniel J. Fuss [Photo of John F. Yeager] JOHN F. YEAGER, III DEAR SHAREHOLDERS: Some years are just more eventful than others. For Loomis Sayles Funds, the past six months have seen growth, innovations in product and distribution, as well as some important service enhancements. We're excited about what we've been doing and believe the months to come hold great promise. I'd like to take the opportunity of this semi-annual report to share with you some of our recent achievements. If you've been with us for some time, you will probably notice that we have varied the look of this report. We have changed the layout of the financials and redesigned the Fund commentary, with the intent of making the report more readable and allowing you to get to know us better. We invite your comments about this change. PRODUCT AND GROWTH This year, we brought six new Funds into our Family - Investment Grade Bond, Small Cap Growth, Mid-Cap Value, Mid-Cap Growth, Strategic Value and Intermediate Maturity Bond Funds. If you are not already familiar with these Funds, I invite you to read about them and meet their managers through our semi-annual reports. Not only has our Fund family expanded, but our assets under management have grown. Within the past six months, assets under management of the Loomis Sayles Funds have increased over 40%. Our Funds have all performed well over the past several years. Year to date (June 30, 1997), eleven of our Funds are ranked in the top half of their Lipper category and seven of those are also ranked in the top quartile. DISTRIBUTION Loomis Sayles is committed to one business: investment counsel. We focus our efforts on bringing to our Funds highly trained investment professionals, the best proprietary research and consistency of style. We feel that we can be most effective by concentrating on investment management and delivering our Funds to you by working in partnership with various financial intermediaries. We find, too, that more and more of the investing public likes the service and convenience of using intermediaries, such as financial advisors, discount brokers and retirement plans. This allows us to concentrate on what we do best, investment management, and let others do what they do best. We leverage this to your advantage, with improved service and lower costs. This year, we made two important structural changes. We've added a Retail Class and lowered the management fees on most of our existing Funds. Our Retail Class is available through various non transaction fee and wrap programs. The Institutional Class is available direct to investors investing at least $1,000,000, as well as through many investment professional programs, which require a small transaction charge. Should you not find our Funds listed with your preferred intermediary, please call us, so that we may work to add them to our list of partners. So far this year, we have added several new relationships with intermediaries, including Merrill Lynch, NationsBanc, Oppenheimer and Paine Webber. SERVICE We have several important goals for the year, including providing you with superior service and enhanced communications. We want you to have the ability to easily obtain the information you need about our Funds quickly and accurately. We recently installed a new voice response system so you can request literature and a prospectus, review Net Asset Values (NAVs), or ask questions of a marketing representative. Directions for using the system are included on the back cover of this report. We plan to increase our level of communications with you and other shareholders of the Loomis Sayles Funds. To this end, we are expanding the variety of avenues of communications over the next year, including the addition of newsletters, expanded fund analysis, economic and market commentaries, and a website. We will keep you posted. PROMISE We see the next six months and the years ahead to be filled with promise for the Loomis Sayles Funds. We are excited about our current Funds, while we constantly look to add new fund offerings. With the resources of an investment management organization with $56 billion in assets under management, we are confident of our ability to continue to provide you with the superior investment management and service you have come to expect. Most importantly, we are glad to have you with us. Thank you for your confidence. Sincerely, /s/ John F. Yeager, III John F. Yeager, III President Loomis Sayles Distributors, L. P. - ------------------------------------------------------------------------------- LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- TOTAL RETURN(1) vs. LIPPER CATEGORY(2) -- (Unaudited) Global High Bond Bond Yield -------------- -------------- -------------- YEAR TO DATE/6 MONTHS Loomis Sayles .................................. 5.59 3.56 5.74 Lipper ......................................... 3.16 0.89 5.92 Rank ........................................... 4 of 129 18 of 145 167 of 182 Percentile ..................................... 3 12 92 ONE YEAR Loomis Sayles .................................. 15.74 12.69 NA Lipper ......................................... 8.85 9.34 Rank ........................................... 4 of 129 24 of 138 Percentile ..................................... 3 17 THREE YEARS Loomis Sayles .................................. 15.50 14.29 NA Lipper ......................................... 9.03 9.40 Rank ........................................... 1 of 68 9 of 85 Percentile ..................................... 1 11 FIVE YEARS Loomis Sayles .................................. 13.71 8.61 NA Lipper ......................................... 8.09 6.43 Rank ........................................... 1 of 34 5 of 44 Percentile ..................................... 1 11 MODIFIED INCEPTION(3) Loomis Sayles .................................. 14.27 10.34 7.56 Lipper ......................................... 9.28 7.51 9.70 Rank ........................................... 1 of 29 2 of 30 150 of 171 Percentile ..................................... 1 7 88 ACTUAL INCEPTION(4) Loomis Sayles .................................. 14.07 10.24 8.96
Note: Past performance is not indicative of future performance. (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 return shown (other than 1 and 3 year periods for the Growth, Core Value, Small Cap Value and Bond Funds, and the 1 year period for the International Equity Fund) reflect the effect of fee waivers and/or expense reimbursements. Absent such fee waivers and/or expense reimbursements, total return would have been lower. (2) Lipper category total return represents the average total return for all funds in each Fund's corresponding investment category, as determined by Lipper Analytical Services. Rankings are based on the total return of each fund for the period from its modified inception relative to the total return of all funds in that Fund's corresponding investment category.* LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------ Intermediate Investment Maturity Grade Municipal Short-Term U.S. Gov't Bond Bond Bond Bond Securities - ------------------- ------------- ------------ ------------- ------------- 3.40 5.99 3.06 2.89 2.65 2.74 3.16 2.95 2.73 2.47 21 of 195 1 of 129 84 of 238 28 of 107 74 of 187 11 1 35 26 40 NA NA 8.11 6.71 9.10 7.81 6.28 7.01 83 of 226 22 of 99 5 of 177 37 22 3 NA NA 7.07 6.70 9.18 7.10 6.19 7.07 90 of 176 13 of 70 4 of 130 51 19 3 NA NA 6.56 NA 8.41 6.51 5.98 45 of 107 2 of 77 42 3 3.40 5.99 7.40 5.62 9.48 2.74 3.16 7.32 5.18 6.99 21 of 195 1 of 129 41 of 98 8 of 36 1 of 66 11 1 42 22 1 3.40 5.99 7.40 5.63 9.48 (3) Periods over one year are annualized. 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 ................. January 2, 1997 Investment Grade Bond Fund ...................... January 2, 1997 Municipal Bond Fund ................................ May 29, 1991 Short-Term Bond Fund ............................. August 3, 1992 U.S. Government Securities Fund .................... May 21, 1991 *Source: Lipper Analytical Services - ------------------------------------------------------------------------------- LOOMIS SAYLES BOND FUND - ------------------------------------------------------------------------------- [Photo of Daniel J. Fuss] DANIEL J. FUSS PERFORMANCE SUMMARY The Loomis Sayles Bond Fund performed well for the six month period ending June 30, 1997. The Fund's 5.59% return comfortably exceeded the return of most broad domestic fixed income benchmarks, including the 2.74% return of the Lehman Brothers Government/Corporate Bond Index. The Fund benefited from investments in the period's strongest performing areas: high yield bonds, convertible issues and emerging market and Yankee issues. Duration was a neutral factor on performance, as yields climbed through the first quarter on very robust economic news and descended towards the end of the period as inflation remained tame and economic growth began to show signs of slowing. PERIOD ENDED LOOMIS LIPPER LEHMAN - ------------ ------ ------ ------- 5/31/91 10.00 10.00 10.00 6/30/91 9.85 9.97 9.99 9/30/91 10.52 10.55 10.56 12/31/91 10.93 11.14 11.13 3/31/92 11.29 11.03 10.96 6/30/92 11.84 11.47 11.40 9/30/92 12.40 12.04 11.96 12/31/92 12.49 12.04 11.97 3/31/93 13.45 12.67 12.53 6/30/93 14.16 13.08 12.90 9/30/93 14.79 13.55 13.33 12/31/93 15.27 13.58 13.29 3/31/94 15.04 13.13 12.88 6/30/94 14.61 12.88 12.72 9/30/94 14.87 12.98 12.78 12/31/94 14.65 12.96 12.83 3/31/95 15.73 13.58 13.46 6/30/95 17.41 14.53 14.34 9/30/95 18.16 14.88 14.61 12/31/95 19.33 15.58 15.29 3/31/96 19.14 15.26 14.94 6/30/96 19.45 15.33 15.01 9/30/96 20.21 15.66 15.27 12/31/96 21.32 16.22 15.74 3/31/97 21.27 16.10 15.60 6/30/97 22.51 16.75 16.17 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles Bond Fund is May 16, 1991. Since Lipper performance data is not available coincident with this date, comparative performance is presented from May 31, 1991. (b): Source: Lipper Analytical Services (c): Lehman Brothers Goverment/Corporate Bond Index is a 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. MARKET ENVIRONMENT The U.S. bond market experienced a weak first quarter, but recovered in the second quarter. The strong growth that had prompted the Federal Reserve to raise the Federal Funds Rate from 5.25% to 5.50% in March seemed to cool during the second quarter and inflation remained benign. Both bonds and stocks are posting strong gains as we head into the second half of the year. The main driver of the markets continues to be positive liquidity flows. Most of the liquidity is finding its way into equities, however, demand for higher yielding fixed income securities is strong and high yield, emerging market and convertible bonds continue to outperform the broader market. Most investors are willing to assume credit risk, which is reflected in narrow spreads relative to Treasuries. The risk for corporates is that spreads will widen from these rich levels. Issue selection is extremely important in an environment where stronger credit issues outperform. PORTFOLIO CHARACTERISTICS Throughout the first half of the year, there has been little in the way of major portfolio shifts but rather a "management of inventory" for the Fund. We have focused our efforts on analyzing both new and existing issues to identify opportunities and assess the relative value of individual bonds. The portfolio remains biased toward longer corporate issues, which have performed particularly well in the second quarter. The Fund ended the quarter with less than 30% in high yield bonds, down slightly from the limit of 35% due to the overall richness of this sector. There is a fair degree of foreign diversification in the Fund, with 15.8% of the Fund invested in Canada and 3.6% invested in New Zealand. We have also taken a relatively small position in the South African Rand. We have maintained positions in several U.S. dollar denominated securities of emerging market countries, such as Argentina, Brazil, and Thailand. PORTFOLIO POSITION We believe the portfolio is well-positioned for total return with good yield advantage, call protection, and a modest amount of foreign diversification. Our emphasis continues to be on the credit fundamentals for both new and existing individual bonds. On balance, we continue to try to exploit pricing inefficiencies at the security level rather than attempting to anticipate the direction of interest rates. /s/ Daniel J. Fuss Daniel J. Fuss - ------------------------------------------------------------------------------- LOOMIS SAYLES GLOBAL BOND FUND - ------------------------------------------------------------------------------- [Photo of E. John deBeer] E. JOHN DEBEER PERFORMANCE SUMMARY The Loomis Sayles Global Bond Fund produced healthy investment results for the first six months of the year. The Fund's 3.56% return outdistanced the Salomon Brothers World Government Bond Index's -1.23% return and the Lipper World Income Fund average of 0.89%. MARKET ENVIRONMENT The market for global bonds was basically neutral for the first half of the year, with most bond markets performing fairly well. While the yen rallied against the U.S. dollar, the Deutsche Mark continued to decline to new lows. PERIOD ENDED LOOMIS LIPPER SB WORLD - ------------ ------ ------ -------- 5/31/91 10.00 10.00 10.00 6/30/91 9.56 9.83 9.90 9/30/91 10.53 10.45 10.71 12/31/91 11.69 10.94 11.56 3/31/92 11.11 10.75 11.17 6/30/92 12.04 11.22 11.92 9/30/92 11.85 11.36 12.66 12/31/92 11.79 11.33 12.20 3/31/93 12.36 11.86 12.85 6/30/93 12.39 12.29 13.22 9/30/93 13.19 12.72 13.95 12/31/93 13.51 13.09 13.82 3/31/94 13.01 12.41 13.82 6/30/94 12.19 12.12 13.91 9/30/94 12.16 12.25 14.07 12/31/94 12.33 12.15 14.14 3/31/95 11.97 12.66 15.69 6/30/95 13.11 13.38 16.52 9/30/95 14.18 13.66 16.35 12/31/95 15.28 14.31 16.83 3/31/96 15.40 14.23 16.52 6/30/96 16.15 14.54 16.58 9/30/96 16.79 15.10 17.04 12/31/96 17.57 15.77 17.44 3/31/97 17.49 15.45 16.72 6/30/97 18.20 15.91 17.23 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles Global Bond Fund is May 10, 1991. Since Lipper and Salomon Brothers World Government Bond Index performance data is not available coincident with this date, comparative performance is presented from May 31, 1991. (b): Source: Lipper Analytical Services (c): Salomon Brothers World Government Bond Index is a capitalization-weighted 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. Much of the activity during the period came from European Monetary Union (EMU) related events. The Socialists' election victory in France was a big surprise--and the market's reaction was equally unexpected. Instead of causing increased volatility in various European bond markets, the steadfast pronouncements of "everything's on track" by German Chancellor Helmut Kohl and French Prime Minister Lionel Jospin had a calming effect. Although most investors agree that the new Euro will be less of a hard currency than the Deutsche Mark, the U.S. dollar/Deutsche Mark exchange rate has changed very little. The market tone is one of resigned confusion, possibly due to the U.S. dollar's topping out after a long upswing. PORTFOLIO CHARACTERISTICS Performance during the first half of the year was aided by commitments to European countries, such as Italy, where weak bond markets improved due to the upcoming European Monetary Union. However, we believe this trend is almost over and have nearly eliminated these types of positions from the Fund. Our emerging market commitments, which include countries such as Argentina, also helped performance and we continue to maintain approximately 20% of the Fund's assets invested in these countries. Finally, the strong U.S. dollar hurt the Fund's performance in Europe and Japan, which together comprise 60% of the world market. However, our hedging strategy kept the Fund's actual exposure to Europe and Japan to a much smaller 15-20% of the portfolio. PORTFOLIO POSITIONING The Global Bond Fund remains well diversified in an effort to minimize overall volatility. About one-third of the portfolio is invested in Europe. The Fund's largest commitment, 23.5% of total assets, is in Germany for two reasons. First, it appears that the currency markets have already discounted a soft Euro, which would absorb the harder Deutsche Mark. Second, if the strain of meeting the Maastricht criteria, which calls for debt levels of less than 3% of Gross Domestic Product, causes the shaky EMU coalition to disintegrate, the Deutsche Mark should become very strong. Another third of the portfolio is invested in Asia, where we expect currencies to strengthen in Australia and New Zealand. We believe U.S. dollar denominated convertibles may offer opportunities and have taken action to benefit should they develop. The remainder of the portfolio is invested in the U.S., South Africa and Canada. /s/ E. John deBeer E. John deBeer - ------------------------------------------------------------------------------- LOOMIS SAYLES HIGH YIELD FUND - ------------------------------------------------------------------------------- [Photo of Daniel J. Fuss] [Photo of Kathleen C. Gaffney] DANIEL J. FUSS KATHLEEN C. GAFFNEY PERFORMANCE SUMMARY The Loomis Sayles High Yield Fund kept pace with the market for the six-month period ending June 30, 1997, earning a 5.74% return versus the Merrill Lynch High Yield Master Index return of 5.84%. After a slow start, some of the securities within the portfolio experienced good price movement in the second quarter. For the first six months of 1997, the high yield sector enjoyed some of the best returns, with emerging market debt and convertible bonds also positively contributing to the Fund's performance. PERIOD ENDED LOOMIS LIPPER ML - ------------ ------ ------ -------- 9/30/96 10.00 10.00 10.00 12/31/96 10.17 10.33 10.39 3/31/97 10.15 10.37 10.50 6/30/97 10.76 10.92 11.00 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles High Yield Fund is September 11, 1996. Since Lipper performance data is not available coincident with this date, comparative performance is presented from September 30, 1996. (b): Source: Lipper Analytical Services (c): Merrill Lynch High Yield Master Index consists 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. MARKET ENVIRONMENT The U.S. bond market experienced a weak first quarter, but recovered in the second quarter. The strong growth that had prompted the Federal Reserve to raise the Fed Funds Rate from 5.25% to 5.50% in March seemed to cool during the second quarter and inflation remained benign. Both bonds and stocks are posting strong gains as we head into the second half of the year. The main driver of the markets continues to be positive liquidity flows. Most of the liquidity is finding its way into equities, however, demand for higher yielding fixed income securities is strong and high yield, emerging market and convertible bonds continue to outperform the broader market. Most investors are willing to assume some credit risk, which is reflected in narrow spreads relative to Treasuries. The risk for corporate bonds is that spreads will widen from these rich levels. Issue selection is extremely important in an environment where stronger credit issues outperform. PORTFOLIO CHARACTERISTICS The bond market reacted favorably to the Federal Reserve's decision to keep interest rates level. We continue to seek attractive corporate securities, and have identified considerable value in the Yankee sector. In fact, Yankees now represent approximately 25% of the Fund. Latin America continues to benefit from sound economic policies and increased accessibility to foreign investors, while Asian economies seem likely to overcome their current growing pains. The Fund also has positions in the cable and telecom sectors, which lagged the market earlier this year, but still offer long-term value. We believe Microsoft's investment in Comcast was a clear sign of the value and potential returns in information technology. Prices in this sector snapped back quite nicely in the second quarter. PORTFOLIO POSITION While the Fund has been open a relatively short time, we believe it is well-positioned for the current environment, offering good yield advantage, call protection and issue diversification. The majority of the Fund's holdings are now evenly distributed between issues rated B and BB. Opportunities for enhancing returns will come from using our research expertise to identify improving credit trends. The Fund's holdings will react more to the market's perception of their underlying credit as opposed to changes in interest rates. /s/ Daniel J. Fuss] /s/ Kathleen C. Gaffney] Daniel J. Fuss Kathleen C. Gaffney - ------------------------------------------------------------------------------- LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND - ------------------------------------------------------------------------------- [Photo of Anthony J. Wilkins] ANTHONY J. WILKINS PERFORMANCE SUMMARY The U.S. bond market had a weak first quarter, but bounced back in the second quarter. The strong growth that had prompted the Federal Reserve to raise the Fed Funds Rate by 0.25% in March seemed to cool during the second quarter and inflation remained benign. The Loomis Sayles Intermediate Maturity Bond Fund performed well in this environment, returning 3.50% in the second quarter and 3.40% for the first six months versus the Lehman Brothers Intermediate Aggregate Bond Index's 3.25% and 3.23%, respectively. MARKET SUMMARY The bond market has been volatile this year. Mildly negative returns in the first quarter were offset by strong returns in the second. In general, bond yields mirrored the pace of business activity and the resulting expectations for Federal Reserve activity. In early 1997, the economy experienced a strong upswing, resulting in a drop in bond prices due to fears of inflation. The Fed tamed a seemingly overheating economy by raising the Federal Funds Rate from 5.25% to 5.50% in late March, and Treasury prices dropped across all maturities. The Fed's action had the greatest impact on the intermediate maturities. The three year Treasury yield fared the worst, climbing 0.55% during March, to end the first quarter at 6.56%. During the second quarter, the economy slowed. Accordingly, bond prices reversed course and recovered much of the value lost during the first quarter. A drop in interest rates and a weaker economy produced strong performance numbers across the board for the second quarter. FUND CHARACTERISTICS The Intermediate Maturity Bond Fund has been in operation since January 2, 1997. Although the dynamics of building a portfolio typically put a damper on performance, the Fund has managed to outperform its benchmark since inception. Issue selection has been a key driver for the Fund's strong performance. Lower quality, higher yielding instruments have displayed strong performance year-to-date. The Fund was well-positioned to benefit from the prevailing market conditions, finishing the quarter with 57.1% of its assets invested in BBB securities. Sector allocation was also a catalyst for performance on a year-to-date basis. Mortgages, Yankees and cable/telecom securities all outperformed the market. Although cable and telecom lagged the market in early 1997, this sector came roaring back in the second quarter. We believe Microsoft's investment in Comcast Cable during June was a clear signal of the value and potential returns in information technology. Not only did this announcement greatly enhance Comcast's financial flexibility, but it also sent a positive tremor through the entire sector and boosted prices on all of the portfolio's cable and telecom holdings. With 14.5% invested in this sector as of June 30, the Fund was positioned nicely to ride the recovery. PORTFOLIO POSITION Our investment goal is to maximize total return within the confines of the intermediate maturity spectrum. The portfolio continues to offer good yield advantage, call protection and diversification. There is a degree of foreign exposure and a continuing focus on credit and issue specific factors, which lowers the sensitivity of the portfolio to general market movements. /s/ Anthony J. Wilkins Anthony J. Wilkins - -------------------------------------------------------------------------------- LOOMIS SAYLES INVESTMENT GRADE BOND FUND - -------------------------------------------------------------------------------- [Photo of Daniel J. Fuss] DANIEL J. FUSS PERFORMANCE SUMMARY The U.S. bond market rebounded from a weak first quarter, as a small drop in interest rates and a weaker than expected economy produced strong performance numbers across the board during the second quarter. The Loomis Sayles Investment Grade Bond Fund posted a 5.99% return for the first six months of the year, significantly outperforming the 2.74% return of the Lehman Brothers Government/Corporate Bond Index. MARKET SUMMARY The bond market has had a volatile year thus far. Mildly negative returns in the first quarter were more than offset by strong gains in the second. In general, bond yields mirrored the pace of business activity. In early 1997, the economy experienced a strong upswing, resulting in a drop in bond prices due to fears of inflation. The Federal Reserve tamed a seemingly overheating economy by raising the Federal Funds Rate from 5.25% to 5.50% in late March, and Treasury prices dropped across all maturities. A faltering stock market and fears of further tightening spilled into the second quarter. However, May brought news of a softer economy. Fears of inflation subsided and the stock market roared toward record breaking highs. Accordingly, bond yields reversed course and recovered much of the value lost during the first three months of the year. A drop in interest rates and a weaker than expected economy produced strong performance numbers across the board for the second quarter. CHARACTERISTICS Although both stocks and bonds sold off considerably during March, the subsequent recovery of the markets drove performance for the Investment Grade Bond Fund. The non-market related features of the Fund have proven beneficial in an uncertain interest rate environment. As of June 30, the Fund held approximately 30% in international issues including 17% in Canada. To further diversify our assets we increased our exposure in Japan and initiated a new position in Brazil in late June. We view Brazil as an upgrade candidate and hope to reap incremental yield advantage and long-term price appreciation as the Brazilian economy continues to improve. The Fund's international investments are focused primarily in Australia, Brazil, Japan, New Zealand, South Korea, South Africa, Poland, Thailand and Canada. A strong stock market, buoyed by positive first quarter earnings and mixed economic news, drove prices on convertible securities during the first half of the year, especially during the second quarter. Our allocation to the convertible market has positively affected performance, and as of June 30, the Fund held approximately 11.9% in convertible securities. PORTFOLIO POSITION The economic backdrop has not changed significantly since late March. We continue to invest in securities whose performance is not significantly affected by interest rate changes. There is a degree of foreign exposure and a focus on credit and issue specific factors that serve as a buffer to general market movements. Maintaining this diversity is essential as we continue to search for discounted, longer maturity issues. /s/ Daniel J. Fuss Daniel J. Fuss - -------------------------------------------------------------------------------- LOOMIS SAYLES MUNICIPAL BOND FUND - -------------------------------------------------------------------------------- [Photo of Martha F. Hodgman] MARTHA F. HODGMAN PERFORMANCE SUMMARY The Loomis Sayles Municipal Bond Fund posted strong returns for the first half of 1997. The Fund's 3.06% return through June 30, 1997 compared favorably to the Lipper Analytical Services General Municipal Bond Fund average return of 2.95%. MARKET ENVIRONMENT Activity in the fixed income markets during the first half of 1997 see-sawed as investors' opinions on the strength of the economy shifted. During the first quarter, momentum from 1996 appeared to be continuing to such an extent that the Federal Reserve raised the Federal Funds Rate from 5.25% to 5.50% when it met in late March. As April, May and June progressed, the economy appeared to be losing some steam, inflation fears subsided and the fixed income markets rallied. PERIOD ENDED LOOMIS LIPPER LEHMAN - ------------ ------ ------ ------- 5/31/91 10.00 10.00 10.00 6/30/91 10.01 9.97 9.99 9/30/91 10.42 10.37 10.38 12/31/91 10.78 10.73 10.73 3/31/92 10.78 10.74 10.76 6/30/92 11.24 11.20 11.17 9/30/92 11.54 11.45 11.46 12/31/92 11.79 11.68 11.67 3/31/93 12.18 12.15 12.11 6/30/93 12.63 12.56 12.50 9/30/93 13.07 12.99 12.92 12/31/93 13.15 13.13 13.11 3/31/94 12.42 12.41 12.39 6/30/94 12.58 12.48 12.52 9/30/94 12.61 12.54 12.61 12/31/94 12.44 12.34 12.43 3/31/95 13.26 13.22 13.31 6/30/95 13.50 13.49 13.63 9/30/95 13.83 13.82 14.02 12/31/95 14.50 14.48 14.60 3/31/96 14.23 14.22 14.42 6/30/96 14.28 14.30 14.53 9/30/96 14.60 14.62 14.87 12/31/96 14.98 14.96 15.24 3/31/97 14.90 14.89 15.21 6/30/97 15.44 15.40 15.73 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles Municipal Bond Fund is May 29, 1991. Since Lipper and Lehman Brothers Municipal Bond Index performance data is not available coincident with this date, comparative performance is presented from May 31, 1991. (b): Source: Lipper Analytical Services (c): Lehman Brothers Municipal Bond Index is 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. Municipal bond returns, which are influenced by the general trends in interest rates, were largely unchanged for the first quarter and rallied smartly during the second. During May and early June, there was additional pressure from strong demand driven by the anticipation of large coupon and redemption proceeds to be received in June and July. Through the end of May, the supply of new issues had been somewhat low, so strong demand met limited supply and helped fuel the rally. As interest rates declined, however, supply increased as more issuers came to market to take advantage of the lower rates. PORTFOLIO CHARACTERISTICS Our positions in California bonds positively affected performance. There has been strong demand for California securities this year because new issuance has been restrained due to uncertainties raised by Proposition 218, which addresses voter approval for new bond issues. Our discount holdings contributed positively to the Fund's performance during the second quarter rally. PORTFOLIO POSITIONING As the first half of the year closes, the Fund is well-structured, with good current income and call protection. Finding extraordinary values in the municipal market has been a bit of a challenge this year, as over 50% of new issues come to market with insurance. We continue to scour the secondary market looking for out-of-favor bonds, such as student loan bonds, which may offer opportunities to add value to the portfolio. /s/ Martha F. Hodgman Martha F. Hodgman - ------------------------------------------------------------------------------- LOOMIS SAYLES SHORT-TERM BOND FUND - ------------------------------------------------------------------------------- [Photo of John Hyll] JOHN HYLL PERFORMANCE SUMMARY For the first six months of 1997, the Loomis Sayles Short-Term Bond Fund provided a total return of 2.89%, while the Lehman Brothers 1-3 year Government Bond Index returned 2.90%. MARKET ENVIRONMENT The first half of 1997 was not a very positive environment for bond holders. The bond market deteriorated during the first quarter, as investors expected the Federal Reserve to begin a new tightening program. On March 25th the Fed raised the Federal Funds Rate from 5.25% to 5.50%. The bond market braced for another round of tightening. However, during the second quarter the economy slowed, inflation pressures subsided and the market rallied. PERIOD ENDED LOOMIS LIPPER LEHMAN - ------------ ------ ------ ------- 8/31/92 10.00 10.00 10.00 10/31/92 9.92 9.94 9.94 11/30/92 9.98 9.96 9.93 12/31/92 9.95 10.03 10.02 3/31/93 10.26 10.31 10.24 6/30/93 10.40 10.47 10.35 9/30/93 10.55 10.66 10.49 12/31/93 10.63 10.79 10.56 3/31/94 10.59 10.72 10.51 6/30/94 10.61 10.70 10.51 9/30/94 10.77 10.80 10.61 12/31/94 10.82 10.78 10.61 3/31/95 11.18 11.07 10.97 6/30/95 11.52 11.44 11.31 9/30/95 11.68 11.61 11.48 12/31/95 11.97 11.90 11.77 3/31/96 11.99 11.94 11.81 6/30/96 12.08 12.06 11.93 9/30/96 12.23 12.26 12.13 12/31/96 12.53 12.49 12.36 3/31/97 12.58 12.57 12.44 6/30/97 12.89 12.84 12.72 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles Short-Term Bond Fund is August 3, 1992. Since Lipper performance data is not available coincident with this date, comparative performance is presented from August 31, 1992. (b): Source: Lipper Analytical Services (c): The Lehman Brothers 1-3 Year Gov't Bond Index consists 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. Gov't issues. The Government Bond Index includes issues of the U.S. Gov't or any agency thereof. The index returns have not been reduced for ongoing management and operating expenses applicable to mutual fund investments. PORTFOLIO CHARACTERISTICS Throughout the first half of the year, with the exception of March, corporate yield spreads narrowed significantly. The narrowing of yield spreads, particularly within the lower rated credit issues, positively affected performance due to the Fund's 80% investment in corporate bonds. For the first half of the year, the Fund's average asset weighted maturity was approximately 0.75 years longer than its benchmark, the Lehman Brothers 1-3 year Government Bond Index. This longer average asset weighted maturity did not enhance performance versus the benchmark over the first six months of the year. PORTFOLIO POSITION As of June 30, 1997, the Fund is positioned with 80.0% in corporates, 10.6% in mortgages and 9.4% in U.S. Treasuries. The asset weighted average maturity is 2.8 years, which is towards the longer end of its maturity range of one to three years. Economic fundamentals continue to favor moderate economic growth with low inflationary pressures. This environment tends to favor the higher yielding sectors, such as corporate bonds and mortgages, and we have positioned the Fund accordingly. We have maintained a longer overall average maturity due to low inflation expectations and increased opportunities for generating capital gains. /s/ John Hyll John Hyll - -------------------------------------------------------------------------------- LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND - -------------------------------------------------------------------------------- [Photo of Kent P. Newmark] KENT P. NEWMARK PERFORMANCE The Loomis Sayles U.S. Government Securities Fund fared well relative to similar funds in the first half of 1997, returning 2.65% versus the Lipper Average General U.S. Government Bond Fund's 2.47% return and the Lehman Brothers Government A Bond Index's 2.63% return. MARKET ENVIRONMENT Interest rates were quite volatile during the first six months of the year with the 30-year Treasury yield beginning the year at 6.7%, rising to 7.2% in early April and closing the second quarter at 6.8%. The first quarter was a poor one for most bond PERIOD ENDED LOOMIS LIPPER LEHMAN - ------------ ------ ------ ------- 5/31/91 10.00 10.00 10.00 6/30/91 9.97 9.97 9.99 9/30/91 10.69 10.54 10.56 12/31/91 11.49 11.07 11.12 3/31/92 11.11 10.88 10.93 6/30/92 11.59 11.27 11.36 9/30/92 12.40 11.72 11.92 12/31/92 12.50 11.75 11.92 3/31/93 13.22 12.16 12.46 6/30/93 13.83 12.47 12.82 9/30/93 14.60 12.77 13.24 12/31/93 14.47 12.73 13.20 3/31/94 13.71 12.33 12.80 6/30/94 13.33 12.09 12.65 9/30/94 13.32 12.11 12.71 12/31/94 13.56 12.12 12.75 3/31/95 14.33 12.67 13.35 6/30/95 15.37 13.37 14.18 9/30/95 15.84 13.61 14.43 12/31/95 16.68 14.18 15.09 3/31/96 15.90 13.84 14.75 6/30/96 15.91 13.85 14.82 9/30/96 16.19 14.07 15.07 12/31/96 16.90 14.46 15.51 3/31/97 16.49 14.34 15.38 6/30/97 17.35 14.84 15.91 Note: Past performance is not predictive of future performance. (a): Inception date of the Loomis Sayles U.S. Government Securities Fund is May 21, 1991. Since Lipper and Lehman Brothers Government A Bond Index performance data is not available coincident with this date, comparative performance is presented from May 31, 1991. (b): Source: Lipper Analytical Services (c): Lehman Brothers Government A Bond Index is 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. investors, as strong economic indicators suggested tight monetary policy. While not reflected in the inflation numbers, Gross Domestic Product growth caused the Federal Reserve to raise the Federal Funds Rate from 5.25% to 5.50% on March 25th. Further tightening was expected, however second quarter economic releases showed a less ebullient economy and interest rates began falling. By June 30, optimism was widespread as yields on Treasuries were about to drop below year end 1996 levels. PORTFOLIO CHARACTERISTICS The Fund maintained a duration of seven to ten years and was at its outer boundary when long term rates approached 7.25%, resulting in positive performance as yields fell in the second quarter. The portfolio invests exclusively in government securities and held five issues on June 30, resembling more of a bar bell than a laddered approach. Emphasis was on call protection, with 78% of the portfolio's assets invested in non-callable issues. We shortened duration somewhat in the second quarter, selling into market strength, and ended the period with an effective duration of 8.4 years. PORTFOLIO POSITIONING The portfolio expects to continue its long duration bias in the second half of the year. We expect inflation to finish the year at about 2.6%, with a possible tobacco settlement adding a few tenths of a percent to the Consumer Price Index in 1998. During the June rally, the mortgage sector lagged the market as interest rates sharply declined. Should a stable interest rate environment develop, which is more favorable for mortgages, we would consider adding them to the portfolio. We expect long-term Treasury yields to range between 6.38% and 6.88% over the next six months. /s Kent P. Newmark Kent P. Newmark LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ----------------------------------------------------------------------------------------------------- Bonds And Notes -- 90.6% of Total Net Assets NON-CONVERTIBLE BONDS -- 78.5 % Aerospace -- 0.3 % Rohr Industries, Inc., 9.250%, 3/01/17 ................... $ 2,450,000 $ 2,370,375 ------------ Airlines -- 0.3 % NWA Trust, 9.360%, 3/10/06 ............................... 795,600 856,623 United Airlines Pass Thru, 7.870%, 1/30/19 ............... 2,350,000 2,302,741 ------------ 3,159,364 ------------ Banking & Finance -- 0.8 % First Union Institutional Trust, 7.850%, 1/01/27 ......... 2,000,000 1,954,540 First Union Institutional Trust, 8.040%, 12/01/26 ........ 5,000,000 4,971,510 ------------ 6,926,050 ------------ Broadcasting -- 0.1 % CBS, Inc., 7.125%, 11/01/23 .............................. 1,000,000 862,620 ------------ Canadian -- 15.6 % Canadian Government, Zero Coupon Bond, 6/01/21 (b) ....... 115,650,000 16,030,278 Canadian Government, Zero Coupon Bond, 6/01/22 (b) ....... 11,050,000 1,421,052 Canadian Government, 8.000%, 6/01/23 (b) ................. 29,600,000 24,329,942 International Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (c) ............................................ 1,500,000 892,500 Ontario Hydro, 8.900%, 8/18/22 (b) ....................... 19,440,000 17,086,801 Province of British Columbia, Zero Coupon Bond, 8/23/13 (b) ............................................ 33,000,000 7,604,447 Province of British Columbia, Zero Coupon Bond, 6/09/14 (b) ............................................ 10,000,000 2,171,126 Province of British Columbia, Zero Coupon Bond, 9/05/20 (b) ............................................ 43,228,000 5,991,845 Province of British Columbia, Zero Coupon Bond, 6/09/22 (b) ............................................ 37,807,000 4,649,041 Province of British Columbia, Zero Coupon Bond, 8/19/22 (b) ............................................ 19,500,000 2,373,864 Province of British Columbia, Zero Coupon Bond, 8/23/24 (b) ............................................ 99,500,000 10,505,920 Province of British Columbia, 7.875%, 11/30/23 (b) ....... 1,250,000 981,619 Province of British Columbia, 8.000%, 9/08/23 (b) ........ 7,000,000 5,636,297 Province of Manitoba, Zero Coupon Bond, 7/22/13 (b) ...... 2,500,000 571,206 Province of Manitoba, Zero Coupon Bond, 3/05/31 (b) ...... 34,600,000 2,322,536 Province of Manitoba, 7.750%, 12/22/25 (b) ............... 29,320,000 23,190,350 Province of Ontario, Zero Coupon Bond, 7/13/22 (b) ....... 13,000,000 1,590,108 Province of Saskatchewan, Zero Coupon Bond, 5/30/25 (b) 7,055,000 706,598 Province of Saskatchewan, 8.750%, 5/30/25 (b) ............ 6,435,000 5,610,844 Rogers Cablesystems Ltd., 9.650%, 1/15/14 (b) ............ 6,150,000 4,498,316 ------------ 138,164,690 ------------ Communications -- 3.0 % Arch Communications Group, Inc., Zero Coupon Bond, 3/15/08 (c) ............................................ 12,210,000 6,471,300 Comcast Cable Communications, 8.875%, 5/01/17 (d) ........ 10,000,000 10,900,100 US West Capital Funding, Inc., 7.900%, 2/01/27 ........... 9,035,000 9,127,157 ------------ 26,498,557 ------------ Computer -- 2.9 % Apple Computer, Inc., 6.500%, 2/15/04 .................... 12,075,000 10,143,000 Digital Equipment Corp., 7.750%, 4/01/23 ................. 4,250,000 3,833,330 Seagate Technology, Inc., 7.875%, 3/01/17 ................ 10,000,000 9,994,500 Unisys Corp., 9.750%, 9/15/16 ............................ 2,200,000 2,167,000 ------------ 26,137,830 ------------ Electronics -- 2.5 % Pioneer Standard Electronics, Inc., 8.500%, 8/01/06 ...... 3,000,000 3,108,750 Westinghouse Electric Corp., 7.875%, 9/01/23 ............. 20,350,000 18,859,566 ------------ 21,968,316 ------------ Entertainment -- 3.5 % Time Warner Entertainment Co., 8.050%, 1/15/16 ........... 7,825,000 7,930,090 Time Warner Entertainment Co., 8.375%, 3/15/23 ........... 21,200,000 21,772,188 Time Warner Entertainment Co., 9.150%, 2/01/23 ........... 1,000,000 1,104,490 ------------ 30,806,768 ------------ Environmental Services -- 0.4 % Envirotest Systems Corp., 9.625%, 4/01/03 ................ 4,000,000 3,520,000 ------------ Food & Beverage -- 0.6 % Borden, Inc., 7.875%, 2/15/23 ............................ 5,500,000 4,995,595 ------------ Foreign Government/Agency -- 11.4 % BCO Central Costa Rica, 6.250%, 5/21/10 .................. 3,200,000 2,720,000 Escom, 11.000%, 6/01/08 (e) .............................. 26,500,000 4,712,863 Government of New Zealand, 8.000%, 11/15/06 (f) .......... 16,220,000 11,816,735 Government of Poland, 4.000%, 10/27/14 (c) ............... 8,500,000 7,256,875 Government of Poland, 4.000%, 10/27/14 (c) ............... 500,000 426,875 Petroleos Mexicanos, Medium Term, 8.625%, 12/01/23 (d) 1,550,000 1,356,250 Republic of Argentina, 5.500%, 3/31/23 (c) ............... 26,375,000 18,264,688 Republic of Argentina, 6.750%, 3/31/05 (l) ............... 1,139,985 1,070,879 Republic of Argentina, 11.375%, 1/30/17 .................. 860,000 965,780 Republic of Brazil, 10.125%, 5/15/27 ..................... 38,781,000 37,326,712 Republic of Ireland, 8.250%, 8/18/15 (g) ................. 2,100,000 3,646,032 Republic of South Africa, 12.000%, 2/28/05 (e) ........... 19,000,000 3,735,492 Republic of South Africa, 12.500%, 12/21/06 (e) .......... 16,500,000 3,272,778 Republic of South Africa, 13.500%, 9/15/15 (e) ........... 14,850,000 3,071,013 United Mexican States, 6.250%, 12/31/19 .................. 1,000,000 772,500 ------------ 100,415,472 ------------ Foreign Issuer -- 2.9 % Acindar Industria Arg de Acero, 11.250%, 2/15/04 ......... 825,000 870,375 Bangkok Bank Public Co. Ltd., 8.375%, 1/15/27 (d) ........ 18,075,000 17,282,953 Geberit International SA, 10.125%, 4/16/07 (d) (h) ....... 1,750,000 1,083,871 PTC International Finance, Zero Coupon Bond, 7/01/07 (c) (d) ........................................ 1,125,000 683,438 SKF, Zero Coupon Bond, 7/26/02 (m) ....................... 2,000,000 1,472,768 TFM SA de CV, Zero Coupon Bond, 6/15/09 (c) (d) .......... 7,000,000 4,025,000 ------------ 25,418,405 ------------ Government Agencies -- 2.7 % Federal National Mortgage Association, 5.000%, 9/25/22 ... 1,000,000 888,750 Federal National Mortgage Association, 6.000%, 11/25/08 .. 3,624,855 3,221,590 Federal National Mortgage Association, 7.250%, 6/20/02 (f) 29,350,000 20,193,854 ------------ 24,304,194 ------------ Home Builders -- 0.4 % Hovnanian Enterprises, 9.750%, 6/01/05 ................... 2,350,000 2,303,000 Pulte Corp., 7.300%, 10/24/05 ............................ 1,000,000 975,110 ------------ 3,278,110 ------------ Hotels & Restaurants -- 0.7 % Flagstar Corp., 11.250%, 11/01/04 (i) .................... 14,370,000 5,891,700 ------------ Insurance -- 0.1 % Sun Life Canada US Capital Trust I, 8.526%, 5/29/49 (d) .. 800,000 829,904 ------------ Metals -- 0.1 % Midland Ross Corp., 6.000%, 2/15/07 ...................... 1,400,000 1,008,000 ------------ Oil & Gas -- 0.8 % Maxus Energy Corp., 8.500%, 4/01/08 ...................... 600,000 606,000 NGC Corporation Capital Trust I, 8.316%, 6/01/27 (d) ..... 3,000,000 3,102,300 USX Marathon Group, 8.125%, 7/15/23 ...................... 2,825,000 2,894,551 USX Marathon Group, 8.500%, 3/01/23 ...................... 550,000 581,620 ------------ 7,184,471 ------------ Paper Products -- 1.3 % Champion International, 7.350%, 11/01/25 ................. 3,500,000 3,305,400 Georgia Pacific Corp., 7.375%, 12/01/25 .................. 8,300,000 7,877,779 ------------ 11,183,179 ------------ Real Estate - Investment Trusts -- 0.2 % Security Capital Trust, 8.650%, 5/15/16 .................. 2,000,000 2,140,080 ------------ Retail -- 4.5 % Bradlees, Inc., 9.250%, 3/01/03 (i) ...................... 250,000 15,000 Bradlees, Inc., 11.000%, 8/01/02 (i) ..................... 250,000 17,500 Dillon Read Structured Finance Corp., 6.660%, 8/15/10 .... 2,659,094 2,340,003 Dillon Read Structured Finance Corp., 7.600%, 8/15/07 .... 239,071 225,025 Dillon Read Structured Finance Corp., 8.550%, 8/15/19 .... 500,000 462,500 Dillon Read Structured Finance Corp., 8.375%, 8/15/15 .... 2,425,000 2,243,125 K Mart Corp., 7.950%, 2/01/23 ............................ 12,365,000 11,190,325 K Mart Funding Corp., 8.800%, 7/01/10 .................... 2,905,000 2,788,800 K Mart Pass Thru, 8.540%, 1/02/15 ........................ 6,109,327 5,742,767 K Mart Pass Thru, 9.350%, 1/02/20 ........................ 2,500,000 2,375,000 K Mart Pass Thru, 9.780%, 1/05/20 ........................ 1,000,000 1,000,000 Penn Traffic Co., 9.625%, 4/15/05 ........................ 15,133,000 8,020,490 Woolworth Corp., 8.500%, 1/15/22 ......................... 3,000,000 3,149,070 ------------ 39,569,605 ------------ Steel -- 0.7 % Geneva Steel Co., 9.500%, 1/15/04 ........................ 3,250,000 2,600,000 Geneva Steel Co., 11.125%, 3/15/01 ....................... 4,250,000 3,825,000 ------------ 6,425,000 ------------ Taxable Municipal -- 0.1 % Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16 .......................................... 5,000,000 1,190,100 ------------ Telecommunications -- 5.4 % Intercel, Inc., Zero Coupon Bond, 2/01/06 (c) ............ 1,000,000 641,250 Intercel, Inc., Zero Coupon Bond, 5/01/06 (c) ............ 2,500,000 1,568,750 Nextel Communications, Inc., Zero Coupon Bond, 8/15/04 (c) ............................................ 2,500,000 1,912,500 Sprint Spectrum L.P., Zero Coupon Bond, 8/15/06 (c) ...... 1,000,000 730,000 TCI Communications, Inc., 7.875%, 8/01/13 ................ 6,250,000 6,102,188 TCI Communications, Inc., 7.875%, 2/15/26 ................ 37,905,000 36,426,705 ------------ 47,381,393 ------------ Textiles -- 0.4 % Fruit of the Loom, Inc., 7.375%, 11/15/23 ................ 3,000,000 2,770,200 Phillips Van Heusen Corp., 7.750%, 11/15/23 .............. 600,000 544,962 ------------ 3,315,162 ------------ Tobacco -- 9.0 % Loews Corp., 7.000%, 10/15/23 ............................ 3,500,000 3,142,055 Philip Morris Cos., Inc., 7.750%, 1/15/27 ................ 37,600,000 36,872,064 RJR Nabisco, Inc., 7.625%, 9/15/03 ....................... 15,900,000 15,660,864 RJR Nabisco, Inc., 8.500%, 7/01/07 ....................... 4,050,000 4,028,495 RJR Nabisco, Inc., 8.750%, 8/15/05 ....................... 5,500,000 5,582,225 RJR Nabisco, Inc., 9.250%, 8/15/13 ....................... 14,143,000 14,523,022 ------------ 79,808,725 ------------ Transportation -- 0.0 % American President Companies Ltd., 8.000%, 1/15/24 ....... 275,000 254,367 ------------ U.S. Government -- 6.0 % U.S. Treasury Bonds, 6.250%, 8/15/23 ..................... 43,700,000 40,456,586 U.S. Treasury Bonds, 6.500%, 11/15/26 .................... 7,000,000 6,713,420 U.S. Treasury Strips, Zero Coupon Bond, 8/15/20 .......... 14,000,000 2,833,040 U.S. Treasury Strips, Zero Coupon Bond, 8/15/23 .......... 19,000,000 3,204,920 ------------ 53,207,966 ------------ Utilities -- 1.8 % Boston Edison Co., 7.800%, 3/15/23 ....................... 1,000,000 970,829 Comed Financing II, 8.500%, 1/15/27 (d) .................. 5,000,000 4,982,200 Commonwealth Edison Co., 4.750%, 12/01/11 ................ 952,000 715,761 GGIB Funding Corp., 7.430%, 1/15/11 ...................... 6,978,879 6,764,837 Niagara Mohawk Power Corp., 5.875%, 9/01/02 .............. 500,000 463,675 Niagara Mohawk Power Corp., 6.625%, 7/01/05 .............. 550,000 508,744 Niagara Mohawk Power Corp., 7.750%, 5/15/06 .............. 250,000 247,158 Niagara Mohawk Power Corp., 7.875%, 4/01/24 .............. 1,500,000 1,427,175 ------------ 16,080,379 ------------ TOTAL NON-CONVERTIBLE BONDS (Identified Cost $664,668,912).......................... 694,296,377 ------------ CONVERTIBLE BONDS -- 12.1 % Aerospace -- 0.2 % Rohr Industries, Inc., 7.000%, 10/01/12 .................. 1,600,000 1,472,000 ------------ Auto and Related -- 0.1 % Exide Corp., 2.900%, 12/15/05 (d) ........................ 1,500,000 924,375 ------------ Broadcasting -- 0.3 % Comcast Corp., 1.125%, 4/15/07 ........................... 4,750,000 2,755,000 ------------ Canadian -- 0.2 % Rogers Communications, Inc., 2.000%, 11/26/05 ............ 3,000,000 1,695,000 ------------ Chemicals - Major -- 0.2 % FMC Corp., 6.750%, 1/16/05 ............................... 1,175,000 1,128,000 Hexcel Corp., 7.000%, 8/01/11 ............................ 675,000 654,750 ------------ 1,782,750 ------------ Commercial Services -- 0.3 % Molten Metal Technology, Inc., 5.500%, 5/01/06 ........... 3,000,000 1,110,000 Molten Metal Technology, Inc., 5.500%, 5/01/06 (d) ....... 4,600,000 1,702,000 ------------ 2,812,000 ------------ Computer -- 1.5 % Apple Computer, Inc., 6.000%, 6/01/01 .................... 5,700,000 4,816,500 Cray Research, Inc., 6.125%, 2/01/11 ..................... 550,000 424,875 Maxtor Corp., 5.750%, 3/01/12 ............................ 3,100,000 2,139,000 Softkey International, Inc., 5.500%, 11/01/00 ............ 6,950,000 5,681,625 Streamlogic Corp., 14.000%, 10/07/98 (i) ................. 139,169 139,169 Telxon Corp., 5.750%, 1/01/03 ............................ 500,000 450,000 ------------ 13,651,169 ------------ Electronics -- 0.6 % Cirrus Logic, Inc., 6.000%, 12/15/03 (d) ................. 1,175,000 850,406 Cyrix Corp., 5.500%, 6/01/01 (d) ......................... 2,500,000 2,050,000 EDO Corp., 7.000%, 12/15/11 .............................. 434,000 360,220 Integrated Device Technology, Inc., 5.500%, 6/01/02 ...... 450,000 375,750 Park Electrochemical Corp., 5.500%, 3/01/06 .............. 250,000 227,500 Richardson Electronics Ltd., 7.250%, 12/15/06 ............ 450,000 349,875 Zenith Corp., 6.250%, 4/01/11 ............................ 1,615,000 1,348,525 ------------ 5,562,276 ------------ Entertainment -- 1.1 % Metromedia International Group, Inc., 6.500%, 8/04/02 .... 1,860,000 1,590,300 Time Warner, Inc., Zero Coupon Bond, 12/17/12 ............ 19,900,000 7,810,750 ------------ 9,401,050 ------------ Environmental Services -- 0.4 % Air & Water Technologies Corp., 8.000%, 5/15/15 .......... 1,000,000 820,000 Ogden Corp., 5.750%, 10/20/02 ............................ 1,750,000 1,623,125 Ogden Corp., 6.000%, 6/01/02 ............................. 500,000 467,500 Thermo TerraTech, Inc., 4.625%, 5/01/03 .................. 400,000 376,000 ------------ 3,286,625 ------------ Food -- 0.0 % Chiquita Brands International, Inc., 7.000%, 3/28/01 ..... 450,000 423,000 ------------ Foreign Issuer -- 4.1 % Advanced Agro Public Co., 3.500%, 6/17/01 ................ 1,625,000 1,616,875 Bangkok Bank Public Co. Ltd., 3.250%, 3/03/04 ............ 6,700,000 5,175,750 Banpu Public Co., 2.750%, 4/10/03 ........................ 5,030,000 4,690,475 Burns Philp, 5.500%, 4/30/04 ............................. 4,050,000 3,483,000 Empresas ICA Sociedad, 5.000%, 3/15/04 ................... 3,000,000 2,370,000 Finance One, 2.000%, 8/31/01 ............................. 4,625,000 2,220,000 Kia Motors Corp., 0.250%, 12/31/06 ....................... 150,000 142,500 Loxley Public Co., 2.500%, 4/04/01 ....................... 7,500,000 6,525,000 Samsung Co., 0.250%, 6/26/06 ............................. 2,725,000 2,738,625 Sappi BVI Finance, 7.500%, 8/01/02 ....................... 3,450,000 3,273,187 Siam Commercial Bank Public Co., 3.250%, 1/24/04 ......... 1,160,000 736,600 Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 ....... 1,580,000 1,076,375 Total Access Communication Ltd., 2.000%, 5/31/06 ......... 1,750,000 1,826,563 Yasuda Trust & Banking, 2.875%, 9/30/03 .................. 200,000 161,750 ------------ 36,036,700 ------------ Health Care & Related -- 0.2 % Chiron Corp., 1.900%, 11/17/00 (d) ....................... 1,000,000 908,750 Glycomed, Inc., 7.500%, 1/01/03 .......................... 1,148,100 987,366 ------------ 1,896,116 ------------ Home Builders -- 0.1 % Schuler Homes, Inc., 6.500%, 1/15/03 ..................... 750,000 590,625 ------------ Hotels & Restaurants -- 0.4 % Shoney's, Inc., Zero Coupon Bond, 4/11/04 ................ 7,610,000 3,272,300 ------------ Oil & Gas -- 0.0 % Noram Energy Corp., 6.000%, 3/15/12 ...................... 447,500 393,800 ------------ Pharmaceutical -- 0.1 % NABI, Inc., 6.500%, 2/01/03 .............................. 600,000 489,750 ------------ Real Estate - Investment Trusts -- 1.0 % Federal Realty Investors Trust, 5.250%, 10/28/03 ......... 2,250,000 2,008,125 Meditrust Corp., 7.500%, 3/01/01 ......................... 750,000 820,313 Rockefeller Properties, Zero Coupon Bond, 12/31/00 ....... 7,000,000 4,777,500 Sizeler Property Investors, Inc., 8.000%, 7/15/03 ........ 1,000,000 962,500 ------------ 8,568,438 ------------ Retail - Specialty -- 0.4 % Bell Sports Corp., 4.250%, 11/15/00 ...................... 500,000 426,250 CML Group, Inc., 5.500%, 1/15/03 ......................... 1,224,000 872,100 General Host Corp., 8.000%, 2/15/02 ...................... 1,130,000 920,950 Jacobson Stores, Inc., 6.750%, 12/15/11 .................. 540,000 465,750 Sunglass Hut International, Inc., 5.250%, 6/15/03 (d) .... 1,320,000 925,650 ------------ 3,610,700 ------------ Telecommunications -- 0.5 % Broadband Technologies, Inc., 5.000%, 5/15/01 ............ 6,125,000 4,410,000 ------------ Textiles -- 0.2 % Dixie Yarns, Inc., 7.000%, 5/15/12 ....................... 300,000 249,000 Fieldcrest Cannon, Inc., 6.000%, 3/15/12 ................. 1,620,000 1,287,900 ------------ 1,536,900 ------------ Trucking & Leasing -- 0.2 % Builders Transportation, Inc., 8.000%, 8/15/05 ........... 1,000,000 510,000 Preston Corp., 7.000%, 5/01/11 ........................... 750,000 525,000 Worldway Corp., 6.250%, 4/15/11 .......................... 1,463,000 877,800 ------------ 1,912,800 ------------ TOTAL CONVERTIBLE BONDS (Identified Cost $110,645,975).......................... 106,483,374 ------------ TOTAL BONDS AND NOTES (Identified Cost $775,314,887).......................... 800,779,751 ------------ Shares - ----------------------------------------------------------------------------------------------------- Common Stocks -- 0.0% of Total Net Assets Computer -- 0.0 % Streamlogic Corp. (i) .................................... 266,066 8,314 Streamlogic Corp. (warrants) (i) ......................... 1,228 10,561 ------------ 18,875 ------------ TOTAL COMMON STOCKS (Identified Cost $415,728)............ 18,875 ------------ - ----------------------------------------------------------------------------------------------------- Preferred Stocks -- 3.7% of Total Net Assets Banking & Finance -- 0.7 % Bankamerica Corp., 6.00 % ................................ 19,300 1,864,862 BankBoston Corp., 5.50% .................................. 11,700 1,012,050 Citicorp, 6.00% .......................................... 25,000 2,418,750 First Chicago NBD Corp., 6.00% ........................... 7,500 723,750 ------------ 6,019,412 ------------ Cable -- 0.7 % Cablevision Systems Corp., 11.125% (k) ................... 64,582 6,506,609 ------------ Computer -- 0.1 % Unisys Corp., $3.75 ...................................... 27,300 1,061,287 ------------ Entertainment -- 0.0 % Time Warner, Inc., 10.25% (k) ............................ 283 312,008 ------------ Foreign Issuer -- 0.5 % Sakura Finance, 0.75% (j) ................................ 450,000,000 3,968,739 ------------ Hotels & Restaurants -- 0.0 % Flagstar Corp., $2.25 (i) ................................ 432,100 405,094 ------------ Metals -- 0.5 % Aluminum Company of America, $3.75 ....................... 10,000 640,000 Bethlehem Steel Corp., $3.50 (d) ......................... 99,050 4,011,525 ------------ 4,651,525 ------------ Oil & Gas -- 0.1 % Kaneb Services, Inc., 9.00% .............................. 500 5,063 McDermott, Inc., $2.20 ................................... 25,000 790,625 Western Gas Resources, Inc., $2.625 ...................... 5,000 198,125 ------------ 993,813 ------------ Paper Products -- 0.0 % Stone Container Corp., $1.75 ............................. 5,000 85,625 ------------ Retail -- 0.1 % K Mart Financing Corp., 7.75% ............................ 10,000 548,750 ------------ Trucking & Freight -- 0.3 % Arkansas Best Corp., $2.875 .............................. 67,500 2,227,500 ------------ Utilities -- 0.7 % Central Louisiana Electric, Inc., 4.75% .................. 1,500 111,000 Commonwealth Energy Systems, $4.80 ....................... 3,358 250,171 Connecticut Light & Power Co., $1.90 ..................... 2,925 57,403 Entergy Louisiana, Inc., 4.16% ........................... 2,600 148,200 Illinois Power Co., 6.00% ................................ 200 9,750 Indianapolis Power & Light Co., 4.00% .................... 576 34,632 Jersey Central Power & Light Co., 4.00% .................. 570 33,630 Long Island Lighting Co., 6.875% ......................... 15,000 368,437 MDU Resources Group, Inc., 5.10% ......................... 4,480 374,640 Minnesota Power & Light Co., 5.00% ....................... 200 14,300 Nevada Power Co., 4.10% .................................. 17,811 309,466 Niagara Mohawk Power Corp., 4.85% ........................ 5,000 275,000 Niagara Mohawk Power Corp., 6.50% ........................ 10,500 207,375 Niagara Mohawk Power Corp., 7.30% ........................ 10,100 225,987 Niagara Mohawk Power Corp., 7.525% ....................... 162,300 3,580,744 Niagara Mohawk Power Corp., 7.85% ........................ 10,000 252,500 Niagara Mohawk Power Corp., 9.75% ........................ 1,500 37,313 Northern States Power Co., $3.60 ......................... 700 36,400 Public Service Co., 4.00% ................................ 360 20,700 ------------ 6,347,648 ------------ TOTAL PREFERRED STOCKS (Identified Cost $29,354,707)........................... 33,128,010 ------------ FACE AMOUNT - ----------------------------------------------------------------------------------------------------- Short-Term Investment -- 3.7 % of Total Net Assets Repurchase Agreement with State Street Bank and Trust Co., dated 6/30/97 at 5.00% to be repurchased at $32,806,556 on 7/01/97 collateralized by $31,695,000 U.S. Treasury Bond 7.25%, due 5/15/16 with a value of $33,462,979 .... $32,802,000 $ 32,802,000 ------------ TOTAL SHORT-TERM INVESTMENT (Identified Cost $32,802,000)........................... 32,802,000 ------------ TOTAL INVESTMENTS -- 98.0% (IDENTIFIED COST $837,887,322) (n) ....................... $866,728,636 Cash, Receivables and Other Assets.......................... 25,367,045 Liabilities................................................. (7,926,458) ------------ TOTAL NET ASSETS -- 100% ................................... $884,169,223 ============ (a) See Note 1. (b) Denominated in Canadian Dollars. (c) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (d) 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. (e) Denominated in South African Rand. (f) Denominated in New Zealand Dollars. (g) Denominated in Irish Punt. (h) Denominated in Deutsche Marks. (i) Company filed for Chapter 11 Bankruptcy. (j) Denominated in Japanese Yen. (k) Income may be received as additional securities. (l) Floating Rate Bond: 6 month LIBOR + .8125% rate at end of period. (m) Denominated in European Currency Units. (n) At June 30, 1997, the net unrealized appreciation on investments based on cost of $837,887,322 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 $44,732,067 and $15,890,753, respectively, resulting in net unrealized appreciation of $28,841,314.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES GLOBAL BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Currency Amount Value (a) - ------------------------------------------------------------------------------------------------- Bonds And Notes -- 93.3% of Total Net Assets Argentina -- 4.1 % Republic of Argentina, 5.500%, 3/31/23 (b) ...... USD 1,750,000 $ 1,211,875 ----------- Australia -- 4.3 % QTC Global Aud Bon, 8.000%, 9/14/07 ............. AUD 1,600,000 1,276,133 ----------- Canada -- 6.6 % Government of Canada, 8.750%, 12/01/05 .......... CAD 700,000 589,149 Province of British Columbia, Zero Coupon Bond, 9/05/20 ....................................... CAD 5,025,000 696,517 Province of Ontario, 8.100%, 9/08/23 ............ CAD 200,000 162,421 Province of Saskatchewan, 9.600%, 2/04/22 ....... CAD 525,000 492,892 ----------- 1,940,979 ----------- Denmark -- 2.7 % Kingdom of Denmark, 7.000%, 11/15/07 ............ DKK 5,000,000 790,712 ----------- Germany -- 23.5 % Bayerische Vereinsbank, 6.000%, 1/23/06 ......... DEM 2,000,000 1,173,792 Federal Republic of Germany, 6.000%, 2/16/06 DEM 2,050,000 1,211,719 Federal Republic of Germany, 6.500%, 3/15/00 DEM 2,000,000 1,224,487 Geberit International SA, 10.125%, 4/16/07 (c) DEM 1,000,000 619,355 Germany Unity, 8.000%, 1/21/02 .................. DEM 1,500,000 980,559 Kreditanstalt Wierdarauf, 6.000%, 2/09/06 ....... DEM 1,100,000 646,469 Treuhandanstalt, 6.750%, 5/13/04 ................ DEM 1,700,000 1,060,605 ----------- 6,916,986 ----------- Ireland -- 8.8 % Irish Permanent Plc, 8.500%, 7/15/04 ............ IP 600,000 1,007,136 Republic of Ireland, 8.000%, 8/18/06 ............ IP 250,000 415,848 Republic of Ireland, 8.250%, 8/18/15 ............ IP 400,000 694,482 Ulysses Securitization Plc, 7.625%, 8/18/06 ..... IP 300,000 480,494 ----------- 2,597,960 ----------- Japan -- 5.4 % Mitsubishi Trust & Banking Corp., 1.750%, 9/30/02 ............................... USD 500,000 468,750 Mitsubishi Trust & Banking Corp., 3.250%, 9/30/03 ............................... USD 850,000 826,625 Sumitomo Bank International, 0.750%, 5/31/01 JPY 26,000,000 289,469 ----------- 1,584,844 ----------- Korea -- 4.3 % Samsung Co., 0.250%, 6/26/06 .................... USD 1,250,000 1,256,250 ----------- New Zealand -- 3.0 % Government of New Zealand, 8.000%, 11/15/06 NZD 1,200,000 874,234 ----------- Philippines -- 2.9 % Filinvest Land, Inc., 3.750%, 2/01/02 ........... USD 900,000 851,946 ----------- Poland -- 2.9 % Government of Poland, 4.000%, 10/27/14 (b) ...... USD 1,000,000 853,750 ----------- South Africa -- 8.0 % Escom, 11.000%, 6/01/08 ......................... ZAR 6,000,000 1,067,063 Republic of South Africa, 12.000%, 2/28/05 ...... ZAR 5,000,000 983,024 Sappi BVI Finance, 7.500%, 8/01/02 .............. USD 325,000 308,344 ----------- 2,358,431 ----------- Thailand -- 3.7 % Advanced Agro Public Co., 3.500%, 6/17/01 ....... USD 475,000 472,625 Loxley Public Co., 2.500%, 4/04/01 .............. USD 700,000 609,000 ----------- 1,081,625 ----------- United Kingdom -- 3.5 % New South Wales Trust, 6.500%, 5/01/06 .......... AUD 1,400,000 1,017,295 ----------- United States -- 9.6 % Federal National Mortgage Association, 2.000%, 12/20/99 .............................. JPY 60,000,000 534,077 K Mart Pass Thru, 8.990%, 7/05/10 ............... USD 250,000 241,563 K Mart Pass Thru, 9.350%, 1/02/20 ............... USD 350,000 332,500 K Mart Pass Thru, 9.780%, 1/05/20 ............... USD 150,000 150,000 RJR Nabisco, Inc., 9.250%, 8/15/13 .............. USD 500,000 513,435 TCI Communications, Inc., 7.875%, 2/15/26 ....... USD 1,100,000 1,057,100 ----------- 2,828,675 ----------- TOTAL BONDS AND NOTES (Identified Cost $26,800,983) ................. 27,441,695 ----------- Shares - ------------------------------------------------------------------------------------------------- Preferred Stocks -- 4.1% of Total Net Assets Japan -- 4.1 % Sakura Finance, 0.75% ........................... JPY 138,000,000 1,217,080 ----------- TOTAL PREFERRED STOCKS (Identified Cost $1,048,041) .................. 1,217,080 ----------- TOTAL INVESTMENTS -- 97.4% (IDENTIFIED COST $27,849,024) (d) ............... $28,658,775 Cash, Receivables and Other Assets (e) ............ 928,539 Liabilities ....................................... (158,063) ----------- TOTAL NET ASSETS -- 100% .......................... $29,429,251 =========== (a) See Note 1. (b) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (c) 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. (d) At June 30, 1997, the net unrealized appreciation on investments based on cost of $27,849,024 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 $1,512,097 and $702,346, respectively, resulting in net unrealized appreciation of $809,751. (e) Including deposits in foreign denominated currencies with a value of $193 and a cost of $208.
Currency Terms: AUD = Australian Dollar JPY = Japanese Yen CAD = Canadian Dollar NZD = New Zealand Dollar DEM = Deutsche Mark USD = U.S. Dollar DKK = Danish Krone ZAR = South African Rand IP = Irish Punt Ten largest industry holdings at June 30, 1997 (unaudited) Foreign Government/Agency 50.3% Foreign Issuer 16.8% Banking & Finance 7.8% Canadian 6.6% Telecommunications 3.6% Financial 3.4% Real Estate 2.9% Retail 2.5% Government Agencies 1.8% Tobacco 1.7% See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES HIGH YIELD FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ----------------------------------------------------------------------------------------------------- Bonds And Notes -- 85.1% of Total Net Assets NON-CONVERTIBLE BONDS -- 51.2 % Aerospace -- 0.9 % Rohr Industries, Inc., 9.250%, 3/01/17 ..................... $ 50,000 $ 48,375 ----------- Canadian -- 3.3 % International Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (c) .............................................. 50,000 29,750 Rogers Cablesystems Ltd., 9.650%, 1/15/14 (b) .............. 70,000 51,201 Rogers Communications, Inc., 10.500%, 2/14/06 (b) .......... 125,000 98,354 ----------- 179,305 ----------- Communications -- 7.4 % Arch Communications Group, Inc., Zero Coupon Bond, 3/15/08 (c) .............................................. 415,000 219,950 Century Communications Corp., Zero Coupon Bond, 3/15/03 250,000 148,750 Paging Network, Inc., 8.875%, 2/01/06 ...................... 25,000 22,750 ----------- 391,450 ----------- Computer -- 3.5 % Apple Computer, Inc., 6.500%, 2/15/04 ...................... 105,000 88,200 Digital Equipment Corp., 7.750%, 4/01/23 ................... 50,000 45,098 Unisys Corp., 9.750%, 9/15/16 .............................. 50,000 49,250 ----------- 182,548 ----------- Electronics -- 1.8 % Westinghouse Electric Corp., 7.875%, 9/01/23 ............... 100,000 92,676 ----------- Environmental Services -- 2.5 % Envirotest Systems Corp., 9.625%, 4/01/03 .................. 150,000 132,000 ----------- Food & Beverage -- 1.0 % Borden, Inc., 9.200%, 3/15/21 .............................. 50,000 51,040 ----------- Foreign Government/Agency -- 12.2 % Escom, 11.000%, 6/01/08 (d) ................................ 275,000 48,907 Kingdom of Jordan, 4.000%, 12/23/23 ........................ 250,000 161,875 Petroleos Mexicanos, Medium Term, 8.625%, 12/01/23 (e) ..... 70,000 61,250 Republic of Argentina, 6.750%, 3/31/05 (i) ................. 48,510 45,569 Republic of Argentina, 11.375%, 1/30/17 .................... 75,000 84,225 Republic of Brazil, 10.125%, 5/15/27 ....................... 255,000 245,438 ----------- 647,264 ----------- Foreign Issuer -- 3.3 % Grupo Televisa SA de CV, Zero Coupon Bond, 5/15/08 (c) ..... 20,000 13,800 PTC International Finance, Zero Coupon Bond, 7/01/07 (c) (e) 50,000 30,375 TFM SA de CV, Zero Coupon Bond, 6/15/09 (c) (e) ............ 50,000 28,750 Transportacion Maritima Mexicana SA de CV, 10.000%, 11/15/06 ........................................ 100,000 101,250 ----------- 174,175 ----------- Hotels & Restaurants -- 1.2 % Flagstar Corp., 11.250%, 11/01/04 (h) ...................... 160,000 65,600 ----------- Metals -- 1.4 % Midland Ross Corp., 6.000%, 2/15/07 ........................ 103,000 74,160 ----------- Retail -- 2.9 % Dillon Read Structured Finance Corp., 8.375%, 8/15/15 ...... 65,000 60,125 Penn Traffic Co., 9.625%, 4/15/05 .......................... 175,000 92,750 ----------- 152,875 ----------- Steel -- 1.8 % Geneva Steel Co., 9.500%, 1/15/04 .......................... 65,000 52,000 Geneva Steel Co., 11.125%, 3/15/01 ......................... 50,000 45,000 ----------- 97,000 ----------- Telecommunications -- 3.1 % Intercel, Inc., Zero Coupon Bond, 2/01/06 (c) .............. 25,000 16,031 Intercel, Inc., Zero Coupon Bond, 5/01/06 (c) .............. 50,000 31,375 Nextel Communications, Inc., Zero Coupon Bond, 8/15/04 (c) 80,000 61,200 Sprint Spectrum L.P., Zero Coupon Bond, 8/15/06 (c) ........ 75,000 54,750 ----------- 163,356 ----------- Textiles -- 1.7 % Phillips Van Heusen Corp., 7.750%, 11/15/23 ................ 100,000 90,827 ----------- Tobacco -- 3.2 % RJR Nabisco, Inc., 9.250%, 8/15/13 ......................... 165,000 169,434 ----------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $2,658,492).............................. 2,712,085 ----------- CONVERTIBLE BONDS -- 33.9 % Aerospace -- 0.2 % Rohr Industries, Inc., 7.000%, 10/01/12 .................... 10,000 9,200 ----------- Auto and Related -- 0.6 % Exide Corp., 2.900%, 12/15/05 (e) .......................... 50,000 30,813 ----------- Broadcasting -- 1.1 % Comcast Corp., 1.125%, 4/15/07 ............................. 100,000 58,000 ----------- Canadian -- 2.0 % Rogers Communications, Inc., 2.000%, 11/26/05 .............. 190,000 107,350 ----------- Commercial Services -- 0.5 % Molten Metal Technology, Inc., 5.500%, 5/01/06 ............. 75,000 27,750 ----------- Computer -- 6.8 % Apple Computer, Inc., 6.000%, 6/01/01 ...................... 160,000 135,200 Cray Research, Inc., 6.125%, 2/01/11 ....................... 50,000 38,625 Softkey International, Inc., 5.500%, 11/01/00 .............. 225,000 183,937 ----------- 357,762 Electronics -- 1.9 % Cirrus Logic, Inc., 6.000%, 12/15/03 (e) ................... 100,000 72,375 Cyrix Corp., 5.500%, 6/01/01 (e) ........................... 10,000 8,200 EDO Corp., 7.000%, 12/15/11 ................................ 25,000 20,750 ----------- 101,325 ----------- Foreign Issuer -- 6.8 % Advanced Agro Public Co., 3.500%, 6/17/01 .................. 100,000 99,500 Bangkok Bank Public Co. Ltd., 3.250%, 3/03/04 .............. 100,000 77,250 Banpu Public Co., 2.750%, 4/10/03 .......................... 25,000 23,313 Empresas ICA Sociedad, 5.000%, 3/15/04 ..................... 75,000 59,250 MBI Finance, Zero Coupon Bond, 12/18/01 .................... 50,000 35,812 Sappi BVI Finance, 7.500%, 8/01/02 ......................... 50,000 47,437 Siam Commercial Bank Public Co., 3.250%, 1/24/04 ........... 25,000 15,875 ----------- 358,437 ----------- Home Builders -- 0.3 % Schuler Homes, Inc., 6.500%, 1/15/03 ....................... 20,000 15,750 ----------- Hotels & Restaurants -- 3.2 % Shoney's, Inc., Zero Coupon Bond, 4/11/04 .................. 350,000 150,500 TPI Enterprises, Inc., 8.250%, 7/15/02 ..................... 25,000 21,719 ----------- 172,219 ----------- Metals -- 0.8 % Battle Mountain Gold Co., 6.000%, 1/04/05 .................. 50,000 40,375 Miscellaneous -- 0.9 % Veterinary Centers of America, Inc., 5.250%, 5/01/06 ....... 70,000 49,700 ----------- Pharmaceutical -- 1.5 % NABI, Inc., 6.500%, 2/01/03 ................................ 100,000 81,625 ----------- Retail - Specialty -- 3.0 % Bell Sports Corp., 4.250%, 11/15/00 ........................ 50,000 42,625 CML Group, Inc., 5.500%, 1/15/03 ........................... 100,000 71,250 Jacobson Stores, Inc., 6.750%, 12/15/11 .................... 50,000 43,125 ----------- 157,000 ----------- Telecommunications -- 1.4 % Broadband Technologies, Inc., 5.000%, 5/15/01 .............. 100,000 72,000 ----------- Textiles -- 1.5 % Fieldcrest Cannon, Inc., 6.000%, 3/15/12 ................... 100,000 79,500 ----------- Trucking & Leasing -- 1.4 % Builders Transportation, Inc., 8.000%, 8/15/05 ............. 75,000 38,250 Worldway Corp., 6.250%, 4/15/11 ............................ 62,000 37,200 ----------- 75,450 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $1,824,115).............................. 1,794,256 ----------- TOTAL BONDS AND NOTES (Identified Cost $4,482,607).............................. 4,506,341 ----------- Shares Value (a) - ------------------------------------------------------------------------------------------------------ Common Stocks -- 3.9% of Total Net Assets Computer -- 0.4 % The Learning Company, Inc. (f) ............................. 2,240 21,000 ----------- Utilities -- 3.5 % Eastern Utilities Associates ............................... 10,000 182,500 ----------- TOTAL COMMON STOCKS (Identified Cost $210,189).............. 203,500 ----------- - ----------------------------------------------------------------------------------------------------- Preferred Stocks -- 6.7% of Total Net Assets Cable -- 2.0 % Cablevision Systems Corp., 11.125% (g) ..................... 1,056 106,432 ----------- Computer -- 0.7 % Unisys Corp., $3.75 ........................................ 1,000 38,875 Hotels & Restaurants -- 0.1 % Flagstar Corp., $2.25 (h) .................................. 3,100 2,906 Metals -- 1.5 % Bethlehem Steel Corp., $3.50 (e) ........................... 2,000 81,000 ----------- Trucking & Freight -- 1.6 % Arkansas Best Corp., $2.875 ................................ 2,500 82,500 Utilities -- 0.8 % Central Maine Power Company, 3.50% ......................... 160 6,400 Cleveland Electric Illuminating Co., 7.00% ................. 100 8,875 Niagara Mohawk Power Corp., 6.50% .......................... 400 7,900 Niagara Mohawk Power Corp., 7.525% ......................... 1,000 22,063 ----------- 45,238 ----------- TOTAL PREFERRED STOCKS (Identified Cost $321,409)........... 356,951 ----------- Face Amount Value (a) - ------------------------------------------------------------------------------------------------------ Short-Term Investment -- 2.9 % of Total Net Assets Repurchase Agreement with State Street Bank and Trust Co., dated 6/30/97 at 5.00% to be repurchaed at $153,021 on 7/01/97 collateralized by $150,000 U.S. Treasury Bond 7.25%, due 5/15/16 with a value of $158,367 .............. $153,000 153,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $153,000)................................ 153,000 ----------- TOTAL INVESTMENTS -- 98.6% (IDENTIFIED COST $5,167,205) (j) .. $ 5,219,792 Cash, Receivables and Other Assets............................ 184,044 Liabilities................................................... (111,192) ----------- TOTAL NET ASSETS -- 100% ..................................... $ 5,292,644 =========== (a) See Note 1. (b) Denominated in Canadian Dollars. (c) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (d) Denominated in South African Rand. (e) 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. (f) Non-income producing security. (g) Income may be received as additional securities. (h) Company filed for Chapter 11 Bankruptcy. (i) Floating Rate Bond: 6 month LIBOR + .8125% rate at end of period. (j) At June 30, 1997, the net unrealized appreciation on investments based on cost of $5,167,205 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 $143,672 and $91,085, respectively, resulting in net unrealized appreciation of $52,587.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - -------------------------------------------------------------------------------------------------------------- Bonds And Notes -- 96.8% of Total Net Assets Banking & Finance -- 5.8 % Capital One Bank, 5.950%, 2/15/01 ........................... $ 160,000 $ 154,702 Capital One Bank, 6.830%, 5/17/99 ........................... 70,000 70,230 NationsBank Corp., 7.000%, 9/15/01 .......................... 55,000 55,522 ----------- 280,454 ----------- Communications -- 6.5 % Comcast Cable Communications, 8.125%, 5/01/04 (c) ........... 150,000 156,148 US West Capital Funding, Inc., 6.850%, 1/15/02 .............. 160,000 159,829 ----------- 315,977 ----------- Entertainment -- 3.3 % Time Warner Entertainment, Inc., 7.750%, 6/15/05 ............ 155,000 157,519 ----------- Financial -- 13.9 % Ford Credit Auto Owner Trust, 6.300%, 1/15/01 ............... 54,000 53,898 Ford Motor Credit Co., 7.000%, 9/25/01 ...................... 155,000 156,308 General Motors Acceptance Corp., 6.875%, 7/15/01 ............ 170,000 170,682 Green Tree Financial Corp., 6.950%, 3/15/27 ................. 200,000 196,874 Olympic Automobile Receivables Trust, 5.950%, 6/15/01 ....... 55,000 54,872 Salton Sea Funding Corp., 7.020%, 5/30/00 ................... 40,768 40,947 ----------- 673,581 ----------- Foreign Government/Agency -- 1.2 % Government of Poland, 4.000%, 10/27/14 (b) .................. 70,000 59,763 ----------- Foreign Issuer -- 9.4 % Southern Peru Ltd., 7.900%, 5/30/07 (c) ..................... 220,000 223,445 Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 (c) ...................................... 200,000 196,380 YPF Sociedad Anonima, 7.000%, 10/26/02 ...................... 33,707 33,784 ----------- 453,609 ----------- Government Agencies -- 13.6 % Federal Home Loan Mortgage Guaranteed, 6.000%, 4/15/06 ...... 54,725 54,024 Federal Home Loan Mortgage Guaranteed, 6.250%, 10/15/07 54,714 53,277 Federal National Mortgage Association, 6.000%, 2/01/12 ...... 112,301 108,264 Federal National Mortgage Association, 6.500%, 4/01/11 ...... 104,378 102,453 Federal National Mortgage Association, 6.500%, 1/18/16 ...... 180,000 176,400 Federal National Mortgage Association, 6.500%, 8/15/16 ...... 165,000 161,700 ----------- 656,118 ----------- Oil & Gas -- 4.8 % USX Marathon Group, 6.375%, 7/15/98 ......................... 230,000 230,313 ----------- Real Estate - Investment Trusts -- 2.5 % American Health Properties, Inc., 7.050%, 1/15/02 ........... 65,000 64,774 Trinet Corporate Realty Trust, 7.300%, 5/15/01 .............. 55,000 55,440 ----------- 120,214 ----------- Retail -- 1.4 % Woolworth Corp., 7.000%, 6/01/00 ............................ 65,000 65,198 ----------- Securities -- 9.9 % Bear Stearns Company, Inc., 5.750%, 2/15/01 ................. 60,000 58,146 Lehman Brothers Holdings, Inc., 5.750%, 11/15/98 ............ 140,000 138,938 Lehman Brothers Holdings, Inc., 6.125%, 2/01/01 ............. 60,000 58,849 Salomon, Inc., 6.700%, 12/01/98 ............................. 55,000 55,206 Salomon, Inc., 7.250%, 5/01/01 .............................. 165,000 166,914 ----------- 478,053 ----------- Telecommunications -- 8.0 % Cox Communications, Inc., 6.500%, 11/15/02 .................. 165,000 162,233 TCI Communications, Inc., 6.875%, 2/15/06 ................... 240,000 226,999 ----------- 389,232 ----------- Tobacco -- 5.2 % Philip Morris Cos., Inc., 7.250%, 9/15/01 ................... 65,000 65,495 RJR Nabisco, Inc., 7.625%, 9/15/03 .......................... 25,000 24,624 RJR Nabisco, Inc., 8.750%, 8/15/05 .......................... 160,000 162,392 ----------- 252,511 ----------- Trucking & Leasing -- 4.2 % Amerco, 7.490%, 9/18/01 ..................................... 200,000 202,128 ----------- U.S. Government -- 6.1 % U.S. Treasury Note, 5.875%, 6/30/00 ......................... 300,000 297,093 ----------- Utilities - Electric -- 1.0 % System Energy Resources, Inc., 7.380%, 10/01/00 ............. 50,000 49,642 ----------- TOTAL BONDS AND NOTES (Identified Cost $4,649,826)........... 4,681,405 ----------- TOTAL INVESTMENTS -- 96.8% (IDENTIFIED COST $4,649,826) }D{ ... 4,681,405 Cash, Receivables and Other Assets............................. 209,131 Liabilities.................................................... (53,189) ----------- TOTAL NET ASSETS -- 100 % ..................................... $ 4,837,347 =========== (a) See Note 1. (b) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (c) 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. (d) At June 30, 1997, the net unrealized appreciation on investments based on cost of $4,649,826 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 there is an excess of tax cost over value were $34,237 and $2,658, respectively, resulting in net unrealized appreciation of $31,579.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- LOOMIS SAYLES INVESTMENT GRADE BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ------------------------------------------------------------------------------------------------------ Bonds and Notes -- 89.2% of Total Net Assets NON-CONVERTIBLE BONDS -- 77.7 % Airlines -- 3.0 % United Airlines Pass Thru, 7.870%, 1/30/19 .................. $ 60,000 $ 58,793 ----------- Canadian -- 16.3 % Canadian Government, Zero Coupon Bond, 6/01/21 (b) .......... 150,000 20,791 Canadian Government, 8.000%, 6/01/23 (b) .................... 77,000 63,291 Ontario Hydro, 8.900%, 8/18/22 (b) .......................... 55,000 48,342 Province of British Columbia, Zero Coupon Bond, 8/19/22 (b) 605,000 73,651 Province of British Columbia, Zero Coupon Bond, 8/23/24 (b) 200,000 21,117 Province of Manitoba, Zero Coupon Bond, 3/05/31 (b) ......... 1,100,000 73,838 Province of Saskatchewan, Zero Coupon Bond, 5/30/25 (b) ..... 215,000 21,534 ----------- 322,564 ----------- Communications -- 5.3 % Arch Communications Group, Inc., Zero Coupon Bond, 3/15/08 (c) ............................................... 25,000 13,250 Comcast Cable Communications, 8.875%, 5/01/17 (d) ........... 25,000 27,250 US West Capital Funding, Inc., 7.900%, 2/01/27 .............. 65,000 65,663 ----------- 106,163 ----------- Computer -- 3.8 % Seagate Technology, Inc., 7.875%, 3/01/17 ................... 75,000 74,959 ----------- Electronics -- 1.4 % Westinghouse Electric Corp., 7.875%, 9/01/23 ................ 30,000 27,803 ----------- Foreign Government/Agency -- 4.8 % Government of New Zealand, 8.000%, 11/15/06 (e) ............. 45,000 32,784 Government of Poland, 4.000%, 10/27/14 (c) .................. 25,000 21,344 Republic of Brazil, 10.125%, 5/15/27 ........................ 10,000 9,625 Republic of South Africa, 13.500%, 9/15/15 (f) .............. 150,000 31,020 ----------- 94,773 ----------- Foreign Issuer -- 2.4% Bangkok Bank Public Co. Ltd., 8.375%, 1/15/27 (d) ........... 50,000 47,809 ----------- Government Agencies -- 1.7 % Federal National Mortgage Association, 7.250%, 6/20/02 (e) .. 50,000 34,402 ----------- Oil & Gas -- 2.4 % Mitchell Energy and Development Corp., 6.750%, 2/15/04 ...... 50,000 47,506 ----------- Paper Products -- 14.8 % Champion International, 7.350%, 11/01/25 .................... 65,000 61,386 Georgia Pacific Corp., 7.375%, 12/01/25 ..................... 100,000 94,913 Mead Corp., 7.125%, 8/01/25 ................................. 50,000 46,119 Westvaco Corp., 7.000%, 8/15/23 ............................. 100,000 91,327 ----------- 293,745 ----------- Retail -- 0.7 % Penn Traffic Co., 9.625%, 4/15/05 ........................... 25,000 13,250 ----------- Telecommunications -- 4.4 % TCI Communications, Inc., 7.875%, 2/15/26 ................... 90,000 86,490 ----------- Tobacco -- 10.2 % Loews Corp., 7.000%, 10/15/23 ............................... 70,000 62,841 Philip Morris Cos., Inc., 7.750%, 1/15/27 ................... 80,000 78,451 RJR Nabisco, Inc., 9.250%, 8/15/13 .......................... 60,000 61,612 ----------- 202,904 ----------- Utilities -- 6.5 % Comed Financing II, 8.500%, 1/15/27 (d) ..................... 60,000 59,787 GGIB Funding Corp., 7.430%, 1/15/11 ......................... 71,750 69,549 ----------- 129,336 ----------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $1,497,967)............................... 1,540,497 ----------- CONVERTIBLE BONDS -- 11.5 % Computer -- 1.7 % Apple Computer, Inc., 6.000%, 6/01/01 ....................... 20,000 16,900 Softkey International, Inc., 5.500%, 11/01/00 ............... 20,000 16,350 ----------- 33,250 ----------- Foreign Issuer -- 4.1 % Banpu Public Co., 2.750%, 4/10/03 ........................... 20,000 18,650 Burns Philp, 5.500%, 4/30/04 ................................ 20,000 17,200 Samsung Co., 0.250%, 6/26/06 ................................ 20,000 20,100 Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 .......... 15,000 10,219 Yasuda Trust & Banking, 2.875%, 9/30/03 ..................... 20,000 16,000 ----------- 82,169 ----------- Hotels & Restaurants -- 1.0 % Shoney's, Inc., Zero Coupon Bond, 4/11/04 ................... 45,000 19,350 ----------- Oil & Gas -- 2.7 % Noram Energy Corp., 6.000%, 3/15/12 ......................... 60,000 52,800 ----------- Retail - Specialty -- 1.0 % General Host Corp., 8.000%, 2/15/02 ......................... 25,000 20,375 ----------- Textiles -- 1.0 % Fieldcrest Cannon, Inc., 6.000%, 3/15/12 .................... 25,000 19,875 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $226,599)........... 227,819 ----------- TOTAL BONDS AND NOTES (Identified Cost $1,724,566)........... 1,768,316 ----------- Shares - ------------------------------------------------------------------------------------------------------ Preferred Stocks -- 4.9% of Total Net Assets Chemicals - Major -- 2.9 % E.I. DuPont DeNemours & Co., $3.50 .......................... 500 29,000 E.I. DuPont DeNemours & Co., $4.50 .......................... 400 28,900 ----------- 57,900 ----------- Utilities -- 2.0 % Entergy New Orleans, Inc., 4.75% ............................ 175 10,430 Duquesne Light Co., 4.00% ................................... 500 14,250 Houston Lighting & Power Co., $4.00 ......................... 79 4,385 New York State Electric & Gas Corp., 3.75% .................. 200 9,500 ----------- 38,565 ----------- TOTAL PREFERRED STOCKS (Identified Cost $92,857)............. 96,465 ----------- TOTAL INVESTMENTS -- 94.1% (IDENTIFIED COST $1,817,423) (g) ... $ 1,864,781 Cash, Receivables and Other Assets............................. 166,306 Liabilities.................................................... (49,826) ----------- TOTAL NET ASSETS -- 100% ...................................... $ 1,981,261 =========== (a) See Note 1. (b) Denominated in Canadian Dollars. (c) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (d) 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. (e) Denominated in New Zealand Dollars. (f) Denominated in South African Rand. (g) At June 30, 1997, the net unrealized appreciation on investments based on cost of $1,817,423 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 $55,408 and $8,050, respectively, resulting in net unrealized appreciation of $47,358.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES MUNICIPAL BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ----------------------------------------------------------------------------------------------------- Bonds And Notes -- 96.9% of Total Net Assets Alaska -- 1.2 % Alaska State Housing Finance Corp., 6.600%, 12/01/15 ........ $ 95,000 $ 98,954 ----------- Arizona -- 1.9 % Phoenix Street & Highway User, 6.250%, 7/01/11 .............. 150,000 159,797 ----------- California -- 12.4 % California State Department Water Resources, 5.625%, 12/01/12 .......................................... 100,000 102,152 California State Public Works Lease, 5.500%, 6/01/14 ........ 300,000 299,658 Foothill Eastern Transportation Corridor, Zero Coupon Bond, 1/01/23 ................................................... 500,000 103,920 Foothill Eastern Transportation Corridor, 6.000%, 1/01/16 ... 250,000 254,625 Fresno Sewer Revenue, (AMBAC Insured), 6.250%, 9/01/14 ...... 250,000 277,735 ----------- 1,038,090 ----------- Colorado -- 1.3 % El Paso County, Zero Coupon Bond, 9/01/15 ................... 300,000 107,100 ----------- Connecticut -- 5.1 % Connecticut State Resources Recovery Authority, 7.625%, 1/01/09 ........................................... 200,000 206,622 Connecticut State Special Tax Obligation, 6.125%, 9/01/12 ... 200,000 217,034 ----------- 423,656 ----------- District of Columbia -- 2.7 % District of Columbia, G.O., (MBIA Insured), 5.200%, 6/01/04 . 225,000 228,647 ----------- Hawaii -- 2.3 % Honolulu Hawaii, G.O., 5.000%, 10/01/13 ..................... 200,000 192,028 ----------- Illinois -- 11.3 % Chicago Illinois, G.O., (AMBAC Insured), 5.250%, 1/01/15 .... 250,000 242,212 Chicago Metropolitan Water Reclamation, 5.950%, 12/01/07 .... 300,000 325,707 Chicago O'Hare International Airport, 5.000%, 1/01/16 ....... 150,000 139,061 Illinois Development Finance Authority Pollution Control, 7.250%, 6/01/11 ........................................... 25,000 27,107 Illinois Health Facilities Authority, 6.750%, 12/01/08 ...... 45,000 49,109 Illinois State Sales Tax Revenue, 6.375%, 6/15/14 ........... 150,000 160,551 ----------- 943,747 ----------- Louisiana -- 2.6 % Regional Transportation Authority, (FGIC Insured), 8.000%, 12/01/08 .......................................... 200,000 214,184 ----------- Massachusetts -- 9.5 % Commonwealth of Massachusetts Water Pollution Control, 5.000%, 8/01/14 ........................................... 300,000 286,383 Commonwealth of Massachusetts, G.O., (FGIC Insured), 5.125%, 11/01/11 .......................................... 300,000 295,314 Plymouth County Certificates of Participation, 6.500%, 4/01/01 ........................................... 200,000 210,970 ----------- 792,667 ----------- Michigan -- 2.5 % Michigan State Hospital Finance Authority, 9.000%, 5/01/08 .. 160,000 205,894 ----------- New Jersey -- 3.6 % New Jersey State Turnpike Authority, 6.500%, 1/01/08 ........ 200,000 222,208 New Jersey State Turnpike Authority, 6.500%, 1/01/16 ........ 75,000 82,807 ----------- 305,015 ----------- New York -- 15.2 % New York City Housing Development Corporation, 5.625%, 5/01/12 ........................................... 150,000 149,168 New York City, G.O., 7.000%, 8/01/98 ........................ 5,000 5,087 New York State Certificates of Participation, 5.650%, 8/01/02 160,000 165,118 New York State Dormitory Authority, 6.375%, 7/01/08 ......... 200,000 210,650 New York State Environmental Pollution Control, 5.150%, 6/15/13 ........................................... 125,000 122,704 New York State Environmental Pollution Control, 5.750%, 6/15/10 ........................................... 250,000 263,080 New York State, G.O., 5.250%, 7/15/10 ....................... 200,000 198,690 New York Urban Development Corp., 5.625%, 1/01/07 ........... 150,000 153,358 ----------- 1,267,855 ----------- North Carolina -- 1.3 % North Carolina Eastern Municipal Power Agency, 7.250%, 1/01/07 ........................................... 100,000 112,644 ----------- Pennsylvania -- 1.6 % Pennsylvania Finance Authority Revenue Bond, 6.600%, 11/01/09 .......................................... 125,000 134,801 ----------- Puerto Rico -- 2.9 % Puerto Rico Electric Power Authority, 6.125%, 7/01/09 ....... 225,000 242,264 ----------- Rhode Island -- 2.9 % Rhode Island Convention Center Authority, (MBIA Insured), 5.000%, 5/15/10 ........................................... 250,000 244,875 ----------- Tennessee -- 3.5 % Metropolitan Nashville Airport, (FGIC Insured), 6.600%, 7/01/15 ........................................... 30,000 32,590 Shelby County, G.O., 5.900%, 3/01/13 ........................ 250,000 257,735 ----------- 290,325 ----------- Vermont -- 2.4 % Vermont State, G.O., 5.125%, 1/15/12 ........................ 200,000 198,276 ----------- Washington -- 2.9 % Washington State, G.O., 6.375%, 2/01/14 ..................... 225,000 238,563 ----------- Wisconsin -- 1.9 % Milwaukee County, G.O., 5.900%, 12/01/12 .................... 150,000 155,102 ----------- Wyoming -- 3.0 % Platte County Pollution Control, (MBIA Insured), 5.100%, 1/01/08 ........................................... 250,000 250,443 ----------- U.S. Government -- 2.9 % U.S. Treasury Note, 5.875%, 11/30/01 ........................ 250,000 245,195 ----------- TOTAL BONDS AND NOTES (Identified Cost $7,829,606)........... 8,090,122 ----------- Short-Term Investment -- 2.9 % of Total Net Assets Repurchase Agreement with State Street Bank and Trust Co., dated 6/30/97 at 5.00% to be repurchased at $245,068 on 7/01/97 collateralized by $250,000 Federal Home Loan Bank 5.94%, due 2/14/01 with a value of $250,807 ............... 245,000 245,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $245,000)................................. 245,000 ----------- TOTAL INVESTMENTS -- 99.8% (IDENTIFIED COST $8,074,606) (b) ... $ 8,335,122 Cash, Receivables and Other Assets............................. 178,131 Liabilities.................................................... (159,997) ----------- TOTAL NET ASSETS -- 100% ...................................... $ 8,353,256 =========== (a) See Note 1. (b) At June 30, 1997, the net unrealized appreciation on investments based on cost of $8,074,606 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 $283,402 and $22,886, respectively, resulting in net unrealized appreciation of $260,516. Insurance Abbreviations: AMBAC - American Municipal Bond Assurance Corporation FGIC - Federal Guaranty Insurance Corporation MBIA - Municipal Bond Insurance Association Security Abbreviations: G.O. - General Obligation
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES SHORT-TERM BOND FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ----------------------------------------------------------------------------------------------------- Bonds And Notes -- 97.9% of Total Net Assets Aerospace -- 4.8 % Lockheed Corp., 5.875%, 3/15/98 ............................ $ 200,000 $ 199,874 Lockheed Martin Corp., 6.550%, 5/15/99 ..................... 570,000 572,611 ----------- 772,485 ----------- Airlines -- 7.5 % Delta Air Lines, Inc., 7.790%, 12/01/98 .................... 800,000 815,656 Northwest Airlines Corp., 8.375%, 3/15/04 .................. 400,000 403,440 ----------- 1,219,096 Banking & Finance -- 7.3 % Capital One Bank, 6.830%, 5/17/99 .......................... 560,000 561,002 Household Bank FSB, 6.250%, 4/01/99 ........................ 625,000 624,413 ----------- 1,185,415 ----------- Computer Equipment -- 4.1 % Comdisco, Inc., 5.760%, 1/19/99 ............................ 670,000 664,788 ----------- Consumer Services -- 3.5 % Loewen Group International, Inc., 7.750%, 10/15/01 ......... 560,000 568,400 ----------- Financial -- 14.5 % Chrysler Financial Corp., 6.500%, 6/15/98 .................. 200,000 200,820 Fleetwood Credit Grantor Trust, 6.900%, 3/15/12 ............ 504,530 507,285 Great Western Financial Corp., 6.125%, 6/15/98 ............. 605,000 605,236 Sears Roebuck Acceptance Corp., 6.950%, 5/15/02 ............ 340,000 341,673 Van Kampen Merritt Companies, Inc., 9.750%, 2/15/03 ........ 310,000 327,338 World Omni Automobile Lease, 6.550%, 6/25/02 ............... 369,729 372,362 ----------- 2,354,714 ----------- Government Agencies -- 9.7 % Federal Home Loan Mortgage Corp., 6.500%, 5/15/08 .......... 520,000 502,128 Federal Home Loan Mortgage Corp., 6.500%, 4/01/12 .......... 595,979 584,428 Federal National Mortgage Association, 7.000%, 12/01/11 .... 276,487 275,881 Federal National Mortgage Association, 7.000%, 12/01/11 .... 213,366 212,899 ----------- 1,575,336 ----------- Media & Entertainment -- 7.3 % News America Holdings, Inc., 9.125%, 10/15/99 .............. 400,000 421,696 Time Warner, Inc., 7.450%, 2/01/98 ......................... 545,000 548,248 Time Warner, Inc., 7.950%, 2/01/00 ......................... 200,000 205,618 ----------- 1,175,562 ----------- Oil & Gas -- 3.1 % Occidental Petroleum Corp., 5.850%, 11/09/98 ............... 500,000 497,030 ----------- Real Estate-Investment Trusts -- 1.2 % Oasis Residential, Inc., 7.000%, 11/15/03 .................. 200,000 196,564 ----------- Securities -- 10.6 % Lehman Brothers Holdings, Inc., 6.375%, 6/01/98 ............ 625,000 626,213 Salomon Brothers, Inc., 7.125%, 8/01/99 .................... 450,000 453,339 Smith Barney Holdings, Inc., 5.500%, 1/15/99 ............... 640,000 632,819 ----------- 1,712,371 ----------- Technology -- 1.6 % Tektronix, Inc., 7.625%, 8/15/02 ........................... 250,000 254,130 ----------- Telecommunications -- 6.0 % Sprint Spectrum L.P., Zero Coupon Bond, 8/15/06 (b) ........ 560,000 408,800 TCI Communications, 7.250%, 6/15/99 ........................ 550,000 554,202 ----------- 963,002 ----------- U.S. Government -- 9.4 % U.S. Treasury Notes, 5.125%, 3/31/98 ....................... 530,000 527,928 U.S. Treasury Notes, 5.875%, 2/15/04 ....................... 565,000 547,434 U.S. Treasury Notes, 6.250%, 2/15/03 ....................... 450,000 446,485 ----------- 1,521,847 ----------- Utilities -- 7.3 % Detroit Edison Co., 6.340%, 3/15/00 ........................ 670,000 663,132 El Paso Electric Co., 7.250%, 2/01/99 ...................... 520,000 520,952 ----------- 1,184,084 ----------- TOTAL BONDS AND NOTES (Identified Cost $15,775,799)............................. 15,844,824 ---------- - ----------------------------------------------------------------------------------------------------- Short-Term Investment -- 0.8 % of Total Net Assets Repurchase Agreement with State Street Bank and Trust Co., dated 6/30/97 at 5.00% to be repurchased at $129,018 on 7/01/97 collateralized by $125,000 U.S. Treasury Bond 7.25%, due 5/15/16 with a value of $131,973 .............. 129,000 129,000 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $129,000)................................ 129,000 ----------- TOTAL INVESTMENTS -- 98.7% (IDENTIFIED COST $15,904,799) (c) . $15,973,824 Cash, Receivables and Other Assets............................ 299,462 Liabilities................................................... (85,355) ----------- TOTAL NET ASSETS -- 100% ..................................... $16,187,931 =========== (a) See Note 1. (b) Step Bond: Coupon rate is zero or below market rate for an initial period and then increases to a higher coupon rate at a specified date and rate. (c) At June 30, 1997, the net unrealized appreciation on investments based on cost of $15,904,799 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 $92,218 and $23,193, respectively, resulting in net unrealized appreciation of $69,025.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND Investments -- as of June 30, 1997 (unaudited)
Face Amount Value (a) - ------------------------------------------------------------------------------------------------------ Bonds And Notes -- 98.8% of Total Net Assets Government Agencies -- 20.8 % Tennessee Valley Authority, 8.625%, 11/15/29 ............... $ 2,572,000 $ 2,756,155 ----------- U.S. Government -- 78.0 % U.S. Treasury Bonds, 7.250%, 5/15/16 ....................... 3,125,000 3,258,781 U.S. Treasury Bonds, 7.500%, 11/15/24 ...................... 3,985,000 4,299,456 U.S. Treasury Bonds, 8.750%, 11/15/08 ...................... 2,030,000 2,250,763 U.S. Treasury Strips, Zero Coupon Bond, 11/15/07 ........... 1,100,000 554,466 ----------- 10,363,466 ----------- TOTAL BONDS AND NOTES (Identified Cost $13,061,354)............................. 13,119,621 ----------- TOTAL INVESTMENTS -- 98.8% (IDENTIFIED COST $13,061,354) (b) . $13,119,621 Cash, Receivables and Other Assets............................ 207,846 Liabilities................................................... (46,701) ----------- TOTAL NET ASSETS -- 100% ..................................... $13,280,766 =========== (a) See Note 1. (b) At June 30, 1997, the net unrealized appreciation on investments based on cost of $13,061,354 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 $99,675 and $41,408, respectively, resulting in net unrealized appreciation of $58,267.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 1997 (unaudited)
Bond Global Fund Bond Fund ------------ ------------ ASSETS Investments at value: Securities .......................................... $833,926,636 $ 28,658,775 Repurchase agreements ............................... 32,802,000 0 ------------ ------------ Total investments ..................................... 866,728,636 28,658,775 Cash .................................................. 667 0 Foreign currency at value ............................. 0 193 Receivable for: Shares of the Fund sold ............................. 6,564,888 82,836 Securities sold ..................................... 2,373,865 147,278 Forward currency contracts -- net ................... 0 57,446 Dividend and interest -- net ........................ 16,225,149 577,744 Due from the adviser (Note 3) ......................... 192,846 55,599 Other assets .......................................... 9,630 7,443 Unamortized organization expenses (Note 1I) ........... 0 0 ------------ ------------ 892,095,681 29,587,314 ------------ ------------ LIABILITIES Payable for: Securities purchased ................................ 6,722,512 0 Shares of the Fund redeemed ......................... 525,662 28,793 Foreign taxes ....................................... 0 0 Dividends declared .................................. 0 0 Accrued expenses: Management fees (Note 3) ............................ 418,781 14,372 Trustees' fees (Note 3B) ............................ 1,250 1,250 Accounting and administration (Note 3A) ............. 76,996 2,857 Other expenses ...................................... 181,257 110,791 Organization costs .................................. 0 0 ------------ ------------ 7,926,458 158,063 ------------ NET ASSETS .............................................. $884,169,223 $ 29,429,251 ============ ============ Net Assets consist of: Capital paid in ..................................... $835,834,329 $ 28,166,499 Undistributed net investment income ................. 13,998,161 758,656 Accumulated net realized gain (loss) ................ 5,501,584 (355,448) Unrealized appreciation (depreciation) on: Investments ....................................... 28,841,314 809,751 Foreign currency transactions ..................... (6,165) 49,793 ------------ ------------ NET ASSETS .............................................. $884,169,223 $ 29,429,251 ============ ============ INSTITUTIONAL CLASS: Net assets ............................................ $867,281,975 $ 26,567,506 Shares of beneficial interest outstanding, no par value 67,620,961 2,077,176 Net asset value and redemption price per Institutional share ............................................... $ 12.83 $ 12.79 RETAIL CLASS: Net assets ............................................ $ 16,887,248 $ 2,861,745 Shares of beneficial interest outstanding, no par value 1,317,748 223,905 Net asset value and redemption price per Retail share . $ 12.82 $ 12.78 Identified cost of investments .......................... $837,887,322 $ 27,849,024 ============ ============
See accompanying notes to financial statements.
Intermediate U.S. High Maturity Investment Municipal Short-Term Government Yield Bond Grade Bond Bond Bond Securities Fund Fund Fund Fund Fund Fund - ------------ ------------ ------------ ------------ ------------ ------------ $ 5,066,792 $ 4,681,405 $ 1,864,781 $ 8,090,122 $ 15,844,824 $ 13,119,621 153,000 0 0 245,000 129,000 0 - ------------ ------------ ------------ ------------ ------------ ------------ 5,219,792 4,681,405 1,864,781 8,335,122 15,973,824 13,119,621 434 63,149 8,244 142 706 51,207 0 0 0 0 0 0 0 0 12,530 0 3,072 108 0 0 23,387 0 0 0 0 0 0 0 0 0 84,706 68,207 36,576 134,200 229,203 118,139 82,429 57,323 70,652 43,789 58,585 38,392 6,727 20,452 14,917 0 7,554 0 9,748 0 0 0 342 0 - ------------ ------------ ------------ ------------ ------------ ------------ 5,403,836 4,890,536 2,031,087 8,513,253 16,273,286 13,327,467 - ------------ ------------ ------------ ------------ ------------ ------------ 63,536 0 0 111,121 0 0 0 0 0 0 20,422 0 0 0 0 0 0 0 0 0 0 12,654 7,138 0 2,501 1,586 642 2,724 3,354 4,371 1,250 1,250 1,250 1,250 1,250 1,250 463 364 189 811 1,621 1,302 43,442 23,431 21,187 31,437 51,570 39,778 0 26,558 26,558 0 0 0 - ------------ ------------ ------------ ------------ ------------ ------------ 111,192 53,189 49,826 159,997 85,355 46,701 - ------------ ------------ ------------ ------------ ------------ ------------ $ 5,292,644 $ 4,837,347 $ 1,981,261 $ 8,353,256 $ 16,187,931 $ 13,280,766 ============ ============ ============ ============ ============ ============ $ 5,114,167 $ 4,748,104 $ 1,902,265 $ 8,049,225 $ 16,584,821 $ 14,256,452 97,858 52,230 33,578 3,779 10,736 216,553 28,030 5,434 (1,915) 39,736 (476,651) (1,250,506) 52,587 31,579 47,358 260,516 69,025 58,267 2 0 (25) 0 0 0 - ------------ ------------ ------------ ------------ ------------ ------------ $ 5,292,644 $ 4,837,347 $ 1,981,261 $ 8,353,256 $ 16,187,931 $ 13,280,766 ============ ============ ============ ============ ============ ============ $ 3,944,961 $ 4,786,410 $ 1,718,692 $ 8,353,256 $ 16,009,787 $ 13,280,766 376,692 469,355 164,385 736,256 1,655,051 1,304,084 $ 10.47 $ 10.20 $ 10.46 $ 11.35 $ 9.67 $ 10.18 $ 1,347,683 $ 50,937 $ 262,569 -- $ 178,144 -- 128,834 4,996 25,131 -- 18,418 -- $ 10.46 $ 10.20 $ 10.45 -- $ 9.67 -- $ 5,167,205 $ 4,649,826 $ 1,817,423 $ 8,074,606 $ 15,904,799 $ 13,061,354 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For the Six Months Ended June 30, 1997 (unaudited)
Global Bond Bond Fund Fund ------------ ------------ INVESTMENT INCOME Dividends ............................................. $ 1,018,788 $ 0 Interest .............................................. 28,032,580 918,880 ------------ ------------ 29,051,368 918,880 ------------ ------------ Expenses Management fees (Note 3) ............................ 2,084,823 82,165 12b-1 fees (Retail Class) ........................... 11,336 2,026 Trustees' fees and expenses (Note 3B) ............... 2,985 2,985 Accounting and administrative fees (Note 3A) ........ 185,950 5,056 Custodian ........................................... 146,079 37,247 Transfer Agent (Institutional Class) ................ 192,110 13,319 Transfer Agent (Retail Class) ....................... 16,705 10,465 Audit and tax services .............................. 11,650 8,650 Legal ............................................... 11,507 1,269 Printing ............................................ 45,578 1,991 Registration fees ................................... 94,959 10,321 Amortization of organization expenses (Note 1I) ..... 0 0 Amortization of deferred registration costs (Note 1I) 6,239 5,356 Miscellaneous expenses .............................. 304 0 ------------ ------------ 2,810,225 180,850 ------------ ------------ Less expenses assumed by the investment adviser (Note 3) . (192,846) (55,576) ------------ ------------ Net investment income ................................. 26,433,989 793,606 ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS Realized gain (loss) on: Investments -- net .................................. 4,566,911 155,894 Foreign currency transactions -- net ................ (27,130) 159,317 ------------ ------------ Total realized gain (loss) on investments and foreign currency transactions ............................. 4,539,781 315,211 ------------ ------------ Unrealized appreciation (depreciation) on: Investments -- net .................................. 9,969,995 (151,361) Foreign currency transactions -- net ................ 3,182 57,131 ------------ ------------ Total unrealized appreciation (depreciation) on investments and foreign currency transactions ..... 9,973,177 (94,230) ------------ ------------ Net gain (loss) on investments and foreign currency transactions ........................................ 14,512,958 220,981 ------------ ------------ NET INCREASE IN NET ASSETS FROM OPERATIONS .............. $ 40,946,947 $ 1,014,587 ============ ============
See accompanying notes to financial statements.
Intermediate U.S. High Maturity Investment Municipal Short-Term Government Yield Bond Grade Bond Bond Bond Securities Fund Fund Fund Fund Fund Fund - ------------ ------------ ------------ ------------ ------------ ------------ $ 17,215 $ 0 $ 1,770 $ 0 $ 0 $ 0 180,780 79,414 59,952 235,668 545,696 464,948 - ------------ ------------ ------------ ------------ ------------ ------------ 197,995 79,414 61,722 235,668 545,696 464,948 - ------------ ------------ ------------ ------------ ------------ ------------ 12,071 4,798 3,302 16,759 19,862 25,904 1,146 11 171 0 187 0 2,985 2,709 2,709 2,985 2,985 2,985 1,112 611 460 1,811 3,470 2,816 28,805 21,416 26,745 23,076 27,407 19,399 10,485 7,988 9,520 10,838 11,851 11,520 9,679 7,988 9,520 0 9,696 0 8,850 5,175 5,175 6,650 7,650 6,650 991 1,003 965 1,045 1,145 1,107 1,894 1,742 1,742 1,151 2,391 2,176 6,316 2,847 2,847 4,612 5,449 4,400 8,914 0 0 0 758 0 5,348 7,645 12,206 0 5,355 0 0 0 0 0 288 289 - ------------ ------------ ------------ ------------ ------------ ------------ 98,596 63,933 75,362 68,927 98,494 77,246 - ------------ ------------ ------------ ------------ ------------ ------------ (82,360) (57,323) (70,652) (43,789) (58,585) (38,392) - ------------ ------------ ------------ ------------ ------------ ------------ 181,759 72,804 57,012 210,530 505,787 426,094 - ------------ ------------ ------------ ------------ ------------ ------------ 28,056 5,434 (1,869) 17,151 (52,124) 43,635 (26) 0 (46) 0 0 0 - ------------ ------------ ------------ ------------ ------------ ------------ 28,030 5,434 (1,915) 17,151 (52,124) 43,635 - ------------ ------------ ------------ ------------ ------------ ------------ 48,183 31,579 47,358 16,684 (5,580) (139,961) 19 0 (25) 0 0 0 - ------------ ------------ ------------ ------------ ------------ ------------ 48,202 31,579 47,333 16,684 (5,580) (139,961) - ------------ ------------ ------------ ------------ ------------ ------------ 76,232 37,013 45,418 33,835 (57,704) (96,326) - ------------ ------------ ------------ ------------ ------------ ------------ $ 257,991 $ 109,817 $ 102,430 $ 244,365 $ 448,083 $ 329,768 ============ ============ ============ ============ ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Bond ---------------------------------------- Six Months Ended Year Ended ----------------- ------------------ June 30, 1997 December 31, 1996 ------------ ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 26,433,989 $ 29,104,161 Net realized gain (loss) on: Investments ......................................... 4,566,911 9,916,047 Foreign currency transactions ....................... (27,130) 14,349 Unrealized appreciation (depreciation) on: Investments ......................................... 9,969,995 1,541,729 Foreign currency transactions ....................... 3,182 (4,455) ------------ ------------ Increase (decrease) in net assets from operations ........................................ 40,946,947 40,571,831 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (12,779,633) (28,834,672) Net realized gain on investments .................... 0 (10,362,123) RETAIL CLASS Net investment income ............................... (194,168) 0 Net realized gain on investments .................... 0 0 ------------ ------------ (12,973,801) (39,196,795) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ 298,514,838 284,158,620 RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ...................................... 16,437,426 0 ------------ ------------ Total increase (decrease) in net assets ............... 342,925,410 285,533,656 NET ASSETS Beginning of the period ............................... 541,243,813 255,710,157 ------------ ------------ End of the period ..................................... $884,169,223 $541,243,813 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ 537,972 $ 34,589 ============ ============ End of the period ..................................... $ 13,998,161 $ 537,972 ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Global Bond ---------------------------------------- Six Months Ended Year Ended ----------------- ------------------ June 30, 1997 December 31, 1996 ------------ ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 793,606 $ 1,015,932 Net realized gain (loss) on: Investments ......................................... 155,894 592,117 Foreign currency transactions ....................... 159,317 256,616 Unrealized appreciation (depreciation) on: Investments ......................................... (151,361) 478,651 Foreign currency transactions ....................... 57,131 25,112 ------------ ------------ Increase (decrease) in net assets from operations ........................................ 1,014,587 2,368,428 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... 0 (1,502,252) Net realized gain on investments .................... 0 0 RETAIL CLASS Net investment income ............................... 0 0 Net realized gain on investments .................... 0 0 ------------ ------------ 0 (1,502,252) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ (862,081) 15,342,391 RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ................... 2,763,873 0 ------------ ------------ Total increase (decrease) in net assets ............... 2,916,379 16,208,567 NET ASSETS Beginning of the period ............................... 26,512,872 10,304,305 ------------ ------------ End of the period ..................................... $ 29,429,251 $ 26,512,872 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ (34,950) $ 130,782 ============ ============ End of the period ..................................... $ 758,656 $ (34,950) ============ ============
See accompanying notes to financial statements.
LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------------------------------ STATEMENTS OF CHANGES IN NET ASSETS High Yield ---------------------------------------- Six Months Ended Year Ended ----------------- ------------------ June 30, 1997 December 31, 1996 ------------ ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 181,759 $ 37,520 Net realized gain (loss) on: Investments ......................................... 28,056 0 Foreign currency transactions ....................... (26) (36) Unrealized appreciation (depreciation) on: Investments ......................................... 48,183 4,404 Foreign currency transactions ....................... 19 (17) ------------ ------------ Increase (decrease) in net assets from operations ........................................ 257,991 41,871 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (72,671) (36,708) Net realized gain on investments .................... 0 0 RETAIL CLASS Net investment income ............................... (20,190) 0 Net realized gain on investments .................... 0 0 ------------ ------------ (92,861) (36,708) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ 1,881,517 1,933,717 RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ...................................... 1,307,107 0 ------------ ------------ Total increase (decrease) in net assets ............... 3,353,754 1,938,880 NET ASSETS Beginning of the period ............................... 1,938,890 10 ------------ ------------ End of the period ..................................... $ 5,292,644 $ 1,938,890 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ 8,960 $ 0 ============ ============ End of the period ..................................... $ 97,858 $ 8,960 ============ ============ * Commencement of operations, September 11, 1996.
See accompanying notes to financial statements.
LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS Intermediate Maturity Bond Investment Grade Bond ---------------- --------------------- Six Months Ended Six Months Ended ---------------- --------------------- June 30, 1997* June 30, 1997* ---------------- --------------------- (Unaudited) (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 72,804 $ 57,012 Net realized gain (loss) on: Investments ......................................... 5,434 (1,869) Foreign currency transactions ....................... 0 (46) Unrealized appreciation (depreciation) on: Investments ......................................... 31,579 47,358 Foreign currency transactions ....................... 0 (25) ------------ ------------ Increase (decrease) in net assets from operations ................................... 109,817 102,430 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (20,574) (21,072) Net realized gain on investments .................... 0 0 RETAIL CLASS Net investment income ............................... 0 (2,362) Net realized gain on investments .................... 0 0 ------------ ------------ (20,574) (23,434) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ 4,697,992 1,647,078 RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ...................................... 50,092 255,167 ------------ ------------ Total increase (decrease) in net assets .............................................. 4,837,327 1,981,241 NET ASSETS Beginning of the period ............................... 20 20 ------------ ------------ End of the period ..................................... $ 4,837,347 $ 1,981,261 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ 0 $ 0 ============ ============ End of the period ..................................... $ 52,230 $ 33,578 ============ ============
* Commencement of operations, January 2, 1997. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Municipal Bond --------------------------------------- Six Months Ended Year Ended ---------------- ----------------- June 30, 1997 December 31, 1996 ---------------- ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 210,530 $ 372,837 Net realized gain (loss) on: Investments ......................................... 17,151 54,589 Foreign currency transactions ....................... 0 0 Unrealized appreciation (depreciation) on: Investments ......................................... 16,684 (147,252) Foreign currency transactions ....................... 0 0 ------------ ------------ Increase (decrease) in net assets from operations ........................................ 244,365 280,174 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (210,530) (372,889) Net realized gain on investments .................... 0 (65,728) RETAIL CLASS Net investment income ............................... 0 0 Net realized gain on investments .................... 0 0 (210,530) (438,617) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ (381,727) 898,750 RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ................... -- -- ------------ ------------ Total increase (decrease) in net assets ............... (347,892) 740,307 NET ASSETS Beginning of the period ............................... 8,701,148 7,960,841 ------------ ------------ End of the period ..................................... $ 8,353,256 $ 8,701,148 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ 3,777 $ 3,829 ============ ============ End of the period ..................................... $ 3,779 $ 3,777 ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
Short-Term Bond --------------------------------------- Six Months Ended Year Ended ---------------- ----------------- June 30, 1997 December 31, 1996 ---------------- ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 505,787 $ 1,145,418 Net realized gain (loss) on: Investments ......................................... (52,124) (48,327) Foreign currency transactions ....................... 0 0 Unrealized appreciation (depreciation) on: Investments ......................................... (5,580) (248,733) Foreign currency transactions ....................... 0 0 ------------ ------------ Increase (decrease) in net assets from operations ........................................ 448,083 848,358 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (501,239) (1,145,361) Net realized gain on investments .................... 0 0 RETAIL CLASS Net investment income ............................... (4,548) 0 Net realized gain on investments .................... 0 0 ------------ ------------ (505,787) (1,145,361) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ (2,161,947) (7,513,762) RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ................... 178,915 0 ------------ ------------ Total increase (decrease) in net assets ............... (2,040,736) (7,810,765) NET ASSETS Beginning of the period ............................... 18,228,667 26,039,432 ------------ ------------ End of the period ..................................... $ 16,187,931 $ 18,228,667 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ 10,736 $ 8,066 ============ ============ End of the period ..................................... $ 10,736 $ 10,736 ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - ------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
U.S. Government Securities --------------------------------------- Six Months Ended Year Ended ---------------- ----------------- June 30, 1997 December 31, 1996 ---------------- ----------------- (Unaudited) FROM OPERATIONS Net investment income (loss) .......................... $ 426,094 $ 1,351,371 Net realized gain (loss) on: Investments ......................................... 43,635 (716,728) Foreign currency transactions ....................... 0 0 Unrealized appreciation (depreciation) on: Investments ......................................... (139,961) (437,793) Foreign currency transactions ....................... 0 0 ------------ ------------ Increase (decrease) in net assets from operations ........................................ 329,768 196,850 ------------ ------------ FROM DISTRIBUTIONS TO SHAREHOLDERS INSTITUTIONAL CLASS Net investment income ............................... (204,599) (1,334,711) Net realized gain on investments .................... 0 0 RETAIL CLASS Net investment income ............................... 0 0 Net realized gain on investments .................... 0 0 ------------ ------------ (204,599) (1,334,711) ------------ ------------ FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) INSTITUTIONAL CLASS Increase (decrease) in net assets derived from capital share transactions ........................ (1,036,520) (4,169,172) RETAIL CLASS Increase (decrease) in net assets derived from capital share transactions ................... -- -- ------------ ------------ Total increase (decrease) in net assets ............... (911,351) (5,307,033) NET ASSETS Beginning of the period ............................... 14,192,117 19,499,150 ------------ ------------ End of the period ..................................... $ 13,280,766 $ 14,192,117 ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME Beginning of the period ............................... $ (4,942) $ (1,533) ============ ============ End of the period ..................................... $ 216,553 $ (4,942) ============ ============
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31,
Bond Fund -------------------------------------- Institutional Class -------------------------------------- 1997* 1996 ---- ---- Net asset value, beginning of period ............................. $ 12.38 $ 12.29 -------- -------- Income from investment operations - Net investment income (loss) ................................ 0.42 0.86 Net realized and unrealized gain (loss) on investments ...... 0.26 0.35 -------- -------- Total from investment operations ............................. 0.68 1.21 -------- -------- Less distributions - Dividends from net investment income ........................ (0.23) (0.86) Distributions in excess of net investment income ............ 0.00 0.00 Distributions from net realized capital gains ............... 0.00 (0.26) -------- -------- Total distributions .......................................... (0.23) (1.12) -------- -------- Net asset value, end of period ................................... $ 12.83 $ 12.38 ======== ======== Total return (%)(a) .............................................. 5.6 10.3 Net assets, end of period (000) .................................. $867,282 $541,244 Ratio of operating expenses to average net assets (%)(b) ......... 0.75 0.75 Ratio of net investment income to average net assets (%)(b) ...... 7.61 7.93 Portfolio turnover rate (%) ...................................... 14 42 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ...... 0.80 0.75 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .............................. $ 0.38 $ 0.86 (a)Periods less than one year are not annualized. (b)Annualized for periods less than one year. *For the six months ended June 30, 1997. (unaudited) **From commencement of class operations on January 2, 1997, through June 30, 1997. (unaudited)
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Bond Fund - -------------------------------------------------------------------------------- Institutional Class Retail Class - ------------------------------------------------------------- ------------ 1995 1994 1993 1992 1997** - -------- -------- -------- -------- -------- $ 10.05 $ 11.37 $ 10.36 $ 10.23 $ 12.38 - -------- -------- -------- -------- -------- 0.82 0.83 0.84 0.76 0.33 2.32 (1.29) 1.43 0.67 0.33 - -------- -------- -------- -------- -------- 3.14 (0.46) 2.27 1.43 0.66 - -------- -------- -------- -------- -------- (0.82) (0.84) (0.81) (0.76) (0.22) 0.00 (0.02) 0.00 0.00 0.00 (0.08) 0.00 (0.45) (0.54) 0.00 - -------- -------- -------- -------- -------- (0.90) (0.86) (1.26) (1.30) (0.22) - -------- -------- -------- -------- -------- $ 12.29 $ 10.05 $ 11.37 $ 10.36 $ 12.82 ======== ======== ======== ======== ======== 32.0 (4.1) 22.0 14.3 5.5 $255,710 $ 82,985 $ 64,222 $ 18,472 $ 16,887 0.79 0.84 0.94 1.00 1.00 8.34 7.92 8.26 7.50 7.43 35 87 170 101 14 0.79 0.84 0.94 1.55 1.33 $ 0.82 $ 0.83 $ 0.84 $ 0.70 $ 0.24
LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Global Bond Fund ---------------------------------- Institutional Class ---------------------------------- Net asset value, beginning of period ............................. $ 12.35 $ 11.39 -------- -------- Income from investment operations - Net investment income (loss) ................................ 0.36 0.44 Net realized and unrealized gain (loss) on investments ...... 0.08 1.27 -------- -------- Total from investment operations ............................. 0.44 1.71 -------- -------- Less distributions - Dividends from net investment income ........................ 0.00 (0.75) Distributions in excess of net investment income ............ 0.00 0.00 Distributions from net realized capital gains ............... 0.00 0.00 -------- -------- Total distributions .......................................... 0.00 (0.75) -------- -------- Net asset value, end of period ................................... $ 12.79 $ 12.35 ======== ======== Total return (%)(a) .............................................. 3.6 15.0 Net assets, end of period (000) .................................. $ 26,568 $ 26,513 Ratio of operating expenses to average net assets (%)(b) ......... 0.90 1.50 Ratio of net investment income to average net assets (%)(b) ...... 5.81 6.37 Portfolio turnover rate (%) ...................................... 47 131 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ...... 1.24 1.77 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .............................. $ 0.34 $ 0.42 (a) Periods less than one year are not annualized. (b) Annualized for periods less than one year. * For the six months ended June 30, 1997. (unaudited) ** From commencement of class operations on January 2, 1997, through June 30, 1997. (unaudited)
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Global Bond Fund - -------------------------------------------------------------------------------- Institutional Class Retail Class - ------------------------------------------------------------- ------------ 1995 1994 1993 1992 1997** - -------- -------- -------- -------- -------- $ 9.82 $ 11.06 $ 10.32 $ 11.38 $ 12.35 - -------- -------- -------- -------- -------- 1.04 0.67 0.54 0.70 0.20 1.31 (1.63) 0.96 (0.60) 0.23 - -------- -------- -------- -------- -------- 2.35 (0.96) 1.50 0.10 0.43 - -------- -------- -------- -------- -------- (0.78) (0.04) (0.49) (0.77) 0.00 0.00 (0.24) 0.00 0.00 0.00 0.00 0.00 (0.27) (0.39) 0.00 - -------- -------- -------- -------- -------- (0.78) (0.28) (0.76) (1.16) 0.00 - -------- -------- -------- -------- -------- $ 11.39 $ 9.82 $ 11.06 $ 10.32 $ 12.78 ======== ======== ======== ======== ======== 23.9 (8.7) 14.6 0.8 3.5 $ 10,304 $ 25,584 $ 21,378 $ 9,968 $ 2,862 1.50 1.30 1.50 1.50 1.15 8.17 7.02 5.54 6.99 5.53 148 153 150 72 47 1.69 1.30 1.51 2.58 2.63 $ 1.02 $ 0.67 $ 0.54 $ 0.59 $ 0.15
LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, High Yield Fund -------------------------------------- Institutional Class Retail Class ---------------------- ------------- 1997* 1996+ 1997*+ -------- -------- -------- Net asset value, beginning of period ..................... $ 10.11 $ 10.00 $ 10.11 -------- -------- -------- Income from investment operations - Net investment income (loss) ............................. 0.36 0.20 0.37 Net realized and unrealized gain (loss) on investments ... 0.21 0.11 0.18 -------- -------- -------- Total from investment operations ......................... 0.57 0.31 0.55 -------- -------- -------- Less distributions - Dividends from net investment income ..................... (0.21) (0.20) (0.20) Distributions in excess of net investment income ......... 0.00 0.00 0.00 Distributions from net realized capital gains ............ 0.00 0.00 0.00 -------- -------- -------- Total distributions ...................................... (0.21) (0.20) (0.20) -------- -------- -------- Net asset value, end of period ........................... $ 10.47 $ 10.11 $ 10.46 ======== ======== ======== Total return (%)(a) ...................................... 5.7 3.1 5.6 Net assets, end of period (000) .......................... $ 3,945 $ 1,939 $ 1,348 Ratio of operating expenses to average net assets (%)(b) . 0.75 0.75 1.00 Ratio of net investment income to average net assets (%)(b) ........................................... 9.06 8.85 8.94 Portfolio turnover rate (%) .............................. 34 0 34 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) .................................. 4.81 12.06 5.23 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: ................................................... $ 0.21 $ (0.05) $ 0.18
(a)Periods less than one year are not annualized. (b)Annualized for periods less than one year. *For the six months ended June 30, 1997. (unaudited) +Commencement of operations on September 11, 1996 and January 2, 1997, for the Institutional and Retail Classes, respectively. See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31,
Intermediate Maturity Bond Fund -------------------------------------- Institutional Retail Class Class -------------------------------------- 1997* 1997* ---- ---- Net asset value, beginning of period ............................. $ 10.00 $ 10.00 -------- -------- Income from investment operations - Net investment income (loss) ................................ 0.25 0.20 Net realized and unrealized gain (loss) on investments ...... 0.09 0.14 -------- -------- Total from investment operations ............................. 0.34 0.34 -------- -------- Less distributions - Dividends from net investment income ........................ (0.14) (0.14) Distributions from net realized capital gains ............... 0.00 0.00 -------- -------- Total distributions .......................................... (0.14) (0.14) -------- -------- Net asset value, end of period ................................... $ 10.20 $ 10.20 ======== ======== Total return (%)(a) .............................................. 3.4 3.4 Net assets, end of period (000) .................................. $ 4,786 $ 51 Ratio of operating expenses to average net assets (%)(b) ......... 0.55 0.80 Ratio of net investment income to average net assets (%)(b) ...... 6.07 6.13 Portfolio turnover rate (%) ...................................... 98 98 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ...... 4.68 141.73 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .............................. $ 0.05 $ (1.55) (a) Periods less than one year are not annualized. (b) Annualized for periods less than one year. *Commencement of operations on January 2, 1997.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31,
Investment Grade Bond Fund -------------------------------------- Institutional Retail Class Class -------------------------------------- 1997* 1997* ---- ---- Net asset value, beginning of period ............................. $ 10.00 $ 10.00 -------- -------- Income from investment operations - Net investment income (loss) ................................ 0.32 0.22 Net realized and unrealized gain (loss) on investments ...... 0.27 0.36 -------- -------- Total from investment operations ............................. 0.59 0.58 -------- -------- Less distributions - Dividends from net investment income ........................ (0.13) (0.13) Distributions from net realized capital gains ............... 0.00 0.00 -------- -------- Total distributions .......................................... (0.13) (0.13) -------- -------- Net asset value, end of period ................................... $ 10.46 $ 10.45 ======== ======== Total return (%)(a) .............................................. 6.0 5.9 Net assets, end of period (000) .................................. $ 1,719 $ 263 Ratio of operating expenses to average net assets (%)(b) ......... 0.55 0.80 Ratio of net investment income to average net assets (%)(b) ...... 6.91 6.91 Portfolio turnover rate (%) ...................................... 81 81 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ...... 8.11 20.45 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .............................. $ (0.03) $ (0.35) (a) Periods less than one year are not annualized. (b) Annualized for periods less than one year. *Commencement of operations on January 2, 1997.
See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Municipal Bond Fund ------------- Institutional Class ------------ 1997* ------------ Net asset value, beginning of period .......................... $ 11.29 -------- Income from investment operations - Net investment income (loss) .................................. 0.28 Net realized and unrealized gain (loss) on investments ........ 0.06 -------- Total from investment operations .............................. 0.34 -------- Less distributions - Dividends from net investment income .......................... (0.28) Distributions from net realized capital gains ................. 0.00 -------- Total distributions ........................................... (0.28) -------- Net asset value, end of period ................................ $ 11.35 ======== Total return (%)(a) ........................................... 3.1 Net assets, end of period (000) ............................... $ 8,353 Ratio of operating expenses to average net assets (%)(b) ...... 0.60 Ratio of net investment income to average net assets (%)(b) ... 5.03 Portfolio turnover rate (%) ................................... 23 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) .... 1.65 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: ................. $ 0.23 (a) Periods less than one year are not annualized. (b) Annualized for periods less than one year. * For the six months ended June 30, 1997. (unaudited) See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Municipal Bond Fund - -------------------------------------------------------------------------------- Institutional Class - -------------------------------------------------------------------------------- 1996 1995 1994 1993 1992 -------- -------- -------- -------- $ 11.53 $ 10.41 $ 11.54 $ 10.95 $ 10.55 - -------- -------- -------- -------- -------- 0.52 0.52 0.52 0.51 0.51 (0.15) 1.16 (1.13) 0.74 0.46 - -------- -------- -------- -------- -------- 0.37 1.68 (0.61) 1.25 0.97 - -------- -------- -------- -------- -------- (0.52) (0.52) (0.52) (0.51) (0.51) (0.09) (0.04) 0.00 (0.15) (0.06) - -------- -------- -------- -------- -------- (0.61) (0.56) (0.52) (0.66) (0.57) - -------- -------- -------- -------- -------- $ 11.29 $ 11.53 $ 10.41 $ 11.54 $ 10.95 ======== ======== ======== ======== ======== 3.3 16.5 (5.4) 11.6 9.4 $ 8,701 $ 7,961 $ 7,270 $ 5,160 $ 2,200 1.00 1.00 1.00 1.00 1.00 4.61 4.72 4.79 4.50 4.81 38 41 28 36 32 2.31 2.02 2.37 3.22 7.65 $ 0.37 $ 0.41 $ 0.37 $ 0.26 $ (0.19) LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31,
Short-Term Bond Fund -------------------------------------- Institutional Class -------------------------------------- 1997* 1996 ---- ---- Net asset value, beginning of period ............................. $ 9.70 $ 9.81 -------- -------- Income from investment operations - Net investment income (loss) ................................ 0.31 0.55 Net realized and unrealized gain (loss) on investments ...... (0.03) (0.11) -------- -------- Total from investment operations ............................. 0.28 0.44 -------- -------- Less distributions - Dividends from net investment income ........................ (0.31) (0.55) Distributions from net realized capital gains ............... 0.00 0.00 -------- -------- Total distributions .......................................... (0.31) (0.55) -------- -------- Net asset value, end of period ................................... $ 9.67 $ 9.70 ======== ======== Total return (%)(a) .............................................. 2.9 4.7 Net assets, end of period (000) .................................. $ 16,010 $ 18,229 Ratio of operating expenses to average net assets (%)(b) ......... 0.50 1.00 Ratio of net investment income to average net assets (%)(b) ...... 6.33 5.69 Portfolio turnover rate (%) ...................................... 44 120 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ...... 1.12 1.17 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .............................. $ 0.27 $ 0.53
(a) Periods less than one year are not annualized. (b) Annualized for periods less than one year. *For the six months ended June 30, 1997. (unaudited) **Commencement of operations August 3, 1997. ***From commencement of class opertions on January 2, 1997, through June 30, 1997. (unaudited) See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, Short Term Bond Fund - ------------------------------------------------------------------------------- Retail Institutional Class Class - --------------------------------------------------------------- --------- 1995 1994 1993 1992** 1997*** - -------- -------- -------- -------- -------- $ 9.46 $ 9.95 $ 9.87 $ 10.00 $ 9.70 - -------- -------- -------- -------- -------- 0.63 0.66 0.59 0.22 0.30 0.35 (0.49) 0.08 (0.13) (0.03) - -------- -------- -------- -------- -------- 0.98 0.17 0.67 0.09 0.27 - -------- -------- -------- -------- -------- (0.63) (0.66) (0.59) (0.22) (0.30) 0.00 0.00 0.00 0.00 0.00 - -------- -------- -------- -------- -------- (0.63) (0.66) (0.59) (0.22) (0.30) - -------- -------- -------- -------- -------- $ 9.81 $ 9.46 $ 9.95 $ 9.87 $ 9.67 ======== ======== ======== ======== ======== 10.6 1.8 7.0 0.9 2.8 $ 26,039 $ 19,440 $ 15,226 $ 5,121 $ 178 1.00 1.00 1.00 1.00 0.75 6.46 6.88 5.97 5.49 6.02 214 34 81 31 44 1.03 1.33 1.55 3.74 14.07 $ 0.62 $ 0.63 $ 0.54 $ 0.11 $ (0.30) LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, U.S. Government Securities Fund ------------- Institutional Class ------------ 1997* ------------ Net asset value, beginning of period .......................... $ 10.08 -------- Income from investment operations - Net investment income (loss) .................................. 0.33 Net realized and unrealized gain (loss) on investments ........ (0.07) -------- Total from investment operations .............................. 0.26 -------- Less distributions - Dividends from net investment income .......................... (0.16) Distributions from net realized capital gains ................. 0.00 -------- Total distributions ........................................... (0.16) -------- Net asset value, end of period ................................ $ 10.18 ======== Total return (%)(a) ........................................... 2.7 Net assets, end of period (000) ............................... $ 13,281 Ratio of operating expenses to average net assets (%)(b) ...... 0.60 Ratio of net investment income to average net assets (%)(b) ... 6.58 Portfolio turnover rate (%) ................................... 55 The ratios of expenses to average net assets without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements would have been (%)(b) ..... 1.19 Without giving effect to the voluntary expense limitations described in Note 3 to the Financial Statements net investment income per share would have been: .................. $ 0.30 (a)Periods less than one year are not annualized. (b)Annualized for periods less than one year. *For the six months ended June 30, 1997. (unaudited) See accompanying notes to financial statements. LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS (continued) Year Ended December 31, U.S. Government Securities Fund - -------------------------------------------------------------------------------- Institutional Class - -------------------------------------------------------------------------------- 1996 1995 1994 1993 1992 - -------- -------- -------- -------- -------- $ 10.64 $ 9.22 $ 10.53 $ 10.45 $ 10.77 - -------- -------- -------- -------- -------- 0.68 0.66 0.64 0.64 0.64 (0.57) 1.42 (1.30) 1.00 0.27 - -------- -------- -------- -------- -------- 0.11 2.08 (0.66) 1.64 0.91 - -------- -------- -------- -------- -------- (0.67) (0.66) (0.65) (0.65) (0.59) 0.00 0.00 0.00 (0.91) (0.64) - -------- -------- -------- -------- -------- (0.67) (0.66) (0.65) (1.56) (1.23) - -------- -------- -------- -------- -------- $ 10.08 $ 10.64 $ 9.22 $ 10.53 $ 10.45 ======== ======== ======== ======== ======== 1.3 23.0 (6.3) 15.7 8.8 $ 14,192 $ 19,499 $ 17,341 $ 18,317 $ 10,899 1.00 1.00 1.00 1.00 1.00 6.23 6.47 6.60 5.95 6.54 137 169 242 277 344 1.19 1.22 1.22 1.29 2.01 $ 0.66 $ 0.64 $ 0.62 $ 0.61 $ 0.54 LOOMIS SAYLES FIXED INCOME FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) June 30, 1997 1. The Loomis Sayles Funds is comprised of seventeen 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 organized as a Massachusetts business trust. 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 Core Value Fund Loomis Sayles Global Bond Fund Loomis Sayles Growth Fund Loomis Sayles High Yield Fund Loomis Sayles International Equity Fund Loomis Sayles Intermediate Maturity Bond Fund Loomis Sayles Mid-Cap Growth Fund Loomis Sayles Investment Grade Bond Fund Loomis Sayles Mid-Cap Value Fund Loomis Sayles Municipal Bond Fund Loomis Sayles Small Cap Growth Fund Loomis Sayles Short-Term Bond Fund Loomis Sayles Small Cap Value Fund Loomis Sayles U.S. Government Securities Fund Loomis Sayles Strategic Value Fund Loomis Sayles Worldwide Fund
On September 12, 1996, the Trustees of the Trust approved the issuance of Institutional and Retail Class shares of each Fund (other than the U.S. Government Securities Fund and Municipal Bond Fund which will issue only Institutional Class shares). Except for certain categories of investors (as set forth in the relevant prospectus), the purchase of Institutional Class shares, which are not subject to any distribution fees, requires a minimum investment of $1 million. Except for certain categories of investors (as set forth in the relevant prospectus) the purchase of Retail Class shares, which are subject to distribution fees at the annual rate of 0.25% of the average net assets pursuant to a distribution plan adopted pursuant to Rule 12b-1 under the Investment Company Act of 1940, requires a minimum investment of $250,000. On January 2, 1997, Retail Class shares were first publicly offered for sale. Shares of each class represent an equal pro rata interest in the assets of the relevant fund, and, generally, have identical voting, dividend, liquidation and other rights. The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. These financial statements only cover the Fixed Income Funds. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles for investment companies. A. SECURITY VALUATION -- Equity securities listed on an established securities exchange or on the NASDAQ National Market System are normally valued at their last sale price on the exchange where primarily traded or, if there is no reported sale during the day, and in the case of over-the-counter securities not so listed, at the last bid price. Long-term debt securities are valued by a pricing service which determines valuations of normal institutional-size trading units of long-term debt securities. Such valuations are determined using methods based on market transactions for comparable securities and on various relationships between securities which are generally recognized by institutional traders. Short-term securities and debt securities with a remaining maturity of 60 days or less are valued at their amortized cost, which approximates market value. Other securities for which current market quotations are not readily available (including restricted securities, if any) are carried at fair value as determined in good faith by the Board of Trustees, although the actual calculations may be made by persons acting pursuant to the direction of the Board of Trustees. B. REPURCHASE AGREEMENTS -- The Funds 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 100% of the repurchase price. Loomis Sayles is responsible for determining that the value of the collateral is at all times at least equal to 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 -- 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, income and expenses are translated 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 from investments. Net realized and unrealized gains and losses on foreign currency transactions represent foreign exchange gains and losses from the sale of short-term securities and holdings of foreign currencies, foreign currency gains and losses between trade dates and settlement dates on investment securities transactions, 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. D. FORWARD FOREIGN CURRENCY CONTRACTS -- Each Fund that may invest in foreign securities, may, upon the purchase or sale of a security denominated in a foreign currency, enter into forward foreign currency contracts for the purchase or sale, for a fixed amount of U.S. dollars, of the amount of foreign currency involved in the underlying security transaction. In such cases, the Funds have not realized currency gains or losses between the trade and settlement dates on these security transactions. In addition, a Fund may enter into a forward foreign currency contract to sell, for a fixed amount, a foreign currency in which securities held are denominated to hedge against anticipated declines in the value of the currency Loomis Sayles believes may adversely affect the value of the Fund's portfolio securities. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded as unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss 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. The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying price of the Fund's investment securities, but does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts limit the risk of loss due to a decline in the value of hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Funds could be exposed to additional risks if the counterparties to the contracts are unable to meet the terms of their contracts. At June 30, 1997, the Global Bond Fund had the following open forward foreign currency contracts: Local Aggregate Unrealized Delivery Currency Face Total Appreciation Date Amount Amount Value (Depreciation) -------- -------- --------- ----- -------------- Deutsche Mark (sell) 9/30/97 6,078,000 $3,542,784 $3,508,833 $33,951 Japanese Yen (sell) 9/30/97 212,400,000 1,903,567 1,879,355 24,212 Japanese Yen (sell) 9/30/97 5,400,000 47,063 47,780 (717) ------- $57,446 ------- 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 issues, step bonds and payment in kind bonds are accreted according to the effective interest method. In determining net gain or loss on securities sold, the cost of securities has been determined on the identified cost basis. Investment income, realized and unrealized gains and losses, and Fund level expenses will be allocated daily on a pro rata basis to each class, based on relative net assets. Retail Class shares will pay a monthly 12b-1 distribution fee at an annual rate of 0.25% of the Fund's average net assets attributable to Retail Class shares. Institutional Class shares pay no distribution fees. F. WHEN-ISSUED SECURITIES -- Delivery and payment for securities purchased on a when-issued or delayed delivery basis can take place one month or more after the date of the transactions. The securities so purchased are subject to market fluctuation during this period. Each Fund instructs the custodian to segregate assets in a separate account with a current value at least equal to the amount of its when-issued purchase commitments. At June 30, 1997, the Funds held no such commitments. G. 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. H. 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 Bond, High Yield, Intermediate Maturity Bond, Investment Grade Bond and U.S. Government Securities Funds declare and pay 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 distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences relate primarily to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterizations of distributions made by the Funds. Net investment income dividends are determined on a class level and capital gains are determined on a Fund level. I. ORGANIZATION EXPENSE AND DEFERRED REGISTRATION COSTS -- In 1992, costs approximating $7,800 were incurred in connection with the organization of the Short-Term Bond Fund. These costs were paid by the Fund and are being amortized by the Fund over 60 months. In 1996, costs approximating $24,600 were incurred in connection with the organization of the High Yield Fund. These costs were paid by the Fund and are being amortized as follows: $16,100 over 12 months and $8,500 over 60 months. In 1997, costs were incurred in connection with the organization of the Intermediate Maturity and the Investment Grade Bond Funds. These costs were paid by the Funds and are being amortized by each Fund as follows: $26,557 representing $12,329 and $14,228 for the Institutional and Retail Classes, respectively, over 12 months. In addition, in 1997, costs were incurred in connection with the issuance of the Retail Class shares which were offered for sale beginning on January 2, 1997. These costs are being amortized by the respective Fund's Institutional Class over 12 months: Bond Fund .................................................... $13,718 Global Bond Fund ............................................. 11,779 High Yield Fund .............................................. 11,757 Short-Term Bond Fund ......................................... 11,774 2. PURCHASES AND SALES OF SECURITIES -- (excluding short-term investments) for each Fund for the period ended June 30, 1997, were as follows:
Purchases ---------------------------------------- U.S. Government Other --------------- ----- Bond Fund .................................................. $16,869,993 $363,634,376 Global Bond Fund ........................................... 0 14,562,107 High Yield Fund ............................................ 474,531 3,860,069 Intermediate Maturity Bond Fund ............................ 3,127,713 3,707,768 Investment Grade Bond Fund ................................. 997,039 1,505,099 Municipal Bond Fund ........................................ 688,871 1,186,535 Short-Term Bond Fund ....................................... 3,321,022 3,522,703 U.S. Government Securities Fund ............................ 7,103,820 0 Sales ---------------------------------------- U.S. Government Other --------------- ----- Bond Fund .................................................. $42,901,272 $49,509,866 Global Bond Fund ........................................... 3,745,000 8,769,555 High Yield Fund ............................................ 461,488 803,187 Intermediate Maturity Bond Fund ............................ 2,171,383 10,525 Investment Grade Bond Fund ................................. 984,916 174,449 Municipal Bond Fund ........................................ 444,461 1,671,570 Short-Term Bond Fund ....................................... 7,106,652 1,776,735 U.S. Government Securities Fund ............................ 7,993,473 0
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the period ended June 30, 1997, 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 New England Investment Companies, L.P., a publicly-traded limited partnership whose general partner is indirectly owned by Metropolitan Life Insurance Company. Separate management agreements for each Fund in effect during the period ended June 30, 1997 provided for fees at the following annual percentage rate of each Fund's average daily assets: Fees Earned During the Period Ended Annual June 30, Percentage Fund 1997(a) Rate ---- ------------ ---------- Bond Fund ....................................... $2,084,823 0.60% Global Bond Fund ................................ 82,165 0.60% High Yield Fund ................................. 12,071 0.60% Intermediate Maturity Bond Fund ................. 4,798 0.40% Investment Grade Bond Fund ...................... 3,302 0.40% Municipal Bond Fund ............................. 16,759 0.40% Short-Term Bond Fund ............................ 19,862 0.25% U.S. Government Securities Fund ................. 25,904 0.40% (a) Prior to voluntary expense limitations. Loomis Sayles voluntarily agreed, for an indefinite period, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of the Institutional Class shares of each Fund to the following percentage rate of the Fund's average daily net assets: Annual Percentage Fund Rate ---- ---------- Bond Fund ...................................................... 0.75% Global Bond Fund ............................................... 0.90% High Yield Fund ................................................ 0.75% Intermediate Maturity Bond Fund ................................ 0.55% Investment Grade Bond Fund ..................................... 0.55% Municipal Bond Fund ............................................ 0.60% Short-Term Bond Fund ........................................... 0.50% U.S. Government Securities Fund ................................ 0.60% Loomis Sayles also voluntarily agreed, for an indefinite period, to reduce its advisory fees and/or bear other expenses, to the extent necessary to limit the total operating expenses of the Retail Class shares of each Fund to the following percentage rate of the Fund's average daily net assets: Annual Percentage Fund Rate ---- ---------- Bond Fund ...................................................... 1.00% Global Bond Fund ............................................... 1.15% High Yield Fund ................................................ 1.00% Intermediate Maturity Bond Fund ................................ 0.80% Investment Grade Bond Fund ..................................... 0.80% Short-Term Bond Fund ........................................... 0.75% Loomis Sayles may change or terminate these voluntary agreements at any time, but the relevant prospectus would be supplemented at the time to describe the change. A. OTHER EXPENSES -- Through May 31, 1997, New England Funds, L.P. (a subsidiary of New England Investment Companies) performed certain administrative, accounting and other services for the Trust. The expenses of those services, which were paid by the Trust, include the following: (i) expenses for personnel performing bookkeeping, accounting, internal auditing, financial reporting functions and clerical functions relating to the Funds, and (ii) expenses for services required in connection with the preparation of registration statements and prospectuses, shareholder reports and reports and questionnaires for SEC compliance. For the period ended May 31, 1997 these expenses amounted to $66,997 for the eight Loomis Sayles Funds presented herein and are shown separately in the financial statements as Accounting and Administrative fees. Effective June 1, 1997, Loomis Sayles, at its own expense, voluntarily assumed certain of these functions previously performed by New England Funds, L.P., and has contracted with State Street Bank and Trust Company ("State Street") as Administrator to perform certain other of these services. The amounts paid to State Street for performing such functions totaled $134,289 for the eight Loomis Sayles Funds presented herein and are also shown in the financial statements as Accounting and Administrative fees. B. 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. C. SHAREHOLDERS -- At June 30, 1997, Loomis Sayles held 13,643 shares of beneficial interest in the Municipal Bond Fund, 52,035 shares of beneficial interest in the High Yield Fund and 101,328 shares of the Investment Grade Bond Fund. In addition, Loomis Sayles Funded Pension Plan and the Loomis Sayles & Company, Employees Profit Sharing Retirement Plan held shares of beneficial interest in the Funds as follows: Profit Pension Sharing Plan Plan ------- -------- Bond Fund ....................................... 471,324 948,332 Global Bond Fund ................................ 600,448 191,549 Intermediate Maturity Bond Fund ................. 99,602 129,669 Investment Grade Bond Fund ...................... 0 21,314 Short-Term Bond Fund ............................ 55,854 198,464 U.S. Government Securities Fund ................. 515,273 92,148 High Yield Fund ................................. 0 98,698 4. CREDIT RISK -- The Bond Fund may invest up to 35%, 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 High Yield Fund will normally invest at least 65% 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. FOREIGN SECURITIES -- 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 may be less liquid and the prices of such securities may be more volatile than those securities of comparable U.S. companies and the U.S. government. 6. CAPITAL STOCK TRANSACTIONS -- The tables below summarize the transactions in Fund shares for the periods indicated:
Loomis Sayles Bond Fund ----------------------------------------------------------------------- Period Ended Year Ended June 30, 1997 December 31, 1996 ---------------------------------- ----------------------------------- Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares ..... 29,645,056 $369,859,080 30,770,089 $380,541,907 Issued in connection with the reinvestment of: Dividends from investment income ... 866,718 10,452,603 1,888,855 23,025,701 Distributions from net realized gains on investment .............. 0 0 704,026 8,749,675 Redeemed ........................... (6,598,371) (81,796,845) (10,467,220) (128,158,663) --------- ----------- --------- ----------- Net change ......................... 23,913,403 $298,514,838 22,895,750 $284,158,620 ========== ============ ========== ============
Retail Class Shares Shares Amount - ------------------- ------ ------ Issued from the sale of shares ..... 1,436,517 $ 17,930,053 Issued in connection with the reinvestment of: Dividends from investment income ... 12,876 155,153 Distributions from net realized gains on investments ............. 0 0 Redeemed ........................... (131,645) (1,647,780) --------- ----------- Net change ......................... 1,317,748 $ 16,437,426 ========= ============
Loomis Sayles Global Bond Fund ---------------------------------------------------------------- Period Ended Year Ended June 30, 1997 December 31, 1996 ------------------------------- ------------------------------- Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares ........... 160,423 $1,977,818 1,525,167 $18,653,771 Issued in connection with the reinvestment of: Dividends from investment income ......... 0 0 92,817 1,145,834 Distributions from net realized gains on investments ............................ 0 0 0 0 Redeemed ................................. (230,373) (2,839,899) (375,310) (4,457,214) ------- --------- -------- ---------- Net change ............................... (69,950) $(862,081) 1,242,674 $15,342,391 ======= ========= ========= ===========
Retail Class Shares Shares Amount - ------------------- ------ ------ Issued from the sale of shares ........... 249,980 $3,089,662 Issued in connection with the reinvestment of: Dividends from investment income ......... 0 0 Distributions from net realized gains on investments ............................ 0 0 Redeemed ................................. (26,075) (325,789) ------ --------- Net change ............................... 223,905 $2,763,873 ======= ==========
Loomis Sayles High Yield Fund -------------------------------------------------------------- Period Ended Year Ended June 30, 1997 December 31, 1996* ------------------------------ ------------------------------ Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares ............. 218,562 $2,220,687 189,979 $1,915,483 Issued in connection with the reinvestment of: Dividends from investment income ........... 6,406 63,094 3,048 30,815 Distributions from net realized gains on investment ............................... 0 0 0 0 Redeemed ................................... (40,070) (402,264) (1,234) (12,581) ------- ---------- ------- ---------- Net change ................................. 184,898 $1,881,517 191,793 $1,933,717 ======= ========== ======= ==========
Retail Class Shares Shares Amount - ------------------- ------ ------ Issued from the sale of shares ............. 156,031 $1,582,924 Issued in connection with the reinvestment of: Dividends from investment income ........... 1,930 18,994 Distributions from net realized gains on investment ............................... 0 0 Redeemed ................................... (29,127) (294,811) ------- ---------- Net change ................................. 128,834 $1,307,107 ======= ========== *From September 11, 1996 (commencement of operations). Loomis Sayles Intermediate Maturity Bond Fund ------------------------------- Period Ended June 30, 1997* ------------------------------- Institutional Class Shares Shares Amount - -------------------------- ------ ------ Issued from the sale of shares ............. 467,874 $4,683,474 Issued in connection with the reinvestment of: Dividends from investment income ........... 1,978 19,519 Distributions from net realized gains on investment ............................... 0 0 Redeemed ................................... (497) (5,001) ------- ---------- Net change ................................. 469,355 $4,697,992 ======= ========== Retail Class Shares Shares Amount ------ ------ Issued from the sale of shares ............. 4,996 $ 50,092 Issued in connection with the reinvestment of: Dividends from investment income ........... 0 0 Distributions from net realized gains on investment ............................... 0 0 Redeemed ................................... 0 0 ------ --------- Net change ................................. 4,996 $ 50,092 ===== ========= *From January 2, 1997 (commencement of operations). Loomis Sayles Investment Grade Bond Fund ------------------------------ Period Ended June 30, 1997* ------------------------------ Institutional Class Shares Shares Amount - -------------------------- ------ ------ Issued from the sale of shares ............. 162,840 $1,632,020 Issued in connection with the reinvestment of: Dividends from investment income ........... 2,047 20,058 Distributions from net realized gains on investment ............................... 0 0 Redeemed ................................... (502) (5,000) ------- ---------- Net change ................................. 164,385 $1,647,078 ======= ========== Retail Class Shares Shares Amount - ------------------- ------ ------ Issued from the sale of shares ............. 26,201 $266,208 Issued in connection with the reinvestment of: Dividends from investment income ........... 234 2,297 Distributions from net realized gains on investment ............................... 0 0 Redeemed ................................... (1,304) (13,338) --------- ----------- Net change ................................. 25,131 $255,167 ====== ======== *From January 2, 1997 (commencement of operations).
Loomis Sayles Municipal Bond Fund ---------------------------------------------------------------- Period Ended Year Ended June 30, 1997 December 31, 1996 ------------------------------- ------------------------------- Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares ............ 31,782 $ 358,648 130,141 $ 1,455,513 Issued in connection with the reinvestment of: Dividends from investment income .......... 11,710 131,561 23,403 263,016 Distributions from net realized gains on investment .............................. 0 0 4,717 52,895 Redeemed .................................. (78,069) (871,936) (77,656) (872,674) ------ ---------- ------ ---------- Net change ................................ (34,577) $(381,727) 80,605 $898,750 ======= ========= ====== ========
Loomis Sayles Short-Term Bond Fund ------------------------------------------------------------------ Period Ended Year Ended June 30, 1997 December 31, 1996 ------------------------------- --------------------------------- Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares .......... 532,505 $5,146,849 1,283,882 $12,426,078 Issued in connection with the reinvestment of: Dividends from investment income ........ 46,492 448,465 106,059 1,027,017 Distributions from net realized gains on investment ............................ 0 0 0 0 Redeemed ................................ (803,736) (7,757,261) (2,163,540) (20,966,857) -------- ----------- --------- ----------- Net change .............................. (224,739) $(2,161,947) (773,599) $(7,513,762) ======== =========== ========= ===========
Retail Class Shares Shares Amount - ------------------- ------ ------ Issued from the sale of shares .......... 30,315 $ 293,305 Issued in connection with the reinvestment of: Dividends from investment income ........ 464 4,467 Distributions from net realized gains on investment ............................ 0 0 Redeemed ................................ (12,361) (118,857) ------ ---------- Net change .............................. 18,418 $ 178,915 ====== ==========
Loomis Sayles U.S. Government Securities Fund ------------------------------------------------------------------ Period Ended Year Ended June 30, 1997 December 31, 1996 ------------------------------- --------------------------------- Institutional Class Shares Shares Amount Shares Amount - -------------------------- ------ ------ ------ ------ Issued from the sale of shares .......... 91,000 $ 908,399 864,647 $ 8,983,613 Issued in connection with the reinvestment of: Dividends from investment income ........ 20,045 194,838 129,259 1,274,113 Distributions from net realized gains on investment ............................ 0 0 0 0 Redeemed ................................ (214,541) (2,139,757) (1,418,646) (14,426,898) ------ ---------- -------- ---------- Net change .............................. (103,496) $(1,036,520) (424,740) $ (4,169,172) ======== =========== ======== ============
- ------------------------------------------------------------------------------ BOARD OF TRUSTEES EARL W. FOELL DANIEL J. FUSS RICHARD S. HOLWAY TERRY R. LAUTENBACH MICHAEL T. MURRAY OFFICERS PRESIDENT DANIEL J. FUSS EXECUTIVE VICE PRESIDENT TREASURER ROBERT J. BLANDING MARK W. HOLLAND VICE PRESIDENTS ASSISTANT TREASURER JEROME A. CASTELLINI NICHOLAS H. PALMERINO MARY C. CHAMPAGNE E. JOHN DEBEER SECRETARY PAUL H. DREXLER SHEILA M. BARRY WILLIAM H. EIGEN, JR. CHRISTOPER R. ELY ASSISTANT SECRETARY QUENTIN P. FAULKNER MEGAN W. CHAMBERS PHILIP C. FINE LAURIE M. GALLAGHER MARTHA F. HODGMAN JOHN HYLL JEFFREY L. MEADE KENT P. NEWMARK SCOTT A. PAPE JEFFREY C. PETHERICK PHILIP J. SCHETTEWI DAVID L. SMITH JEFFREY W. WARDLOW GREGG D. WATKINS ANTHONY J. WILKINS JOHN F. YEAGER III For Information about: o Establishing an account o Account procedures and status o Exchanges o 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] LITERATURE AND INFORMATION [2] NET ASSET VALUES AND YIELDS [3] SPEAK TO A MARKETING REPRESENTATIVE [4] ADVISORY, INSTITUTIONAL AND HIGH NET WORTH SERVICES As always, we are interested in your comments about the job we are doing and in answering any questions you may have. Please do not hesitate to give us a call at the phone number listed above, Monday through Friday, 8:45 to 4:45 p.m. EST. INVESTMENT ADVISER Loomis Sayles & Company, L.P. o One Financial Center o Boston, MA 02111 TRANSFER AND DIVIDEND PAYING AGENT AND CUSTODIAN OF ASSETS State Street Bank and Trust Company o Boston, MA 02102 SHAREHOLDER SERVICING AGENT FOR STATE STREET BANK AND TRUST COMPANY Boston Financial Data Services, Inc. o P.O. Box 8314 o Boston, MA 02266 INDEPENDENT ACCOUNTANTS Coopers & Lybrand L.L.P. o 1 Post Office Square o Boston, MA 02109 This report has been prepared for the shareholders of the Funds and is not authorized for distribution to prospective investors in the Funds unless it is accompanied or preceded by an effective prospectus. LSF140PR097 -----END PRIVACY-ENHANCED MESSAGE-----