-----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, ExD3v/DtmvTYIkWnGpOGrz2W5zcKRM5/w538V7pCAHjaRL8NRriXsbAyTIWUVW/g aFEuoVYlPwv7E2V9lMncrQ== 0001193125-07-044232.txt : 20070301 0001193125-07-044232.hdr.sgml : 20070301 20070301150443 ACCESSION NUMBER: 0001193125-07-044232 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20061231 FILED AS OF DATE: 20070301 DATE AS OF CHANGE: 20070301 EFFECTIVENESS DATE: 20070301 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 07662769 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-399-7788 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20030718 0000872649 S000006695 Loomis Sayles Aggressive Growth Fund C000018222 Institutional Class LSAIX C000018223 Retail Class LAGRX 0000872649 S000006696 Loomis Sayles Tax-Managed Equity Fund C000018224 Institutional Class LSCGX 0000872649 S000006697 Loomis Sayles Value Fund C000018225 Institutional Class LSGIX C000034548 Loomis Sayles Value Fund Retail Class 0000872649 S000006698 Loomis Sayles Global Markets Fund C000018226 Class Y LSWWX C000027670 Class A LGMAX C000027671 Class C LGMCX 0000872649 S000006699 Loomis Sayles Growth Fund C000018227 Class A LGRRX C000018228 Class B LGRBX C000018229 Class C LGRCX C000018230 Class Y LSGRX 0000872649 S000006700 Loomis Sayles High Income Fund C000018231 Class A NEFHX C000018232 Class B NEHBX C000018233 Class C NEHCX 0000872649 S000006701 Loomis Sayles Investment Grade Bond Fund C000018234 Class A LIGRX C000018235 Class B LGBBX C000018236 Class C LGBCX C000018237 Class J LIGJX C000018238 Class Y LSIIX 0000872649 S000006702 Loomis Sayles Limited Term Government and Agency Fund C000018239 Class A NEFLX C000018240 Class B NELBX C000018241 Class C NECLX C000018242 Class Y NELYX 0000872649 S000006703 Loomis Sayles Municipal Income Fund C000018243 Class A NEFTX C000018244 Class B NETBX 0000872649 S000006704 Loomis Sayles Research Fund C000018245 Class A LSRRX C000018246 Class B LSCBX C000018247 Class C LSCCX C000018248 Class Y LISRX 0000872649 S000006705 Loomis Sayles Small Cap Growth Fund C000018249 Institutional Class LSSIX C000018250 Retail Class LCGRX 0000872649 S000006706 Loomis Sayles Strategic Income Fund C000018251 Class A NEFZX C000018252 Class B NEZBX C000018253 Class C NECZX C000018254 Class Y NEZYX N-Q 1 dnq.txt LOOMIS SAYLES FUNDS II N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-06241 Loomis Sayles Funds II (Exact name of registrant as specified in charter) 399 Boylston Street, Boston, Massachusetts 02116 (Address of principal executive offices) (Zip code) Coleen Downs Dinneen, Esq. IXIS Asset Management Distributors, L.P. 399 Boylston Street Boston, Massachusetts 02116 (Name and address of agent for service) Registrant's telephone number, including area code: (617) 449-2810 Date of fiscal year end: September 30 Date of reporting period: December 31, 2006 ITEM 1. SCHEDULE OF INVESTMENTS PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Aggressive Growth Fund Shares Value (+) ------ ---------- COMMON STOCKS - 99.1% of Total Net Assets Aerospace & Defense - 6.2% Precision Castparts Corp.(b) 17,925 $1,403,169 Rockwell Collins, Inc. 11,575 732,582 Spirit Aerosystems Holdings, Inc. Class A(c) 18,175 608,317 ---------- 2,744,068 ---------- Biotechnology - 3.1% Celgene Corp.(b)(c) 13,100 753,643 PDL BioPharma, Inc.(b)(c) 15,925 320,730 Vertex Pharmaceuticals, Inc.(b)(c) 8,400 314,328 ---------- 1,388,701 ---------- Capital Markets - 5.9% Affiliated Managers Group, Inc.(b)(c) 9,050 951,426 Greenhill & Co., Inc.(b) 12,550 926,190 Lazard Ltd., Class A(b) 15,375 727,853 ---------- 2,605,469 ---------- Chemicals - 1.6% Ecolab, Inc.(b) 15,250 689,300 ---------- Commercial Services & Supplies - 3.2% Corporate Executive Board Co.(b) 5,075 445,078 Stericycle, Inc.(c) 13,225 998,487 ---------- 1,443,565 ---------- Communications Equipment - 2.5% F5 Networks, Inc.(c) 14,900 1,105,729 ---------- Diversified Financial Services - 11.0% Chicago Mercantile Exchange Holdings, Inc. 2,050 1,044,987 IntercontinentalExchange, Inc.(b)(c) 13,325 1,437,767 International Securities Exchange Holdings, Inc., Class A 9,475 443,335 Nasdaq Stock Market, Inc.(b)(c) 30,525 939,865 Nymex Holdings, Inc.(b)(c) 2,850 353,429 NYSE Group, Inc.(b)(c) 7,000 680,400 ---------- 4,899,783 ---------- Electronic Equipment & Instruments - 2.8% Mettler-Toledo International, Inc.(c) 16,075 1,267,514 ---------- Energy Equipment & Services - 2.5% Dril-Quip, Inc.(c) 10,450 409,222 Noble Corp.(b) 9,350 712,003 ---------- 1,121,225 ---------- Healthcare Equipment & Supplies - 3.5% C.R. Bard, Inc. 8,900 738,433 Hologic, Inc.(b)(c) 17,375 821,490 ---------- 1,559,923 ---------- Hotels, Restaurants & Leisure - 5.3% Ctrip.com International Ltd., ADR 7,100 443,608 1 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Aggressive Growth Fund - continued Shares Value (+) ------ ---------- COMMON STOCKS - continued Hotels, Restaurants & Leisure - continued International Game Technology 16,225 $ 749,595 Melco PBL Entertainment (Macau) Ltd., ADR(b)(c) 18,646 396,414 Wynn Resorts, Ltd.(b) 8,400 788,340 ---------- 2,377,957 ---------- Independent Power Producer & Energy - 4.3% AES Corp.(c) 38,750 854,050 NRG Energy, Inc.(b)(c) 18,600 1,041,786 ---------- 1,895,836 ---------- Industrial Conglomerates - 2.6% McDermott International, Inc.(c) 23,150 1,177,409 ---------- Internet Software & Services - 3.2% Akamai Technologies, Inc.(b)(c) 26,700 1,418,304 ---------- IT Services - 3.1% Cognizant Technology Solutions Corp., Class A(c) 17,800 1,373,448 ---------- Media - 1.6% Lamar Advertising Co., Class A(b)(c) 11,050 722,560 ---------- Metals & Mining - 3.7% Allegheny Technologies, Inc.(b) 10,650 965,742 Yamana Gold, Inc.(b) 52,125 687,007 ---------- 1,652,749 ---------- Oil, Gas & Consumable Fuels - 2.5% Delta Petroleum Corp.(b)(c) 17,650 408,774 Southwestern Energy Co.(c) 20,625 722,906 ---------- 1,131,680 ---------- Pharmaceuticals - 2.2% Medicines Co.(b)(c) 14,500 459,940 Shire PLC, ADR(b) 8,350 515,696 ---------- 975,636 ---------- Real Estate - 1.6% Jones Lang LaSalle, Inc.(b) 7,775 716,622 ---------- Semiconductors & Semiconductor Equipment - 1.8% NVIDIA Corp.(c) 21,100 780,911 ---------- Software - 5.5% Autodesk, Inc.(b)(c) 22,800 922,488 McAfee, Inc.(c) 24,400 692,472 Salesforce.com, Inc.(b)(c) 23,300 849,285 ---------- 2,464,245 ---------- 2 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Aggressive Growth Fund - continued Shares Value (+) ----------- ------------ COMMON STOCKS - continued Specialty Retail - 4.6% GameStop Corp., Class A(b)(c) 17,700 $ 975,447 Guess?, Inc.(b)(c) 17,125 1,086,239 ------------ 2,061,686 ------------ Textiles Apparel & Luxury Goods - 4.0% Coach, Inc.(c) 25,400 1,091,184 Polo Ralph Lauren Corp.(b) 8,775 681,466 ------------ 1,772,650 ------------ Wireless Telecommunication Services - 10.8% American Tower Corp., Class A(c) 18,150 676,632 Hutchison Telecommunications International, Ltd., ADR(b)(c) 19,800 758,736 Leap Wireless International, Inc.(b)(c) 12,375 735,941 Millicom International Cellular SA(b)(c) 9,125 562,465 NII Holdings, Inc.(c) 17,650 1,137,366 Rogers Communications, Inc., Class B 15,800 941,680 ------------ 4,812,820 ------------ TOTAL COMMON STOCKS (Identified Cost $36,943,427) 44,159,790 ------------ Principal Amount ----------- SHORT-TERM INVESTMENTS - 27.6% Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.25% to be repurchased at $531,251 on 1/02/07 collateralized by $465,000 U.S. Treasury Bond, 6.250% due 8/15/2023 with a value of $544,691(d) $ 531,000 531,000 ------------ Shares ----------- State Street Securities Lending Quality Trust(e) 11,792,094 11,792,094 ------------ TOTAL SHORT-TERM INVESTMENTS (Identified Cost $12,323,094) 12,323,094 ------------ TOTAL INVESTMENTS - 126.7% (56,482,884 (Identified Cost $49,266,521)(a) Other assets less liabilities--(26.7)% (11,912,762) ------------ TOTAL NET ASSETS - 100.0% $ 44,570,122 ------------ 3 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Aggressive Growth Fund - continued + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker- dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2006 the unrealized appreciation on investments based on cost of $49,266,521 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 7,434,062 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (217,699) ----------- Net unrealized appreciation $ 7,216,363 ----------- At September 30, 2006, the Fund had a capital loss carryover of approximately $95,135,453 of which $73,993,065 expires on September 30, 2010 and $21,142,388 expires on September 30, 2011. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (b) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $11,469,416 and $11,792,094, respectively. (c) Non-income producing security. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. 4 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Aggressive Growth Fund - continued (e) Represents investments of security lending collateral. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. HOLDINGS AT DECEMBER 31, 2006 AS A PERCENTAGE OF NET ASSETS (Unaudited) Diversified Financial Services 11.0% Wireless Telecommunication Services 10.8 Aerospace & Defense 6.2 Capital Markets 5.9 Software 5.5 Hotels, Restaurants & Leisure 5.3 Specialty Retail 4.6 Independent Power Producer & Energy 4.3 Textiles Apparel & Luxury Goods 4.0 Metals & Mining 3.7 Healthcare Equipment & Supplies 3.5 Commercial Services & Supplies 3.2 Internet Software & Services 3.2 Biotechnology 3.1 IT Services 3.1 Electronic Equipment & Instruments 2.8 Industrial Conglomerates 2.6 Oil, Gas & Consumable Fuels 2.5 Energy Equipment & Services 2.5 Communications Equipment 2.5 Pharmaceuticals 2.2 Others, Less than 2% each 6.6 5 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - -------------- ----------------------------------------------------- ---------- Bonds and Notes - 30.0% of Total Net Assets Non-Convertible Bonds - 28.0% Argentina - 0.3% $515,000 Republic of Argentina, 2.487%, 9/30/2014, (ARS)(c) $ 184,187 82,500 Republic of Argentina, 5.590%, 8/03/2012(c) 77,952 ---------- 262,139 ---------- Australia - 0.1% 120,000 South Australia Government Finance Authority, Zero Coupon, 12/21/2015, (AUD) 55,372 ---------- Austria - 0.5% 60,000,000 Oesterreichische Kontrollbank AG, 1.800%, 3/22/2010, (JPY) 516,980 ---------- Brazil - 0.2% 170,000 JBS SA, 10.500%, 8/04/2016, 144A 181,050 ---------- Canada - 0.8% 195,000 Canadian Government Bond, 5.250%, 6/01/2013, (CAD) 178,638 25,000 Canadian Pacific Railway Ltd., 4.900%, 6/15/2010, (CAD), 144A 21,774 120,000 Government of Quebec, 5.625%, 6/21/2011, (EUR) 167,905 25,000 Kinder Morgan Finance, 5.700%, 1/05/2016 22,938 20,000 Kinder Morgan Finance, 6.400%, 1/05/2036 17,832 50,000 Nortel Networks Corp., 6.875%, 9/01/2023 42,000 165,000 Rogers Wireless, Inc., 7.625%, 12/15/2011, (CAD) 156,178 180,000 Shaw Communications, Inc., 6.150%, 5/09/2016, (CAD) 154,533 ---------- 761,798 ---------- Cayman Island - 0.3% 150,000 CSN Islands IX Corp., 10.500%, 1/15/2015, 144A 174,750 100,000 LPG International, Inc., 7.250%, 12/20/2015 100,500 60,000 Vale Overseas Ltd., 6.875%, 11/21/2036 61,539 ---------- 336,789 ---------- Chile - 0.1% 100,000 Empresa Nacional de Electricidad SA (Endesa-Chile), 7.875%, 2/01/2027(d) 113,881 ---------- Colombia - 0.7% 40,000 Republic of Colombia, 8.125%, 5/21/2024(d) 46,200 94,000,000 Republic of Colombia, 11.750%, 3/01/2010, (COP) 45,333 1,055,000,000 Republic of Colombia, 12.000%, 10/22/2015, (COP) 558,771 ---------- 650,304 ---------- Denmark - 0.1% 525,000 Kingdom of Denmark, 4.000%, 8/15/2008, (DKK) 92,981 ---------- France - 0.2% $1,665,190,000 BNP Paribas SA, Zero Coupon, 6/13/2011, (IDR), 144A $ 126,077 75,000 France Telecom SA, Series EMTN, 3.625%, 10/14/2015, (EUR) 91,746 10,000 Thales SA, Series EMTN, 4.375%, 7/22/2011, (EUR) 13,235 ---------- 231,058 ---------- Germany - 0.7% 150,000 Eurohypo AG - Europaeische Hypothekenbank der Deutschen Bank, 4.000%, 2/01/2007, (EUR) 198,002 35,000 Federal Republic of Germany, 4.000%, 1/04/2037, (EUR) 45,541 115,000 Hypothekenbank in Essen AG, 5.250%, 1/22/2008, (EUR) 153,788 2,000,000 Kreditanstalt fuer Wiederaufbau, 1.750%, 3/23/2010, (JPY) 17,206 29,000,000 Kreditanstalt fuer Wiederaufbau, 2.050%, 9/21/2009, (JPY) 250,837 ---------- 665,374 ---------- Indonesia - 0.1% 125,000 Republic of Indonesia, 6.875%, 3/09/2017, 144A 132,813 ---------- Ireland - 1.7% 50,000,000 Depfa ACS Bank, 0.750%, 9/22/2008, (JPY) 420,152 100,000 Depfa ACS Bank, 4.875%, 5/21/2019, (EUR) 140,077 50,000 Elan Financial Plc, 7.750%, 11/15/2011 48,812 700,000 Republic of Ireland, 4.600%, 4/18/2016, (EUR) 968,278 ---------- 1,577,319 ---------- Japan - 0.6% 70,000,000 Japan Government, 0.200%, 9/20/2007, (JPY) 586,460 ---------- Korea - 0.2% 150,000 Hanarotelecom, Inc., 7.000%, 2/01/2012, 144A 150,375 ---------- Malaysia - 0.1% 100,000 Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A(d) 98,750 ---------- Mexico - 1.0% 125,000 America Movil SA de CV, 5.500%, 3/01/2014 122,190 1,000,000 America Movil SA de CV, 9.000%, 1/15/2016, (MXN) 99,278 165,000 Desarrolladora Homex SA, 7.500%, 9/28/2015 168,300 10,000(++) Mexican Fixed Rate Bonds, 9.500%, 12/18/2014, (MXN) 103,980 35,000(++) Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) 335,583 10,000(++) Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN) 99,871 ---------- 929,202 ---------- Netherlands - 0.2% 100,000 Excelcomindo Finance Co., 7.125%, 1/18/2013, 144A 100,500 1 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ------------- ------------------------------------------------------ --------- Netherlands - continued $90,000 Kingdom of Netherlands, 5.000%, 7/15/2011, (EUR) $123,963 -------- 224,463 -------- Norway - 0.8% 2,085,000 Kingdom of Norway, 5.000%, 5/15/2015, (NOK) 348,273 2,320,000 Kingdom of Norway, 5.500%, 5/15/2009, (NOK) 381,389 350,000 Kingdom of Norway, 6.000%, 5/16/2011, (NOK) 59,662 -------- 789,324 -------- Peru - 0.3% 278,400 Republic of Peru, 5.000%, 3/07/2017 276,312 -------- Singapore - 0.4% 495,000 Government of Singapore, 4.625%, 7/01/2010, (SGD) 339,963 -------- South Africa - 0.7% 235,000 Republic of South Africa, 4.500%, 4/05/2016, (EUR) 303,573 50,000 Republic of South Africa, 5.250%, 5/16/2013, (EUR) 68,092 1,550,000 Republic of South Africa, 13.000%, 8/31/2010, (ZAR) 254,162 -------- 625,827 -------- Spain - 0.1% 100,000 Telefonica Emisones SAU, 6.421%, 6/20/2016 103,162 -------- Supranational - 0.8% 370,085 European Investment Bank, Zero Coupon, 9/12/2008, (BRL), 144A 141,674 4,000,000 Inter-American Development Bank, 1.900%, 7/08/2009, (JPY) 34,447 67,000,000 International Bank for Reconstruction & Development, 2.000%, 2/18/2008, (JPY) 570,697 -------- 746,818 -------- Sweden - 0.5% 1,575,000 Government of Sweden, Series 1040, 6.500%, 5/05/2008, (SEK) 238,437 495,000 Government of Sweden, Series 1045, 5.250%, 3/15/2011, (SEK) 76,246 125,000 Stena AB, 7.500%, 11/01/2013 123,438 -------- 438,121 -------- Thailand - 0.2% 160,000 Advance Agro Public Co., Ltd., 11.000%, 12/19/2012, 144A 167,200 -------- United Kingdom - 0.6% 60,000 BSKYB Finance UK Plc, 5.750%, 10/20/2017, (GBP) 114,545 1,229,424,500 JPMorgan Chase London, Zero Coupon, 10/21/2010, (IDR), 144A 99,449 35,000 United Kingdom Treasury, 4.250%, 3/07/2036, (GBP) 69,037 80,000 United Kingdom Treasury, 5.000%, 3/07/2012, (GBP) 156,859 70,000 United Kingdom Treasury, 6.250%, 11/25/2010, (GBP) 142,724 -------- 582,614 -------- United States - 15.3% 50,000 Albertson's, Inc., 6.625%, 6/01/2028(d) 45,393 500,000 Albertson's, Inc., 7.450%, 8/01/2029 488,499 10,000 American Standard, Inc., 8.250%, 6/01/2009, (GBP) 20,428 31,000 Amkor Technology, Inc., 10.500%, 5/01/2009 31,155 100,000 Anadarko Petroleum Corp., 5.950%, 9/15/2016 100,209 75,000 Anadarko Petroleum Corp., 6.450%, 9/15/2036 75,787 75,000 Arrow Electronics, Inc., 6.875%, 7/01/2013 78,240 100,000 ASIF Global Financing XXVII, 2.380%, 2/26/2009, (SGD), 144A 63,660 42,865 Atlas Air, Inc., Series B, 7.680%, 1/02/2014(g) 47,152 145,000 Avnet, Inc., 6.000%, 9/01/2015 142,970 110,000,000 Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A 115,725 4,000,000 Barclays Financial LLC, 4.160%, 2/22/2010, (THB), 144A 105,196 220,000,000 Barclays Financial LLC, 4.460%, 9/23/2010, (KRW), 144A 234,643 349,720,000 Barclays Financial LLC, 4.670%, 3/23/2009, (KRW), 144A 375,957 4,000,000 Barclays Financial LLC, Series EMTN, 4.100%, 3/22/2010, (THB), 144A 104,835 310,000 Borden, Inc., 7.875%, 2/15/2023(d) 248,000 410,000 Borden, Inc., 8.375%, 4/15/2016 356,700 15,000 Chesapeake Energy Corp., 6.500%, 8/15/2017 14,662 70,000 Chesapeake Energy Corp., 6.875%, 1/15/2016(d) 70,612 70,000 Chesapeake Energy Corp., 6.875%, 11/15/2020 68,775 120,000 Citi Credit Card Issuance Trust, 5.375%, 4/10/2013, (EUR) 165,259 212,910 Continental Airlines, Inc., Series 1999-1C, 6.954%, 8/02/2009 210,780 160,000 Cummins, Inc., 7.125%, 3/01/2028 166,318 50,000 Dillard's, Inc., 6.625%, 1/15/2018(d) 48,000 50,000 Dillard's, Inc., 7.000%, 12/01/2028(d) 47,750 20,000 ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/2011 20,526 200,000 Federal Home Loan Mortgage Corp., 5.125%, 1/15/2012, (EUR) 276,329 30,000,000 Federal National Mortgage Association, 2.125%, 10/09/2007, (JPY) 255,067 200,000 Federal National Mortgage Association, 2.290%, 2/19/2009, (SGD) 127,374 150,000 Foot Locker, Inc., 8.500%, 1/15/2022 147,375 20,000 Ford Motor Co., 6.625%, 10/01/2028 14,500 2 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ---------- ------------------------------------------------------- ----------- United States - continued $15,000 Ford Motor Co., 7.125%, 11/15/2025 $ 11,138 65,000 Ford Motor Co., 7.450%, 7/16/2031 51,025 65,000 Ford Motor Credit Co., 8.000%, 12/15/2016 64,230 25,000,000 General Electric Capital Corp., Series EMTN, 0.550%, 10/14/2008, (JPY) 208,854 50,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 48,750 35,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 34,912 160,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 162,400 350,000 GMAC LLC, 6.225%, 3/20/2007(c) 350,023 75,000 GMAC LLC, 6.324%, 7/16/2007(c) 75,059 150,000 Goldman Sachs Group, Inc., 3.963%, 5/23/2016, (EUR)(c) 197,664 25,000 GTE Corp., 6.940%, 4/15/2028 26,211 225,000 HCA, Inc., 7.050%, 12/01/2027 169,343 50,000 HCA, Inc., 7.190%, 11/15/2015 42,887 250,000 HCA, Inc., 7.500%, 11/06/2033 203,750 100,000 HCA, Inc., 7.580%, 9/15/2025 81,367 100,000 HSBC Bank USA, 3.310%, 8/25/2010, 144A 106,690 25,000 J.C. Penney Co., Inc., 7.125%, 11/15/2023 27,203 275,000 K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 259,875 250,000 Kellwood Co., 7.625%, 10/15/2017 228,500 10,000 Kinder Morgan, Inc., Senior Note, 5.150%, 3/01/2015 8,973 55,000 Lennar Corp., Series B, 5.600%, 5/31/2015 52,590 55,000 Lennar Corp., Series B, 6.500%, 4/15/2016 55,803 20,000 Level 3 Communications, Inc., 11.500%, 3/01/2010(d) 21,200 155,000 Lucent Technologies, Inc., 6.450%, 3/15/2029 142,987 130,000 MBNA Credit Card Master Note Trust, 4.150%, 4/19/2010, (EUR) 171,162 85,000 Morgan Stanley, 5.375%, 11/14/2013, (GBP) 164,752 100,000 Mosaic Global Holdings, Inc., 7.375%, 8/01/2018 95,000 150,000 News America Holdings, Inc., 8.625%, 2/07/2014, (AUD)(e) 126,365 250,000 NGC Corporation Capital Trust I, Series B, 8.316%, 6/01/2027(d) 236,250 135,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 120,825 $1,000,000 NRG Energy, Inc., 7.375%, 2/01/2016 1,005,000 20,000 Owens Corning, Inc., 6.500%, 12/01/2016 20,317 35,000 Owens Corning, Inc., 7.000%, 12/01/2036, 144A 35,343 40,000 Owens-Illinois, Inc., 7.800%, 5/15/2018, 144A 39,850 50,000 Pulte Homes, Inc., 5.200%, 2/15/2015 47,638 540,000 Pulte Homes, Inc., 6.000%, 2/15/2035(d) 493,951 695,000 Pulte Homes, Inc., 6.375%, 5/15/2033 648,894 140,000 Qwest Capital Funding, Inc., 6.500%, 11/15/2018 130,900 205,000 Qwest Capital Funding, Inc., 6.875%, 7/15/2028 187,319 30,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 29,438 45,000 Qwest Corp., 6.875%, 9/15/2033 42,975 5,000 Qwest Corp., 7.250%, 9/15/2025 5,138 255,000 SLM Corp., 6.500%, 6/15/2010, (NZD) 174,754 750,000 Tennessee Gas Pipeline Co., 7.000%, 10/15/2028(d) 791,908 10,000 Time Warner, Inc., 6.500%, 11/15/2036 9,953 395,000 Time Warner, Inc., 6.625%, 5/15/2029 400,037 160,000 Time Warner, Inc., 6.950%, 1/15/2028 167,904 115,000 Time Warner, Inc., 7.625%, 4/15/2031 128,474 75,000 Time Warner, Inc., 7.700%, 5/01/2032 84,622 105,000 Toll Brothers Finance Corp., 5.150%, 5/15/2015(d) 96,210 375,000 Toys R Us, 7.375%, 10/15/2018 303,750 200,000 Transcontinental Gas Pipe Line Corp., 6.400%, 4/15/2016 202,000 183,046 U.S. Treasury Bonds, 2.000%, 1/15/2026(d) 172,149 885,000 U.S. Treasury Notes, 4.500%, 2/15/2016(d) 870,895 50,000 USG Corp., 6.300%, 11/15/2016, 144A 49,562 90,000 Verizon Communications, 5.850%, 9/15/2035 86,197 5,000 Verizon Maryland, Inc., 5.125%, 6/15/2033 4,102 250,000 Verizon New York, Inc., Series B, 7.375%, 4/01/2032(d) 258,128 70,000 Viacom, Inc., Class B, 6.875%, 4/30/2036 69,208 100,000 Williams Cos., Inc., 7.500%, 1/15/2031 103,750 20,000 Xerox Corp., 7.200%, 4/01/2016 21,375 ----------- 14,495,405 ----------- 3 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ---------- ------------------------------------------------------- ----------- Uruguay - 0.1% $100,000 Republic of Uruguay, 8.000%, 11/18/2022 $ 113,500 ----------- Venezuela - 0.3% 130,000 Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 126,100 125,000 Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 124,687 ----------- 250,787 ----------- Total Non-Convertible Bonds (Identified Cost $25,680,078) 26,496,141 ----------- Convertible Bonds - 2.0% United States - 2.0% 435,000 Bristol-Myers Squibb Co., 4.860%, 9/15/2023(c)(d) 435,000 95,000 Builders Transportation, Inc., 8.000%, 8/15/2005(f) -- 250,000 Enzon Pharmaceuticals, Inc., 4.500%, 7/01/2008 240,000 140,000 Level 3 Communications, Inc., 2.875%, 7/15/2010 146,825 25,000 Level 3 Communications, Inc., 6.000%, 9/15/2009(d) 23,375 5,000 Level 3 Communications, Inc., 6.000%, 3/15/2010 4,613 500,000 Regeneron Pharmaceuticals, Inc., 5.500%, 10/17/2008 523,750 500,000 Valeant Pharmaceuticals International, 3.000%, 8/16/2010 480,000 80,000 Valeant Pharmaceuticals International, 4.000%, 11/15/2013 76,200 ----------- 1,929,763 ----------- Total Convertible Bonds (Identified Cost $1,906,703) 1,929,763 ----------- Total Bonds and Notes (Identified Cost $27,586,781) 28,425,904 ----------- Shares - ------ Common Stocks - 67.1% Argentina - 0.8% 14,450 Tenaris SA ADR 720,911 ----------- Cayman Island - 1.0% 17,700 Garmin Ltd.(d) 985,182 ----------- Germany - 1.3% 3,100 Puma AG 1,203,715 ----------- Greece - 2.1% 62,381 Piraeus Bank S.A. 2,004,759 ----------- Hong Kong - 2.3% 150,600 China Mobile Ltd. 1,301,062 634,000 China Overseas Land & Investment Ltd. 844,199 ----------- 2,145,261 ----------- Ireland - 1.7% 78,442 Anglo Irish Bank Corp., Plc 1,624,291 ----------- Japan - 6.1% 16,100 IBIDEN Co. Ltd. 809,792 5,400 Nintendo Co. Ltd. 1,397,998 2,260 Orix Corp.(d) 655,382 14,400 Sony Corp. ADR 616,752 33,000 Sumitomo Realty & Development Co. Ltd.(d) 1,057,957 Japan - continued 19,000 Toyota Motor Corp. 1,271,612 ----------- 5,809,493 ----------- Korea - 0.7% 25,375 KT Corp. ADR(d) 643,256 ----------- Mexico - 2.2% 934,425 America Movil SA de CV, Series L(d) 2,107,062 ----------- Netherlands - 2.9% 28,400 Heineken NV 1,349,373 20,500 Randstad Holding NV(g) 1,413,566 ----------- 2,762,939 ----------- Singapore - 1.1% 230,000 Keppel Land Ltd.(d) 1,032,214 ----------- Sweden - 1.0% 23,275 Telefonaktiebolaget LM Ericsson ADR 936,353 ----------- Switzerland - 6.2% 109,375 ABB Ltd. 1,958,986 5,150 Actelion Ltd.(f) 1,131,697 9,800 Roche Holding AG 1,753,353 17,250 UBS AG 1,043,930 ----------- 5,887,966 ----------- Turkey - 0.4% 20,237 Finansbank AS GDR(g) 421,456 ----------- United Kingdom - 4.8% 140,300 Capita Group Plc 1,663,541 143,775 Man Group Plc 1,467,536 97,600 Marks & Spencer Group Plc 1,367,768 ----------- 4,498,845 ----------- United States - 32.5% 18,625 Akamai Technologies, Inc.(d)(g) 989,360 17,150 Apple Computer, Inc.(g) 1,455,006 26,950 Bank of America Corp. 1,438,860 25,775 BellSouth Corp. 1,214,260 47,900 CB Richard Ellis Group, Inc., Class A(g) 1,590,280 2,375 Chicago Mercantile Exchange Holdings, Inc. 1,210,656 68,075 Cisco Systems, Inc.(g) 1,860,490 22,300 Comcast Corp., Class A(d)(g) 943,959 41,625 CVS Corp. 1,286,629 11,775 ExxonMobil Corp. 902,318 14,975 Gilead Sciences, Inc.(g) 972,327 9,500 Goldman Sachs Group, Inc. 1,893,825 4,050 Google, Inc., Class A(g) 1,864,944 23,750 Hewlett-Packard Co. 978,262 15,450 Johnson & Johnson 1,020,009 10,025 Las Vegas Sands Corp.(g) 897,037 16,825 Lehman Brothers Holdings, Inc. 1,314,369 18,250 McDonald's Corp. 809,023 35,925 Network Appliance, Inc.(g) 1,411,134 45,575 News Corp.(d) 1,014,499 26,275 NVIDIA Corp.(g) 972,438 67,350 Oracle Corp.(g) 1,154,379 18,575 Precision Castparts Corp. 1,454,051 11,400 Prudential Financial, Inc. 978,804 9,900 Schlumberger Ltd. 625,284 10,025 Ultra Petroleum Corp.(d)(g) 478,694 ----------- 30,730,897 ----------- Total Common Stocks (Identified Cost $52,209,919) 63,514,600 ----------- 4 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value(+) - ----------- ----------------------------------------------------- ----------- Short-Term Investments - 14.8% $ 2,082,000 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $2,082,983 on 1/02/07 collateralized by $1,815,000 U.S. Treasury Bond, 6.250% due 8/15/23 with a value of $2,126,053(h) 2,082,000 ----------- Shares - ----------- 11,936,934 State Street Securities Lending Quality Trust(i) 11,936,934 ----------- Total Short-Term Investments (Identified Cost $14,018,934) 14,018,934 ----------- Total Investments - 111.9% (Identified Cost $93,815,634)(b) 105,959,438 Other assets less liabilities -- (11.9)% (11,252,126) ----------- Total Net Assets -- 100.0% $ 94,707,312 =========== - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Funds by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. As of December 31, 2006, approximately 24.9% of the market value of the investments for the Loomis Sayles Global Markets Fund were fair valued pursuant to procedures approved by the Board of Trustees. In September, 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have in the Fund's financial statement. The books and records of the Portfolio are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (++) Amount shown represents units. (a) Principal Amount stated in U.S. Dollars unless otherwise stated. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales, gains realized from passive foreign investment companies and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2006, the unrealized appreciation on investments based on cost of $93,894,429 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 12,821,434 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (756,425) ------------ Net Unrealized appreciation $ 12,065,009 ============ At September 30, 2006 the Fund had a capital loss carryover of approximately $311,587 all of which expires on September 30, 2011. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) Variable rate security. Rate as of December 31, 2006 is disclosed. 5 LOOMIS SAYLES GLOBAL MARKETS FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (d) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $11,570,857 and $11,936,934, respectively. (e) Illiquid Security. At December 31, 2006, the value of these securities amounted to $126,365 or 0.1% of net assets. (f) Non-income producing security due to default or bank filing. (g) Non-income producing security. (h) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreement is a tri-party arrangement whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (i) Represents investments of security lending collateral. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2006, the total value of these securities amounted to $2,876,670 or 3.0% of total net assets. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. GDR Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of GDRs are significantly influenced by trading on exchanges not located in the United States Key to Abbreviations: ARS Argentinean Peso AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar COP Colombian Peso DKK Danish Krone EUR Euro GBP British Pound IDR Indonesian Rupiah JPY Japanese Yen KRW South Korean Won MXN Mexican Peso NOK Norwegian Krone NZD New Zealand Dollar SEK Swedish Krona SGD Singapore Dollar THB Thailand Baht USD United States Dollar ZAR South African Rand Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Capital Markets 8.2% Sovereigns 7.6 Pharmaceuticals 4.8 Wireless Telecommunication Services 4.2 Computers & Peripherals 4.1 Real Estate 3.9 Commercial Services & Supplies 3.2 Internet Software & Services 3.0 Communications Equipment 2.9 Diversified Financial Services 2.8 Software 2.7 Commercial Banks 2.4 Biotechnology 2.2 Electrical Equipment 2.1 Media 2.1 Diversified Telecommunications Services 2.0 Other, less than 2% each 38.9 6 LOOMIS SAYLES GROWTH FUND - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Shares Description Value (+) ---------- ------------------------------------------------------ ------------ Common Stocks - 99.1% of Total Net Assets Aerospace & Defense - 2.6% 134,400 Precision Castparts Corp. $ 10,520,832 ------------ Air Freight & Logistics - 1.1% 109,750 Expeditors International of Washington, Inc. 4,444,875 ------------ Beverages - 2.1% 134,400 PepsiCo, Inc. 8,406,720 ------------ Biotechnology - 5.9% 104,125 Celgene Corp.(b)(c) 5,990,311 93,400 Genentech, Inc.(c) 7,577,542 162,075 Gilead Sciences, Inc.(c) 10,523,530 ------------ 24,091,383 ------------ Capital Markets - 9.6% 35,275 BlackRock, Inc.(b) 5,358,272 65,250 Goldman Sachs Group, Inc. 13,007,587 99,527 Lehman Brothers Holdings, Inc. 7,775,049 103,925 Morgan Stanley 8,462,613 107,550 T. Rowe Price Group, Inc. 4,707,464 ------------ 39,310,985 ------------ Commercial Services & Supplies - 1.1% 97,425 Monster Worldwide, Inc.(c) 4,543,902 ------------ Communications Equipment - 5.5% 635,725 Cisco Systems, Inc.(c) 17,374,364 134,775 QUALCOMM, Inc. 5,093,147 ------------ 22,467,511 ------------ Computers & Peripherals - 5.7% 151,887 Apple Computer, Inc.(c) 12,886,093 261,375 Network Appliance, Inc.(c) 10,266,810 ------------ 23,152,903 ------------ Diversified Financial Services - 3.0% 15,925 Chicago Mercantile Exchange Holdings, Inc. 8,117,769 43,775 NYSE Group, Inc.(b)(c) 4,254,930 ------------ 12,372,699 ------------ Energy Equipment & Services - 1.6% 216,275 Halliburton Co. 6,715,339 ------------ Food & Staples Retailing - 2.5% 328,125 CVS Corp. 10,142,344 ------------ Healthcare Equipment & Supplies - 2.3% 109,450 Baxter International, Inc. 5,077,386 85,100 Medtronic, Inc. 4,553,701 ------------ 9,631,087 ------------ Healthcare Providers & Services - 2.7% 83,050 UnitedHealth Group, Inc. 4,462,277 84,800 WellPoint, Inc.(c) 6,672,912 ------------ 11,135,189 ------------ Hotels, Restaurants & Leisure - 2.9% 83,900 Las Vegas Sands Corp.(c) 7,507,372 68,050 Starwood Hotels & Resorts Worldwide, Inc. 4,253,125 ------------ 11,760,497 ------------ Household Products - 1.5% 96,925 Procter & Gamble Co. (The) 6,229,370 ------------ Insurance - 2.8% 87,500 American International Group, Inc. 6,270,250 95,225 Chubb Corp. (The) 5,038,355 ------------ 11,308,605 ------------ Internet Software & Services - 6.1% 134,300 Akamai Technologies, Inc.(c) 7,134,016 38,380 Google, Inc., Class A(c) 17,673,222 ------------ 24,807,238 ------------ IT Services - 3.5% 90,300 Alliance Data Systems Corp.(c) 5,641,041 111,850 Cognizant Technology Solutions Corp., Class A(c) 8,630,346 ------------ 14,271,387 ------------ Media - 6.5% 225,400 Comcast Corp., Class A(c) 9,541,182 124,575 McGraw-Hill Cos., Inc. (The) 8,473,591 394,975 News Corp., Class A 8,484,063 ------------ 26,498,836 ------------ Metals & Mining - 1.3% 60,325 Allegheny Technologies, Inc. 5,470,271 ------------ Multiline Retail - 3.1% 87,200 Kohl's Corp.(c) 5,967,096 140,425 Nordstrom, Inc. 6,928,569 ------------ 12,895,665 ------------ Oil, Gas & Consumable Fuels - 1.6% 140,725 XTO Energy, Inc. 6,621,111 ------------ Pharmaceuticals - 4.4% 117,575 Abbott Laboratories 5,727,078 188,125 Johnson & Johnson 12,420,013 ------------ 18,147,091 ------------ Real Estate - 2.9% 361,000 CB Richard Ellis Group, Inc., Class A(c) 11,985,200 ------------ Semiconductors & Semiconductor Equipment - 2.6% 146,125 Intel Corp. 2,959,031 212,375 Nvidia Corp.(c) 7,859,999 ------------ 10,819,030 ------------ Software - 9.5% 124,675 Adobe Systems, Inc.(c) 5,126,636 291,150 BEA Systems, Inc.(c) 3,662,667 436,275 Microsoft Corp. 13,027,172 669,700 Oracle Corp.(c) 11,478,658 278,225 Symantec Corp.(c) 5,800,991 ------------ 39,096,124 ------------ Specialty Retail - 2.4% 162,825 American Eagle Outfitters, Inc.(b) 5,081,768 97,125 Best Buy Co., Inc. 4,777,579 ------------ 9,859,347 ------------ Textiles Apparel & Luxury Goods - 2.3% 215,075 Coach, Inc.(c) 9,239,622 ------------ Total Common Stocks (Identified Cost $370,769,400) 405,945,163 ------------ Principal Amount ---------- Short-Term Investments - 5.3% $5,052,000 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $5,054,386 on 1/02/07 collateralized by $4,400,000 U.S. Treasury Bond, 6.250% due 8/15/23 with a value of $5,154,068(d) 5,052,000 ------------ 1 LOOMIS SAYLES GROWTH FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Shares Description Value (+) ---------- ---------------------------------------------------- ------------ 16,601,429 State Street Securities Lending Quality Trust(e) $ 16,601,429 ------------ Total Short-Term Investments (Identified Cost $21,653,429) 21,653,429 ------------ Total Investments - 104.4% (Identified Cost $392,422,829)(a) 427,598,592 Other assets less liabilities -- (4.4)% (17,911,821) ------------ Total Net Assets -- 100.0% $409,686,771 ============ - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2006 the unrealized appreciation on investments based on cost of $392,422,829 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $39,142,849 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (3,967,086) ----------- Net unrealized appreciation $35,175,763 =========== At September 30, 2006, the Fund had a capital loss carryover of approximately $36,005,156 of which $29,812,842 and 6,192,314 expires on September 30, 2010 and September 30, 2011, respectively. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. A significant portion of the Fund's losses are a result of prior year mergers; therefore, these losses have been limited under Section 382 of the Internal Revenue Code. (b) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $16,183,332 and $16,601,429, respectively. (c) Non-income producing security. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby collateral is held at the custodian bank in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. 2 LOOMIS SAYLES GROWTH FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (e) Represents investments of security lending collateral. Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Capital Markets 9.6% Software 9.5 Media 6.5 Internet Software & Services 6.1 Biotechnology 5.9 Computers & Peripherals 5.7 Communications Equipment 5.5 Pharmaceuticals 4.4 IT Services 3.5 Multiline Retail 3.1 Diversified Financial Services 3.0 Real Estate 2.9 Hotels, Restaurants & Leisure 2.9 Insurance 2.8 Healthcare Providers & Services 2.7 Semiconductors & Semiconductor Equipment 2.6 Aerospace & Defense 2.6 Food & Staples Retailing 2.5 Specialty Retail 2.4 Healthcare Equipment & Supplies 2.3 Textiles Apparel & Luxury Goods 2.3 Beverages 2.1 Other, less than 2% each 8.2 3 Loomis Sayles High Income Fund -- Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount(a) Description Value (+) -------------- --------------------------------------------------- ---------- Bonds and Notes -- 90.2% of Net Assets Airlines -- 0.3% $ 82,157 Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 1/02/2017 $ 81,426 43,834 Continental Airlines, Inc., Series 1999-1, Class C, 6.954%, 8/02/2009 43,396 ---------- 124,822 ---------- Automotive -- 8.1% 420,000 Ford Motor Co., 6.375%, 2/01/2029 301,350 815,000 Ford Motor Co., 6.625%, 10/01/2028 590,875 170,000 Ford Motor Co., 7.450%, 7/16/2031(e) 133,450 905,000 Ford Motor Credit Co., 5.700%, 1/15/2010 867,536 125,000 GMAC Canada, Ltd., Series E, (MTN), 6.625%, 12/17/2010 (GBP) 245,974 5,000 GMAC International Finance BV, Series E, (MTN), 8.000%, 3/14/2007 (NZD) 3,514 330,000 GMAC LLC, (MTN), 6.750%, 12/01/2014(e) 338,954 405,000 GMAC LLC, 8.000%, 11/01/2031(e) 464,967 430,000 Goodyear Tire & Rubber Co., (The), 7.857%, 8/15/2011(e) 432,150 ---------- 3,378,770 ---------- Banking -- 4.0% 250,000,000 Barclays Financial LLC, 144A, 4.060%, 9/16/2010 (KRW) 263,011 9,000,000 Barclays Financial LLC, Series E, (MTN), 144A, 4.100%, 3/22/2010 (THB) 235,879 7,000,000 Barclays Financial LLC, 144A, 4.160%, 2/22/2010 (THB) 184,093 400,000,000 Barclays Financial LLC, 144A, 4.470%, 12/04/2011 (KRW) 425,118 500,000 HSBC Bank USA, 144A, 3.310%, 8/25/2010 533,450 ---------- 1,641,551 ---------- Chemicals -- 5.1% 450,000 Borden, Inc., 7.875%, 2/15/2023 360,000 550,000 Borden, Inc., 9.200%, 3/15/2021 486,750 130,000 Georgia Gulf Corp., 144A, 10.750%, 10/15/2016(e) 124,800 380,000 Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029 324,900 125,000 LPG International, Inc., 7.250%, 12/20/2015 125,625 300,000 Lyondell Chemical Co., 8.000%, 9/15/2014 311,250 155,000 Mosaic Co., (The), 144A, 7.375%, 12/01/2014 159,069 155,000 Mosaic Co., (The), 144A, 7.625%, 12/01/2016 160,618 60,000 Mosaic Global Holdings, Inc., 7.375%, 8/01/2018 57,000 ---------- 2,110,012 ---------- Construction Machinery -- 0.3% 120,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013 117,000 ---------- Diversified Financial Services -- 0.3% 1,436,358,000 JPMorgan Chase & Co., 144A, Zero Coupon, 3/28/2011 (IDR) 111,193 ---------- Electric -- 2.4% 375,000 Dynegy Holdings, Inc., 7.125%, 5/15/2018 365,625 180,000 Dynegy Holdings, Inc., 7.625%, 10/15/2026 174,600 140,000 NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027 132,300 60,000 NRG Energy, Inc., 7.250%, 2/01/2014 60,450 165,000 NRG Energy, Inc. 7.375%, 2/1/2016 165,825 115,000 NRG Energy, Inc. 7.375%, 1/15/2017 115,288 ---------- 1,014,088 ---------- Financial Other -- 0.7% 300,000 Petrozuata Finance, Inc., Series B, 144A, 8.220%, 4/01/2017 299,250 ---------- Food & Beverage -- 0.2% 100,000 Dole Food Co., Inc., 8.625%, 5/01/2009 99,375 ---------- Gaming -- 0.1% 45,000 Harrah's Operating Co., Inc., 5.750%, 10/01/2017 37,701 ---------- Government Guaranteed -- 2.6% 28,000,000 Kreditanstalt fuer Wiederaufbau, 1.750%, 3/23/2010 (JPY) 240,888 28,000,000 Kreditanstalt fuer Wiederaufbau, Series INTL, 1.850%, 9/20/2010 (JPY) 241,937 70,000,000 Oesterreichische Kontrollbank AG, 1.800%, 3/22/2010 (JPY) 603,143 ---------- 1,085,968 ---------- Healthcare -- 2.3% 70,000 HCA, Inc., 6.500%, 2/15/2016(e) 58,975 160,000 HCA, Inc. 7.500%, 12/152023 130,195 400,000 HCA, Inc. 7.500%, 11/6/2033 326,000 300,000 HCA, Inc., (MTN), 7.580%, 9/15/2025 244,102 40,000 HCA, Inc., 8.360%, 4/15/2024 35,193 1 Loomis Sayles High Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount(a) Description Value (+) ----------- ----------------------------------------------------- ---------- Healthcare - continued $ 40,000 Invitrogen Corp., 1.500%, 2/15/2024 $ 34,150 5,000 Tenet Healthcare Corp., 6.875%, 11/15/2031 4,012 110,000 Tenet Healthcare Corp., 9.250%, 2/01/2015 110,000 ---------- 942,627 ---------- Home Construction -- 4.0% 410,000 Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 418,200 320,000 K Hovnanian Enterprises, Inc., 6.250%, 1/15/2015 304,000 210,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.250%, 1/15/2016 198,450 30,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.500%, 1/15/2014 29,100 590,000 KB Home, 7.250%, 6/15/2018 576,204 155,000 Pulte Homes, Inc., 6.000%, 2/15/2035 141,782 ---------- 1,667,736 ---------- Independent Energy -- 1.9% 625,000 Chesapeake Energy Corp., 6.500%, 8/15/2017 610,937 175,000 Chesapeake Energy Corp., 6.875%, 11/15/2020 171,938 ---------- 782,875 ---------- Industrial Other -- 0.8% 265,000 Incyte Corp., Convertible, 3.500%, 2/15/2011 212,994 140,000 Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011 138,250 ---------- 351,244 ---------- Integrated Energy -- 0.6% 265,000 Cerro Negro Finance, Ltd., 144A, 7.900%, 12/01/2020 257,050 ---------- Media Cable -- 4.0% 550,000 CSC Holdings, Inc., Senior Note, 7.625%, 7/15/2018 535,563 250,000 NTL Cable PLC, 9.750%, 4/15/2014 (GBP) 519,482 650,000 Rogers Cable, Inc., Senior Note, 5.500%, 3/15/2014 621,523 ---------- 1,676,568 ---------- Media Non-Cable -- 0.4% 175,000 Intelsat Corp., 6.875%, 1/15/2028 160,125 ---------- Metals & Mining -- 0.5% 195,000 Vale Overseas, Ltd., 6.875%, 11/21/2036 200,001 ---------- Mortgage Related -- 1.4% 70,000,000 FNMA, 1.750%, 3/26/2008 (JPY) 595,884 ---------- Oil Field Services -- 0.8% 310,000 North American Energy Partners, Inc., Senior Note, 8.750%, 12/01/2011 311,550 ---------- Packaging -- 0.3% 135,000 Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018 134,494 ---------- Paper -- 5.5% 215,000 Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 165,013 250,000 Abitibi-Consolidated, Inc., 8.500%, 8/01/2029 202,500 685,000 Bowater, Inc., 6.500%, 6/15/2013(e) 625,062 60,000 Domtar, Inc., 5.375%, 12/01/2013 54,300 75,000 Georgia-Pacific Corp., 7.250%, 6/01/2028 72,750 155,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 151,125 370,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 369,075 170,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 172,550 430,000 Georgia-Pacific Corp., 8.875%, 5/15/2031 454,725 20,000 Jefferson Smurfit Corp., 7.500%, 6/01/2013 18,800 ---------- 2,285,900 ---------- Pharmaceuticals -- 6.7% 440,000 Elan Finance PLC, Senior Note, 7.750%, 11/15/2011 429,550 110,000 Elan Finance PLC, 144A, 8.875%, 12/01/2013 110,000 425,000 Enzon, Inc., 4.500%, 7/01/2008 408,000 127,000 EPIX Pharmaceuticals, Inc., Senior Note, 3.000%, 6/15/2024 101,282 45,000 Human Genome Sciences, Inc., 2.250%, 8/15/2012 43,763 360,000 Inhale Therapeutic Systems, Inc., Subordinated Note, 3.500%, 10/17/2007 352,800 210,000 Merck & Co., Inc., 4.750%, 3/01/2015 200,029 345,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, 5.500%, 10/17/2008 361,387 190,000 Valeant Pharmaceuticals International, Subordinated Note, 3.000%, 8/16/2010 182,400 450,000 Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013 428,625 59,000 Vertex Pharmaceuticals, Inc., 144A, 5.750%, 2/15/2011 148,385 ---------- 2,766,221 ---------- 2 Loomis Sayles High Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount(a) Description Value (+) ---------- --------------------------------------------------- ---------- Pipelines -- 3.6% $ 915,000 El Paso Corp., 6.950%, 6/01/2028 $ 910,425 125,000 Kinder Morgan Energy Partners, LP, Senior Note, 5.800%, 3/15/2035 113,592 65,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 5.700%, 1/05/2016 59,639 440,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 6.400%, 1/05/2036 392,295 25,000 Kinder Morgan, Inc., Senior Note, 5.150%, 3/01/2015 22,432 ---------- 1,498,383 ---------- Retailers -- 2.3% 250,000 Dillard's, Inc., 6.625%, 1/15/2018 240,000 105,000 Dillard's, Inc., Class A, 7.130%, 8/01/2018 104,213 765,000 Toys R US, Inc., 7.375%, 10/15/2018 619,650 ---------- 963,863 ---------- Sovereigns -- 5.6% 1,190,000 Republic of Argentina, 2.487%, 9/30/2014 (ARS)(d) 425,596 44,200(++) Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023 (MXN) 426,289 148,500(++) Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012 (MXN) 1,483,075 ---------- 2,334,960 ---------- Supermarkets -- 3.3% 190,000 Albertson's, Inc., 7.750%, 6/15/2026 189,514 750,000 Albertson's, Inc., 7.450%, 8/01/2029 732,749 130,000 Albertson's, Inc., Senior Note, 8.000%, 5/01/2031(e) 131,867 25,000 Albertson's, Inc., Senior Note, 8.700%, 5/01/2030 26,112 245,000 Albertson's, Inc., Series C, (MTN), 6.625%, 6/01/2028 222,425 50,000 American Stores Co., 8.000%, 6/01/2026 52,555 ---------- 1,355,222 ---------- Supranational -- 2.2% 2,700,000 Inter-American Development Bank, Series E, (MTN), Zero Coupon, 5/11/2009 (BRL) 925,696 ---------- Technology -- 7.8% 125,000 Amkor Technology, Inc., Senior Note, 7.750%, 5/15/2013 115,000 270,000 Freescale Semiconductor, Inc., 144A, 10.125%, 12/15/2016 270,337 345,000 JDS Uniphase Corp., Zero Coupon, 11/15/2010 312,656 215,000 Kulicke & Soffa Industries, Inc., Subordinated Note, .500%, 11/30/2008 190,006 35,000 Kulicke & Soffa Industries, Inc., Subordinated Note, 1.000%, 6/30/2010 32,113 910,000 Lucent Technologies, Inc., 6.450%, 3/15/2029 839,475 293,000 Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(h) 278,350 300,000 Nortel Networks Corp., Guaranteed Senior Note, 4.250%, 9/01/2008 290,250 500,000 Nortel Networks Corp., 6.875%, 9/01/2023 420,000 40,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 35,800 210,000 Sanmina-SCI Corp., 8.125%, 3/01/2016 203,175 105,000 Unisys Corp., 6.875%, 3/15/2010(e) 103,163 145,000 Unisys Corp., Senior Note, 8.000%, 10/15/2012 143,369 ---------- 3,233,694 ---------- Transportation Services -- 2.9% 275,000 APL Ltd., Senior Note, 8.000%, 1/15/2024(h) 258,665 300,000 Overseas Shipholding Group, Senior Note, 7.500%, 2/15/2024 304,875 295,000 Stena AB, Senior Note, 7.000%, 12/01/2016 280,250 350,000 Stena AB, Senior Note, 7.500%, 11/01/2013 345,625 ---------- 1,189,415 ---------- Wireless -- 0.9% 200,000 MetroPCS Wireless, Inc., 144A, 9.250%, 11/01/2014 209,000 165,000 True Move Co., Ltd., 144A, 10.750%, 12/16/2013 161,288 ---------- 370,288 ---------- Wirelines -- 8.3% 65,000 Cincinnati Bell Telephone Co., 6.300%, 12/01/2028 58,500 50,000 Cincinnati Bell, Inc., 8.375%, 1/15/2014 51,375 95,000 Citizens Communications Co., 7.000%, 11/01/2025(e) 85,975 405,000 Hanarotelecom, Inc., 144A, 7.000%, 2/01/2012 406,012 435,000 Level 3 Communications, Inc., Convertible, 2.875%, 7/15/2010 456,206 185,000 Level 3 Communications, Inc., Convertible, 6.000%, 3/15/2010 170,663 20,000 Level 3 Communications, Inc., Senior Note, 11.500%, 3/01/2010(e) 21,200 3 Loomis Sayles High Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount(a) Description Value (+) - ---------- ------------------------------------------------------- ----------- Wirelines - continued $ 375,000 Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028 $ 342,656 1,890,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 1,854,578 ----------- 3,447,165 ----------- Total Bonds and Notes (Identified Cost $35,053,155) 37,470,691 ----------- Shares - ---------- Common Stocks -- 1.5% Home Construction -- 0.2% 1,775 KB Home(e) 91,022 ----------- Pharmaceuticals -- 1.3% 6,875 Merck & Co., Inc. 299,750 1,717 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 53,364 4,198 Vertex Pharmaceuticals, Inc.(c)(e) 157,089 ----------- 510,203 ----------- Total Common Stocks (Identified Cost $442,631) 601,225 ----------- Preferred Stocks -- 3.8% Electric -- 1.7% 6,475 AES Trust III, Convertible, 6.750%, 10/15/2029 318,894 8,000 CMS Energy Trust I, Convertible, 7.750%, 7/15/2027 399,000 ----------- 717,894 ----------- Packaging -- 0.6% 6,500 Owens-Illinois, Inc., Convertible, 4.750%, 240,500 ----------- Pipelines -- 0.9% 9,500 El Paso Energy Capital Trust I, 4.750%, 3/31/2028 368,600 ----------- Technology -- 0.6% 225 Lucent Technologies Capital Trust I, Convertible, 7.750%, 3/15/2017 231,919 ----------- Total Preferred Stocks (Identified Cost $1,411,772) 1,558,913 ----------- Closed-End Investment Companies -- 0.1% Bond Mutual Funds -- 0.1% 3,835 Morgan Stanley Emerging Markets Debt Fund, Inc.(e) 41,572 2,175 Western Asset High Income Opportunity Fund, Inc. 14,681 ----------- Total Closed-End Investment Companies (Identified Cost $45,442) 56,253 ----------- Short-Term Investments -- 9.5% 1,291,070 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $1,291,680 on 1/02/07, collateralized by $935,000 U.S. Treasury Bond, 8.750% due 8/15/2020 valued at $1,320,681(f) 1,291,070 ----------- 2,650,249 State Street Securities Lending Quality Trust(g) 2,650,249 ----------- Total Short-Term Investments (Identified Cost $3,941,319) 3,941,319 ----------- Total Investments -- 105.1% (Identified Cost $40,894,319)(b) 43,628,401 Other assets less liabilities--(5.1)% (2,098,491) ----------- Net Assets -- 100% $41,529,910 =========== 4 Loomis Sayles High Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (+) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. Future contracts are priced at their most recent settlement price. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (++) Amount shown represents units. (a) Principal amount is in U.S. dollars unless otherwise noted. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2006, the net unrealized appreciation on investments based on cost of $40,901,181 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost. $3,204,959 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value. (477,739) ---------- Net unrealized appreciation $2,727,220 ========== At September 30, 2006 the Fund had a capital loss carryover of approximately $82,928,298 of which $12,726,943 expires on September 30, 2008, $43,374,721 expires on September 30, 2009 and $26,826,634 expires on September 30, 2010. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) Non-income producing security. (d) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). 5 Loomis Sayles High Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (e) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $2,596,188 and $2,650,249, respectively. (f) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (g) Represents investment of securities lending collateral. (h) Illiquid security. At December 31, 2006, the value of these securities amounted to $537,015 or 1.3% of net assets. MTN Medium Term Note 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $4,196,803 or 10.1% of net assets. ADR An American Depositary Receipt is a certificate issued by a U.S. bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States Key Abbreviations: ARS Argentine Peso BRL Brazilian Real GBP British Pound IDR Indonesian Rupiah JPY Japanese Yen KRW South Korean Won MXN Mexican Peso NZD New Zealand Dollar THB Thailand Baht Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Technology 8.4% Wirelines 8.3 Automotive 8.1 Pharmaceuticals 8.0 Sovereigns 5.6 Paper 5.5 Chemicals 5.1 Pipelines 4.5 Home Construction 4.2 Electric 4.1 Banking 4.0 Media Cable 4.0 Supermarkets 3.3 Transportation Services 2.9 Government Guaranteed 2.6 Healthcare 2.3 Retailers 2.3 Supranational 2.2 Other, less than 2% each 10.1 Currency Exposure at December 31, 2006 as a Percentage of Net Assets (Unaudited) United States Dollar 78.9% Mexican Peso 4.6 Japanese Yen 4.1 Brazilian Real 2.2 Other less than 2% each 5.8 6 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) --------------- ------------------------------------------------- ----------- Bonds and Notes - 95.1% of Total Net Assets Non-Convertible Bonds - 92.7% Airlines - 1.0% $ 8,115,000 Qantas Airways Ltd., 6.050%, 4/15/2016, 144A $ 7,222,610 ----------- Asset-Backed Securities - 0.3% 726,569 Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/2018 714,922 1,700,000 Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029 1,602,083 ----------- 2,317,005 ----------- Automotive - 1.0% 665,000 Cummins, Inc., 7.125%, 3/01/2028 691,261 1,990,000 Ford Motor Co., 6.375%, 2/01/2029(c) 1,427,825 1,735,000 Ford Motor Co., 7.450%, 7/16/2031 1,361,975 700,000 Ford Motor Credit Co., 7.375%, 10/28/2009 701,491 1,000,000 GMAC Australia, 6.500%, 8/10/2007, (AUD) 768,319 950,000 GMAC International Finance BV, 8.000%, 3/14/2007, (NZD) 667,649 1,500,000 GMAC LLC, 6.875%, 9/15/2011 1,538,547 ----------- 7,157,067 ----------- Banking - 6.5% 2,595,000 BAC Capital Trust VI, 5.625%, 3/08/2035 2,456,487 2,120,000,000 Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A 2,230,331 144,000,000 Barclays Financial LLC, 4.100%, 3/22/2010, (THB), 144A 3,774,059 140,000,000 Barclays Financial LLC, 4.160%, 2/22/2010, (THB), 144A 3,681,862 3,000,000,000 Barclays Financial LLC, 4.460%, 9/23/2010, (KRW), 144A 3,199,677 16,371,250,000 BNP Paribas SA, Zero Coupon, 6/13/2011, (IDR), 144A 1,239,526 1,500,000 CIT Group, Inc., 5.500%, 12/01/2014, (GBP) 2,874,094 9,860,000 Citibank NA, 15.000%, 7/02/2010, (BRL), 144A 5,161,628 4,500,000 HSBC Bank USA, 3.310%, 8/25/2010, 144A 4,801,050 22,683,264,000 JPMorgan Chase & Co., Zero Coupon, 3/28/2011, (IDR), 144A 1,755,990 17,920,000,000 JPMorgan Chase & Co., Zero Coupon, 3/28/2011, (IDR), 144A 1,387,249 18,000,000 JPMorgan Chase & Co., Zero Coupon, 10/01/2012, (BRL), 144A 5,699,626 24,124,936,500 JPMorgan Chase London, Zero Coupon, 10/21/2010, (IDR), 144A 1,951,476 100,000 Keybank NA, 6.950%, 2/01/2028 110,865 7,125,000 Western Union Co., 6.200%, 11/17/2036, 144A 6,692,976 ----------- 47,016,896 ----------- Beverages - 0.2% 1,525,000 Cia Brasileira de Bebidas, 8.750%, 9/15/2013 1,776,625 ----------- Building Materials - 0.5% 970,000 Owens Corning, Inc., 6.500%, 12/01/2016, 144A 985,363 1,450,000 Owens Corning, Inc., 7.000%, 12/01/2036, 144A 1,464,212 1,060,000 USG Corp., 6.300%, 11/15/2016, 144A 1,050,714 ----------- 3,500,289 ----------- Chemicals - 0.9% 6,305,000 Lubrizol Corp., 6.500%, 10/01/2034 6,344,665 400,000 Methanex Corp., 6.000%, 8/15/2015 379,415 ----------- 6,724,080 ----------- Electric - 3.5% 895,000 Commonwealth Edison Co., 4.700%, 4/15/2015 833,827 1,700,000 Commonwealth Edison Co., 5.875%, 2/01/2033 1,651,370 2,750,000 Constellation Energy Group, Inc., 4.550%, 6/15/2015(c) 2,545,834 960,000 Dominion Resources, Inc., 5.950%, 6/15/2035 943,805 5,500,000 Empresa Nacional de Electricidad SA (Endesa-Chile), 7.875%, 2/01/2027 6,263,460 1,000,000 Empresa Nacional de Electricidad SA (Endesa-Chile), 8.350%, 8/01/2013 1,134,257 1,905,000 ITC Holdings Corp., 5.875%, 9/30/2016, 144A 1,890,469 2,830,000 ITC Holdings Corp., 6.375%, 9/30/2036, 144A 2,822,158 1,500,000 MidAmerican Energy Holdings Co., 5.875%, 10/01/2012 1,526,920 1,000,000 MidAmerican Energy Holdings Co., 6.125%, 4/01/2036 1,008,054 2,500,000 ONEOK Partners LP, 6.650%, 10/01/2036 2,557,080 42,500 Quezon Power Philippines Co., 8.860%, 6/15/2017 42,713 500,000 SP Powerassets Ltd., 3.730%, 10/22/2010, (SGD) 329,864 1,795,000 Toledo Edison Co., 6.150%, 5/15/2037 1,766,944 ----------- 25,316,755 ----------- Entertainment - 1.0% 565,000 Time Warner, Inc., 6.500%, 11/15/2036 562,359 1,805,000 Time Warner, Inc., 6.625%, 5/15/2029 1,828,017 755,000 Time Warner, Inc., 6.950%, 1/15/2028 792,295 505,000 Time Warner, Inc., 7.625%, 4/15/2031 564,166 330,000 Time Warner, Inc., 7.700%, 5/01/2032 372,337 3,590,000 Viacom, Inc., Class B 6.875%, 4/30/2036 3,549,358 ----------- 7,668,532 ----------- 1 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ----------- ------------------------------------------------------ ----------- Financial Other - 0.0% $ 200,000 Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A $ 199,500 ----------- Foreign Agency - 0.0% 220,000 Alberta Municipal Funding Corp., 5.700%, 9/01/2011, (CAD) 200,261 ----------- Foreign Local Governments - 6.4% 32,515 Province of Alberta, 5.930%, 9/16/2016, (CAD) 29,896 29,645,000 Province of British Columbia, 6.000%, 6/09/2008, (CAD) 26,062,636 3,275,000 Province of British Columbia, 6.250%, 12/01/2009, (CAD) 2,970,599 3,285,000 Province of Manitoba, 4.450%, 12/01/2008, (CAD) 2,831,976 6,510,000 Province of Manitoba, 5.750%, 6/02/2008, (CAD) 5,701,379 500,000 Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) 542,923 4,810,000 Province of Ontario, 3.875%, 3/08/2008, (CAD) 4,108,268 4,320,000 Province of Ontario, 5.700%, 12/01/2008, (CAD) 3,810,594 550,000 Province of Saskatchewan, 5.500%, 6/02/2008, (CAD) 480,094 ----------- 46,538,365 ----------- Government Owned - No Guarantee - 0.6% 3,670,000 Pemex Project Funding Master Trust, 8.625%, 12/01/2023 4,518,687 ----------- Healthcare - 1.6% 5,000,000 HCA, Inc., 5.750%, 3/15/2014 4,150,000 800,000 HCA, Inc., 6.250%, 2/15/2013 708,000 3,250,000 HCA, Inc., 6.300%, 10/01/2012(c) 2,973,750 2,625,000 HCA, Inc., 7.050%, 12/01/2027 1,975,667 250,000 HCA, Inc., 7.500%, 12/15/2023 203,430 620,000 HCA, Inc., 7.580%, 9/15/2025 504,476 1,000,000 HCA, Inc., Series MTN, 7.750%, 7/15/2036 801,983 ----------- 11,317,306 ----------- Healthcare Insurance - 0.4% 2,720,000 CIGNA Corp., 6.150%, 11/15/2036 2,687,159 ----------- Home Construction - 3.9% 850,000 Centex Corp., 5.250%, 6/15/2015 802,822 3,685,000 D.R. Horton, Inc., 5.250%, 2/15/2015 3,439,638 2,050,000 Desarrolladora Homex SA, 7.500%, 9/28/2015 2,091,000 1,870,000 Lennar Corp., Series B 6.500%, 4/15/2016 1,897,317 2,605,000 Lennar Corp., Series B, Class A, 5.600%, 5/31/2015 2,490,849 2,630,000 Pulte Homes, Inc., 5.200%, 2/15/2015(c) 2,505,735 250,000 Pulte Homes, Inc., 5.250%, 1/15/2014(c) 239,184 9,165,000 Pulte Homes, Inc., 6.000%, 2/15/2035(c) 8,383,446 3,510,000 Pulte Homes, Inc., 6.375%, 5/15/2033 3,277,150 3,605,000 Toll Brothers Finance Corp., 5.150%, 5/15/2015 3,303,200 ----------- 28,430,341 ----------- Independent/Energy - 1.1% 4,020,000 Anadarko Petroleum Corp., 5.950%, 9/15/2016 4,028,414 2,970,000 Anadarko Petroleum Corp., 6.450%, 9/15/2036 3,001,173 500,000 Devon Financing Corp. LLC, 7.875%, 9/30/2031 601,563 160,000 XTO Energy, Inc., 6.100%, 4/01/2036 156,147 ----------- 7,787,297 ----------- Integrated/Energy - 0.0% 150,000 Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 145,500 ----------- Life Insurance - 1.6% 11,700,000 ASIF Global Financing XXVII, 2.380%, 2/26/2009, (SGD), 144A 7,448,233 4,260,000 Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A 4,591,607 ----------- 12,039,840 ----------- Local Authorities - 0.4% 2,730,000 Michigan Tobacco Settlement Finance Authority, 7.309%, 6/01/2034 2,850,038 ----------- Media Cable - 2.1% 5,985,000 Comcast Corp., 5.650%, 6/15/2035 5,432,806 2,255,000 Comcast Corp., 6.450%, 3/15/2037 2,256,218 2,825,000 Comcast Corp., 6.500%, 11/15/2035 2,844,953 3,750,000 Cox Communications, Inc., Class A, 6.750%, 3/15/2011(c) 3,920,310 350,000 NTL Cable Plc, 9.750%, 4/15/2014, (GBP) 727,275 ----------- 15,181,562 ----------- Media Non-Cable - 1.4% 2,500,000 Clear Channel Communications, Inc., 4.250%, 5/15/2009 2,421,297 1,000,000 Clear Channel Communications, Inc., 5.750%, 1/15/2013 889,268 2,370,000 News America, Inc., 6.200%, 12/15/2034 2,287,560 4,930,000 News America, Inc., 6.400%, 12/15/2035 4,897,630 ----------- 10,495,755 ----------- Metals & Mining - 0.6% 1,500,000 Teck Cominco Ltd., 7.000%, 9/15/2012 1,586,212 2,885,000 Vale Overseas Ltd., 6.875%, 11/21/2036 2,958,989 ----------- 4,545,201 ----------- 2 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ----------- ------------------------------------------------------ ----------- Mortgage Related - 3.9% $ 3,000,000 Bank of America - First Union NB Commercial Mortgage, Series 2001-3, Class A2, 5.464%, 4/11/2037 $ 3,024,433 2,250,565 CS First Boston Mortgage Securities Corp., Series 2005-7, Class 3A1, 5.000%, 8/25/2020 2,223,333 202,230 Federal Home Loan Mortgage Corp., 5.000%, 12/01/2031 195,651 3,000,000 Federal Home Loan Mortgage Corp., 5.750%, 1/15/2012(c) 3,102,999 1,850,000 Federal National Mortgage Association, 5.375%, 11/15/2011(c) 1,885,333 17,450,000 Federal National Mortgage Association, 5.500%, 3/15/2011(c) 17,819,260 45,968 Federal National Mortgage Association, 6.000%, 7/01/2029 46,492 ----------- 28,297,501 ----------- Non-Captive Consumer - 0.5% 5,150,000 SLM Corp., 6.500%, 6/15/2010, (NZD) 3,529,354 ----------- Non-Captive Diversified - 1.7% 2,370,000 CIT Group, Inc., 6.000%, 4/01/2036 2,336,768 9,160,000 General Electric Capital Corp., 6.500%, 9/28/2015, (NZD) 6,205,913 4,200,000 General Electric Capital Corp., 6.625%, 2/04/2010, (NZD) 2,892,085 1,285,000 General Electric Capital Corp., Series EMTN, 6.750%, 9/26/2016, (NZD) 896,957 ----------- 12,331,723 ----------- Oil Field Services - 0.7% 665,000 Pecom Energia SA, 8.125%, 7/15/2010, 144A 698,250 600,000 Transocean Sedco Forex, Inc., 7.375%, 4/15/2018 658,630 3,840,000 Weatherford International Ltd., 6.500%, 8/01/2036 3,854,861 ----------- 5,211,741 ----------- Paper - 1.2% 1,395,000 Bowater, Inc., 6.500%, 6/15/2013(c) 1,272,938 2,265,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 2,208,375 140,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 139,650 815,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 827,225 2,280,000 Georgia-Pacific Corp., 8.875%, 5/15/2031 2,411,100 575,000 Georgia-Pacific Corp., (Timber Group), 7.250%, 6/01/2028 557,750 750,000 International Paper Co., 4.000%, 4/01/2010 719,855 300,000 International Paper Co., 5.250%, 4/01/2016 285,411 ----------- 8,422,304 ----------- Pharmaceuticals - 0.1% 500,000 Schering-Plough Corp., 5.550%, 12/01/2013 501,448 ----------- Pipelines - 2.8% 3,685,000 Colorado Interstate Gas Co., 5.950%, 3/15/2015 3,635,857 125,000 Colorado Interstate Gas Co., 6.800%, 11/15/2015 129,973 2,010,000 Duke Energy Field Services LLC, 6.450%, 11/03/2036, 144A 2,065,217 70,000 El Paso Corp., 6.375%, 2/01/2009 70,700 2,470,000 El Paso Corp., 6.950%, 6/01/2028 2,457,650 935,000 El Paso Corp., 7.000%, 5/15/2011 970,062 250,000 El Paso Corp., 7.750%, 6/15/2010 264,375 540,000 Energy Transfer Partners LP, 6.125%, 2/15/2017 547,513 395,000 Energy Transfer Partners LP, 6.625%, 10/15/2036 406,719 310,000 Kinder Morgan Finance, 5.700%, 1/05/2016 284,431 130,000 Kinder Morgan Finance, 6.400%, 1/05/2036 115,905 320,000 Kinder Morgan, Inc., 5.150%, 3/01/2015 287,136 2,130,000 Plains All American Pipeline LP, 6.125%, 1/15/2017, 144A 2,141,099 4,595,000 Plains All American Pipeline LP, 6.650%, 1/15/2037, 144A 4,665,207 2,415,000 Tennessee Gas Pipeline Co., 7.000%, 10/15/2028 2,549,945 ----------- 20,591,789 ----------- Property & Casualty Insurance - 2.0% 3,460,000 Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014 3,329,326 2,590,000 Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015 2,548,073 6,050,000 Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033(c) 5,510,401 2,830,000 Travelers Property Casualty Corp., 6.375%, 3/15/2033 2,980,553 ----------- 14,368,353 ----------- Railroads - 0.7% 5,000,000 Canadian Pacific Railway Ltd., 4.900%, 6/15/2010, (CAD), 144A 4,354,843 195,000 Missouri Pacific Railroad Co., 4.750%, 1/01/2020 169,880 243,000 Missouri Pacific Railroad Co., 4.750%, 1/01/2030 205,236 351,000 Missouri Pacific Railroad Co., 5.000%, 1/01/2045 276,794 ----------- 5,006,753 ----------- Real Estate Investment Trusts - 1.3% 4,000,000 Colonial Realty LP, 4.800%, 4/01/2011 3,845,992 625,000 Colonial Realty LP, 5.500%, 10/01/2015 609,485 1,000,000 EOP Operating LP, 6.750%, 2/15/2012 1,079,972 2,195,000 Highwoods Realty LP, 7.500%, 4/15/2018 2,438,568 234,000 iStar Financial, Inc., Series REGS, 5.700%, 3/01/2014 231,882 3 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ------------ --------------------------------------------------- ------------ Real Estate Investment Trusts - continued $ 1,000,000 Spieker Properties, Inc., 7.350%, 12/01/2017 $ 1,198,987 ------------ 9,404,886 ------------ Restaurants - 0.1% 1,000,000 McDonald's Corp., 3.628%, 10/10/2010, (SGD) 653,949 ------------ Retailers - 0.0% 22,000 J.C. Penney Co., Inc., 7.125%, 11/15/2023 23,938 25,000 Kellwood Co., 7.625%, 10/15/2017 22,850 ------------ 46,788 ------------ Sovereigns - 14.3% 28,455,000 Canadian Government, 4.250%, 9/01/2008, (CAD) 24,478,889 5,600,000 Canadian Government, 4.250%, 12/01/2008, (CAD) 4,821,671 38,265,000 Canadian Government, 4.500%, 9/01/2007, (CAD) 32,881,026 9,600,000 Canadian Government, 5.500%, 6/01/2010, (CAD) 8,625,717 5,000,000 Canadian Government, Series WH31, 6.000%, 6/01/2008, (CAD) 4,400,377 820,000(++) Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) 7,908,525 770,000(++) Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN) 7,690,021 1,920,495 PF Export Receivables Master Trust, 6.436%, 6/01/2015, 144A 1,958,905 1,515,000 Republic of Brazil, 8.250%, 1/20/2034 1,836,938 325,000 Republic of Brazil, 8.875%, 4/15/2024 404,950 250,000 Republic of Brazil, 11.000%, 8/17/2040 331,250 6,285,000 Republic of Brazil, 12.500%, 1/05/2022, (BRL) 3,348,862 240,000 Republic of Peru, 5.000%, 3/07/2017(d) 238,200 500,000 Republic of South Africa, 5.250%, 5/16/2013, (EUR) 680,921 26,245,000 Republic of South Africa, 13.000%, 8/31/2010, (ZAR) 4,303,533 ------------ 103,909,785 ------------ Supranational - 2.3% 22,000,000 Inter-American Development Bank, Series EMTN, Zero Coupon, 5/11/2009, (BRL) 7,542,710 13,265,000 Inter-American Development Bank, Series EMTN, 6.000%, 12/15/2017, (NZD) 8,934,159 ------------ 16,476,869 ------------ Technology - 3.3% 2,500,000 Arrow Electronics, Inc., 6.875%, 7/01/2013 2,607,987 2,000,000 Arrow Electronics, Inc., 6.875%, 6/01/2018 2,066,112 5,480,000 Avnet, Inc., 6.000%, 9/01/2015 5,403,275 1,145,000 Avnet, Inc., 6.625%, 9/15/2016 1,177,405 260,000 Corning, Inc., 6.850%, 3/01/2029 270,576 6,650,000 Corning, Inc., 7.250%, 8/15/2036 7,126,519 1,625,000 Motorola, Inc., 8.000%, 11/01/2011 1,798,170 3,115,000 Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A 3,324,583 ------------ 23,774,627 ------------ Tobacco - 0.3% 2,000,000 Altria Group, Inc., 7.000%, 11/04/2013 2,173,032 Transportation Services - 0.1% 1,000,000 ERAC USA Finance Co., 6.800%, 2/15/2008, 144A 1,010,048 ------------ Treasuries - 13.7% 11,940,000 U.S. Treasury Bond, 5.375%, 2/15/2031(c) 12,789,794 16,205,000 U.S. Treasury Note, 3.250%, 8/15/2007(c) 16,029,662 72,250,000 U.S. Treasury Note, 3.750%, 5/15/2008(c) 71,143,708 ------------ 99,963,164 ------------ Wireless - 2.4% 1,000,000 America Movil SA de CV, 4.125%, 3/01/2009 973,057 1,750,000 Motorola, Inc., 5.220%, 10/01/2097 1,413,860 13,860,000 Nextel Communications, Inc., Series F, 5.950%, 3/15/2014 13,497,090 1,400,000 Philippine Long Distance Telephone Co., 8.350%, 3/06/2017 1,589,000 ------------ 17,473,007 ------------ Wirelines - 6.3% 1,205,000 AT&T, Inc., 6.150%, 9/15/2034 1,185,197 6,380,000 AT&T Corp., 6.500%, 3/15/2029 6,368,063 8,125,000 BellSouth Corp., 6.000%, 11/15/2034 7,800,918 350,000 GTE Corp., 6.940%, 4/15/2028 366,948 1,625,000 Koninklijke (Royal) KPN NV, Series GMTN, 8.375%, 10/01/2030 1,861,852 620,000 New England Telephone & Telegraph, 7.875%, 11/15/2029 676,463 250,000 Qwest Capital Funding, Inc., 6.500%, 11/15/2018 233,750 2,710,000 Qwest Capital Funding, Inc., 6.875%, 7/15/2028 2,476,263 1,440,000 Qwest Capital Funding, Inc., 7.625%, 8/03/2021 1,418,400 1,005,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 986,164 90,000 Qwest Corp., 6.875%, 9/15/2033 85,950 10,520,000 Telefonica Emisiones SAU, 7.045%, 6/20/2036 11,173,997 1,000,000 Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A 1,220,342 4 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ---------- ------------------------------------------------- ------------- Wirelines - continued $ 7,175,000 Verizon Communications, 5.850%, 9/15/2035 $ 6,871,835 2,484,000 Verizon Maryland, Inc., 5.125%, 6/15/2033 2,037,769 1,330,000 Verizon New York, Inc., Series B, 7.375%, 4/01/2032 1,373,241 ------------- 46,137,152 ------------- Total Non-Convertible Bonds (Identified Cost $649,907,987) 674,920,944 ------------- Convertible Bonds - 2.4% Banking - 1.0% 7,185,000 Wells Fargo & Co., 5.121%, 5/01/2033(d) 7,208,208 ------------- Independent/Energy - 0.4% 500,000 Devon Energy Corp., 4.900%, 8/15/2008 692,500 1,750,000 Devon Energy Corp., 4.950%, 8/15/2008 2,423,750 ------------- 3,116,250 ------------- Pharmaceuticals - 0.9% 5,920,000 Bristol-Myers Squibb Co., 4.860%, 9/15/2023(d) 5,920,000 360,000 Watson Pharmaceuticals, Inc., 1.750%, 3/15/2023(c) 332,100 ------------- 6,252,100 ------------- Technology - 0.1% 710,000 Avnet, Inc., 2.000%, 3/15/2034 714,437 ------------- Wirelines - 0.0% 280,000 Level 3 Communications, Inc., 6.000%, 3/15/2010 258,300 ------------- Total Convertible Bonds (Identified Cost $16,508,144) 17,549,295 ------------- Total Bonds and Notes (Identified Cost $666,416,131) 692,470,239 ------------- Short-Term Investments - 23.9% 26,035,000 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $26,047,294 on 1/02/07 collateralized by $22,675,000 U.S. Treasury Bond, 6.250% due 8/15/23 with a value of $26,561,019(e) 26,035,000 ------------- Shares ------ 147,963,583 State Street Securities Lending Quality Trust(f) 147,963,583 ------------- Total Short-Term Investments (Identified Cost $173,998,583) 173,998,583 ------------- Total Investments - 119.0% (Identified Cost $840,414,714)(b) 866,468,822 Other assets less liabilities -- (19.0)% (138,269,748) ------------- Total Net Assets -- 100.0% $ 728,199,074 ============= - -------- (+) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. Future contracts are priced at their most recent settlement price. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (++) Amount shown represents units. 5 Loomis Sayles Investment Grade Bond Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (a) Principal amount stated in U.S. dollars unless otherwise noted. (b) Federal Tax Information (Amounts exclude certain adjustments made at the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2006, the net unrealized appreciation on investments based on cost of $843,713,737 for federal tax purposes was as follows: Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost $30,795,218 Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (8,040,133) ----------- Net unrealized appreciation $22,755,085 =========== At September 30, 2006 the Fund had a capital loss carryover of approximately $215,200 all of which expires on September 30, 2014. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $145,003,499 and $147,963,583, respectively. (d) Variable rate security. Rate as of December 31, 2006 is disclosed. (e) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (f) Represents investments of security lending collateral. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December, 31, 2006, the total value of these securities amounted to $90,834,310 or 12.5% of total net assets. Key to Abbreviations: AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar EUR Euro GBP British Pound IDR Indonesian Rupiah KRW South Korean Won MXN Mexican Peso NZD New Zealand Dollar SGD Singapore Dollar THB Thailand Baht ZAR South African Rand Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Sovereigns 14.3% Treasuries 13.7 Banking 7.5 Foreign Local Governments 6.4 Wirelines 6.3 Home Construction 3.9 Mortgage Related 3.9 Electric 3.5 Technology 3.4 Pipelines 2.8 Wireless 2.4 Supranational 2.3 Media Cable 2.1 Property & Casualty Insurance 2.0 Other, less than 2% each 20.6 Currency Exposure at December 31, 2006 as a Percentage of Net Assets (Unaudited) Unites States Dollar 64.4% Canadian Dollar 17.5 New Zealand Dollar 3.2 Brazilian Real 3.0 Mexican Peso 2.1 Others, less then 2% each 5.1 6 Loomis Sayles Limited Term Government and Agency Fund -- Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount Description Value (+) - ----------- ------------------------------------------------------ ----------- Bonds and Notes -- 99.1% of Net Assets Asset-Backed Securities -- 4.3% $ 1,035,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035 $ 1,001,776 2,200,000 Countrywide Asset-Backed Certificates, Series 2006-S1, Class A2, 5.549%, 8/25/2021 2,193,164 122,595 Residential Funding Mortgage Securities II, Series 2004-HI3, Class A3, 3.810%, 8/25/2017 122,129 670,000 Residential Funding Mortgage Securities II, Series 2004-HI3, Class A4, 4.630%, 1/25/2020 663,275 660,000 Residential Funding Mortgage Securities II, Series 2005-HI3, Class A4, 5.490%, 9/25/2035 652,472 853,476 Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028 857,256 ----------- 5,490,072 ----------- Collateralized Mortgage Obligation -- 0.2% 228,196 Federal Home Loan Mortgage Corporation, Series 3145, Class KA, 5.000%, 8/15/2024 226,811 ----------- Hybrid ARMs -- 1.9% 1,981,930 Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.590%, 7/25/2035(b) 1,954,054 416,696 Washington Mutual, Series 2004-AR7, Class A2A, 3.537%, 7/25/2034(b) 415,321 ----------- 2,369,375 ----------- Mortgage Backed Securities -- 1.9% 1,400,000 Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.769%, 6/10/2046(b) 1,450,736 985,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037 981,498 ----------- 2,432,234 ----------- Mortgage Related -- 61.3% 4,200,000 Federal Home Loan Bank, 3.625%, 11/14/2008 4,094,853 854,489 FHLMC, 4.500%, 5/01/2034 801,623 7,967,765 FHLMC, 5.000%, with various maturities to 2030(c) 7,848,948 2,751,257 FHLMC, 5.500%, 12/01/2034 2,723,733 7,583,606 FHLMC, 6.000%, with various maturities to 2021(c) 7,685,634 12,689,006 FHLMC, 6.500%, with various maturities to 2034(c) 12,961,142 289,776 FHLMC, 7.000%, 2/01/2016 297,529 53,096 FHLMC, 7.500%, with various maturities to 2026(c) 54,895 33,176 FHLMC, 8.000%, with various maturities to 2015(c) 34,608 6,707 FHLMC, 10.000%, 7/01/2019 7,366 311,196 FHLMC, 11.500%, with various maturities to 2020(c) 337,019 15,065,409 FNMA, 4.000%, with various maturities to 2019(c) 14,213,721 2,948,221 FNMA, 4.500%, with various maturities to 2035(c) 2,799,982 2,249,020 FNMA, 5.000%, 6/01/2035 2,171,973 4,423,591 FNMA, 5.500%, with various maturities to 2034(c) 4,388,078 5,132,171 FNMA, 6.000%, with various maturities to 2034(c) 5,196,141 8,324,760 FNMA, 6.500%, with various maturities to 2036(c) 8,488,582 600,000 FNMA, 6.625%, 9/15/2009(d) 624,746 304,122 FNMA, 7.000%, 12/01/2022 316,303 724,154 FNMA, 7.500%, with various maturities to 2032(c) 752,376 128,604 FNMA, 8.000%, with various maturities to 2016(c) 135,138 155,098 GNMA, 6.000%, 12/15/2031 157,503 595,427 GNMA, 6.500%, 5/15/2031 612,007 502,794 GNMA, 7.000%, with various maturities to 2029(c) 519,609 28,971 GNMA, 9.000%, with various maturities to 2009(c) 29,647 6,062 GNMA, 9.500%, 8/15/2009 6,289 10,334 GNMA, 12.500%, with various maturities to 2015(c) 11,487 1 Loomis Sayles Limited Term Government and Agency Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount Description Value (+) ----------- --------------------------------------------------- ------------ Mortgage Related - continued $ 138,195 GNMA, 16.000%, with various maturities to 2012(c) $ 158,164 53,475 GNMA, 17.000%, with various maturities to 2011(c) 62,373 ------------ 77,491,469 ------------ Treasuries -- 29.5% 8,180,000 U.S Treasury Bill, 4.860%, 3/22/2007(f) 8,093,685 4,040,000 U.S. Treasury Note, 3.125%, 5/15/2007(d) 4,011,595 10,815,000 U.S. Treasury Note, 3.125%, 10/15/2008(d) 10,502,803 8,490,000 U.S. Treasury Note, 3.375%, 2/28/2007(d) 8,468,113 1,930,000 U.S. Treasury Note, 6.125%, 8/15/2007(d) 1,942,213 750,000 U.S. Treasury Note, 6.625%, 5/15/2007(d) 754,189 4,000,000 U.S. Treasury STRIPS, Zero Coupon, 11/15/2009 3,500,836 ------------ 37,273,434 ------------ Total Bonds and Notes (Identified Cost $126,441,684) 125,283,395 ------------ Shares/ Principal Amount ----------- Short-Term Investments -- 20.2% 24,707,987 State Street Securities Lending Quality Trust(e) 24,707,987 $ 893,824 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2006 at 4.250% to be repurchased at $894,246 on 1/02/2007, collateralized by $650,000 U.S. Treasury Bond, 8.750% due 8/15/2020 valued at $918,120(g) 893,824 ------------ Total Short-Term Investments (Identified Cost $25,601,811) 25,601,811 ------------ Total Investments -- 119.3% (Identified Cost $152,043,495)(a) 150,885,206 Other assets less liabilities--(19.3)% (24,444,576) ------------ Net Assets -- 100% $126,440,630 ============ - -------- (+) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Future contracts are priced at their most recent settlement price. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. 2 Loomis Sayles Limited Term Government and Agency Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2006, the net unrealized depreciation on investments based on cost of $152,311,549 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost. $ 296,471 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value. (1,722,814) ----------- Net unrealized depreciation $(1,426,343) =========== At September 30, 2006, the Fund had a capital loss carryover of approximately $22,102,133 of which $9,755,614 expires on September 30, 2007, $4,165,768 expires on September 30, 2008, $4,128,091 expires on September 30, 2009, $663,109 expires on September 30, 2010, $425,323 expires on September 30, 2011 and $193,904 expires on September 30, 2012 and $2,770,324 expires on September 30, 2014. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (b) Variable Rate Security. Interest rate disclosed is that which was in effect at December 31, 2006. Date disclosed is the next interest rate reset date. (c) The Fund's investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Schedule of Investments. (d) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $24,231,643 and $24,707,987, respectively. (e) Represents investment of securities lending collateral. (f) Annualized yield at time of purchase; not a coupon rate. (g) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GNMA Government National Mortgage Association STRIPS Separate Trading of Registered Interest and Principal of Securities Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Mortgage Related 61.3% Treasuries 29.5 Asset-Backed Securities 4.3 Other, less than 2% each 4.0 3 Loomis Sayles Municipal Income Fund - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount Description Value (+) - ---------- -------------------------------------------------------- ---------- Tax Exempt Obligations -- 98.7% of Net Assets California -- 8.4% $1,000,000 California Health Facilities Financing Authority (California Healthcare West), 4.950%, 7/01/2026 $1,058,320 1,000,000 California Health Facilities Financing Authority (Cedar-Sinai Medical Center), 5.000%, 11/15/2027 1,043,590 1,500,000 California State, 5.125%, 6/01/2027 1,564,456 2,655,000 California Statewide Communities Development Authority (California Endowment), 5.250%, 7/01/2023 2,868,276 1,500,000 California Statewide Communities Development Authority (Sutter Health), Series A, 5.000%, 11/15/2043 1,556,460 ---------- 8,091,102 ---------- Colorado -- 2.6% 2,500,000 Colorado Health Facilities Authority, 5.000%, 12/01/2035 2,538,600 ---------- District of Columbia -- 3.3% 3,000,000 Metropolitan Washington D.C. Airports Authority, 5.125%, 10/01/2029 (FGIC Insured) 3,154,080 ---------- Florida -- 1.1% 1,000,000 Jacksonville, FL, Economic Development Community Health Care Facilities (Mayo Clinic), 5.000%, 11/15/2036 1,051,080 ---------- Guam -- 1.1% 1,000,000 Guam Government Waterworks Authority, 5.875%, 7/01/2035 1,072,830 ---------- Illinois -- 3.3% 1,000,000 Illinois Educational Facility Authority Revenue, 5.000%, 7/01/2033 1,043,890 2,000,000 Metropolitan Pier & Exposition Authority, IL, 5.250%, 6/15/2042 (MBIA Insured) 2,124,220 ---------- 3,168,110 ---------- Indiana -- 1.1% 1,000,000 Indiana Health & Educational Facility, Financing Authority (Clarian Health Obligation), Series A, 5.000%, 2/15/2039 1,035,480 ---------- Kansas -- 1.0% 1,000,000 University of Kansas Hospital Authority, Health Facilities Revenue, 4.500%, 9/01/2032 976,140 ---------- Louisiana -- 5.3% 4,000,000 DeSoto Parish, LA, Environmental Improvement, 5.000%, 11/01/2018 4,095,960 $1,000,000 Ernest N. Morial, New Orleans, LA, Exhibit Hall Authority, 5.000%, 7/15/2033 (AMBAC Insured) $1,036,590 ---------- 5,132,550 ---------- Massachusetts -- 3.9% 1,500,000 Massachusetts State, 5.000%, 3/01/2019 1,606,770 1,000,000 Massachusetts State Development Finance Agency Revenue, Simmons College, Series H, 5.250%, 10/01/2033 (XLCA Insured) 1,148,700 1,045,000 Massachusetts State Health & Educational Facilities Authority (Lahey Clinic Medical Center), 4.500%, 8/15/2035 (FGIC Insured) 1,045,690 ---------- 3,801,160 ---------- Michigan -- 6.1% 1,500,000 Michigan State Hospital Finance Authority Revenue (Henry Ford Health System), Series A, 5.000%, 11/15/2038 1,560,345 1,100,000 Michigan State Hospital Finance Authority Revenue (Oakwood Obligated Group), 5.500%, 11/01/2014 1,193,533 1,000,000 Taylor Brownfield Redevelopment Authority, MI, 5.000%, 5/01/2025 (MBIA Insured) 1,062,880 2,000,000 University of Michigan, 5.250%, 12/01/2020 2,134,660 ---------- 5,951,418 ---------- Minnesota -- 3.3% 1,000,000 Chaska Minnesota Electric Revenue, 5.250%, 10/01/2025 1,081,420 2,000,000 Minnesota State Municipal Power Agency, 5.250%, 10/01/2024 2,149,740 ---------- 3,231,160 ---------- Mississippi -- 5.7% 2,000,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.700%, 4/01/2022 2,431,640 2,500,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.800%, 4/01/2022 3,066,525 ---------- 5,498,165 ---------- New Jersey -- 5.6% 1,000,000 New Jersey Economic Development Authority, 5.500%, 6/15/2024 1,049,020 1,000,000 New Jersey Economic Development Authority, 5.625%, 6/15/2018 1,036,790 1,000,000 New Jersey Health Care Facilities Financing Authority (Catholic Health East), 5.375%, 11/15/2033 1,057,800 1 Loomis Sayles Municipal Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount Description Value (+) ---------- ------------------------------------------------------ ----------- New Jersey - continued $2,000,000 New Jersey Transportation Trust Fund Authority, Series A, 5.500%, 12/15/2023 $ 2,326,220 ----------- 5,469,830 ----------- New York -- 17.9% 1,020,000 New York, NY, 6.000%, 1/15/2020 1,142,828 1,400,000 New York, NY, City Health & Hospital Corp., 5.000%, 2/15/2020 (FSA Insured) 1,467,410 1,000,000 New York, NY, City Industrial Development Agency, 5.500%, 1/01/2024 1,081,730 2,000,000 New York, NY, City Municipal Water Finance Authority, Series C, 5.000%, 6/15/2025 (MBIA Insured) 2,133,260 1,000,000 New York, NY, City Municipal Water Finance Authority, Series A, 5.125%, 6/15/2034 (FSA Insured) 1,055,560 1,000,000 New York State Dormitory Authority (Rockefeller University), 5.000%, 7/01/2032(b) 1,051,880 2,000,000 New York State Dormitory Authority, 5.500%, 5/15/2013 2,158,580 2,740,000 New York State Dormitory Authority, 5.750%, 7/01/2013 2,971,284 1,000,000 New York State Housing Finance Agency, 5.250%, 9/15/2019 1,085,910 3,000,000 New York State Municipal Bond Bank Agency, Series C, 5.250%, 6/01/2020 3,203,039 ----------- 17,351,481 ----------- North Carolina -- 1.4% 1,300,000 North Carolina Eastern Municipal Power Agency, Series A, 5.500%, 1/01/2012 1,385,020 ----------- Oregon -- 3.0% 1,750,000 Multnomah County, OR, Hospital Facilities Authority (Providence Health System), 5.250%, 10/01/2012 1,884,365 485,000 Oregon, Western Generation Agency, Wauna Cogeneration Project, Series A, 5.000%, 1/01/2021 501,558 500,000 Oregon, Western Generation Agency, Wauna Cogeneration Project, Series A, 5.000%, 1/01/2020 518,195 ----------- 2,904,118 ----------- Pennsylvania -- 3.4% 3,000,000 Pennsylvania State Industrial Development Authority, 5.500%, 7/01/2019 (AMBAC Insured) 3,292,230 ----------- Puerto Rico -- 3.3% 1,000,000 Puerto Rico Commonwealth Infrastructure Financing Authority, Series A, 5.500%, 10/01/2040 1,065,230 2,000,000 Puerto Rico Public Finance Corp., Commonwealth Appropriation Series A, 5.750%, 8/01/2027(b) 2,159,260 ----------- 3,224,490 ----------- South Carolina -- 3.3% 1,100,000 Charleston Educational Excellence Finance Corp., 5.250%, 12/01/2030 1,179,145 1,155,000 Lexington One School Facilities Corp., 5.000%, 12/01/2026 1,217,716 800,000 Newberry Investing in Children's Education (Newberry County School District), 5.250%, 12/01/2022 844,200 ----------- 3,241,061 ----------- South Dakota -- 1.4% 1,250,000 South Dakota Health & Educational Facilities Authority (Sioux Valley Hospital), 5.250%, 11/01/2027 1,323,012 ----------- Tennessee -- 5.1% 2,000,000 Knox County, TN Health Educational & Housing Facilities Board, Hospital Facilities Revenue, Series A, Zero Coupon Bond, 1/01/2035 496,520 2,500,000 Tennessee Energy Acquisition Corp., Gas Revenue, Series A, 5.250%, 9/01/2026 2,830,750 1,500,000 Tennessee Housing Development Agency, Series A, 5.200%, 7/01/2023 1,576,185 ----------- 4,903,455 ----------- Texas -- 5.8% 1,130,000 Conroe, TX, Independent School District, 4.500%, 2/15/2030 1,133,311 2,000,000 Dallas-Fort Worth, TX, International Airport, 5.500%, 11/01/2033 (MBIA Insured) 2,149,080 1,260,000 Keller, TX, Independent School District, Series A, 4.500%, 8/15/2031 1,262,873 1,000,000 Lewisville, TX, Independent School District, 5.250%, 8/15/2027 1,044,020 ----------- 5,589,284 ----------- Washington -- 2.3% 2,000,000 Energy Northwest, WA, Electric, Project No. 1, Series A, 5.500%, 7/01/2014 2,215,740 ----------- 2 Loomis Sayles Municipal Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount Description Value (+) - ---------- ------------------------------------------------------ ----------- Total Tax Exempt Obligations (Identified Cost $91,706,569) $95,601,596 ----------- Short-Term Investments -- 1.9% $1,862,294 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2006 at 4.250% to be repurchased at $1,863,173 on 1/02/2007, collateralized by $1,345,000 U.S. Treasury Bond, 8.750% due 8/15/2020 valued at $1,899,803(c) (Identified Cost $1,862,294) 1,862,294 ----------- Total Investments -- 100.6% (Identified Cost $93,568,863)(a) 97,463,890 Other assets less liabilities--(0.6)% (549,655) ----------- Net Assets -- 100% $96,914,235 =========== - -------- + Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Future contracts are priced at their most recent settlement price. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Accretion of market discount on debt securities and straddle loss deferrals are excluded for tax purposes.): At December 31, 2006, the net unrealized appreciation on investments based on cost of $93,252,232 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost. $4,280,082 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value. (68,424) ---------- Net unrealized appreciation $4,211,658 ========== (b) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). (c) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. 3 Loomis Sayles Municipal Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) AMBAC American Municipal Bond Assurance Corp. FGIC Financial Guarantee Insurance Company MBIA Municipal Bond Investors Assurance Corp. FSA Financial Security Assurance, Inc. XLCA XL Capital Assurance Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Corporate Backed/Industrial Revenue/Pollution Control 13.3% Hospital 10.1 Hospital Obligated Group 9.4 Electric 8.1 College & Universities 7.5 Special Tax 6.5 Airport 5.5 State Appropriation 4.6 Lease 4.5 Water & Sewage 4.4 School District 3.5 Bond Bank/Pooled Loan Program 3.3 State General Obligation 3.3 Non-Profit 3.0 Gas 2.9 Senior Living 2.6 City & Town 2.3 Other, less than 2% each 3.9 4 LOOMIS SAYLES RESEARCH FUND - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Shares Description Value (+) ------ ----------------------------------------------- ---------- Common Stocks - 99.3% of Total Net Assets Aerospace & Defense - 7.4% 5,150 Boeing Co. $ 457,526 4,800 Lockheed Martin Corp. 441,936 6,000 Northrop Grumman Corp. 406,200 3,400 Precision Castparts Corp. 266,152 8,525 United Technologies Corp. 532,983 ---------- 2,104,797 ---------- Beverages - 5.2% 12,325 Coca-Cola Co. 594,681 6,500 Hansen Natural Corp.(b)(c) 218,920 10,875 PepsiCo, Inc. 680,231 ---------- 1,493,832 ---------- Capital Markets - 6.1% 9,275 E*Trade Financial Corp.(b)(c) 207,946 2,725 Goldman Sachs Group, Inc. 543,229 7,325 Merrill Lynch & Co., Inc. 681,957 4,475 State Street Corp. 301,794 ---------- 1,734,926 ---------- Chemicals - 2.3% 2,775 Ashland, Inc.(b) 191,974 3,575 Praxair, Inc. 212,105 4,775 Rohm & Haas Co. 244,098 ---------- 648,177 ---------- Commercial Banks - 3.5% 12,375 U.S. Bancorp(b) 447,851 15,325 Wells Fargo & Co. 544,957 ---------- 992,808 ---------- Communications Equipment - 3.5% 15,875 Cisco Systems, Inc.(c) 433,864 5,350 Harris Corp.(b) 245,351 15,900 Motorola, Inc. 326,904 ---------- 1,006,119 ---------- Computers & Peripherals - 4.6% 5,325 Apple Computer, Inc.(c) 451,773 14,400 Hewlett-Packard Co. 593,136 7,050 Network Appliance, Inc.(b)(c) 276,924 ---------- 1,321,833 ---------- Consumer Finance - 1.8% 8,625 American Express Co. 523,279 ---------- Containers & Packaging - 0.7% 5,475 Pactiv Corp.(b)(c) 195,403 ---------- Diversified Financial Services - 3.2% 14,575 Bank of America Corp. 778,159 4,200 Nasdaq Stock Market, Inc.(b)(c) 129,318 ---------- 907,477 ---------- Diversified Telecommunications Services - 3.5% 8,950 AT&T, Inc. 319,962 14,500 BellSouth Corp. 683,095 ---------- 1,003,057 ---------- Electric Utilities - 2.5% 13,350 Duke Energy Corp.(b) 443,354 4,425 Exelon Corp. 273,863 ---------- 717,217 ---------- Electrical Equipment - 1.2% 7,675 Emerson Electric Co. 338,391 ---------- Energy Equipment & Services - 1.1% 4,900 Schlumberger Ltd. 309,484 ---------- Healthcare Equipment & Supplies - 3.7% 8,975 Baxter International, Inc. 416,350 2,725 C.R. Bard, Inc. 226,093 7,950 Medtronic, Inc. 425,405 ---------- 1,067,848 ---------- Healthcare Providers & Services - 0.8% 2,725 WellPoint, Inc.(c) 214,430 ---------- Hotels, Restaurants & Leisure - 0.7% 3,750 Chipotle Mexican Grill, Inc. Class A(b)(c) 213,750 ---------- Household Products - 4.1% 6,975 Colgate-Palmolive Co. 455,049 11,015 Procter & Gamble Co. (The) 707,934 ---------- 1,162,983 ---------- Independent Power Producer & Energy - 0.9% 4,625 NRG Energy, Inc.(b)(c) 259,046 ---------- Industrial Conglomerates - 2.2% 2,325 General Electric Co. 86,513 2,550 Textron, Inc. 239,114 9,450 Tyco International Ltd. 287,280 ---------- 612,907 ---------- Insurance - 6.8% 4,825 Aflac, Inc. 221,950 11,525 American International Group, Inc. 825,881 7,050 Chubb Corp. (The) 373,016 6,150 Prudential Financial, Inc. 528,039 ---------- 1,948,886 ---------- Internet Software & Services - 4.3% 8,950 eBay, Inc.(c) 269,126 2,050 Google, Inc., Class A(c) 943,984 ---------- 1,213,110 ---------- Life Science Tools & Services - 1.1% 6,675 Thermo Fisher Scientific, Inc.(c) 302,311 ---------- Media - 2.0% 4,225 McGraw-Hill Cos., Inc. (The) 287,384 13,375 News Corp., Class A 287,295 ---------- 574,679 ---------- Multiline Retail - 4.4% 5,025 J.C. Penney Co., Inc.(b) 388,734 6,875 Kohl's Corp.(b)(c) 470,456 7,875 Nordstrom, Inc.(b) 388,553 ---------- 1,247,743 ---------- Oil, Gas & Consumable Fuels - 9.0% 8,800 ConocoPhillips 633,160 3,200 Devon Energy Corp. 214,656 16,375 ExxonMobil Corp. 1,254,816 4,625 Occidental Petroleum Corp. 225,839 4,875 XTO Energy, Inc. 229,369 ---------- 2,557,840 ---------- Pharmaceuticals - 6.4% 10,425 Abbott Laboratories 507,802 11,450 Johnson & Johnson 755,929 12,750 Merck & Co., Inc. 555,900 ---------- 1,819,631 ---------- Real Estate - 0.8% 7,050 CB Richard Ellis Group, Inc., Class A(c) 234,060 ---------- Semiconductors & Semiconductor Equipment - 1.6% 12,500 Intel Corp. 253,125 1 LOOMIS SAYLES RESEARCH FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Shares Description Value (+) - ---------- ------------------------------------------------------ ----------- Semiconductors & Semiconductor Equipment - continued 9,425 National Semiconductor Corp. 213,948 ----------- $ 467,073 ----------- Software - 1.0% 13,575 Symantec Corp.(c) 283,039 ----------- Specialty Retail - 2.9% 6,488 American Eagle Outfitters, Inc.(b) 202,475 12,200 Staples, Inc. 325,740 10,275 TJX Cos., Inc. 293,043 ----------- 821,258 ----------- Total Common Stocks (Identified Cost $25,531,544) 28,297,394 ----------- Principal Amount - --------- Short-Term Investments - 14.5% $ 243,000 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $243,115 on 1/02/07 collateralized by $185,000 U.S. Treasury Bond, 7.625% due 2/15/25 with a value of $249,750(d) 243,000 ----------- Shares - ------ 3,900,862 State Street Securities Lending Quality Trust(e) 3,900,862 ----------- Total Short-Term Investments (Identified Cost $4,143,862) 4,143,862 ----------- Total Investments - 113.8% (Identified Cost $29,675,406)(a) 32,441,256 Other assets less liabilities -- (13.8)% (3,939,749) ----------- Total Net Assets -- 100.0% $28,501,507 =========== - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. 2 LOOMIS SAYLES RESEARCH FUND - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2006 the unrealized appreciation on investments based on cost of $29,675,406 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $2,900,661 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (134,811) ---------- Net unrealized appreciation $2,765,850 ========== (b) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $3,800,244 and $3,900,862, respectively. (c) Non-income producing security. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby collateral is held at the custodian bank in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Oil, Gas & Consumable Fuels 9.0% Aerospace & Defense 7.4 Insurance 6.8 Pharmaceuticals 6.4 Capital Markets 6.1 Beverages 5.2 Computers & Peripherals 4.6 Multiline Retail 4.4 Internet Software & Services 4.3 Household Products 4.1 Healthcare Equipment & Supplies 3.7 Communications Equipment 3.5 Diversified Telecommunications Services 3.5 Commercial Banks 3.5 Diversified Financial Services 3.2 Specialty Retail 2.9 Electric Utilities 2.5 Chemicals 2.3 Industrial Conglomerates 2.2 Media 2.0 Other, less than 2 % each 11.7 3 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund Shares Value (+) ------ ---------- COMMON STOCKS - 99.2% of Total Net Assets Aerospace & Defense - 1.2% Moog, Inc., Class A(b)(c) 7,575 $ 289,289 ---------- Biotechnology - 5.6% BioMarin Pharmaceutical, Inc.(b)(c) 12,075 197,909 Digene Corp.(c) 4,000 191,680 Keryx Biopharmaceuticals, Inc.(b)(c) 12,225 162,593 Metabolix, Inc.(c) 9,250 175,195 Myriad Genetics, Inc.(b)(c) 4,900 153,370 Pharmion Corp.(b)(c) 7,025 180,823 Progenics Pharmaceuticals, Inc.(c) 5,050 129,987 Theravance, Inc.(b)(c) 5,350 165,262 ---------- 1,356,819 ---------- Capital Markets - 1.2% GFI Group, Inc.(b)(c) 4,600 286,396 ---------- Commercial Banks - 0.7% East West Bancorp, Inc.(b) 4,975 176,215 ---------- Commercial Services & Supplies - 11.9% Advisory Board Co.(b)(c) 7,175 384,149 American Reprographics Co.(b)(c) 8,000 266,480 CRA International, Inc.(b)(c) 5,225 273,790 FTI Consulting, Inc.(b)(c) 10,900 304,001 Huron Consulting Group, Inc.(b)(c) 7,150 324,181 ICT Group, Inc.(b)(c) 8,550 270,095 IHS, Inc., Class A(c) 5,725 226,023 Kenexa Corp.(c) 8,050 267,743 On Assignment, Inc.(c) 23,000 270,250 PeopleSupport, Inc.(b)(c) 15,300 322,065 ---------- 2,908,777 ---------- Communications Equipment - 3.9% C-COR, Inc.(b)(c) 12,250 136,465 Foundry Networks, Inc.(b)(c) 18,525 277,504 Oplink Communications, Inc.(c) 6,050 124,388 Redback Networks, Inc.(b)(c) 7,100 177,074 Sonus Networks, Inc.(b)(c) 36,325 239,382 ---------- 954,813 ---------- Computers & Peripherals - 0.9% Brocade Communications Systems, Inc.(b)(c) 25,450 208,945 ---------- Diversified Consumer Services - 5.1% DeVry, Inc.(b)(c) 8,875 248,500 Jackson Hewitt Tax Service, Inc. 8,225 279,403 Laureate Education, Inc.(c) 4,825 234,640 Sotheby's(b) 5,700 176,814 Steiner Leisure Ltd.(c) 6,575 299,162 ---------- 1,238,519 ---------- 1 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund - continued COMMON STOCKS - continued Diversified Telecommunications Services - 1.1% Cogent Communications Group, Inc.(b)(c) 16,500 $ 267,630 ---------- Electrical Equipment - 0.7% First Solar, Inc.(c) 5,900 175,820 ---------- Energy Equipment & Services - 3.7% Dril-Quip, Inc.(b)(c) 7,200 281,952 Oil States International, Inc.(c) 5,450 175,653 Tesco Corp.(c) 8,550 151,079 Universal Compression Holdings, Inc.(b)(c) 4,750 295,022 ---------- 903,706 ---------- Health Care Technology - 2.6% Allscripts Healthcare Solutions, Inc.(b)(c) 7,875 212,546 Emageon, Inc.(b)(c) 15,575 239,232 Vital Images, Inc.(c) 5,600 194,880 ---------- 646,658 ---------- Healthcare Equipment & Supplies - 7.2% ArthroCare Corp.(b)(c) 5,675 226,546 Hologic, Inc.(b)(c) 5,375 254,130 Inverness Medical Innovations, Inc.(b)(c) 7,225 279,607 Meridian Bioscience, Inc.(b) 8,450 207,279 NuVasive, Inc.(b)(c) 11,675 269,692 PolyMedica Corp.(b) 6,025 243,470 Viasys Healthcare, Inc.(b)(c) 9,575 266,377 ---------- 1,747,101 ---------- Healthcare Providers & Services - 6.1% AMN Healthcare Services, Inc.(b)(c) 11,425 314,644 inVentiv Health, Inc.(c) 11,325 400,339 NovaMed, Inc.(b)(c) 28,700 217,259 Radiation Therapy Services, Inc.(c) 7,375 232,460 Sun Healthcare Group, Inc.(c) 24,725 312,277 ---------- 1,476,979 ---------- Hotels, Restaurants & Leisure - 3.0% Chipotle Mexican Grill, Inc., Class A(b)(c) 5,300 302,100 McCormick & Schmick's Seafood Restaurants, Inc.(c) 10,150 244,006 Pinnacle Entertainment, Inc.(c) 5,700 188,898 ---------- 735,004 ---------- Household Durables - 2.0% Interface, Inc., Class A(c) 16,850 239,607 Jarden Corp.(b)(c) 6,825 237,442 ---------- 477,049 ---------- Insurance - 3.1% Arch Capital Group Ltd.(c) 4,425 299,174 Argonaut Group, Inc.(c) 5,675 197,831 2 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund - continued Shares Value(+) ------ -------- COMMON STOCKS - continued Insurance - continued ProAssurance Corp.(b)(c) 4,950 $247,104 -------- 744,109 -------- Internet & Catalog Retail - 1.2% VistaPrint Ltd.(b)(c) 8,625 285,574 -------- Internet Software & Services - 3.0% aQuantive, Inc.(b)(c) 9,625 237,352 j2 Global Communications, Inc.(b)(c) 5,875 160,094 Online Resources Corp.(b)(c) 15,175 154,937 Websense, Inc.(b)(c) 7,750 176,932 -------- 729,315 -------- IT Services - 2.8% Heartland Payment Systems, Inc.(b) 8,625 243,656 Lightbridge, Inc.(b)(c) 17,475 236,611 Tyler Technologies, Inc.(c) 14,225 200,004 -------- 680,271 -------- Leisure Equipment & Products - 0.8% Smith & Wesson Holding Corp.(b)(c) 17,900 185,086 -------- Machinery - 3.1% American Science & Engineering, Inc.(b)(c) 2,675 159,189 Middleby Corp.(b)(c) 2,350 245,975 RBC Bearings, Inc.(c) 12,193 349,451 -------- 754,615 -------- Media - 1.1% Morningstar, Inc.(b)(c) 5,975 269,174 -------- Metals & Mining - 0.9% Northwest Pipe Co.(c) 6,750 226,935 -------- Oil, Gas & Consumable Fuels - 2.5% Arena Resources, Inc.(b)(c) 3,600 153,756 Exploration Co. of Delaware(b)(c) 10,500 140,070 Helix Energy Solutions Group, Inc.(b)(c) 6,000 188,220 Petrohawk Energy Corp.(b)(c) 11,625 133,688 -------- 615,734 -------- Pharmaceuticals - 0.9% Santarus, Inc.(b)(c) 28,050 219,632 -------- Real Estate - 1.2% Jones Lang LaSalle, Inc. 3,300 304,161 -------- Semiconductors & Semiconductor Equipment - 5.7% ATMI, Inc.(b)(c) 8,375 255,689 Cypress Semiconductor Corp.(b)(c) 10,800 182,196 Netlogic Microsystems, Inc.(b)(c) 7,475 162,133 3 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund - continued COMMON STOCKS - continued Semiconductors & Semiconductor Equipment - continued Rudolph Technologies, Inc.(b)(c) 12,000 $ 191,040 Tessera Technologies, Inc.(b)(c) 8,925 360,034 Volterra Semiconductor Corp.(b)(c) 15,125 226,875 ----------- 1,377,967 ----------- Software - 4.8% Blackboard, Inc.(b)(c) 9,425 283,127 Informatica Corp.(b)(c) 20,100 245,421 Opsware, Inc.(b)(c) 23,150 204,183 Quest Software, Inc.(b)(c) 10,525 154,191 Ultimate Software Group, Inc.(b)(c) 12,050 280,283 ----------- 1,167,205 ----------- Specialty Retail - 3.0% Dick's Sporting Goods, Inc.(b)(c) 5,550 271,895 Guess?, Inc.(b)(c) 3,375 214,076 Tween Brands, Inc.(c) 6,100 243,573 ----------- 729,544 ----------- Textiles Apparel & Luxury Goods - 4.9% Movado Group, Inc.(b) 11,125 322,625 Phillips-Van Heusen Corp. 4,650 233,290 Quiksilver, Inc.(b)(c) 28,400 447,300 Volcom, Inc.(c) 6,850 202,555 ----------- 1,205,770 ----------- Thrifts & Mortgage Finance - 1.1% PFF Bancorp, Inc. 7,775 268,315 ----------- Trading Companies & Distributors - 1.0% Aircastle Ltd. 8,000 236,000 ----------- Wireless Telecommunication Services - 1.2% SBA Communications Corp., Class A(b)(c) 11,000 302,500 ----------- TOTAL COMMON STOCKS (Identified Cost $20,826,720) 24,151,627 ----------- Principal Amount ---------- SHORT-TERM INVESTMENTS - 26.7% Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $245,116 on 1/02/2007 collateralized by $215,000 U.S. Treasury Bond, 6.250% due 8/15/2023 with a value of $251,846(d) $ 245,000 245,000 --------- Shares ---------- State Street Securities Lending Quality Trust(e) 6,265,971 6,265,971 --------- 4 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund - continued Value (+) ----------- TOTAL SHORT-TERM INVESTMENTS (Identified Cost $6,510,971) $ 6,510,971 ----------- TOTAL INVESTMENTS - 125.9% (Identified Cost $27,337,691)(a) 30,662,598 Other assets less liabilities--(25.9)% (6,304,969) ----------- TOTAL NET ASSETS - 100.0% $24,357,629 ----------- - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker- dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2006, the unrealized appreciation on investments based on cost of $27,337,691 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 3,641,901 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (316,994) ----------- Net unrealized appreciation $ 3,324,907 ----------- At September 30, 2006, the Fund had a capital loss carryover of approximately $202,176,770 of which $142,893,730 expires on September 30, 2010 and $59,283,040 expires on September 30, 2011. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (b) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $6,064,691 and $6,265,971, respectively. (c) Non-income producing security. 5 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Small Cap Growth Fund - continued (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (e) Represents investments of security lending collateral. HOLDINGS AT DECEMBER 31, 2006 AS A PERCENTAGE OF NET ASSETS (Unaudited) Commercial Services & Supplies 11.9% Healthcare Equipment & Supplies 7.2 Healthcare Providers & Services 6.1 Semiconductors & Semiconductor Equipment 5.7 Biotechnology 5.6 Diversified Consumer Services 5.1 Textiles Apparel & Luxury Goods 4.9 Software 4.8 Communications Equipment 3.9 Energy Equipment & Services 3.7 Machinery 3.1 Insurance 3.1 Hotels, Restaurants & Leisure 3.0 Specialty Retail 3.0 Internet Software & Services 3.0 IT Services 2.8 Health Care Technology 2.6 Oil, Gas & Consumable Fuels 2.5 Household Durables 2.0 Other, less than 2% each 15.2 6 Loomis Sayles Strategic Income Fund - Portfolio of Investments Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ------------ --------------------------------------------------- ------------ Bonds and Notes -- 88.2% of Net Assets Convertible Bonds -- 4.2% Canada -- 0.1% $ 8,499,000 Nortel Networks Corp., Guaranteed Senior Note, 4.250%, 9/01/2008 $ 8,222,783 ------------ United States -- 4.1% 12,755,000 Avnet, Inc., 2.000%, 3/15/2034 12,834,719 32,815,000 Bristol-Myers Squibb Co., 4.860%, 9/15/2023(c)(d) 32,815,000 200,000 Builders Transport, Inc., Subordinated Note, 6.500%, 5/01/2011(e) -- 1,000,000 Builders Transport, Inc., Subordinated Note, 8.000%, 8/15/2005(e) -- 750,000 Ciena Corp., 3.750%, 2/01/2008 725,625 157,000 Dixie Group, Inc., Subordinated Note, 7.000%, 5/15/2012 147,776 14,933,000 Enzon, Inc., 4.500%, 7/01/2008 14,335,680 5,111,000 EPIX Pharmaceuticals, Inc., Senior Note, 3.000%, 6/15/2024 4,076,022 6,060,000 Human Genome Sciences, Inc., 2.250%, 8/15/2012 5,893,350 24,185,000 Incyte Corp., 3.500%, 2/15/2011(c) 19,438,694 4,865,000 Inhale Therapeutic Systems, Inc., Subordinated Note, 3.500%, 10/17/2007 4,767,700 12,005,000 Invitrogen Corp., 1.500%, 2/15/2024 10,249,269 2,360,000 IVAX Corp., Senior Subordinated Note, 4.500%, 5/15/2008 2,327,550 5,355,000 Kellwood Co., (step to 0.000% on 6/15/2011) 3.500%, 6/15/2034(f) 5,020,312 6,670,000 Kulicke & Soffa Industries, Inc., Subordinated Note, 0.500%, 11/30/2008 5,894,612 3,540,000 Kulicke & Soffa Industries, Inc., Subordinated Note, 1.000%, 6/30/2010 3,247,950 12,100,000 Level 3 Communications, Inc., 6.000%, 9/15/2009 11,313,500 18,680,000 Level 3 Communications, Inc., 6.000%, 3/15/2010(c) 17,232,300 2,335,000 Liberty Media Corp., 3.500%, 1/15/2031 2,329,163 5,050,000 Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(g) 4,797,500 14,526,000 Nektar Therapeutics, 3.250%, 9/28/2012 14,507,842 625,000 Nextel Communications, Inc., Senior Note, 5.250%, 1/15/2010 614,844 500,000 Preston Corp., Subordinated Note, 7.000%, 5/01/2011 472,500 20,000,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, 5.500%, 10/17/2008 20,950,000 311,000 Richardson Electronics, Ltd., 144A, 7.750%, 12/15/2011 304,391 1,950,000 SCI Systems, Inc., Subordinated Note, 3.000%, 3/15/2007 1,937,813 7,716,000 Sinclair Broadcast Group, Inc., (step to 2.000% on 1/15/2011), 4.875%, 7/15/2018(f) 7,050,495 19,005,000 Valeant Pharmaceuticals International, Subordinated Note, 3.000%, 8/16/2010 18,244,800 19,430,000 Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013(c) 18,507,075 2,349,000 Vertex Pharmaceuticals, Inc., 144A, 5.750%, 2/15/2011 5,907,735 23,130,000 Wells Fargo & Co., 5.121%, 5/01/2033(c)(d) 23,204,710 ------------ 269,148,927 ------------ Total Convertible Bonds (Identified Cost $264,320,873) 277,371,710 ------------ Non-Convertible Bonds -- 84.0% Argentina -- 0.4% 2,405,000 Pecom Energia SA, 144A, 8.125%, 7/15/2010 2,525,250 3,603,539 Republic of Argentina, 0.624%, 12/15/2035(d) 479,271 40,415,000 Republic of Argentina, 2.487%, 9/30/2014, (ARS)(d) 14,454,171 8,906,250 Republic of Argentina, 5.590%, 8/03/2012(d) 8,415,286 1,380,120 Republic of Argentina, 8.280%, 12/31/2033(c)(d)(h) 1,500,880 ------------ 27,374,858 ------------ Australia -- 0.4% 1,000,000 General Motors Acceptance Corp. of Australia, Ltd., Series E, (MTN), 6.500%, 8/10/2007, (AUD) 768,319 23,445,000 Qantas Airways Ltd., 144A, 6.050%, 4/15/2016 20,866,800 ------------ 21,635,119 ------------ Bermuda -- 0.2% 11,855,000 Weatherford International, Ltd., 6.500%, 8/01/2036 11,900,879 ------------ Brazil -- 2.5% 17,907,000 Republic of Brazil, 8.250%, 1/20/2034(c) 21,712,237 6,000,000 Republic of Brazil, 8.875%, 4/15/2024 7,476,000 107,840,000 Republic of Brazil, 12.500%, 1/05/2022, (BRL) 57,460,827 1 Loomis Sayles Strategic Income Fund - Portfolio Of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ---------------- ----------------------------------------- -------------- Brazil - continued $ 140,235,000 Republic of Brazil, 12.500%, 1/05/2016, (BRL)(c) $ 74,498,818 -------------- 161,147,882 -------------- Canada -- 19.9% 250,000 Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 200,000 2,060,000 Abitibi-Consolidated, Inc., 7.400%, 4/01/2018 1,627,400 7,375,000 Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 5,660,312 750,000 Avenor, Inc., 10.850%, 11/30/2014, (CAD) 697,481 2,445,000 Bombardier, Inc., 7.350%, 12/22/2026, (CAD) 1,960,361 13,600,000 Bombardier, Inc., 144A, 7.450%, 5/01/2034 12,444,000 361,535,000 Canadian Government, 2.750%, 12/01/2007, (CAD) 306,242,141 296,940,000 Canadian Government, 4.250%, 9/01/2008, (CAD)(c) 255,447,591 436,930,000 Canadian Government, 4.250%, 12/01/2008, (CAD) 376,202,294 10,555,000 Canadian Government, 4.250%, 9/01/2009, (CAD) 9,106,182 111,010,000 Canadian Government, 4.500%, 9/01/2007, (CAD) 95,390,636 24,200,000 Canadian Government, 6.000%, 6/01/2008, (CAD) 21,297,826 7,955,000 Domtar, Inc., 5.375%, 12/01/2013 7,199,275 945,000 GMAC Canada, Ltd. , 7.750%, 9/26/2008, (NZD) 652,817 335,000 GMAC Canada, Ltd., Series E., (MTN), 6.625%, 12/17/2010, (GBP) 659,210 9,790,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 5.700%, 1/05/2016 8,982,511 31,225,000 Kinder Morgan Finance Co. ULC, Guaranteed Note, 6.400%, 1/05/2036 27,839,554 8,475,000 Nortel Networks Corp., 6.875%, 9/01/2023 7,119,000 22,320,000 Nortel Networks, Ltd., 144A, 10.125%, 7/15/2013 24,105,600 21,235,000 North American Energy Partners, Inc., Senior Note, 8.750%, 12/01/2011 21,341,175 5,800,000 Northern Telecom Capital Corp., 7.875%, 6/15/2026 5,191,000 36,735,000 Province of British Columbia, 6.000%, 6/09/2008, (CAD) 32,295,866 13,000,000 Province of Manitoba, 4.450%, 12/01/2008, (CAD) 11,207,212 6,685,000 Province of Manitoba, 5.750%, 6/02/2008, (CAD) 5,854,642 6,745,000 Province of Ontario, 3.875%, 3/08/2008, (CAD) 5,760,970 Canada - continued 40,020,000 Province of Ontario, 5.700%, 12/01/2008, (CAD) 35,300,924 18,470,000 Province of Saskatchewan, 5.500%, 6/02/2008, (CAD) 16,122,426 8,500,000 Rogers Wireless Communications, Inc., Senior Note, 7.625%, 12/15/2011, (CAD) 8,045,534 2,525,000 Rogers Wireless Communications, Inc., Senior Secured Note, 6.375%, 3/01/2014 2,556,563 -------------- 1,306,510,503 -------------- Cayman Islands -- 0.0% 1,000,000 Enersis SA, Cayman Island, 7.400%, 12/01/2016 1,098,787 -------------- Chile -- 0.2% 4,875,000 Empresa Nacional de Electricidad SA, Chile, 7.875%, 2/01/2027 5,551,704 250,000 Empresa Nacional de Electricidad SA, Chile, 8.350%, 8/01/2013 (c) 283,564 1,700,000 Empresa Nacional de Electricidad SA, Chile, 8.625%, 8/01/2015 (c) 2,000,796 4,525,000 Enersis SA, Chile, 7.375%, 1/15/2014 (c) 4,869,900 -------------- 12,705,964 -------------- France -- 0.3% 224,520,000,000 BNP Paribas SA, Series E, (MTN), 144A, Zero Coupon, 6/13/2011, (IDR) 16,999,211 -------------- Ireland -- 0.9% 32,115,000 Elan Finance PLC, Senior Note, 7.750%, 11/15/2011 31,352,269 28,635,000 Elan Finance PLC, 144A, 8.875%, 12/01/2013 28,635,000 -------------- 59,987,269 -------------- Malaysia -- 0.3% 20,000,000 Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011 19,750,000 -------------- Mexico -- 3.6% 11,265,000 Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 11,490,300 3,245,000(++) Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) 31,113,311 4,738,000(++) Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012, (MXN) 47,318,599 15,154,000(++) Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) 146,153,407 -------------- 236,075,617 -------------- 2 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) -------------- ------------------------------------------------- ------------ Netherlands -- 0.2% $1,330,000 GMAC International Finance BV, Series E, (MTN), 8.000%, 3/14/2007, (NZD) $ 934,709 8,098,000 Koninklijke (Royal) KPN NV, 8.375%, 10/01/2030 9,278,324 1,120,000 Koninklijke (Royal) KPN NV, Sereis E, (MTN), 5.750%, 3/18/2016, (GBP) 2,141,110 1,800,000 Koninklijke (Royal) KPN NV, Series G (MTN), 4.000%, 6/22/2015, (EUR) 2,194,856 ------------ 14,548,999 ------------ Norway -- 0.1% 22,740,000 Kingdom of Norway, 6.750%, 1/15/2007, (NOK) 3,650,629 10,000,000 Kingdom of Norway, 5.500%, 5/15/2009, (NOK)(c) 1,643,918 ------------ 5,294,547 ------------ Philippines -- 0.1% 3,700,000 Philippine Long Distance Telephone Co., Series E, (MTN), 8.350%, 3/06/2017 4,199,500 1,763,750 Quezon Power (Philippines), Ltd., Senior Secured Note, 8.860%, 6/15/2017 1,772,569 ------------ 5,972,069 ------------ Republic of Korea -- 0.2% 5,470,000 Hanarotelecom, Inc., 144A, 7.000%, 2/01/2012 5,483,675 5,000,000 Hynix Semiconductor, Inc., 144A, 9.875%, 7/01/2012(c) 5,562,500 300,000 Samsung Electronics Co., Ltd., 144A, 7.700%, 10/01/2027 320,185 ------------ 11,366,360 ------------ Singapore -- 0.0% 1,050,000 SP PowerAssets, Ltd., Series E, (MTN), 3.730%, 10/22/2010, (SGD) 692,714 ------------ South Africa -- 0.8% 320,500,000 Republic of South Africa, 13.000%, 8/31/2010, (ZAR) 52,554,094 ------------ Spain -- 1.8% 113,785,000 Telefonica Emisiones SAU, Guaranteed Note, 7.045%, 6/20/2036 120,858,672 ------------ Supranational -- 1.5% 15,543,570 European Investment Bank, 144A, Zero Coupon, 9/12/2008, (BRL) 5,950,310 128,250,000 European Investment Bank, Senior Note, Zero Coupon, 3/10/2021, (AUD) 43,594,664 80,000,000 Inter-American Development Bank, Series E, (MTN), Zero Coupon, 5/11/2009, (BRL) 27,428,037 24,450,000 Inter-American Development Bank, Series E, (MTN), 6.000%, 12/15/2017, (NZD) 16,467,410 ------------ Supranational -- continued $12,125,000 Inter-American Development Bank, Series G, (MTN), 6.250%, 6/22/2016, (NZD) 8,310,554 ------------ 101,750,975 ------------ Sweden -- 0.5% 207,265,000 Kingdom of Sweden, 6.500%, 5/05/2008, (SEK) 31,377,595 ------------ Thailand -- 0.4% 25,530,000 True Move Co., Ltd., 144A, 10.750%, 12/16/2013 24,955,575 ------------ United Kingdom -- 0.2% 72,717,436,000 JPMorgan Chase Bank, 144A, Zero Coupon, 10/21/2010 (IDR) 5,882,144 1,000,000 NTL Cable PLC, 9.125%, 8/15/2016 1,056,250 4,570,000 NTL Cable PLC, 9.750%, 4/15/2014, (GBP) 9,496,133 ------------ 16,434,527 ------------ United States -- 48.9% 5,565,000 AES Corp. (The), 8.375%, 3/01/2011, (GBP) 11,345,746 4,020,000 AES Corp. (The), Senior Note, 7.750%, 3/01/2014 4,241,100 1,190,000 Affiliated Computer Services, Inc., 5.200%, 6/01/2015 1,094,800 60,586,000 Albertson's, Inc., Senior Note 7.450%, 8/01/2029 59,192,461 17,735,000 Albertson's, Inc., 7.750%, 6/15/2026 17,689,634 4,895,000 Albertson's, Inc., Senior Note, 8.000%, 5/01/2031(c) 4,965,287 1,510,000 Albertson's, Inc., Senior Note, 8.700%, 5/01/2030 1,577,150 12,302,000 Albertson's, Inc., Series C, (MTN), 6.625%, 6/01/2028 11,168,469 4,785,000 Allstate Corp., 5.950%, 4/01/2036 4,866,187 1,750,000 Altria Group, Inc., 7.000%, 11/04/2013 1,901,403 825,000 American Airlines, Inc., Series 1999-1, Class B, 7.324%, 10/15/2009 825,000 1,225,697 American Airlines, Inc., Series 93A6, 8.040%, 9/16/2011 1,234,890 6,950,000 Amkor Technology, Inc., Senior Note, 7.125%, 3/15/2011 6,480,875 475,000 Amkor Technology, Inc., Senior Note, 7.750%, 5/15/2013 437,000 980,000 Amkor Technology, Inc., Senior Subordinated Note, 10.500%, 5/01/2009 984,900 37,190,000 Anadarko Petroleum Corp., 5.950%, 9/15/2016 37,267,839 27,460,000 Anadarko Petroleum Corp., 6.450%, 9/15/2036 27,748,220 3 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) 10,103,000 APL Ltd., Senior Note, 8.000%, 1/15/2024(g) 9,502,882 Principal Amount (a) Description Value (+) -------------- ------------------------------------------------- ----------- United States - continued $4,640,000 Arrow Electronics, Inc., 6.875%, 6/01/2018 $ 4,793,380 8,000,000 ASIF Global Financing, 144A, 2.380%, 2/26/2009, (SGD) 5,092,809 8,500,000 AT&T, Inc., 6.150%, 9/15/2034(c) 8,360,311 17,574,841 Atlas Air, Inc., Series 1998-1, Class 1B, 7.680%, 1/02/2014(i) 19,332,325 363,362 Atlas Air, Inc., Series 1999-1, Class A2, 6.880%, 7/02/2009 361,546 12,740,207 Atlas Air, Inc., Series 1999-1, Class B, 7.630%, 1/02/2015(i) 13,823,125 4,744,556 Atlas Air, Inc., Series 1999-1, Class C, 8.770%, 1/02/2011(i) 4,483,605 5,323,737 Atlas Air, Inc., Series 2000-1, Class B, 9.057%, 1/02/2014(i) 6,175,535 6,862,758 Atlas Air, Inc., Series C, 8.010%, 1/02/2010(i) 5,970,600 24,840,000 Avnet, Inc., 6.000%, 9/01/2015 24,492,215 5,220,000 Avnet, Inc., 6.625%, 9/15/2016 5,367,731 22,125,000 BAC Capital Trust VI, 5.625%, 3/08/2035 20,944,034 17,310,000,000 Barclays Financial LLC, 144A, 4.060%, 9/16/2010, (KRW) 18,210,865 1,006,000,000 Barclays Financial LLC, 144A, 4.160%, 2/22/2010, (THB) 26,456,807 21,340,000,000 Barclays Financial LLC, 144A, 4.460%, 9/23/2010, (KRW) 22,760,372 56,650,000,000 Barclays Financial LLC, 144A, 4.470%, 12/04/2011, (KRW) 60,207,376 337,000,000 Barclays Financial LLC, 144A, 5.500%, 11/01/2010, (THB) 9,166,020 529,000,000 Barclays Financial LLC, Series E, (MTN), 144A, 4.100%, 3/22/2010. (THB) 13,864,426 15,195,000 BellSouth Corp., 6.000%, 11/15/2034(c) 14,588,917 20,671,000 Borden, Inc., 7.875%, 2/15/2023 16,536,800 6,920,000 Borden, Inc., 8.375%, 4/15/2016 6,020,400 8,632,000 Borden, Inc., 9.200%, 3/15/2021 7,639,320 2,685,000 Bowater, Inc., 6.500%, 6/15/2013(c) 2,450,062 2,840,000 Centex Corp., 5.250%, 6/15/2015 2,682,371 21,365,000 Chesapeake Energy Corp., 6.500%, 8/15/2017 20,884,287 19,935,000 Chesapeake Energy Corp., 6.875%, 11/15/2020 19,586,137 425,000 Cincinnati Bell, Inc., 8.375%, 1/15/2014 436,688 3,055,000 CIT Group, Inc., 6.000%, 4/01/2036 3,012,163 2,500,000 CIT Group, Inc., Series E, Senior Note, (MTN), 5.500%, 12/01/2014, (GBP) 4,790,156 United States - continued 18,650,000 Citibank NA, 144A, 15.000%, 7/02/2010, (BRL) 9,763,120 35,260,000 Citizens Communications Co., 144A, 7.875%, 1/15/2027 35,612,600 2,405,000 Colorado Interstate Gas Co., 5.950%, 3/15/2015 2,372,927 2,670,000 Colorado Interstate Gas Co., 6.800%, 11/15/2015 2,776,218 38,780,000 Comcast Corp., 5.650%, 6/15/2035 35,202,041 34,570,000 Comcast Corp., 6.450%, 3/15/2037 34,588,668 20,175,000 Comcast Corp., 6.500%, 11/15/2035 20,317,496 7,361,243 Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 1/02/2017 7,295,766 9,046,568 Continental Airlines, Inc., Series 1998-1, Class 1B, 6.748%, 3/15/2017 8,956,102 7,594,570 Continental Airlines, Inc., Series 1999-1, Class B, 6.795%, 8/02/2018 7,556,597 2,830,444 Continental Airlines, Inc., Series 1999-1, Class C, 6.954%, 8/02/2009 2,802,140 4,496,470 Continental Airlines, Inc., Series 1999-2, Class B, 7.566%, 3/15/2020 4,541,434 7,733,554 Continental Airlines, Inc., Series 2000-2, Class B, 8.307%, 4/02/2018 8,004,228 2,803,874 Continental Airlines, Inc., Series 2001-1, Class B, 7.373%, 12/15/2015 2,845,932 316,978 Continental Airlines, Inc., Series 96-A, 6.940%, 10/15/2013 315,748 2,836,149 Continental Airlines, Inc., Series 971A, 7.461%, 4/01/2015 2,949,595 6,225,000 Corning, Inc., 5.900%, 3/15/2014 6,321,967 6,220,000 Corning, Inc., 6.200%, 3/15/2016 6,332,663 650,000 Corning, Inc., 6.750%, 9/15/2013 690,295 6,150,000 Corning, Inc., 6.850%, 3/01/2029 6,400,164 4,725,000 Corning, Inc., 7.250%, 8/15/2036 5,063,579 400,000 CSC Holdings, Inc., Senior Note, 7.875%, 2/15/2018 399,000 250,000 CSC Holdings, Inc., Series B, Senior Note, 8.125%, 7/15/2009 259,063 4 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ----------- --------------------------------------- ------------ $ 250,000 CSC Holdings, Inc., Series B, Senior Note, 8.125%, 8/15/2009 $ 259,063 2,145,000 Cummins, Inc., 7.125%, 3/01/2028 2,229,706 8,558,000 Dillard's, Inc., 6.625%, 1/15/2018(c) 8,215,680 1,500,000 Dillard's, Inc., 7.750%, 7/15/2026 1,500,000 425,000 Dillard's, Inc., 7.875%, 1/01/2023 431,375 3,325,000 Dillard's, Inc., Class A, 7.000%, 12/01/2028 3,175,375 3,687,000 Dillard's, Inc., Class A, 7.130%, 8/01/2018 3,659,347 1,935,000 Dole Food Co., Inc., 8.625%, 5/01/2009 1,922,906 8,180,000 Dominion Resources, Inc., Senior Note, Series B, 5.950%, 6/15/2035 8,042,003 4,335,000 DR Horton, Inc., 5.625%, 9/15/2014 4,187,103 1,625,000 DR Horton, Inc., 6.500%, 4/15/2016 1,634,908 16,160,000 DR Horton, Inc., Guaranteed Note, 5.625%, 1/15/2016 15,374,349 43,470,000 DR Horton, Inc., Senior Note, 5.250%, 2/15/2015(c) 40,575,594 19,745,000 Duke Energy Field Services Corp., 144A, 6.450%, 11/03/2036 20,287,415 11,275,000 Dynegy Holdings, Inc., 7.125%, 5/15/2018(c) 10,993,125 8,035,000 Dynegy Holdings, Inc., 7.625%, 10/15/2026 7,793,950 7,455,000 Dynegy Holdings, Inc., 8.375%, 5/01/2016 7,827,750 3,705,000 Edison Mission Energy Corp., Senior Note, 7.730%, 6/15/2009 3,834,675 260,000 El Paso Corp., 6.375%, 2/01/2009 262,600 15,685,000 El Paso Corp., 6.950%, 6/01/2028 15,606,575 1,965,000 El Paso Corp., 7.000%, 5/15/2011 2,038,687 925,000 El Paso Corp., 7.750%, 6/15/2010 978,188 750,000 El Paso Corp., Senior Note, (MTN), 7.800%, 8/01/2031 819,375 1,600,000 El Paso Energy Corp., 6.750%, 5/15/2009(c) 1,634,000 1,000,000 El Paso Energy Corp., (MTN), 7.750%, 1/15/2032(c) 1,095,000 5,330,000 Embarq Corp., 7.995%, 6/01/2036 5,546,537 5,255,000 Energy Transfer Partners LP, 6.125%, 2/15/2017 5,328,113 3,855,000 Energy Transfer Partners LP, 6.625%, 10/15/2036(c) 3,969,370 5,000,000 FHLMC, 3.220%, 6/20/2007, (SGD) 3,256,662 35,900,000 FNMA, 2.290%, 2/19/2009, (SGD) 22,863,695 United States - continued 17,816,000 Ford Motor Co., 6.375%, 2/01/2029(c) 12,782,980 33,994,000 Ford Motor Co., 6.625%, 10/01/2028 24,645,650 1,940,000 Ford Motor Co., 7.125%, 11/15/2025 1,440,450 22,020,000 Ford Motor Co., 7.450%, 7/16/2031 17,285,700 26,070,000 Ford Motor Credit Co., 5.700%, 1/15/2010 24,990,780 10,685,000 Ford Motor Credit Co., 7.000%, 10/01/2013(c) 10,203,972 15,465,000 Ford Motor Credit Co., 7.250%, 10/25/2011 15,144,441 340,000 Ford Motor Credit Co., 8.000%, 12/15/2016 335,971 9,905,000 Ford Motor Credit Co., 8.625%, 11/01/2010 10,195,771 7,950,000 Freescale Semiconductor, Inc., 144A, 10.125%, 12/15/2016 7,959,937 222,777,000 General Electric Capital Corp., 6.500%, 9/28/2015, (NZD) 150,931,745 30,350,000 General Electric Capital Corp., Series A, (MTN), 6.625%, 2/04/2010, (NZD) 20,898,761 500,000 General Electric Capital Corp., Series E, (MTN), 1.725%, 6/27/2008, (SGD) 317,722 3,100,000 General Electric Capital Corp., Series E, (MTN), 6.125%, 5/17/2012, (GBP) 6,230,015 47,925,000 General Electric Capital Corp., Series E, (MTN), 6.750%, 9/26/2016, (NZD) 33,452,646 4,775,000 Georgia Gulf Corp., 144A, 10.750%, 10/15/2016(c) 4,584,000 10,895,000 Georgia-Pacific Corp., 7.250%, 6/01/2028 10,568,150 10,040,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 9,789,000 39,260,000 Georgia-Pacific Corp., 7.750%, 11/15/2029 39,161,850 7,275,000 Georgia-Pacific Corp., 8.000%, 1/15/2024 7,384,125 11,878,000 Georgia-Pacific Corp., 8.875%, 5/15/2031 12,560,985 8,000,000 GMAC LLC, 6.225%, 3/20/2007(d) 8,000,528 6,625,000 GMAC LLC, 6.324%, 7/16/2007(d) 6,630,234 820,000 GMAC LLC, 8.000%, 11/01/2031 941,416 5 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - --------------- -------------------------------------------------- ----------- United States - continued $ 4,650,000 GMAC LLC, (MTN), 6.750%, 12/01/2014(c) $ 4,776,168 4,360,000 Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 3,706,000 1,845,000 Goodyear Tire & Rubber Co., 9.000%, 7/01/2015(c) 1,932,637 United States - continued 2,590,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013 2,525,250 5,790,000 GTE Corp., 6.940%, 4/15/2028 6,070,369 185,000 Hawaiian Telcom Communications, Inc., 12.500%, 5/01/2015(c) 193,788 11,815,000 HCA, Inc., 6.500%, 2/15/2016(c) 9,954,137 12,525,000 HCA, Inc., 7.050%, 12/01/2027 9,426,753 8,557,000 HCA, Inc., 7.500%, 12/15/2023 6,962,993 12,355,000 HCA, Inc., 7.500%, 11/06/2033 10,069,325 20,677,000 HCA, Inc., 7.690%, 6/15/2025 17,114,394 5,155,000 HCA, Inc., 8.360%, 4/15/2024 4,535,493 9,925,000 HCA, Inc., (MTN), 7.580%, 9/15/2025 8,075,695 3,685,000 HCA, Inc., (MTN), 7.750%, 7/15/2036 2,955,307 1,000,000 HCA, Inc., Senior Note, 5.750%, 3/15/2014 830,000 10,500,000 Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029 8,977,500 119,806,078 HSBC Bank USA, 144A, Zero Coupon, 11/28/2011(d) 81,108,715 16,050,000 HSBC Bank USA, 144A, 3.310%, 8/25/2010 17,123,745 5,310,000 ITC Holdings Corp., 144A, 6.375%, 9/30/2036 5,295,286 640,000 JC Penney Co., Inc., 7.125%, 11/15/2023(c) 696,391 3,445,000 Jefferson Smurfit Corp., 7.500%, 6/01/2013 3,238,300 1,425,000 Joy Global, Inc., 144A, 6.625%, 11/15/2036 1,416,557 709,038,100,000 JPMorgan Chase & Co., 144A Zero Coupon, 3/28/2011, (IDR) 54,889,097 92,000,000 JPMorgan Chase Bank, 144A, Zero Coupon, 5/10/2010, (BRL) 29,131,424 765,000 K N Capital Trust III, 7.630%, 4/15/2028(c) 710,817 4,300,000 K N Energy, Inc., 6.670%, 11/01/2027 3,878,333 6,180,000 K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016(c) 6,210,900 2,655,000 K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.375%, 12/15/2014(c) 2,548,800 8,940,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.250%, 1/15/2016(c) 8,448,300 1,750,000 K. Hovnanian Enterprises, Inc., Senior Note, 6.500%, 1/15/2014 1,697,500 10,975,000 KB Home, 7.250%, 6/15/2018 10,718,372 7,515,000 Kellwood Co., 7.625%, 10/15/2017 6,868,710 11,288,000 Kinder Morgan, Inc., Senior Note, 5.150%, 3/01/2015 10,128,734 1,650,000 Koppers Holdings, Inc., (step to 9.875% on 11/15/2009), 0.000%, 11/15/2014(f) 1,320,000 22,525,000 Lennar Corp., Series A, 6.500%, 4/15/2016(c) 22,854,045 1,600,000 Lennar Corp., Series B, Guaranteed Note, 5.600%, 5/31/2015 1,529,888 31,295,000 Level 3 Communications, Inc., 2.875%, 7/15/2010 32,820,631 380,000 Level 3 Communications, Inc., Senior Note, 11.500%, 3/01/2010(c) 402,800 22,945,000 Lucent Technologies, Inc., 6.450%, 3/15/2029 21,166,762 1,105,000 Lucent Technologies, Inc., 6.500%, 1/15/2028 1,019,363 8,310,000 Lyondell Chemical Co., 8.000%, 9/15/2014 8,621,625 2,660,000 Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014 2,559,540 11,710,000 Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015(c) 11,520,439 1,300,000 Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033(c) 1,184,053 1,250,000 McDonalds Corp., Series E, (MTN), 3.628%, 10/10/2010, (SGD) 817,436 5,350,000 Methanex Corp., Senior Note, 6.000%, 8/15/2015 5,074,673 13,405,000 Michigan Tobacco Settlement Finance Authority, Taxable Turbo Series A, 7.309%, 6/01/2034 13,994,418 1,000,000 MidAmerican Energy Holdings Co, 6.125%, 4/01/2036 1,008,054 1,153,000 Missouri Pacific Railroad Co., 5.000%, 1/01/2045 909,241 5,115,000 Mosaic Global Holdings, Inc., 7.300%, 1/15/2028 4,705,800 2,945,000 Mosaic Global Holdings, Inc., 7.375%, 8/01/2018 2,797,750 3,346,000 New England Telephone & Telegraph Co., 7.875%, 11/15/2029 3,650,717 11,370,000 Nextel Communications, Inc., Series F, 5.950%, 3/15/2014 11,072,288 29,985,000 NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027 28,335,825 6 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) - ----------- ----------------------------------------------------- ------------ $ 2,500,000 NRG Energy, Inc., 7.250%, 2/01/2014 $ 2,518,750 5,000,000 NRG Energy, Inc., 7.375%, 2/01/2016 5,025,000 4,530,000 ONEOK Partners LP, 6.650%, 10/01/2036 4,633,429 2,275,000 Owens & Minor, Inc., 6.350%, 4/15/2016 2,284,211 9,480,000 Owens Corning, Inc., 144A, 6.500%, 12/01/2016 9,630,144 14,200,000 Owens Corning, Inc., 144A, 7.000%, 12/01/2036 14,339,174 225,000 Owens-Illinois, Inc., Senior Note, 7.500%, 5/15/2010 225,844 39,943,000 Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018(c) 39,793,214 3,000,000 Pemex Project Funding Master Trust, 8.625%, 12/01/2023(c) 3,693,750 4,350,000 Pemex Project Funding Master Trust, 9.500%, 9/15/2027(c) 5,846,400 1,920,000 Pioneer Natural Resource, 5.875%, 7/15/2016(c) 1,770,572 20,770,000 Plains All American Pipeline, 144A, 6.125%, 1/15/2017(c) 20,878,232 44,730,000 Plains All American Pipeline, 144A, 6.650%, 1/15/2037 45,413,430 3,165,000 Pulte Homes, Inc., 5.200%, 2/15/2015(c) 3,015,457 42,115,000 Pulte Homes, Inc., 6.000%, 2/15/2035 38,523,601 12,730,000 Pulte Homes, Inc., 6.375%, 5/15/2033 11,885,505 11,580,000 Qwest Capital Funding, Inc., 6.500%, 11/15/2018 10,827,300 950,000 Qwest Capital Funding, Inc., 7.250%, 2/15/2011(c) 970,188 25,275,000 Qwest Capital Funding, Inc., 7.750%, 2/15/2031 24,801,296 41,540,000 Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028(c) 37,957,175 2,025,000 Qwest Capital Funding, Inc., Guaranteed Note, 7.000%, 8/03/2009(c) 2,060,437 5,640,000 Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021(c) 5,555,400 20,420,000 Qwest Corp., 6.875%, 9/15/2033 19,501,100 2,785,000 Qwest Corp., 7.250%, 9/15/2025 2,861,587 3,310,000 Sara Lee Corp., 6.125%, 11/01/2032 2,994,971 6,100,000 SLM Corp., 6.500%, 6/15/2010, (NZD) 4,180,400 2,550,000 Southern Natural Gas Co., 7.350%, 2/15/2031 2,806,902 4,000,000 St. Paul Travelers Cos, Inc. (The), 6.750%, 6/20/2036 4,421,304 1,810,000 Sungard Data Systems, Inc., 9.125%, 8/15/2013 1,900,500 2,595,000 Sungard Data Systems, Inc., 10.250%, 8/15/2015 2,770,162 690,000 Tenet Healthcare Corp., 6.875%, 11/15/2031 553,725 United States - continued 4,480,000 Tenet Healthcare Corp., 9.250%, 2/01/2015 4,480,000 7,872,000 Tennessee Gas Pipeline Co., Senior Note, 7.000%, 10/15/2028(c) 8,311,872 9,240,000 Time Warner, Inc., 6.500%, 11/15/2036 9,196,803 11,145,000 Time Warner, Inc., 6.625%, 5/15/2029 11,287,121 4,795,000 Time Warner, Inc., 6.950%, 1/15/2028(c) 5,031,863 3,150,000 Time Warner, Inc., 7.625%, 4/15/2031 3,519,057 2,025,000 Time Warner, Inc., 7.700%, 5/01/2032 2,284,793 496,687 Tiverton Power Associates, LP, 144A, 9.000%, 7/15/2018(e) 476,820 8,785,000 Toledo Edison Co., 6.150%, 5/15/2037 8,647,690 4,245,000 Toll Brothers Financial Corp., 5.150%, 5/15/2015(c) 3,889,621 13,855,000 Toys R US, Inc., 7.375%, 10/15/2018 11,222,550 1,000,000 Travelers Property Casualty Corp., 6.375%, 3/15/2033 1,053,199 315,000 TXU Corp., 5.550%, 11/15/2014 299,042 2,225,000 TXU Corp., 6.550%, 11/15/2034(c) 2,080,882 288,680,000 U.S. Treasury Bond, 5.375%, 2/15/2031(c) 309,225,933 17,265,000 U.S. Treasury Note, 3.000%, 2/15/2008(c) 16,894,079 47,335,000 U.S. Treasury Note, 3.250%, 8/15/2007(c) 46,822,835 64,580,000 U.S. Treasury Note, 3.750%, 5/15/2008(c) 63,591,151 187,595,000 U.S. Treasury Note, 3.875%, 7/31/2007(c) 186,349,182 4,160,000 United Rentals North America, Inc., Senior Subordinated Note, 7.000%, 2/15/2014(c) 4,082,000 24,880,000 USG Corp., 144A, 6.300%, 11/15/2016 24,662,051 51,815,000 Verizon Global Funding Corp., 5.850%, 9/15/2035 49,625,661 5,530,000 Verizon Maryland, Inc., 5.125%, 6/15/2033 4,536,580 12,050,000 Verizon New York, Inc., Series B, 7.375%, 4/01/2032(c) 12,441,770 32,790,000 Viacom, Inc., Class B, 6.875%, 4/30/2036 32,418,784 7 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Principal Amount (a) Description Value (+) ------------ ------------------------------------------------- -------------- United States -- continued $65,685,000 Western Union Co., 144A, 6.200%, 11/17/2036 $ 61,702,190 600,000 Williams Cos., Inc., 7.875%, 9/01/2021 643,500 965,000 Williams Cos., Inc., Senior Note, 7.750%, 6/15/2031 1,013,250 8,600,000 Williams Cos., Inc., Series A, 7.500%, 1/15/2031(c) 8,922,500 10,070,000 Woolworth Corp., 8.500%, 1/15/2022 9,893,775 18,050,000 Xerox Capital Trust I, Guaranteed Note, 8.000%, 2/01/2027 18,433,562 1,730,000 Xerox Corp., (MTN), 7.200%, 4/01/2016 1,848,938 -------------- 3,202,270,876 -------------- Uruguay -- 0.1% 1,595,000 Republic of Uruguay, 7.625%, 3/21/2036(c) 1,754,500 2,935,319 Republic of Uruguay, 7.875%, 1/15/2033(c)(h) 3,272,881 -------------- 5,027,381 -------------- Venezuela -- 0.5% 16,535,000 Cerro Negro Finance, Ltd., 144A, 7.900%, 12/01/2020 16,038,950 13,790,000 Petrozuata Finance, Inc., Series B, 144A, 8.220%, 4/01/2017 13,755,524 -------------- 29,794,474 -------------- Total Non-Convertible Bonds (Identified Cost $5,262,795,880) 5,498,084,947 -------------- Total Bonds and Notes (Identified Cost $5,527,116,753) 5,775,456,657 -------------- Shares ------------ Common Stocks -- 4.3% Israel -- 0.0% 2,288 Teva Pharmaceutical Industries, Ltd., ADR 71,111 -------------- Philippines -- 0.1% 144,730 Philippine Long Distance Telephone Co., Sponsored ADR, Convertible(c) 7,400,045 -------------- United States -- 4.2% 200,925 Apartment Investment & Management Co., Class A 11,255,818 889,730 Associated Estates Realty Corp., (REIT) 12,224,890 2,238,800 Bristol-Myers Squibb Co. 58,925,216 137,000 Camden Property Trust, (REIT) 10,117,450 53,260 Chesapeake Energy Corp.(c) 1,547,203 2,309,175 ConAgra Foods, Inc. 62,347,725 41,343 Corning, Inc.(i) 773,528 182,500 Developers Diversified Realty Corp., (REIT)(c) 11,488,375 282,500 Duke Energy Corp. 9,381,825 460,000 Equity Residential, (REIT) 23,345,000 477,725 KB Home(c) 24,497,738 549,450 Lennar Corp., Class A(c) 28,824,147 117,700 Simon Property Group, Inc., (REIT) 11,921,833 202,221 Vertex Pharmaceuticals, Inc.(c)(i) 7,567,110 -------------- 274,217,858 -------------- Total Common Stocks (Identified Cost $220,523,410) 281,689,014 -------------- Shares Description Value (+) ------------ ------------------------------------------------- -------------- Preferred Stocks -- 1.2% United States -- 1.2% $ 287,875 AES Trust III, Convertible, 6.750%, 10/15/2029(c) $ 14,177,844 107,725 CMS Energy Trust I, Convertible, 7.750%, 7/15/2027 5,372,784 125,725 El Paso Energy Capital Trust I, 4.750%, 3/31/2028 4,878,130 393 Entergy New Orleans, Inc., 4.475%, 12/31/2045(e) 28,529 42,700 FelCor Lodging Trust, Inc., (REIT) Convertible, 1.950%, 12/31/2049 1,067,073 39,400 Ford Motor Co. Capital Trust II, Convertible, 6.500%, 1/15/2032 1,347,480 15,600 Lucent Technologies Capital Trust I, Convertible, 7.750%, 3/15/2017 16,079,700 69,975 Newell Financial Trust I, 5.250%, 12/01/2027 3,332,559 455,100 Owens-Illinois, Inc., Convertible, 4.750%, 12/31/2049 16,838,700 800 Pacific Gas & Electric Co., Series G, 4.800%, 2/26/2007 16,920 263,275 Six Flags, Inc., 7.125%, 8/15/2009(c) 5,871,033 352,925 Travelers Property Casualty, Convertible, 4.500%, 4/15/2032(c) 9,225,460 9,381 United Rentals Trust I, Convertible, 6.500%, 8/01/2028 457,324 -------------- Total Preferred Stocks (Identified Cost $73,389,008) 78,693,536 -------------- Closed-End Investment Companies -- 0.4% 110,211 Morgan Stanley Emerging Markets Debt Fund, Inc.(c) 1,194,688 1,755,800 Western Asset High Income Opportunity Fund, Inc. 11,851,650 1,368,400 Western Asset Managed High Income Fund, Inc.(c) 9,236,700 -------------- Total Closed-End Investment Companies (Identified Cost $20,353,073) 22,283,038 -------------- 8 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) Shares/ Principal Amount (a) ------------- Short-Term Investments -- 19.4% 1,003,834,333 State Street Securities Lending Quality Trust(j) 1,003,834,333 ------------- $ 268,441,571 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $268,568,335 on 1/02/07, collateralized by $91,295,000 U.S. Treasury Bond, 8.125% due 8/15/19 with a value of $122,107,063; and collateralized by $107,405,000 U.S Treasury Bond, 8.750% due 8/15/20 with a value of $151,708,811(k) 268,441,571 ------------- Total Short-Term Investments (Identified Cost $1,272,275,904) 1,272,275,904 ------------- Total Investments -- 113.5% (Identified Cost $7,113,658,148)(b) 7,430,398,149 Other assets less liabilities--(13.5)% (884,541,714) ------------- Total Net Assets -- 100% $ 6,545,856,435 ============= - -------- (+) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service recommended by the investment adviser's pricing committee and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including closed-end investment companies, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. Future contracts are priced at their most recent settlement price. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds'financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (++) Amount shown represents units. 9 Loomis Sayles Strategic Income Fund - Portfolio of Investments (continued) Investments as of December 31, 2006 (Unaudited) (a) Principal amount is in U.S. dollars unless otherwise noted. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2006, the unrealized appreciation on investments based on cost of $7,123,585,587 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 346,926,965 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (40,114,403) ------------- Net unrealized appreciation $ 306,812,562 ============= At September 30, 2006 the Fund had a capital loss carryover of approximately $36,159,166 of which $7,292,580 expires on September 30, 2009, $21,770,312 expires on September 30, 2010 and $7,096,274 expires on September 30, 2011. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $986,644,066 and $1,003,834,333, respectively. (d) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date). (e) Non-income producing security due to default or bankruptcy filing. (f) Step Bond: Coupon is a fixed rate for an initial period and then resets at a specified date and rate. (g) Illiquid security. At December 31, 2006, the value of these securities amounted to $14,300,382 or 0.2% of net assets. (h) All or a portion of interest payment is paid-in-kind. (i) Non-income producing security. (j) Represents investments of security lending collateral. (k) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreement is a tri-party arrangement whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $809,519,463 or 12.4% of net assets. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association MTN Medium Term Note REIT Real Estate Investment Trust Key to Abbreviations: ARS Argentinean Peso AUD Australian Dollar BRL Brazilian Real CAD Canadian Dollar EUR Euro GBP British Pound IDR Indonesian Rupiah KRW South Korean Won MXN Mexican Peso NOK Norwegian Krone NZD New Zealand Dollar SEK Swedish Krona SGD Singapore Dollar THB Thailand Baht USD United States Dollar ZAR South African Rand Holdings at December 31, 2006 as a Percentage of Net Assets (Unaudited) Sovereigns 25.6% Treasuries 9.5 Banking 6.6 Wirelines 5.3 Pharmaceuticals 4.1 Non-Captive Finance 3.2 Pipelines 3.2 Technology 3.2 Home Construction 2.7 Automotive 2.3 Electric 2.3 Other, less than 2% each 25.7 10 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Tax-Managed Equity Fund Shares Value (+) ------ --------- COMMON STOCKS - 97.1% of Total Net Assets Aerospace & Defense - 4.7% Honeywell International, Inc. 2,906 $131,467 United Technologies Corp. 3,213 200,877 -------- 332,344 -------- Beverages - 2.9% Molson Coors Brewing Co., Class B 1,480 113,131 PepsiCo, Inc. 1,480 92,574 -------- 205,705 -------- Biotechnology - 2.5% Amgen, Inc.(b) 2,582 176,377 -------- Capital Markets - 7.9% Bear Stearns Cos., Inc. 794 129,247 Franklin Resources, Inc. 1,534 169,001 Goldman Sachs Group, Inc. 1,300 259,155 -------- 557,403 -------- Chemicals - 4.9% Ecolab, Inc.(c) 3,826 172,935 Praxair, Inc. 2,906 172,413 -------- 345,348 -------- Commercial Banks - 1.5% Zions Bancorporation 1,281 105,606 -------- Communications Equipment - 9.3% Cisco Systems, Inc.(b) 8,023 219,269 Corning, Inc.(b) 4,855 90,837 Harris Corp.(c) 5,715 262,090 QUALCOMM, Inc. 2,202 83,213 -------- 655,409 -------- Computers & Peripherals - 3.2% Hewlett-Packard Co. 5,415 223,044 -------- Diversified Financial Services - 5.0% Bank of America Corp. 3,754 200,426 Citigroup, Inc. 2,781 154,902 -------- 355,328 -------- Diversified Telecommunications Services - 2.6% AT&T, Inc.(c) 5,151 184,148 -------- Electronic Equipment & Instruments - 1.5% Flextronics International, Ltd.(b)(c) 9,205 105,673 -------- Energy Equipment & Services - 2.1% GlobalSantaFe Corp.(c) 2,527 148,537 -------- Healthcare Equipment & Supplies - 5.2% Medtronic, Inc. 4,250 227,417 1 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Tax-Managed Equity Fund - continued Shares Value (+) ------ --------- COMMON STOCKS - continued Healthcare Equipment & Supplies - continued Zimmer Holdings, Inc.(b)(c) 1,781 $139,595 -------- 367,012 -------- Healthcare Providers & Services - 2.7% WellPoint, Inc.(b) 2,419 190,351 -------- Hotels, Restaurants & Leisure - 2.5% Marriott International, Inc., Class A(c) 3,700 176,564 -------- Industrial Conglomerates - 3.0% Tyco International Ltd. 7,000 212,800 -------- Insurance - 5.6% Aflac, Inc. 2,581 118,726 Allstate Corp.(c) 1,877 122,212 Everest Re Group Ltd. 1,593 156,289 -------- 397,227 -------- IT Services - 1.5% Western Union Co. 4,862 109,006 -------- Machinery - 5.1% Danaher Corp.(c) 2,993 216,813 Dover Corp. 2,924 143,335 -------- 360,148 -------- Media - 2.5% DIRECTV Group, Inc. (The)(b)(c) 7,165 178,695 -------- Multiline Retail - 1.4% Federated Department Stores, Inc. 2,563 97,727 -------- Oil, Gas & Consumable Fuels - 8.5% ConocoPhillips 2,710 194,985 Devon Energy Corp. 2,888 193,727 ExxonMobil Corp. 2,743 210,196 -------- 598,908 -------- Personal Products - 0.6% Alberto-Culver Co. 2,058 44,144 -------- Pharmaceuticals - 3.4% Abbott Laboratories 3,375 164,396 Perrigo Co.(c) 4,296 74,321 -------- 238,717 -------- Road & Rail - 2.2% Burlington Northern Santa Fe Corp.(c) 2,094 154,558 -------- Semiconductors & Semiconductor Equipment - 2.8% DSP Group, Inc.(b)(c) 2,653 57,570 2 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Tax-Managed Equity Fund - continued Shares Value (+) ---------- ----------- COMMON STOCKS - continued Semiconductors & Semiconductor Equipment - continued Texas Instruments, Inc. 4,855 $ 139,824 ----------- 197,394 ----------- Software - 2.0% Microsoft Corp. 4,801 143,358 ----------- TOTAL COMMON STOCKS (Identified Cost $5,442,847) 6,861,531 ----------- Principal Amount ---------- SHORT-TERM INVESTMENTS - 28.1% Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/06 at 4.250% to be repurchased at $240,113 on 1/02/07 collateralized by $185,000 U.S. Treasury Bond, 7.625% due 2/15/2025 with value of $249,750(d) $ 240,000 240,000 ----------- Shares ---------- State Street Securities Lending Quality Trust(e) 1,745,055 1,745,055 ----------- TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,985,055) 1,985,055 ----------- TOTAL INVESTMENTS - 125.2% (Identified Cost $7,427,902)(a) 8,846,586 Other assets less liabilities--(25.2)% (1,779,969) ----------- TOTAL NET ASSETS - 100.0% $ 7,066,617 ----------- - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker- dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities; such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. 3 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Tax-Managed Equity Fund - continued In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2006, the unrealized appreciation on investments based on cost of $7,427,902 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $1,494,945 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (76,261) ---------- Net unrealized appreciation $1,418,684 ---------- At September 30, 2006, the Fund had a capital loss carryover of approximately $3,979,440 of which $12,547 expires on September 30, 2009, $2,177,191 expires on September 30, 2010, $1,662,157 expires on September 30, 2011, $110,150 expires on September 30, 2012 and $17,395 expires on September 30, 2013. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations (b) Non-income producing security. (c) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $1,698,281 and $1,745,055, respectively. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities (e) Represents investments of security lending collateral. 4 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Tax-Managed Equity Fund - continued HOLDINGS AT DECEMBER 31, 2006 AS A PERCENTAGE OF NET ASSETS (Unaudited) Communications Equipment 9.3% Oil, Gas & Consumable Fuels 8.5 Capital Markets 7.9 Insurance 5.6 Healthcare Equipment & Supplies 5.2 Machinery 5.1 Diversified Financial Services 5.0 Chemicals 4.9 Aerospace & Defense 4.7 Pharmaceuticals 3.4 Computers & Peripherals 3.2 Industrial Conglomerates 3.0 Beverages 2.9 Semiconductors & Semiconductor Equipment 2.8 Healthcare Providers & Services 2.7 Diversified Telecommunications Services 2.6 Media 2.5 Hotels, Restaurants & Leisure 2.5 Biotechnology 2.5 Road & Rail 2.2 Energy Equipment & Services 2.1 Software 2.0 Other, less than 2% each 6.5 5 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Value Fund Shares Value (+) ------- ----------- COMMON STOCKS - 96.2% of Total Net Assets Aerospace & Defense - 2.6% Northrop Grumman Corp. 26,725 $ 1,809,282 United Technologies Corp. 15,950 997,194 ----------- 2,806,476 ----------- Beverages - 2.9% Coca-Cola Enterprises, Inc. 68,500 1,398,770 Molson Coors Brewing Co., Class B 23,675 1,809,717 ----------- 3,208,487 ----------- Capital Markets - 8.9% Ameriprise Financial, Inc. 23,735 1,293,558 Lehman Brothers Holdings, Inc. 25,350 1,980,342 Mellon Financial Corp. 42,975 1,811,396 Merrill Lynch & Co., Inc. 23,750 2,211,125 Morgan Stanley 29,675 2,416,435 ----------- 9,712,856 ----------- Chemicals - 2.6% E.I. du Pont de Nemours & Co. 31,600 1,539,236 Praxair, Inc. 21,650 1,284,494 ----------- 2,823,730 ----------- Commercial Banks - 3.2% U.S. Bancorp 60,375 2,184,971 Wells Fargo & Co. 38,375 1,364,615 ----------- 3,549,586 ----------- Communications Equipment - 2.5% Avaya, Inc.(b) 92,800 1,297,344 Motorola, Inc. 69,375 1,426,350 ----------- 2,723,694 ----------- Computers & Peripherals - 2.0% Hewlett-Packard Co. 53,800 2,216,022 ----------- Construction & Engineering - 1.2% Foster Wheeler Ltd.(b) 23,600 1,301,304 ----------- Consumer Finance - 1.1% American Express Co. 20,825 1,263,453 ----------- Diversified Financial Services - 9.4% Bank of America Corp. 52,625 2,809,649 CIT Group, Inc. 25,575 1,426,318 Citigroup, Inc. 54,775 3,050,967 JPMorgan Chase & Co. 62,400 3,013,920 ----------- 10,300,854 ----------- Diversified Telecommunications Services - 5.5% AT&T, Inc. 52,575 1,879,556 BellSouth Corp. 61,600 2,901,976 1 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Value Fund - continued Shares Value (+) ------- ---------- COMMON STOCKS - continued Diversified Telecommunications Services - continued Embarq Corp. 23,200 $1,219,392 ---------- 6,000,924 ---------- Electric Utilities - 3.2% Duke Energy Corp. 58,375 1,938,634 Exelon Corp. 24,800 1,534,872 ---------- 3,473,506 ---------- Electrical Equipment - 1.2% ABB Ltd. ADR 75,225 1,352,546 ---------- Electronic Equipment & Instruments - 0.9% Flextronics International, Ltd.(b) 84,350 968,338 ---------- Energy Equipment & Services - 2.2% BJ Services Co. 31,775 931,643 Schlumberger Ltd. 23,675 1,495,313 ---------- 2,426,956 ---------- Healthcare Equipment & Supplies - 0.9% Beckman Coulter, Inc.(c) 16,450 983,710 ---------- Healthcare Providers & Services - 1.2% Omnicare, Inc.(c) 34,225 1,322,112 ---------- Hotels, Restaurants & Leisure - 3.3% McDonald's Corp. 51,600 2,287,428 OSI Restaurant Partners, Inc.(c) 34,425 1,349,460 ---------- 3,636,888 ---------- Household Durables - 1.1% Sony Corp. ADR 28,275 1,211,018 ---------- Independent Power Producer & Energy - 1.4% NRG Energy, Inc.(b)(c) 28,325 1,586,483 ---------- Industrial Conglomerates - 1.7% Tyco International Ltd. 60,025 1,824,760 ---------- Insurance - 7.8% Allstate Corp. 42,400 2,760,664 American International Group, Inc. 32,500 2,328,950 Berkshire Hathaway, Inc., Class B(b) 455 1,668,030 Prudential Financial, Inc. 21,325 1,830,964 ---------- 8,588,608 ---------- Media - 8.6% Comcast Corp., Class A(b)(c) 45,125 1,910,141 DIRECTV Group, Inc. (The)(b) 66,350 1,654,769 EchoStar Communications Corp., Class A(b) 39,375 1,497,431 News Corp., Class A 82,825 1,779,081 2 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Value Fund - continued Shares Value (+) ---------- ------------ COMMON STOCKS - continued Media - continued Time Warner, Inc. 119,605 $ 2,604,997 ------------ 9,446,419 ------------ Multiline Retail - 2.2% Dollar General Corp.(c) 89,550 1,438,173 Federated Department Stores, Inc. 25,550 974,222 ------------ 2,412,395 ------------ Oil, Gas & Consumable Fuels - 7.2% ExxonMobil Corp. 47,525 3,641,841 Hess Corp. 32,325 1,602,350 Occidental Petroleum Corp. 28,150 1,374,564 XTO Energy, Inc. 26,575 1,250,354 ------------ 7,869,109 ------------ Pharmaceuticals - 5.9% Abbott Laboratories 32,675 1,591,599 Bristol-Myers Squibb Co. 44,000 1,158,080 Johnson & Johnson 30,450 2,010,309 Pfizer, Inc. 66,965 1,734,394 ------------ 6,494,382 ------------ Software - 1.4% Microsoft Corp. 51,125 1,526,593 ------------ Specialty Retail - 2.4% Gap, Inc. (The) 68,200 1,329,900 Office Depot, Inc.(b) 32,900 1,255,793 ------------ 2,585,693 ------------ Tobacco - 1.7% Altria Group, Inc. 22,075 1,894,477 ------------ TOTAL COMMON STOCKS (Identified Cost $89,706,698) 105,511,379 ------------ Principal Amount ---------- SHORT-TERM INVESTMENTS - 8.7% Commercial Paper - 3.7% San Paolo United States Financial Co. 144A, 3.75%, 1/2/2007(d) $4,006,000 4,005,583 ------------ Shares ---------- State Street Securities Lending Quality Trust(e) 5,477,698 5,477,698 ------------ TOTAL SHORT-TERM INVESTMENTS (Identified Cost $9,483,281) 9,483,281 ------------ 3 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Value Fund - continued TOTAL INVESTMENTS - 104.9% (Identified Cost $99,189,979)(a) $114,994,660 Other assets less liabilities--(4.9)% (5,348,159) ------------ TOTAL NET ASSETS - 100.0% $109,646,501 ------------ - -------- + Equity securities, including closed-end investment companies, for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of sixty days or less) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker- dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of SFAS 157 will have on the Funds' financial statements. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.); At December 31, 2006, the unrealized appreciation on investments based on cost of $99,189,979 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $16,146,338 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (341,657) ----------- Net unrealized appreciation $15,804,681 ----------- (b) Non-income producing security. (c) All or a portion of this security was on loan to brokers at December 31, 2006. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at December 31, 2006 were $5,325,060 and $5,477,698, respectively. (d) Interest rate represents annualized yield at the time of purchase; not a coupon rate. (e) Represents investments of security lending collateral. 4 PORTFOLIO OF INVESTMENTS - as of December 31, 2006 (Unaudited) Loomis Sayles Value Fund - continued 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2006, the total value of these securities amounted to$4,005,583 or 3.7% of total net assets. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. HOLDINGS AT DECEMBER 31, 2006 AS A PERCENTAGE OF NET ASSETS (Unaudited) Diversified Financial Services 9.4% Capital Markets 8.9 Media 8.6 Insurance 7.8 Oil, Gas & Consumable Fuels 7.2 Pharmaceuticals 5.9 Diversified Telecommunications Services 5.5 Hotels, Restaurants & Leisure 3.3 Commercial Banks 3.2 Electric Utilities 3.2 Beverages 2.9 Chemicals 2.6 Aerospace & Defense 2.6 Communications Equipment 2.5 Specialty Retail 2.4 Energy Equipment & Services 2.2 Multiline Retail 2.2 Computer & Peripherals 2.0 Others, Less than 2% each 13.8 5 ITEM 2. CONTROLS AND PROCEDURES. The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report. There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS (a)(1) Certification for the principal executive officer as required by Rule 30a-2(a) of the Investment Company Act of 1940, filed herewith. (a)(2) Certification for the principal financial officer as required by Rule 30a-2(a) of the Investment Company Act of 1940, filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Loomis Sayles Funds II By: /s/ Robert J. Blanding ----------------------------- Name: Robert J. Blanding Title: Chief Executive Officer Date: February 26, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Robert Blanding J. ----------------------------- Name: Robert J. Blanding Title: Chief Executive Officer Date: February 26, 2007 By: /s/ Michael C. Kardok ----------------------------- Name: Michael C. Kardok Title: Treasurer Date: February 26, 2007 EX-99.CERT 2 dex99cert.txt SECTION 302 CERTIFICATIONS OF CEO AND CFO Exhibit (a)(1) Loomis Sayles Funds II Exhibit to SEC Form N-Q Section 302 Certification I, Robert J. Blanding, certify that: 1. I have reviewed this report on Form N-Q of Loomis Sayles Funds II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 26, 2007 /s/ Robert J. Blanding ----------------------------- Robert J. Blanding Chief Executive Officer Exhibit (a)(2) Loomis Sayles Funds II Exhibit to SEC Form N-Q Section 302 Certification I, Michael C. Kardok, certify that: 1. I have reviewed this report on Form N-Q of Loomis Sayles Funds II; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: February 26, 2007 /s/ Michael C. Kardok ----------------------------- Michael C. Kardok Treasurer -----END PRIVACY-ENHANCED MESSAGE-----